Chapter 2
Convolution and Correlation
2.1 Introduction
In this chapter we will consider two signal analysis
concepts, namely convolution and correlation. Sig-
nals under consideration are assumed to be real
unless otherwise mentioned. Convolution operation
is basic to linear systems analysis and in determining
the probability density function of a sum of two
independent random variables. Impulse functions
were defined in terms of an integral (see (1.4.4a))
using a test function ft.
Z1
ftdt  t0 dt ft0 : (2:1:1)
1
This integral is the convolution of two functions,
ft and the impulse function dt to be dis-
cussed shortly. In a later chapter we will see that
the response of a linear time-invariant (LTI) sys-
tem to an impulse input dt is described by the
convolution of the input signal and the impulse
response of the system. Convolution operation
lends itself to spectral analysis. There are two
ways to present the discussion on convolution,
first as a basic mathematical operation and second
as a mathematical description of a response of a
linear time-invariant system depending on the
input and the description of the linear system.
The later approach requires knowledge of systems
along with Fourier series and transforms. This
approach will be considered in Chapter 6.
Although we will not be discussing random signals
in any detail, convolution is applicable in dealing
with random variables.
R.K.R. Yarlagadda, Analog and Digital Signals and Systems, DOI 10.1007/978-1-4419-0034-0_2,
Springer ScienceBusiness Media, LLC 2010
The process of correlation is useful in comparing
two deterministic signals and it provides a measure
of similarity between the first signal and a time-
delayed version of the second signal (or the first
signal). A simple way to look at correlation is
to consider two signals: x1 t and x2 t. One of
these signals could be a delayed, or an advanced,
version of the other. In this case we can write
x2 t x1 t t; 1 < t < 1. Multiplying point
by point and adding all the products, x1 tx1 t t
will give us a large number for t 0, as the product
is the square of the function. On the other hand if
t 6 0, then adding all these numbers will result in an
equal or a lower value since a positive number times
a negative number results in a negative number and
the sum will be less than or equal to the peak value.
In terms of continuous functions, this information
can be obtained by the following integral, called the
autocorrelation function of xt, as a function of t
not t.
Z1
Rxx t xtxt tdt AC xt  Rx t:
1
(2:1:2)
This gives a comparison of the function xt with its
shifted version xt t. Autocorrelation (AC) pro-
vides a nice way to determine the spectral content of
a random signal. To compare two different func-
tions, we use the cross-correlation function defined
by
Z1
Rxh t xt  ht xtht tdt: (2:1:3)
1
39
40 2 Convolution and Correlation

Note the symbol (**) for correlation. Correlation isIf xt and yt are orthogonal, the energy and power
related to the convolution. As in autocorrelation, contained in the energy or power signal
the cross-correlation in (2.1.3) is a function of t, the zt xt yt are respectively given by
time shift between the function xt, and the shifted
version of the function ht.
Ez Ex Ey or Pz Px Py : (2:1:8)

2.1.1 Scalar Product and Norm Some of the important properties of the norm are
stated as follows:
The scalar valued function hxt; yti of two signals
xt and yt of the same class of signals, i.e., either 1: kxtk 0 if and only if xt 0; (2:1:9a)
energy or power signals, is defined by
8 R1
>
> xty tdt; 2: kxt ytk  kxtk kytk;
>
>
>
> 1 triangular inequality (2:1:9b)
>
>
< energysignals: 2:1:4a
hxt;yti T=2 3: kaxtk jajkxtk: (2:1:9c)
>
> R
>
> lim T1 xty tdt;
>
> T!1
>
> T=2
:
powersignals: 2:1:4b
In (2.1.9c), a is some constant. One measure of
Superscript (*) indicates complex conjugation. Our distance, or dissimilarity, between xt and yt is
discussion will be limited to a subclass of power kxt  ytk. A useful inequality is the Schwarzs
signals, namely periodic signals. In that case, inequality given by
assuming that both the time functions have the
same period (2.1.4b) can be written in the symbolic jhxt; ytij  kxtkkytk: (2:1:9d)
form as follows:
Z
1
hxT tyT ti xty tdt: (2:1:4c) The two sides are equal when xt or yt is zero or if
T yt axt where a is a scalar to be determined. This
T
can be seen by noting that
Even though our interest is in real functions, for gen-
erality, we have used complex conjugates in the above kxt aytk2 hxt ayt; xt ayti
equations. The norm of the function is defined by hxtxti a hxt; yti

Ex ; energy signals ahxt; yti jaj2 hyt; yti
kxtk hxt; xti1=2 :
Px ; power signals kxtk2 a hxt; yti
(2:1:5) ahxt; yti jaj2 kytk2 :
It gives the energy or power in the given energy or (2:1:10)
the power signal. The two functions, xt and yt,
are orthogonal if
Since a is arbitrary, select
hxt; yti 0: (2:1:6)

a hxt; yti=kytk2 : (2:1:11)

In that case,
Substituting this in (2.1.10), the last two terms can-
kxt ytk2 kxtk2 kytk2 : (2:1:7) cel out, resulting in
2.2 Convolution 41

 
 2 This definition describes a higher algebra and
hxt; yti 
2
kxt aytk kxtk  2 allows us to study the response of a linear time-
kytk2 invariant system in terms of a signal and a system
  response to be discussed in Chapter 6. It should be
 
) kxtk2 kytk2 hxt; yti2   0: emphasized that the end result of the convolution
(2:1:12) operation is a function of time. Coming back to the
sifting property of the impulse functions, consider
Equality exists in (2.1.9d) only if xt ayt 0. the equation given in (2.1.1). Two special cases are
Another possibility is the trivial case being either one of interest.
of the functions or both are equal to zero. Ziemer
Z1
and Tranter (2002) provide important applications
on this important topic. ft  dt fadt  ada
Correlations in terms of time averages: Cross- 1
(2:2:2a)
correlation and autocorrelation functions can be Z1
expressed in terms of the time average symbols and ft  bdbdb dt  ft;
1
Z1
Rxh t xtht tdt hxtht ti; (2:1:13a) Z1
dt  dt dadt  ada dt: (2:2:2b)
1
1
ZT=2
1
RT;xh t xT thT t tdt
T 2.2.1 Properties of the Convolution
T=2 (2:1:13b)
Z Integral
1
xT thT t tdt hxT thT t ti:
T
T 1. Convolution of two functions, x1 t and x2 t,
satisfies the commutative property,
In the early part of this chapter we will deal with
convolution and correlation associated with aper- yt x1 t  x2 t x2 t  x1 t: (2:2:3)
iodic signals. In the later part we will concentrate on
convolution and correlation with respect to both This equality can be shown by defining a new
periodic and aperiodic signals. Most of the material variable, b t  a, in the first integral in (2.2.1)
in this chapter is fairly standard and can be seen in and simplifying the equation.
circuits and systems books. For example, see 2. Convolution operation satisfies the distributive
Ambardar (1995), Carlson (1975), Ziemer and property, i.e.,
Tranter (2002), Simpson and Houts (1971), Peebles
(1980), and others. x1 t  x2 t x3 t x1 t  x2 t
x1 t  x3 t:
2.2 Convolution (2:2:4)

3. Convolution operation satisfies the associative

The convolution of two functions, x1 t and x2 t, property, i.e.,
is defined by
Z1 x1 t  x2 t  x3 t x1 t  x2 t  x3 t: (2:2:5)
yt x1 t  x2 t x1 ax2 t  ada
1 (2:2:1) The proofs of the last two properties follow from
Z1
the definition.
x2 bx1 t  bdb x2 t  x1 t:
4. The derivative of the convolution operation can be
1 written in a simple form and
42 2 Convolution and Correlation

2 1 3 2 3
Z Z1 Zt
dyt d
y 0 t 4 x1 ax2 t  ada5 4 x2 a  bda5x1 bdb
dt dt
1 1 1
Z1 2 3
dx2 t  a Z1 Ztb
x1 a db x1 t x02 t; 4
dt x2 ldl5x1 bdb;
1
1 1
2 3 2 3
dyt d Zt Zt
) x1 t  x2 t 4 x2 ldl5x1 t4 x1 bdb5x2 t:
dt dt
dx1 t dx2 t 1 1
 x2 t x1 t  : (2:2:8)
dt dt
(2:2:6a)
Example 2.2.1 Find the convolution of a function
xt and the unit step function ut and show it is a
Equation (2.2.6a) can be generalized for higher
running integral of xt:
order derivatives. We can then write
Solution: This can be seen from
m m Z1
m d x1 t d yt
x1 t  x2 t m
 x2 t xt  ut xbut  bdb
dt dtm
(2:2:6b) 1
  Zt   
m m d i xi t 1; b5t
y t Note xi t ; xbdb; ut  b :
dti 0; b4t
1
(2:2:9) &
m n d m x1 t dn x2 t
x1 t  x2 t 
dtm dtn
(2:2:6c) 6. Convolution of two delayed functions x1 t  t1
d mn yt and x2 t  t2 are related to the convolution of
ymn t:
dtmn x1 t and x2 t.

