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Lecture 6
Power spectral density (PSD)
Random process
EXPECTATIONS
Expected value
The autocorrelation
Single pulse
Multiple pulses
Periodic Random Processes
The Gaussian Process
The Poisson Process
Bernoulli and Binomial Processes
The Random Walk Wiener Processes
The Markov Process
6
Single pulse
Single pulse with random amplitude and arrival time:
Amplitude
Amplitude
Deterministic pulse:
S(t): Deterministic function.
Random variables:
A: gain a random variable
: arrival time.
Amplitude
X (t) = A S(t
)
Nerve spike
2
0
-2
0.5
1.5
t (ms)
2.5
0.5
1.5
t (ms)
2.5
0.5
1.5
t (ms)
2.5
2
0
-2
2
A and are statistically independent
0
-2
Multiple pulses
Single pulse with random amplitude and arrival time:
x
Deterministic pulse:
S(t): Deterministic function.
Random variables:
Ak: gain a random variable
k: arrival time.
n: number of pulses
0.5
1.5
2.5
0.5
1.5
2.5
0.5
1.5
2.5
2
0
-2
2
0
-2
n is an integrer
Signal
2
1.5
1
T=100
X(t)
0.5
0
-0.5
-1
-1.5
-2
100
200
300
400
500
t
600
700
800
900
1000
5
4
600
500
2
1
400
300
-1
200
-2
100
-3
-4
700
1000
2000
3000
4000
5000
6000
7000
8000
9000
10000
0
-4
-3
-2
-1
10
11
Alternative definition
Poisson points
The number of events in an interval
N(t1,t2)
12
Bernoulli Processes
A process of zeros and ones
X=[0 0 1 1 0 1 0 0 1 1 1 0]
Each sample must be independent and
identically distributed Bernoulli variables.
The likelihood of 1 is defined by p
The likelihood of 0 is defined by q=1-p
13
Binomial process
Summed Bernoulli Processes
14
Random walk
For every T seconds take a step (size ) to
the left or right after tossing a fair coin
Random walks
6
4
x[n]
2
0
-2
-4
-6
-8
0
10
15
20
25
n
30
35
40
45
50
15
Density function
Expected value
16
17
18
19
20
4
3
Fourier transform
0.8
0.6
S(f)
s(t)
0.4
-1
Invers Fourier
transform
-2
-3
Fourier spectrum
200
400
600
800
1000
0.2
0
-15
-10
-5
0
f
10
21
15
e(jw n)
Real
Imaginary
Amplitude
0.5
0
-0.5
-1
20
40
60
Requirement: absolute
integrable
x[n]
n
80
100
22
5
0
-5
-T
23
What is power?
In
the power spectrum density power
is related to electrical power
24
Power of a signal
The
25
Parseval's theorem
The power of the squared absolute
Fourier transform is equal the power
of the signal
26
Power of a stochastic
process
Thereby can the expected power can
be calculated from the Fourier
spectrum
27
PSD Example
Signal
4
3
0.6
S(f)
1
0
0.4
-1
0.2
-2
0
200
400
600
800
0
-15
1000
PSD
-10
-5
0
f
10
15
|X
(f)
|2
0.8
Sxx(f)
s(t)
0.8
Fourier
transform
-3
Fourier spectrum
0.6
0.4
0.2
0
-15
-10
-5
10
15
29
Example
A random process is defined as
30
31
Wiener-Khinchin 1
If the X(t) is stationary in the widesense the PSD is the Fourier
transform of the Autocorrelation
Proof: page
33 175
Wiener-Khinchin
Two method for estimation of the PSD
Fourier Transform
X(f)
|X(f)|2
X(t)
Sxx(f)
X(t)
Fourier Transform
t
Rxx()
Sxx(f)
Autocorrelation
34
35
36
is
0
-10
10
10
t (s)
Signal Y(t)
15
20
-5
-10
-15
-20
-25
0
-10
Power/frequency (dB/Hz)
X(t)
10
Y(t)
Signal X(t)
10
t (s)
15
20
-30
10
15
Frequency (Hz)
20
25
38
Implementations issues
The challenges includes
Finite signals
Discrete time
39
The periodogram
The estimate of the PSD
The PSD can be estimate from the
autocorrelation
40
N: number of samples
Normalized version:
41
222
Autocorrelation
Autocorrelation
888
111
666
000
444
-1-1
-1
-2-2
-2
-10
-10
-10
-5-5
-5
000
555
nnn
10
10
10
15
15
15
20
20
20
222
000
222
111
-2
-2
-2
000
-4
-4
-4
-1-1
-1
-2-2
-2
-10
-10
-10
-5-5
-5
000
555
n+m
n+m
n+m
10
10
10
15
15
15
20
20
20
-6
-6
-6
-15
-15
-15
-10
-10
-10
-5
-5
00
55
10
10
15
15
42
w[m]
0.5
0
-15
-10
-5
0
m
10
15
43
Alternative estimation of
autocorrelation
The unbiased estimate
Unbiased
0.6
0.6
0.4
0.4
0.2
0.2
Rxx[m]
Rxx[m]
Biased
0
-0.2
0
-0.2
-0.4
-0.4
-0.6
-0.6
-15
-10
-5
0
m
10
15
-15
-10
-5
0
m
10
15
45
Example
Autocorrelation biased and unbiased
Unbiased
0.6
0.4
0.4
0.2
0.2
Rxx[m]
0.6
0
-0.2
-0.4
-0.6
-15
0
-0.2
-0.4
-0.6
-10
-5
0
m
10
15
-15
-10
-5
0
m
10
15
Unbiased
Biased
Sxx()
Rxx[m]
Biased
3
2
1
0
46
0
-5
True PSD
Sxx(f)
0.8
5
t (s)
Realization 2
10
-5
0.2
50
100
f (Hz)
150
200
50
100
150
f (Hz)
PSD: Realization 2
200
50
100
150
f (Hz)
PSD: Realization 3
200
50
200
5
0
5
t (s)
Realization 3
10
10
0
-5
10
0.4
0.6
PSD: Realization 1
10
5
0
5
t (s)
10
100
f (Hz)
150
47
Averaging
Divide the signal into K segments of
M length
Calculate the periodogram of each
segment
Calculate the average periodogram
48
Illustrations of Averaging
X(t)
2
0
-2
-4
10
10
100
200
100
200
100
10
6
4
2
0
100
200
200
10
5
0
50
100
f (Hz)
150
200
49
Effect of Averaging
The variance is decreased
50
Additional options
The Welch method
Introduce overlap between segment
Where Q is the length between the
segments
51
Example
Heart rate variability
http://
circ.ahajournals.org/cgi/content/full/93/5/1
043#F3
High frequency component related to
Parasympathetic nervous system ("rest and
digest")
Low frequency component related to
sympathetic nervous system (fight-or-flight)
52
53