Uncertainty principle for the short-time Fourier transform

Uncertainty principle for the short-time Fourier transform

There are many things one can do to signals to study them. However, if one do something to a signal that modifies it in some way, one should not confuse uncertainty principle applied to the modified signal with the uncertainty principle as applied to the original signal. One of the methods used to estimate properties of a signal is to take only a small piece of the signal around the time of interest and study that piece while neglecting the rest of the signal. In particular, one can take the Fourier transform of the small piece of the signal to estimate the frequencies at that time. If one make the time interval around the time t small, it will have a very high bandwidth. This statement applies to the modified signal; that is, to the short interval that one have artificially constructed for the purpose of analysis. What does the uncertainty principle as applied to a small time interval have to do with the uncertainty principle of the original? Very often nothing and statements about the chopped up signal should not be applied to the original signal. The process of chopping up a signal for the purpose of analysis is called the short-time Fourier transform procedure.

Characteristic of time wave forms: averages, mean time, and duration

If defined: (1) The reason for defining an average are that it may give a gross characterization of the density and it may give an indication of where the density is concentrated. Many measures can be used to ascertain whether the density is concentrated around the average, the most common being the standard deviation, , given by (2) The standard deviation is an indication of the duration of the signal. The average of any function of time, g(t), is obtained by (3) as a density in time is considered, the average time can be defined in the usual way any average is

Mean frequency, bandwidth, and frequency averages

If represents the density in frequency then it can be used to calculate averages, the motivation being the same as in the time domain, namely that it gives a rough idea of the main characteristics of the spectral density. The average frequency, , and its standard deviation, (commonly called the root mean square bandwidth and signified by B), are given by (4) (5) and the average of any frequency function, g( (6) ), is

Uncertainty principle for the short-time Fourier transform

The covariance of a signal

If one want a measure of how time and instantaneous frequency are related, it can be done it calculating the covariance or the correlation for signals. Consider the quantity (7) where is the phase of is the instantaneous frequency, .

which may be the thought of as the average of time multiplied by the instantaneous frequency. Now if time and frequency have nothing to do with each other then it is expected that to equal . Therefore, the excess of over is a good measure of how time is correlated with instantaneous

frequency. Define the covariance of a signal by (8)

The uncertainty principle

T and B are standard deviations defined by the previous equations: (9) (10) The uncertainty principle is (11) Therefore one cannot have or construct a signal for which both T and B are arbitrarily small. A more general uncertainty principle. A stronger version of the uncertainty principle is (12)

Proof of the uncertainty principle

First, let us note that no loss of generality occurs if signals are taken that have zero mean time and zero mean frequency. The reason is that the standard deviation does not depend on the mean because it is defined as the broadness about the mean, If one have a signal , then a new signal defined by (13) has the same shape both in time and frequency as except that it has been translated in time and frequency so that the means are zero. Conversely, if one have a signal that has zero mean time and zero mean frequency and one want a signal of the same shape but with particular mean time and frequency, then (14) The bandwidth expressed in terms of the signal is (15) The duration is (16) and therefore

Uncertainty principle for the short-time Fourier transform

(17)

The fact that s and S are Fourier transform pairs is reflected in Eq.(15) Now, for any two functions (not only Fourier transform pairs) (18) which is commonly known as the Schwarz inequality. Taking (19) The integrand, written in terms of amplitude and phase ( (20) The first term is a perfect differential and integrates to zero. The second term gives one half since it is assumed that the signal is normalized and the third term gives j times the covariance of the signal. Hence (21) Therefore the uncertainty principle is proved as given in Eq. (12). Since choose, be dropped to obtain the more usual form, Eq. (11). is always positive, it can, if one ), is and gives

The uncertainty principle for the short-time Fourier transform

From the original signal s(t) one defines a short duration signal around the time of interest, t, by multiplying it by a window function that is peaked around the time, t, and falls off rapidly. This has the effect of emphasizing the signal at time, t, and suppressing it for times far away from that time. In particular, Define the normalized short duration signal at time, t, by (22) where h(t) is the window function, t is the fixed time on which is focused , and normalization ensures that (23) for any t. Now as a function of the time is of short duration since presumably a window function has been is now the running time. This

chosen to make it so. The time, t, acts as a parameter. The Fourier transform of the small piece of the signal, the modified signal, is (24) gives us an indication of the spectral content at the time t. For the modified signal one can define all the relevant quantities such as mean time, duration, and bandwidth in the standard way, but they will be time dependent. The mean time and duration for the modified signal are (25)

(26)

Uncertainty principle for the short-time Fourier transform Similarly, the mean frequency and bandwidth for the modified signal are (27) (28)

Time-dependent and window-dependent uncertainty principle

Since a normalized signal have been used to calculate the duration and bandwidth, can be immediately

written down. This is the uncertainty principle for the short-time Fourier transform. It is a function of time, the signal, and the window. It should not be confused with uncertainty principle applied to the signal. It is important to understand this uncertainty because it places limits on the technique of the short-time Fourier transform procedure. However, it places no constraints on the original signal. It is known that for infinitely short duration signals the bandwidth becomes infinite. Hence it is expected that as the window is narrowed , which is indeed the case. It is true that if the signal is modified by the technique of the short-time Fourier transform, the abilities in terms of resolutionis are limited and so forth. This is a limitation of the technique. The uncertainty principle of the original signal does not change because it has been decided to be modified by windowing.

References
L. Cohen, TIME-FREQUENCY ANALYSIS, Prentice-Hall, New York, 1995. //Wrong out data

Article Sources and Contributors

Article Sources and Contributors

Uncertainty principle for the short-time Fourier transform Source: http://en.wikipedia.org/w/index.php?oldid=409198157 Contributors: Eugene-elgato, Michael Hardy, Nthep, R97942119, WereSpielChequers, 1 anonymous edits

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