Since the impulse function is the generalized deriva-

yt x1 t  x2 t ) x1 t  t1  x2 t  t2
tive of the unit step function ut (see Section 1.4.2.),
we have yt  t1 t2 : (2:2:10)

yt ut  ht ) y0 t This can be seen from

(2:2:7)
u0 t  ht dt  ht ht: x1 t  t1  x2 t  t2
Z1
5. Convolution is an integral operation and if we x1 a  t1 x2 t  a  t2 da
know the convolution of two functions and desire
1
to compute its running integral, we can use Z1
x1 bx2 t  t1 t2   bdb
Zt Zt
1
yada x1 a  x2 ada
yt  t1 t2 : (2:2:11)
1 1
2 3
Zt Z1
4 x1 bx2 a  bdb5da; Example 2.2.2 Derive the expression for
1 1 yt x1 t  x2 t dt  t1 dt  t2 .
2.2 Convolution 43

Solution: Using the integral expression, we have x1e t  x20 t y01 t;

Z1 Z1 x10 t  x2e t y02 t; odd functions:
x1 ax2 t  ada da  t1 dt  t2  ada (2:2:14c)
1 1
dt  t2  ajat1 dt  t1  t2 : 8. The area of a signal was defined in Chapter 1
(see (1.5.1)) by
Z1
Noting dt  dt dt and using (2.2.11), we have
Axi t xi ada: (2:2:15)
dt  t1  dt  t2 dt  t1  t2 . &
1

Area property of the convolution applies if the areas

7. The time scaling property of the convolution
of the individual functions do not change with a shift
operation is if yt x1 t  x2 t, then
in time. It is given by
Z1
x1 ct  x2 ct x1 cbx2 ct  bdb Ayt Ax1 t  x2 t Ax1 tAx2 t:
1 (2:2:16)
1 This can be proved by
yct; c 6 0: (2:2:12)
jcj Z1 Z 1
Ayt ybdb x1 b  x2 bdb
1
Assuming c < 0 and using the change of variables 1
a cb, and simplifying, we have 2 3
Z1 Z1
4 x1 ax2 b  ada5db
Z1
1 1 1
x1 ct  x2 ct x1 ax2 ct  ady 8 9
c Z1 < Z1
1 =
Z1 x1 a x2 b  adb da
1 1 : ;
x1 ax2 ct  ada yct:
j cj jcj 1
Z1
1
1
Ax2 t x1 ada Ax2 tAx1 t:
A similar argument can be given in the case of c > 0: 1
Scaling property applies only when both functions
are scaled by the same constant c 6 0. When
9. Consider the signals x1 t and x2 t that are non-
c 1, then
zero for the time intervals of tx1 and tx2 , respec-
tively. That is, we have two time-limited signals,
x1 t  x2 t yt: (2:2:13)
x1 t and x2 t, with time widths tx1 and tx2 . Then,
the time width ty of the signal yt x1 t  x2 t
This property simplifies the convolution if there are
is the sum of the time widths of the two convolved
symmetries in the functions. In Chapter 1, even and
signals and ty tx1 tx2 . This is referred to as the
odd functions were identified by subscripts
time duration property of the convolution. We will
e for even and 0 for odd (see (1.2.7)). From these
come back to some intricacies in this property, as
there are some exceptions to this property.
xie t xie t; an even function;
xi0 t xi0 t; an odd function (2:2:14a) Example 2.2.3 Derive the expression for the convo-
lution yt x1 t  x2 t, where xi t; i 1; 2 are
as follows:
x1e t  x2e t ye1 t;
x10 t  x20 t ye2 t; even functions x1 t 0:5dt  1 0:5dt  2;
(2:2:14b) x2 t 0:3dt 1 0:7dt  3:
44 2 Convolution and Correlation

Solution: Convolution of these two functions is properties to simplify the evaluations are illu-
Z1 strated. A few comments are in order before the
yt x1 ax2 t  ada examples. First, the convolution yt x1 t
1 x2 t is an integral operation and can use either
Z1 one of the integrals in (2.2.1). Note that yt; 1 <
0:5da  1 0:5da  2 t < 1 is a time function. The expression for
1 the convolution, say at t t0 , will yield a zero
0:3dt  a 1 0:7dt  a  3da value for those values of t0 over which
x1 b and x2 t0  b do not overlap. The area
Z1 under the product x1 bx2 t0  b, i.e., the integral
0:50:3da  1dt  a 1da of this product gives the value of the convolution at
1 t t0 . Sketches of the function x1 b and the time
Z1
reversed and delayed function x2 t0  b on the
0:50:7da  1dt  a  3da same figure would be helpful in identifying the lim-
1 its of integration of the product x1 bx2 t0  b.
Z1 As a check, the value of the convolution at end
0:50:3da  2dt  a 1da points of each range must match, except in the
1 case of impulses and/or their derivatives in the inte-
Z1 grand of the convolution integral. This is referred to
0:50:7da  2dt  a  3da as the consistency check. The following steps can be
1 used to compute the convolution of two functions
0:15dt 0:35dt  4 x1 t and x2 t:
0:15dt  1 0:35dt  5:
New variable Reverse Shift
x2 t!x2 b!x2 b!x2 t  b
Notes: If an impulse function is in the integrand of
New variable Multiply the two functions
the form dat  b, then use (see (1.4.35), which is x1 t!x1 b !x1 bx2 t  b:
Integrate R1
 ! x1 bx2 t  bdb yt:
dat  b 1=jajdt  b=a: 1

Example 2.3.1 Derive the expression for the convo-

2.2.2 Existence of the Convolution lution of the two pulse functions shown in Fig. 2.3.1
Integral a,b. These are

 
Convolution of two functions exists if the convolu- 1 t  a=2
tion integral exists. Existence can be given only in x1 t P and
a a
terms of sufficient conditions. These are related to  
1 t  b=2
signal energy, area, and one sidedness. It is simple to x2 t P ; b  a > 0: (2:3:1)
b b
give examples, where the convolution does not exist.
Some of these are a*a, a*u(t), cos(t)*u(t), eat *eat,
a > 0. Convolution of energy signals and the same- Solution: First
sided signals always exist. In Chapter 4 we will be
discussing Fourier transforms and the transforms Z1
make it convenient to find the convolution. yt x1 t  x2 t x1 bx2 t  bdb: (2:3:2)
1

2.3 Interesting Examples Figure 2.3.1c,d,e,f give the functions x1 b;

x2 b; x2  b; and x2 t  b, respectively. Note
In the following, the basics of the convolution that the variable t is some value between 1 and
operation, along with using some of the above 1 on the b axis. Different cases are considered, and
2.3 Interesting Examples 45

x1(t) x2(t)

(a) (b)
x1() x2() x2()

(c) (d) (e)

x2(t ) t 0 : x2 (t ) and x1 ()

(f) (g)
t > 0 : x2 (t ) and x1 () t > a : x2 (t ) and x1 ()

(h) (i)
t b < a : x2 (t ) and x1 () t b > a : x2 (t ) and x1 ()

(j) (k)
b > a : y (t) = x1 (t)x2 (t) b = a : y (t) = x1 (t)x2 (t)

(l) (m)

Fig. 2.3.1 Convolution of two rectangular pulses (b  a)

in each case, we keep the first function x1 b sta- yt 0; t  0: (2:3:3)

tionary and move (or shift) the second function
x2 b, resulting in x2 t  b.
Case 2: 05t  a: The two functions are sketched for
this case in Fig. 2.3.1 h. The two functions overlap
Case 1: t  0: For this case the two functions are and the convolution is
sketched in Fig. 2.3.1 g on the same figure. Noting
that there is no overlap of these two functions, it Zt
1
follows that yt x1 bx2 t  bdb t; 05t  a: (2:3:4)
ab
0
46 2 Convolution and Correlation

Case 3: a5t  b: This corresponds to the complete integral operation, which is a smoothing operation.
overlap of the two functions and the functions are Convolution values at end points of each range
shown in Fig. 2.3.1i. The convolution integral and must match (consistency check) as we do not have
the area is any impulse functions or their derivatives in the func-
tions that are convolved. Some of these are dis-
Za cussed below.
1 1 The areas of the two pulses are each equal to 1
yt db ; a5t  b: (2:3:5)
ab b and the area of the trapezoid is given by
0

Case 4: 0 < t  b  a < b or b < t  b a. This Areayt 1=2a1=b b  a1=b

corresponds to a partial overlap of the two func- 1=2a1=b 1
tions and is shown in Fig. 2.3.1j. The convolution Areax1 tAreax2 t: (2:3:9)
integral and the area is

This shows that the area property is satisfied. Pee-

Za bles (2001) shows the probability density function
1 a b  t
yt db ; b5t  b a: (2:3:6) of the sum of the two independent random variables
ab ab
tb is also a probability density function. We should
note that the probability density function is nonne-
gative and the area under this function is 1 (see
Case 5: t  b > a or t  a b: The two functions
Section 1.7). From the above discussion, it follows
corresponding to this range are sketched in Fig.
that the convolution of two rectangular pulses
2.3.1k and from the sketches we see that the two
(these can be considered as uniform probability
functions do not overlap and
density functions) results in a nonnegative function
and the area under this function is 1. The function
yt 0; t  a b: (2:3:7) yt satisfies the conditions of a probability density
function.
The time duration of yt, ty is ty tx1 tx2
Summary: and

8
>0; t0 tx1 a; tx2 b ) ty tx1 tx2 a b: (2:3:10)
>
>
>
>t
>
> ; 05 t 5 a
>
>
>
ab
> A special case is when a b and the function yt
>
<1 given in Fig. 2.3.1m, a triangle, is
yt ; a  t 5b : (2:3:8)
>
> b
>
>
>
> abt    
>
> ; b  t 5a b t  a=2 t  a=2 ht  ai
>
> ab
>
> P P L : (2:3:11) &
: a a a
0; tab

Example 2.3.2 Give the expressions for the

This function is sketched in Fig. 2.3.1 l and m for the
convolution of the following functions:
cases of b > a and b a. There are several interest-
ing aspects in this example that should be noted. 
First, the two functions we started with have first- t1
x1 t ut and x2 t sinptP : (2:3:12)
order discontinuous and the convolution is an 2
2.3 Interesting Examples 47

Solution: The convolution integral Solution:

Z1
Z1 Z2
yt xt  ht xbht  bdb
yt x2 bx1 t  bda sinpb ut  bdb
1
1 0 Z1
8
Zt < 0; t  0
> haxt  ada: (2:3:14b)
sinpbdb 1=p1  cospt; 05t52 ; 1
>
:
0 0; t  2
In computing the convolution, we keep one of the
Zt functions at one location and the other function is
yt sinpbdb time reversed and then shifted. In this example,
since the function ht 0 for t < 0, we have a
0
8 benchmark to keep track of the movement of the
< 0; t  0
> function ht  b as t varies. Therefore, the first
1=p1  cospt; 05t52 : (2:3:13) integral in (2.3.14b) is simpler to use. The functions
>
:
0; t  2 xb; hb; hb; and ht  b are shown in
Fig. 2.3.2 c, d, e, and f respectively. As before, we
will compute the convolution for different intervals
The time duration of the unit step function is 1 and of time.
the time duration of x2 t is 2. The duration of the
function yt is 2, which illustrates a pathological Case 1: t  T : the two functions, ht  b and
case where the time duration property of the con- xb, are sketched in Fig. 2.3.2 g. Clearly there is
volution is not satisfied. no overlap of the two functions and therefore the
The integral or the area of a sine or a cosine integral is zero. That is
function over one period is equal to zero. The period
of the function sinpt is equal to 2 and therefore yt 0; t  T: (2:3:15)

   Case 2: T < t < T: The two functions ht  b

t1
Ax2 t A sinpt:P and xb are sketched in Fig. 2.3.2 h in the same
2
figure for this interval. There is a partial overlap of
Z2
the two functions in the interval T4t4T. The
0 ) Ayt 1=p 1  cosptdt
convolution can be expressed by
0
Z2 Z1 Zt
1=p dt 2=p: yt xbht  bdb 1eatb db
0 1 T
(2:3:16)
Zt h i
Noting that Ax1 t Aut 1 and 1
eat eab db 1  eatT ; T5t5T:
Ayt 2=p, we can see that the area property of a
T
the convolution is not satisfied. See Ambardar
(1995) for an additional discussion. & Case 3: t > T : From the sketch of the two functions
Example 2.3.3 Derive the expression for the convo- in Fig. 2.3.2 h, the two functions overlap in this
lution of the following functions shown in range T  t  T and the convolution integral is
Fig. 2.3.2a,b:
ZT
1  aT
h t i yt eatb db e  eaT eat ; t4T:
a
xt P and ht eat ut; a > 0: (2:3:14a) T
2T
(2:3:17)
48 2 Convolution and Correlation

Fig. 2.3.2 Convolution of a x (t ) h(t)

rectangular pulse with an
exponentially decaying pulse

(a) (b)
x() h()

(c) (d)
h() h ( t ), t 0

(e) (f)
h ( t ) , t < T and x ( ) h ( t ) , t < T and x ( )

(g) (h)
y(t)

(i)

Summary: Ayt AxtAht 2T1=a: (2:3:19) &

8
>
> 0; t  T
>
<1h
>
atT
i Notes: In computing the convolution, one of the
yt a 1  e ;  T5t  T : (2:3:18) sticky points is finding the integral of the product
>
>
>
> 1 xbht  b in (2.3.14b), which requires finding
: eaT  eaT eat ; t4T
a the region of overlap of the two functions. Sketch-
ing both functions on the same figure allows for an
This function is sketched in Fig. 2.3.2i. Note yt is easy determination of this overlap. The delay prop-
smoother than either of the given functions used in erty is quite useful. For example, if yt xt  ht
the convolution. Computing the area of yt is not then it implies y1 t xt  T  ht yt  T.
as simple as finding the areas of the two functions, In Example 2.3.3, x(t) P[t/2T] u[tT]
xt and ht: Using the area property, ut  T. Therefore
2.3 Interesting Examples 49

yt ht  xt Example 2.3.5 Derive the expression yi t ht 

xi t for the following two cases:
ht  ut T  xt  T
ht  ut T  ht  ut  T: &
a:x1 t ut; b:x2 t dt:

Example 2.3.4 Determine the convolution

yt xt  xt with xt eat ut, a > 0: Solution: a. Since ut  a 0; a > t, we have the
running integral
Solution: The convolution is
Z1
yt eat ut  eat ut y1 t ht  ut haut  ada
1
Z1
Zt
eab eatb ubut  bdb
hada: (2:3:22)
1
1
Zt
at
e db teat ut: (2:3:20)
0
b. Noting that the impulse function is the general-
ized derivative of the unit step function, we can
In evaluating the integral, the following expression compute the convolution
is used (see Fig. 2.3.3a):
dut
y2 t htdt ht y 0 1 t ht:
 dt
0; b50 and b4t
ubut  b : (2:3:21) (2:3:23) &
1; 05 b 4 t
Example 2.3.6 Let ht eat ut; a > 0 a. Deter-
The functions xt and yt are shown in mine the running integral of ht.
Fig. 2.3.3b,c. Note that the function xt has a b. Using (2.3.23), determine y2 t:
discontinuity at t 0: The function yt, Solution:
obtained by convolving two identically decaying
signals, xt and xt is smoother than either one Zt Zt
of the convolved signals. This is to be expected a: y1 t hbdb eab ubdb
as the convolution operation is a smoothing 1 1
operation. & 1
1  eat ut; (2:3:24)
a

dy1 t 1 d
b: y2 t 1  eat ut
dt a dt
1 d 1 d1  eat
1  eat ut ut
(a) a dt a dt
at at y (t ) = x(t ) * x(t ) 1=a1  eat dt eat ut
x(t ) = e u (t ) x(t ) = e u (t )
1=adt  dt eat ut
1=aeat ut: (2:3:25) &

In a later chapter this result will be used in dealing

(b) (c)
with step and impulse inputs to an RC circuit with
Fig. 2.3.3 Example 2.3.4 an impulse response ht eat ut.
50 2 Convolution and Correlation

Example 2.3.7 Express the following integral in the Z1

form of xt  pt; pt is a pulse function: b: y2 t uaua tda
1
tT=2 8 R1
Z > (2:3:30)
>
> uada ! 1; t  0
yt xada: (2:3:26) < t
:
tT=2 >
> R1
>
: ua tda ! 1; t40
0

Solution:

tT=2 tT=2
It follows that y2 t 1; 15t51. In this case,
Z Z convolution does not exist. &
yt xada  xada
1 1
xt  ut T=2  xt  ut  T=2
xt  ut T=2  ut  T=2 2.4 Convolution and Moments
hti
xt  P : (2:3:27)
T In the examples considered so far, except in the
cases of impulses, convolution is found to be a
The output is the convolution of xt with a pulse smoothing operation. We like to quantify and com-
width of T with unit amplitude and the process is a pare the results of the convolution of nonimpulse
running average. & functions to the Gaussian function. In Section 1.7.1,
the moments associated with probability density
Example 2.3.8 Find the derivative of the running functions were considered.
average of the function in (2.3.27) and express the A useful result can be determined by consid-
function xt in terms of the derivative of yt. ering the center of gravity convolution in terms
Solution: McGillem and Cooper (1991) give an of the centers of gravity of the factors in the
interesting solution for this problem. convolution. First, the moments mn x of a wave-
form xt and its center of gravity Z are, respec-
 
dut T=2 dut  T=2 tively, defined as
y0 t xt  
dt dt
   
T T Z1
xt  d t  xt  d t 
2 2 mn x tn xtdt; (2:4:1)
xt T=2  xt  T=2 1

) xt y0t  T=2 xt  T: (2:3:28) &

R1
txtdt
m1 x
Example 2.3.9 Derive the expressions a: y1 t Z 1
R1 : (2:4:2)
m0 x
ut  ut; b: y2 t ut  ut: xtdt
1
Solution:
We note that we can define a term like the variance
Z1 in Section 1.7.1 by
a: y1 t ut  ut uaut  ada
m2 x
1 s2 x  Z2 : (2:4:3)
( ) (2:3:29) m0 x
Zt 0; t40
1dt tut; Now consider the expressions for the convolution
t; t50
0 yt gt  ht. First,
2.4 Convolution and Moments 51

2 3
Z1 Z1 Z1 Average signal power
4t Signal-to-noise ratio :
m1 y tytdt glht  ldl5dt Noise power; s2n
1 1 1 (2:4:8)
2 3
Z1 Z1
gl4 tht  ldt5dl: Example 2.4.1 Verify the result is true in (2.4.7)
using the functions
1 1

gt ht et and yt gt  ht:

Defining a new variable x t  l on the right and
rewriting the above equation results in
Solution: Using integral tables, it can be shown that
2 3 Z1 Z1
Z1 Z1
m1 y 4 gl x lhxdx5dl m0 g et dt 1; m1 g tet dt 1;
1 1 0 0
Z1 Z1 Z1 Z1
lgldl hxdx xhxdx m2 g t2 et dt 2;
1 1 1 0

Z1 m1 g m2 g
gldl m1 gm0 h m1 hm0 g: (2:4:4) Zg 1; s2g  Z2g 1;
m0 g m0 g
1
s2h 1 note gt ht;
From the area property, it follows that m0 y
yt gt  ht tet utsee Example 2:3:4:
m0 gm0 h. The center of gravity is
Z1 Z1
t
m1 y m1 g m1 h m0 y te dt 1; m1 y t2 et dt 2;
) Zy Zg Zh : (2:4:5)
m0 y m0 g m0 h 0 0

Z1
Consider the expression for the squares of the m2 y t3 et dt 6;
spread of yt in terms of the squares of the spreads 0
of gt and ht. The derivation is rather long and m1 y m2 y
Zy 2; s2y  Z2y 2 )
only results are presented. m0 y m0 y

 2 s2y s2g s2h 1 1 2:

m2 y m1 y
s2y  : (2:4:6)
m0 y m0 y As an example, consider that we have signal
gt A coso0 t and is corrupted by a noise with a
Using the expressions for m0(y), m1 y and m2 y variance equal to s2n . Then, the signal-to-noise ratio is
and simplifying the integrals results in
A2 =2
SNR :
s2y s2g s2h : (2:4:7) s2n

That is, the variance of y is equal to the sum of the
variances of the two factors. It also verifies that
convolution is a broadening operation for pulses.
Noting that if gt and ht are probability density
functions then (2.4.7) is valid. In communications
theory we are faced with a signal, say gt is cor-
rupted by a noise nt with the variance, s2n . The
signal-to-noise ratio (SNR) is given by
In Chapter 10, we will make use of this in quantiza-
tion methods, wherein A and SNR are given and
determine s2n . This, in turn, provides the informa-
tion on the size of the error that can be tolerated.
Notes: For readers interested in independent random
variables, the probability density function of a sum of
two independent random variables is the convolution
of the density functions of the two factors of the
52 2 Convolution and Correlation

convolution, and the variance of the sum of the two Solution: yt is a triangular function (see Example
random variables equals the sum of their variances. 2.3.1) given by
For a detailed discussion on this, see Peebles (2001).& 1 ht  ai
yt L : (2:4:12)
a a
2.4.1 Repeated Convolution and the The mean values of the two rectangular pulses are
Central Limit Theorem a/2 (see Section 1.7). The mean value of yt is
2a=2 a. The variance of each of the rectangular
Convolution operation is an integral operation, which pulses is
is a smoothing operation. In Example 2.3.1, we have
s2i m2  m21 a2 =12; i 1; 2: (2:4:13a)
considered the special case of the convolution of two
identical rectangular pulses and the convolution of The variance is given by s2y s21 s22 a2 =6. The
these two pulses resulted in a triangular pulse (see Gaussian approximation is
Fig. 2.3.1m). The discontinuities in the functions
being convolved are not there in the convolved signal. 1 2 2
ytjN2 p eta =a =3 : (2:4:13b)
As more and more pulse functions convolve, the resul- pa2 =3
tant functions become smoother and smoother.
Repeated convolution begins to take on the bell- This Gaussian and the triangle functions are sym-
shaped Gaussian function. The generalized version metric around a. They are sketched in Fig. 2.4.1.
of this phenomenon is called the central limit theorem. Even with N 2, we have a good approximation. &
It is commonly presented in terms of probability den-
sity functions. In simple terms, it states that if we
convolve N functions and one function does not dom-
inate the others, then the convolution of the N func-
tions approaches a Gaussian function as N ! 1. In
the general form of the central limit theorem, the
means and variances of the individual functions that
are convolved are related to the mean and the variance
of the Gaussian function (see Peebles (2001)).
Given xi t; i 1; 2; :::; N; the convolution of
Fig. 2.4.1 Triangle function yt in (2.4.12) and the Gaus-
these functions is
sian function in (2.4.13b)
yt x1 t  x2 t  :::  xN t: (2:4:9)
Example 2.4.3 In Example 2.4.1 we considered two
The function yt can be approximated using m0 N , identically exponentially decaying functions:
the sum of the individual means of the functions, x1 t et ut x2 t. The convolution of these
and s2N the sum of the individual variances by two functions is given by y2 t tet ut. Approx-
imate this function using the Gaussian function.
1 2 2
yt q etm0 N =2sN : (2:4:10) Solution: The Gaussian function approximations
2ps2N of yn t, considering n 2 and for n large, are,
respectively, given below. Note that m0 y 2.
Example 2.4.2 Illustrate the effects of convolution
1 2
and compare yt to a Gaussian function by con- y2 t p et2 =22 ;
sidering the convolution 2p2
(2:4:14)
1 2

yt x1 t  x2 t; yn t p etn =2n :
2pn
  (2:4:11)
1 t  a=2 For sketches of these functions for various values of
xi t P ; i 1; 2:
a a n, see Ambardar (1995). &
2.4 Convolution and Moments 53

2.4.2 Deconvolution xt yt  hinv t xt  ht  hinv t

xt  ht  hinv t; ) ht  hinv t
In this chapter, we have defined the convolution
dt and xt  dt xt: (2:4:15)
yt ht  xt as a mathematical operation. If
xt needs to be recovered from yt, we use a pro- It is a difficult problem to find hinv t, which may
cess called the deconvolution defined by not even exist.

Table 2.4.1 Properties of aperiodic convolution

Definition:
R1 R1
yt x1 t x2 t 1 x1 ax2 t  ada 1 x2 ax1 t  ada:

Amplitude scaling:

ax1 t bx2 t abxt ht; a and b are constants:

Commutative:

x1 t x2 t x2 t x1 t:

Distributive:

x1 t x2 t x3 t x1 t x2 t x1 t x3 t:

Associative:

x1 t x2 t x3 t x1 t x2 t x3 t:

Delay:

x1 t  t1  x2 t  t2 x1 t  t2  x2 t  t1 yt  t1 t2 :

Impulse response:

xt dt xt:

Derivatives:
m n
x1 t x02 t x01 t x2 t y0 t; x1 t x2 t ymn t:

Step response:
Rt
yt xt ut 1 xada; y0 t xt dt xt:

Area:
R1
Ax1 t x2 t Ayt; where Axt 1 xtdt:

Duration:

tx1 tx2 ty :

Symmetry:

x1e t x2e t ye t; x1e t x20 t y0 t; x10 t x20 t ye t:

Time scaling:

x1 ct x2 ct j1cj yct; c 6 0:

54 2 Convolution and Correlation

2.5 Convolution Involving Periodic T (t )

and Aperiodic Functions

2.5.1 Convolution of a Periodic Function
with an Aperiodic Function
h (t )
(a)
Let ht be an aperiodic function and xT t be a
periodic function with a period T. We desire to
find the convolution of these two functions. That
is, find yt xT t  ht.
yT ( t )
Example 2.5.1 Derive the expressions for the con- (b)
volution of the following two functions:
dT t and ht assuming T 1:5 and T 2 and
sketch the results for the two cases.
yT ( t )
X
1
(c)
dT t dt  nT; ht Lt: (2:5:1)
k1

Derive the expressions for the convolution of these

two functions assuming T 1:5 and T 2 and (d)
sketch the results of the convolution for the two
Fig. 2.5.1 (a) Periodic impulse sequence, (b) Lt; (c) yT t;
cases. T 2, and (d) yT t; T 2

R1
X
1 Solution: yt ht  xT t eab coso0 t  b
yt ht  dT t ht  dt  kT ydb 0
k1
X
1 Z1
ht  dt  kT: (2:5:2) eab coso0 t y coso0 b
k1 0
sino0 t y sino0 bdb
Noting that ht  dt  kT ht  kT, it follows 2 1 3
Z
that 4 eab coso0 bdb5 coso0 t y
0
X
1 2 3
Z1
yt ht  kT yT t: (2:5:3)
4 eab sino0 bdb5 sino0 t y: (2:5:5)
k1
0

Figure 2.5.1a,b gives the sketches of the functions Using the identities given below (see (2.5.7 a, b, and
dT t and ht. The sketches for the convolution are c.)), (2.5.5) can be simplified.
shown in Fig. 2.5.1c,d. In the first case, there were 
no overlaps, whereas in the second case there are yt a=a2 o20 coso0 t y

overlaps. & o0 =a2 o20 sino0 t y
Example 2.5.2 Derive an expression for the convo- 1
lution yt ht  xT t, q coso0 t y  tan1 o0 =a
a2 o20 (2:5:6)

xT t coso0 t y and ht eat ut: (2:5:4)  yT t;

2.5 Convolution Involving Periodic and Aperiodic Functions 55

Z1 The periodic convolution of two periodic func-

ab eab tions, xT t and hT t, is defined by
e sino0 bdb 2 a sino0 b
a o20
0
tZ0 T
 o0
 o0 coso0 b1 1
0 ; yT t xT t
hT t xT ahT tada
a o20
2
T
t0
(2:5:7a) Z Z
1 1
Z1 xT ahT tada xT tahT ada
eab T T
eab coso0 bdb a coso0 b T T
a2 o20
0 hT t
xT t: (2:5:9a)
 a
o0 sino0 b10 ;
a o20
2
Note that the symbol
used for the periodic con-
(2:5:7b) volution and the constant T in the denominator in
(2.5.9a) indicates that it is an average periodic con-
a coso0 t y b sino0 t y c coso0 t f; volution. yT t is periodic since
q
c a2 b2 ; f  tan1 b=a y: (2:5:7c) hT t T  a hT t  a and
xT t T  a xT t  a: (2:5:9b)
The functions yt yT t and xT t are sinusoids at
the same frequency o0 . The amplitude and the phase Also, periodic convolution is commutative. Many of
of yt are different compared to that of xT t. &
the aperiodic convolution properties discussed ear-
The derivation given above can be generalized for a lier are applicable for periodic convolution with
periodic function some modifications. The expression for the periodic
convolution can be obtained by considering aperio-
X
1
xT t Xs 0 ck cosko0 t yk; o0 2p=T; dic convolution for one period of each of the two
k0 functions.
(2:5:8a) Consider the periodic functions in the form
X
1
yt xT t  ht Xs 0  ht ckcosko0 t X
1 X
1

k0
xT t xt  nT and hT t ht  nT;
n1 n1
yk  ht; o0 2p=T: (2:5:8b)
(2:5:10a)


xT t; t0  t < t0 T
2.5.2 Convolution of Two Periodic xt ;
0; otherwise
Functions 
hT t; t0  t < t0 T
ht (2:5:10b)
0; otherwise:
In Section 1.5 energy and power signals were con-
sidered. The energy in a periodic function is infinity Note that the time-limited functions, xt and ht,
and its average power is finite. One period of a are defined from the periodic functions xT t and
periodic function has all its information. In the hT t. Using (2.5.10b) the periodic convolution is
same vein, the average convolution is a useful mea-
Z
sure of periodic convolution. Such averaging pro- 1
cess is called periodic or cyclic convolution. The con- yT t xT ahT t  ada
T
volution of two periodic functions with different T

periods is very difficult and is limited here to the Z X

1
1
convolution of two periodic functions, each with the xT a ht  a  nTda
T n1
same period. T
56 2 Convolution and Correlation

1 Z Convolution of almost periodic or random signals,

1 X
xaht  a  nTda xt and ht, is defined by
T n1
T

1 X 1
ZT=2
xt  ht  nT; 1
T n1 yt lim xaht  ada: (2:5:14)
T!1 T
(2:5:11a) T=2

yT t xT t
hT t
1 X 1 This reduces to the periodic convolution if
yt  nT;yt xt  ht: (2:5:11b) xt and ht are periodic with the same period.
T n1

That is, yT t can be determined by considering one

period of each of the two functions and finding the 2.6 Correlation
aperiodic convolution.
Example 2.5.3 a. Determine and sketch the aperio- Equation (2.1.3) gives the cross-correlation of
dic convolution yt ht  xt. xt and ht as the integral of the product of two
    functions, one displaced by the other by t between
1 t1 1 t  1:5
xt P ; ht P : (2:5:12) the interval a < t < b and is given by
2 2 3 3
Zb
b. Determine and sketch the periodic convolution Rxh txtht xthttdt hxthtti:
yT t xT t
hT t for periods T 6 and 4: a
X1 X1
xT t xt  kT and hT t ht  kT:
k1 k1
Cross-correlation function gives the similarity
between the two functions: xt and ht t. Many
(2:5:13)
a times the second function ht may be a corrupted
Solution: a. From (2.5.13), the results for the aper- version of xt, such as ht xt nt, where
iodic convolution can be derived. The sketches of nt is a noise signal. In the case of xt ht,
the two functions and the result of the convolution cross-correlation reduces to autocorrelation. In
are shown in Fig. 2.5.2a. The periodic convolutions this case, at t 0, the autocorrelation integral
for the two different periods are shown in Fig. gives the highest value at t 0. Comparison of
2.5.2b,c. There are no overlaps of the functions two functions appears in many identification situa-
from one period to the next in Fig. 2.5.2b, whereas tions. For example, to identify an individual based
in Fig. 2.5.2c, the pulses overlap. & upon his speech pattern, we can store his speech

yT (t ) (a) yT (t )

Fig. 2.5.2 Example 2.5.1

(a) Aperiodic convolution;
(b) periodic convolution
T 6; (c) periodic
convolution, T 4 (b) (c)
2.6 Correlation 57

segment in a computer. When he enters, say a secure ZT=2

area, we can request him to speak and compute the 1
Ra;xh t lim xtht tdt: (2:6:1e)
cross-correlation between the stored and the T!1 T
T=2
recorded. Then decide on the individuals identifica-
tion based on the cross-correlation function. Gen-
For periodic functions, (2.6.1e) reduces to (2.6.1b).
erally, an individual is identified if the peak of the
cross-correlation is close to the possible peak auto-
correlation value. Allowance is necessary since the
speech is a function of the individuals physical and
mental status of the day the test is made. Quantita- 2.6.1 Basic Properties
tive measures on the cross-correlation will be con- of Cross-Correlation Functions
sidered a bit later.
The order of the subscripts on the cross-correla-
Folding relationship between the two cross-correla-
tion function Rxh t is important and will get to it
tion functions is
shortly. In the case of xt ht, we have the auto-
correlation and the function is referred to as Rx t Rxh t Rhx t; (2:6:2)
with a single subscript. The cross- and autocorrela-
tion functions are functions of t and not t. Correla- Z1
tion is applicable to periodic, aperiodic, and ran- ) Rxh t xtht tdt
dom signals. In the case of periodic functions, we 1
assume that both are periodic with the same period. Z1
xa  thada Rhx t: (2:6:3)
Cross-correlation: Aperiodic: 1

Z1
Rxh t xtht tdt (2:6:1a)
1
2.6.2 Cross-Correlation and Convolution
Cross-correlation: Periodic:
Z The cross-correlation function is related to the con-
1
RT; xht xT thT t tdt (2:6:1b) volution. From (2.6.3) we have
T
T
Rxh t xt ht xt  ht; (2:6:4a)
Autocorrelation: Aperiodic:
Rhx t ht xt ht  xt: (2:6:4b)
Z1
Rx t xtxt tdt (2:6:1c) Equation (2.6.4a) can be seen by first rewriting the
1 first integral in (2.6.3) using a new variable t a,
and then simplifying it. That is,
Autocorrelation: Periodic:
Z Z1 Z1
1 Rxh t xtht tdt xaht  ada
RT;x t xT txT t tdt: (2:6:1d)
T 1 1
T
xt  ht: (2:6:4c)
Notes: Cross- and autocorrelations of periodic
functions and random signals are referred to as Equation (2.6.4b) can be similarly shown. Noting
average periodic cross- and autocorrelation functions. the explicit relation between correlation and convo-
In the case of random or noise signals, the average lution, many of the convolution properties are
cross-correlation function is defined by applicable to the correlation. To compute the cross
58 2 Convolution and Correlation

correlation, Rxh t, one can use either of the integral 0 10 1

Z1 Z1
in (2.6.3) or the integral in (2.6.4c). Rxh t is not )jRxh tj2  @ x2 tdtA@ h2 tdtA
always equal to Rhx t. In case, if one of the functions
1 1
is symmetric, say xt xt; then
Rx 0Rh 0; (2:6:9a)
Rxh t xt  ht xt  ht: (2:6:5) p
jRxh tj  Rx 0Rh 0: (2:6:9b)
Example 2.6.1 illustrates the use of this property. In
Equation (2.6.9b) represents a tighter bound com-
particular, the area and duration properties for con-
pared to the one in (2.6.7b), as the geometric mean
volution also apply to the correlation. We should
cannot exceed the arithmetic mean. That is,
note that the correlations are functions of t and not t,
where t is the time shift between xt and ht t. p
In the case of energy signals, the energies in the real Rx 0Rh 0  Rx 0 Rh 0=2: (2:6:9c)
signals, gt and ht, are
Another way to prove (2.6.9b) is as follows. Start
Z1 Z1 with the inequality below. Expand the function and
Rg 0 g2 tdt Eg ; Rh 0 2
h tdt Eh : identify the auto- and cross-correlation terms.
1 1
Z 1
(2:6:6) & xt aht t2 dt  0: (2:6:10)
1

Write the resulting equation in a quadratic form in

2.6.3 Bounds on the Cross-Correlation terms of a. In order for the equation in (2.6.10) to be
true, the roots of the quadratic equation have to be
Functions
real and equal or the roots have to be complex con-
jugates. The proof is left as a homework problem.
Consider the integral
Z1 Z1 Example 2.6.1 Determine the cross-correlation of
2 the functions given in Fig. 2.3.2.
xt  ht t dt x2 tdt
1 1 h t i
Z1 Z1 xt P ; ht eat ut; a > 0: (2:6:11a)
2T
h2 t tdt  2 xtht tdt
1 1 Solution: Example 2.3.3 dealt with computing the
Rx 0 Rh 0  2Rxh t  0: (2:6:7a) convolution of these two functions. The cross-cor-
relation functions are as follows:
This follows since the integrand in (2.6.7a) is non- Z1
negative and Rhx t htxt tdt ht  xt;
1
jRxh tj  Rx 0 Rh 0=2: (2:6:7b) Z1
Rxh t xtht tdt xt  ht:
An interesting bound can be derived using the 1
Schwarzs inequality. See (2.1.9d).
(2:6:11b)
2 32
Z1 Note that we have xt xt, and therefore the
hxtht ti 42
xtht tdt5 cross-correlation Rxh t xt  ht is the convo-
0
1
10 1 lution determined before (see (2.3.18).), except the
Z1 Z1 cross-correlation is a function of t rather than t. It is
@ jxtj dtA@
2
jht tj dtA;
2
(2:6:8) given below. The two cross-correlation functions are
1 1 sketched in Fig. 2.6.1a,b. Note Rhx t Rxh t
2.6 Correlation 59

Fig. 2.6.1 Cross-

correlations (a)Rxh t,
 Rhx tR
(b)
1 2aT
xh T
a 1e Rhx T)

8
> 0; t  T The significance of rxh t can be seen by consider-
>
>
<1h
>
atT
i ing some extreme cases. When xt aht; a > 0,
Rxh t a 1  e ; T < t  T we have the correlation coefficient rxh t 1. In the
>
> case of xt aht; a < 0 and rxh t 1. In
>
> 1
: eaT  eaT eat ; t > T
a communication theory, we will be interested in
(2:6:11c) & signals that are corrupted by noise, usually identi-
fied by nt, which can be defined only in statis-
tical terms. In the following, we will consider the
analysis without going through statistical analysis.
2.6.4 Quantitative Measures Noise signal nt is assumed to have a zero average
of Cross-Correlation value. That is,

The amplitudes of Rxh t and Rhx t vary. It is

ZT=2
appropriate to consider the normalized correlation 1
coefficient (or correlation coefficient) of two energy lim ntdt 0: (2:6:14)
T!1 T
signals defined by T=2

Rxh t Rxh t
rxh t s
 1  1  p
; Cross-correlation function can be used to compare
R R Ex Eh
2
x tdt 2
h tdt two signals. The signals xt and ht are uncorre-
1 1 lated if the average cross-correlation satisfies the
(2:6:12a) relation

) jrxh tj  1: (2:6:12b) ZT=2

1
Ra;xh t lim xtht tdt
Equation (2.6.12b) can be shown as follows. From T!1 T
T=2
(2.1.13a) and using the Schwarzs inequality (see 2 32 3
(2.1.9d)), we have ZT=2 ZT=2
6 1 76 1 7
4 lim xtdt54 lim htdt5:
p T!1 T T!1 T
Rxh t hxtht ti  kxtkkht tk Ex Eh T=2 T=2

(2:6:15)
It should be noted that the case of xt ht, the
correlation coefficient reduces to
Example 2.6.2 If the signals x(t) and a zero average
Rx t noise signal n(t) are uncorrelated, then show
rxx t : (2:6:13)
Rx 0
ZT=2
Correlation measures are very useful in statistical 1
lim xtnt  tdt 0 for all t: (2:6:16)
analysis. See Yates and Goodman (1999), Cooper T!1 T
T=2
and McGillem (1999) and others.
60 2 Convolution and Correlation

Fig. 2.6.2 Correlation

detector

Solution: Using (2.6.14) and (2.6.15), we have correlation detector (or receiver) shown in
Fig. 2.6.2. The received signals yi t are assumed
ZT=2
1 to be of the form in (2.6.19). Decide which signal
lim xtnt tdt
T!1 T has been transmitted using the cross-correlation
T=2 function.
2 32 3
ZT=2 ZT=2
6 1 76 1 7 yi t xi t noise; i 1 or 2: (2:6:19)
4 lim xtdt54 lim nt tdt5 0:
T!1 T T!1 T
T=2 T=2
Solution: Let the transmitted signal be x1 t. Using
(2:6:17) the top path in Fig. 2.6.2, we have

Cross-correlation function can be used to estimate ZTs ZTs

the delay caused by a system. Suppose we know that x1 t ntx1 tdt A x21 tdt: (2:6:20)
a finite duration signal xt is passed through an 0 0
ideal transmission line resulting in the output func-
tion yt xt  t0 . The delay t0 caused by the Using the bottom path, with the transmitted signal
transmission line is unknown and can be estimated equal to x1 t, we have
using the cross-correlation function Rxy t: At
t t0 , Rxy t0 gives a maximum value. Then deter-
ZTs ZTs
mine t corresponding to the maximum value of
x1 tntx2 tdt x1 tx2 tx1 tntdt
Rxy t. &
0 0
Example 2.6.3 Consider the transmitted signals ZTs
x1 t and x2 t in the interval 0 < t < Ts and zero x1 tntdtB: (2:6:21)
otherwise. Use the cross-correlation function to
0
determine which signal was transmitted out of the
two. They are assumed to be mutually orthogonal
(see Section 2.1.1) over the interval and satisfy Since the noise signal has no relation to x1 t, B will
be near zero and A 44B, implying x1 t was trans-
ZTs  mitted. If x2 t was transmitted, the roles are
Exi Ex ; i j reversed and B  A. The correlation method of
xi txj tdt : (2:6:18)
0; i 6 j; i 1; 2 detection is based on the following:
0
1. If A > B ) transmitted signal is x1 t.
Ex is the energy contained in each signal. The two 2. If B > A ) transmitted signal is x2 t.
signals to be transmitted are assumed to be available 3. If B A ) no decision can be made as noise
at the receiver. A simple receiver is the binary swamped the transmitted signal. &
2.6 Correlation 61

 
Example 2.6.4 Derive the expressions for the cross- t1
correlation Rxh t and Rhx t assuming xt Pt  :5; ht tP ; Rxh t
2
xt et ut; ht e2t ut: Z1
Solution: Using the expression in (2.6.3), we have xtht tdt: (2:6:23)
1
Z1
Rxh t xa  thada Solution: See Fig. 2.6.4c for ht t for an arbitrary
1 t. The function ht t starts at t t and ends at
Z1 t 2  t. As t varies from  1 to 1, there are five
eat e2a ua  tuada: (2:6:22a) possible regions we need to consider. These are
1 sketched in Fig. 2.6.4 d,e,f,g,h. In each of these cases
both the functions are sketched in the same figure,
Consider the following and then the corresponding which allows us to find the regions of overlap. The
correlations: regions of overlap are listed in Table 2.6.1.

 Case 1: t  1 : See Fig. 2.6.4d. There is no overlap

1; a  t
t0: uaua  t ; between xt and ht t and
0; Otherwise

 Rxh t 0; t > 1 or t  1: (2:6:24)

1; a  0
t<0: uaua  t ;
0; Otherwise Case 2: 0 < t  1 or  1 < t  0 : See Fig.
2.6.4e. Using Table 2.6.1
Z1
t  0 : Rxh t e t
e3a da Z1

t2
t Rxh t t tdt ttt1
tt
2
1 3a 1 1 2t t
et e t e ut; (2:6:22b)
3 3 t 12
; 1  t < 0: (2:6:25)
Z1 2
1 t 3a 1 et
t < 0 : Rxh t et ee e3a da
0 :
3 3 Case 3: 0 < t  1: See Fig. 2.6.4 f. Using Table
0 2.6.1, we have
(2:6:22c)
Z1 
t2  1 2t
Rxh t is shown in Fig. 2.6.3. Note that Rxh t t tdt ttt1t0 ; 0 < t  1:
Rhx t Rxh t. & 2 2
0
(2:6:26)
Rxh ( )
Case 4: 1 < t  2: See Fig. 2.6.3 g. Using Table
2.6.1 we have

Z2t
t2 
Rxh t t tdt ttt2t
t0
2
0

Fig. 2.6.3 Rxh t 4  t2

; 1 < t  2: (2:6:27)
2

Example 2.6.5 Derive the crosscorrelation Rxh t Case 5: 2 < t: See Fig. 2.6.4 h. There is no overlap
for the following functions: and
62 2 Convolution and Correlation

Fig. 2.6.4 (a) xt, (b) ht;

(c) ht t,
(d) xt and ht t;
t > 1or t  1;
(e) xtandhtt;1<t0;
(f) xt and htt; 0 < t  1,
(g) xt and htt; 1 < t < 2,
(h) xt and htt; t > 2,
(i) Rxh t (a) (b)

(c) (d)

(e) (f)

(h)
(g)
Rxh ( )

(i)

Table 2.6.1 Example 2.6.4 Rxh t 0; t > 2: (2:6:28)

Case t Range of overlap/ integration range
1 t  1 No over lap
See Fig. 2.6.4i for the cross-correlation Rxh t
2 1 < t  0 t < t < 1
3 0<t1 0<t<1
sketch. There are no impulses in either of the two
4 1<t2 1<t<2t functions and therefore the cross-correlation func-
5 t>2 No over lap tion is continuous. &
2.7 Autocorrelation Functions of Energy Signals 63

2.7 Autocorrelation Functions of Energy In addition, if yt xt  a, then

Signals Rx t Ry t: (2:7:7)
Autocorrelation function describes the similarity or This can be seen first for t > 0 from
coherence between the given function xt and its
Z1 Z1
delayed or its advanced version xt  t. It is an
even function. The autocorrelation (AC) function Ry t ytyttdt xtaxtatdt
of an aperiodic signal xt was defined by 1 1
Z1
Z1
xbxbtdb Rx t: (2:7:8)
ACfxtgRx t xtxttdt
1
1
Z1 Change of a variable b t  a was made in the
xtxttdt hxtxtti: (2:7:1) above integral and then simplified. Since the auto-
1 correlation function is even, the result follows for
t < 0:
Rx t Rx t:even function (2:7:2)
Example 2.7.1 Find the AC of xt eat ut; a > 0
Second, the maximum value of the autocorrelation by first computing the AC for t > 0 and then use the
function occurs at t 0. That is symmetry property to find the other half of the
autocorrelation function.
jRx tj  Rx 0: (2:7:3)
Solution: First,
The proof of the symmetry property in (2.7.2) can 
1; t>t
be shown by changing the variable b t t and utut  t ut  t ; (2:7:9)
0; otherwise
simplifying the integral. The proof on the upper
bound on the autocorrelation function is shown Z1
below by noting the integral with a nonnegative t > 0 : Rx t xtxt  tdt
integrand is nonnegative. 1
Z1
Z1
eat uteatt ut  tdt
xt  xt  txt  xt  tdt  0: (2:7:4)
1
1
Z1
Z1 Z1 Z1 eat
2 2 e at
e2 at dt :
x tdt x t  tdt  2 xtxt  tdt 2a
t
1 1 1
Z1 Z1 Using the symmetry property of the AC, we have
2
2 x tdt  xtxt  tdt  0:
1 1
Rx t 1=2aeajtj : (2:7:10)
Z1
The energy contained in the exponentially decaying
) Rx 0 x2 tdt  jRx tj pulse is E Rx 0 1=2a. The autocorrelation
1 function is sketched in Fig. 2.7.1. &
 1 
Z 
  Example 2.7.2 Consider the function xt
 xtxt  tdt: (2:7:5)
  Pt  1=2. Determine its autocorrelation function
1
and its energy using this function.
Third,
Solution: The AC function for t  0 is
Z1 Z1 Z1
Ex Rx 0 x2 tdt:energy in xt: (2:7:6) Rx t xtxttdt Pt:5Ptt:5dt:
1 1 1
64 2 Convolution and Correlation

AC function is much easier to compute using this

property. The AC of the pulse function Pt  :5
can be computed by ignoring the delay. That is,
ACfPt  :5g ACfPtg. Interestingly,

n h t io hti
AC P TL : (2:7:11b)
T T

Fig. 2.7.1 Example 2.7.1

The AC function of a rectangular pulse of
width T is a triangular pulse of width 2T and its
The function Pt  1=2 is a rectangular pulse amplitude at t 0 is T: We can verify the last part
centered at t 1=2 with a width of 1, and by noting
Pt  t 1=2 is a rectangular pulse centered
at t 0:5 with a width of 1. See Fig. (2.7.2a) for n h t io hti
the case 0 < t < 1. In the case of t  1, there is no AC P jt0 TL j T:
T T t0
overlap indicating that Rx t 0; t  1.

Note xtP Tt extracts xt for the time T=2 <
Z1 t < T=2. That is,
Rx t dt 1  t; 0  t < 1:
t hti 
xt; T=2 < t < T=2
xtP : (2:7:12)
Using the symmetry property, we have T 0; otherwise

 
1  jtj; 0  jtj  1 Example 2.7.3 Find the autocorrelation of the func-
Rx t Rx t Lt:
0; Otherwise tion yt coso0 tPt=T.
(2:7:11a) Solution:

Z1 h t i htti
This is sketched in Fig. 2.7.2b indicating that there is
Ry t P P coso0 tcoso0 ttdt
correlation for jtj < 1 and no correlation for T T
jtj  1. The peak value of the autocorrelation is 1

when t 0 and is R x 0 1. The energy contained Z1 h t i htti

coso0 t
in the unit rectangular pulse is equal to 1 and by P P dt
2 T T
using the autocorrelation function, i.e., Rx 0 1, 1

the same by both the methods. Noting that the Z1 h t i htti

1
autocorrelation function of a given function and P P cos2o0 ttdt:
2 T T
its delayed or advanced version are the same, the 1

Rx()

(a) (b)

Fig. 2.7.2 Example 2.7.2 Autocorrelation of a rectangular pulse

2.8 Cross- and Autocorrelation of Periodic Functions 65

  2.8 Cross- and Autocorrelation

1=2TL Tt coso0 t B; jtj  T
: (2:7:13) of Periodic Functions
0; jtj > T
The cross- and the autocorrelation functions of
Now consider the evaluation of B. For t  0, periodic functions of xT t and hT t are
Z1 Z
1 h t i ht  ti 1
B P P cos2o0 t  tdt RT; xht xT thT t tdt hxT thT t ti ;
2 T T T
T
1
(2:8:1a)
ZT=2
1 Z
cos2o0 t  o0 tdt 1
2 RT;x t xT txT t tdt hxT txT t ti :
t T
T
1
sino0 T  o0 t  sino0 t: (2:7:14) (2:8:1b)
4o0

If o0 is large, Ry t in (2.7.13) can be approximated Note that the periods of the functions,
by the first term and xT t and hT t, are assumed to be the same and
the constant (1/T) before the integrals in (2.8.1a
hti and b). If they have different periods, computation
1
RY t TL coso0 t: (2:7:15) of (2.8.1a) is difficult and these cases will not be
2 T
discussed here. Many of the cross-correlation and
AC function properties derived earlier for the aper-
The envelope of the autocorrelation function in iodic case apply for the periodic functions with
(2.7.16) is a triangular function, which follows some modifications. Note that
since the correlation of the two identical rectangular
functions is a triangular function. Noting that the
cosine function oscillates between  1, the envelope RT;xh t RT;hx t;
 
of the autocorrelation function in (2.7.15) is shown RT;x 0 RT;h 0  2RT;xh t: (2:8:2)
in Fig. 2.7.3. &

In Section 2.5.1, aperiodic convolution was used to

Ry() find periodic convolution. The same type of analysis
can be used to determine periodic cross-correlations
using aperiodic cross-correlations. Furthermore, as
discussed before, correlation is related to convolu-
tion. First define two finite duration functions,
xt and ht, over the interval t0  t < t0 T.
Assume that they are zero outside this interval.
Now create two periodic functions:

Fig. 2.7.3 Sketch of Ry(t) X

1 X
1
xT t xt  nT; hT t ht  nT:
n1 n1

Notes: Conditions for the existence of an aperiodic (2:8:3a)

autocorrelation are similar to those of convolution
(see Section 2.2.3). But there are a few exceptions.
For example, the autocorrelation of the unit step The periodic cross-correlation function is defined
function does not exist. by
66 2 Convolution and Correlation

tZ0 T Solution: Z
1 1
RT;xh t xT thT t tdt; hT t t a: RT;xT;1 t X2s 0dt X2s 0; (2:8:5a)
T T
t0 T
X
1
Z
ht t  nT: (2:8:3b) 1
n1
RT;xT;2 t xT;2 txT;2 t tdt
T
T
The expression for periodic convolution is given in Z
c2 k
terms of aperiodic convolution and cosko0 tdt
2T
T
Z
1 X 1 c2 k
RT;xh t Rxh t  nT; cosko0 2t t 2ykdt
T n1 2T
T
tZ0 T
ZT
Rxh t  nT xtht t  nT: (2:8:3c) c2 k cosko0 t c2 k cosko0 t
dt :
2T 2
t0 0
(2:8:5b)
The details of the derivation are left as an exercise.
Copies of Rxh t will overlap if the width of Rxh t is Note that the integral of a cosine function over any
wider than T. integer number of periods is zero.
Example 2.8.1 Give the lower bound on the period T b. The cross-correlation of a constant and a cosine
so that there are no overlaps in the cross-correlation function over one period is zero. Also note that
of the functions xT t and hT t given below. See the two functions are orthogonal. That is
Example 2.6.5. hxT1 t; xT2 ti 0. &

Example 2.8.3 Find the AC of xT t given below

 
t1 with k 6 m; kandmare integers.
xt Pt  :5; ht tP ;
2 xT t xT;1 t xT;2 t; xT;1 t
X
1 X1
xT t xt nT; hT t ht nT:
n1 n1
ck cosko0 t yk; xT;2 t

cm cosmo0 t ym:

Solution: If the period T is larger than 3, then there
are no overlaps in the periodic cross-correlation Solution: The periodic autocorrelations are deter-
function. In that case, one period of the cross-cor- mined as follows:
relation function can be obtained from the aperio- Z
1
dic cross-correlation in that example and dividing it RT;x t xT;1 t xT;2 txT;1 t t
T
by the period T. If the period is less than 3, then T
Z
there will be overlaps. & 1
xT;2 t tdt xT;1 txT;1 t tdt
T
Example 2.8.2 Consider the periodic functions T
Z
1
xT;2 txT;2 t tdt
xT;1 t Xs 0; xT;2 t ck cosko0 t yk: T
T
(2:8:4) Z
1
xT;1 txT;2 t tdt
T
T
a. Find the AC functions for the functions in Z
1
(2.8.4). b. Find the cross-correlation of the two xT;2 txT;1 t tdt: (2:8:6)
T
functions. T
2.8 Cross- and Autocorrelation of Periodic Functions 67

Note 1X 1
P X2s 0 c2 k: (2:8:10)
2 k1
Z
1
xT;1 txT;2 t tdt The difference between the total power and the dc
T
T power is the variance and is given by
Z
1
ckcm cosk mo0 t mo0 t yk
2T 1X 1
T
Z Variance c2 k: (2:8:11) &
1 2 k1
ymdt hkhm cosk  mo0 t  mo0 t
2T
T Example 2.8.4 Consider the corrupted signal
yk  ymdt 0: yt xt nt, where nt is assumed to be
noise. Assuming the signal xt and noise nt are
Similarly the fourth term in (2.8.6) goes to zero. uncorrelated, derive an expression for the autocor-
From the last example, relation function of yt.

c2 k c2 m Solution:
RT;x t cosko0 t cosmo0 t; k 6 m:
2 2
(2:8:7) & ZT=2
1
Ryy t lim ytyt tdt
T!1 T
T=2
These results can be generalized using the last two ZT=2
examples and the autocorrelation of a periodic 1
lim xt ntxt tnt tdt;
function xT t is given as follows: T!1 T
T=2

X
1 ZT=2 ZT=2
xT t Xs 0 ck cosko0 t yk; (2:8:8) lim xtxt tdt lim xtnt tdt
k1 T!1 T!1
T=2 T=2
T=2
R T=2
R
1X 1
lim ntxt tdt lim xtxt tdt:
) RT;x t X2s 0 c2 kcosko0 t;o0 2p=T: T!1 T!1
2 k1 T=2 T=2

(2:8:9) (2:8:12)

AC function of a periodic function is also a

periodic function with the same period. It is inde-
pendent of yk. It does not have the phase
information contained in (2.8.8). In the next
chapter, (2.8.8) will be derived for an arbitrary
periodic function and will be referred to as the
harmonic form of Fourier series of a periodic
function xT t. & noise is given by
Notes: The AC function of a constant Xs 0 is X2s 0.
The AC of the sinusoid ck cosko0 t yk is
c2 k=2 cosko0 t. That is, it loses the phase infor-
mation in the function in the sinusoid. The power
contained in the periodic function xT t in (2.8.8)
can be computed from the autocorrelation function
evaluated at t 0. That is,
Noting that the signal and the noise are uncorre-
lated, i.e., Rxn t Rnx t 0, we have
Ryy t Rxx t Rnn t: (2:8:13) &
The average power contained in the signal and the
Py Px Pn Rx 0 Rn 0 Rx 0 s2n :
(2:8:14)
The signal-to-noise ratio (SNR), Px =Pn , can be
computed. It is normally identified in terms of dec-
ibels. See Section 1.9.
68 2 Convolution and Correlation

2.9 Summary 2.2.3 Use the area property of convolution to find

We have introduced the basics associated with the
two important signal analysis concepts: convolu-
tion and correlation. Specific principal topics that
were included are
Convolution integral: its computations and its
properties
Moments associated with functions
Central limit theorem
Periodic convolutions
Auto- and cross-correlations
Examples of correlations involving noise without
going into probability theory
Quantitative measures of cross-correlation func-
tions and the correlation coefficient
Auto- and cross-correlation functions of energy
and periodic signals
Signal-to-noise ratios
Problems
2.1.1 Consider the following functions defined over
0 < t < 1. Using (2.1.3), identify the two functions
that give the maximum cross-correlation at t 0.
x1 t et ; x2 t sint; x3 t 1=t:
2.2.1 Prove the commutative, distributive, and the
associate properties of the convolution.
2.2.2 Find the convolution yt ht  xt for the xt and ht given in (2.6.11a) by directly deriving
following functions:
a: xt :5dt  1 :5dt  2;
ht :5dt  2 :5dt  3 (2.6.9b) are valid. Use (2.6.11a).
b: xt t  1Pt  1; ht xt; 2.6.3 Show (2.6.9b) using (2.6.10).
c: xt 1  t2 ; 1  t  1;
ht Pt;
the integrals of yt in Problem 2.2.2.
2.3.1 a. Derive the expression for the convolution of
two pulse functions given by xt Pt  1 and
ht Pt  2. Compute this directly first and
then verify your result by using the delay property
of convolution.
b. Verify the time duration property of the convolu-
tion using the above problems.
2.3.2 Determine the area of yt in (2.3.18) using the
area property of the convolution.
2.4.1 Approximate the function yt in Example
2.3.1 using the Gaussian function.
2.4.2 Use the derivative property of the convolution
to derive the convolution of the two functions given
below using the results in Example 2.5.2.
xT t sino0 t; ht eat ut; a > 0:
2.4.3 Use the delay property of the convolution to
determine
xt eat ut  ut  1:
2.5.1 Derive the expressions for the periodic convo-
lution of the two periodic functions
X 1 X1  
t  nT
xt dt  nT; ht P :
n1 n1
T=2
2.6.1 Find the cross-correlation of the functions
the result and verify the result using the results in
Example 2.6.1.
2.6.2 Show the bounds given in (2.6.7a and b) and
2.7.1 Find the autocorrelations of the following
functions:

d: xt eat ut; ht ebt ut a:x1 t Pt  :5  Pt  1:5;

for cases : 1:a > 0; b > 0; 2:a 0; b > 0 b:x2 t ut  :5  ut :5; c:x3 t tPt:

Compute the energies contained in the functions

e: xt Pt=2; ht Pt  :5  Pt  1:5
directly and then verify the results using the auto-
f: xt dt  1; ht et ut correlation functions derived in the first part.
2.7.2 Verify the result in (2.7.3) using the results in
g: xt cosptPt; ht et ut:
Example 2.7.1.
Problems 69

2.7.3 Show the identity these constants. Suppose we are interested in deter-
mining the period T from these two sketches, which
ACxt  t0  ACxt: function is better, the given function or its autocor-
relation? Why?
2.7.4 Derive the AC function step by step for the
2.8.2 Let yT t A xT t; A  constant. Repeat
function xt coso0 tPt=T. the last problem, except for the plots.
Use the integral formula by assuming
o0 p and T 4. Verify the results in Example 2.8.3 a. Show that the following functions are
2.7.3 using the information provided in this pro- orthogonal over a period:
blem. Give the appropriate bounds. xT t coso0 t y; yt A b. Show the func-
tions xt Pt; yt t are orthogonal.
2.7.5 Show that the autocorrelations of the function
x2 t eat ut for a  0 do not exist. 2.8.4 Consider the signal zt xt yt. Show
2.8.1 a. Derive the time-average periodic autocorre- that the AC of this function is given by
lation function Rx; T t for the following periodic
function using the integral formula. Rz t Rx t Ry t Rxy t Ryx t:

xT t A1 coso0 t y1 A2 cos2o0 t y2 : Simplify the expression for Rz t by assuming that

b. Verify the result using (2.8.8) and (2.8.9).
c. Compute the average power contained in the
function directly and by evaluating the autocorrela-
tion function at t 0. Sketch the function xt by
assuming the values A1 5; A2 2; y1 200 ; y2
1200 . Sketch the autocorrelation function using
xt is orthogonal to yt for all t.
2.8.5 Complete the details in deriving the periodic
cross-correlation function in terms of the aperiodic
convolution leading up to Equation (2.8.3c).
2.8.6 Show (2.8.3c) using (2.6.5).
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