HW#1

EE 567 – Advanced DSP

Due Date:26.03.2008

1) The Harmonic process is defined by

M
x(n) = �Ak e j ( wk n +fk )
k =1
Where M, Ak, wk are constants and φk are statistically independent with uniform
density over [0, 2π]. Find the autocorrelation of the harmonic process.

Assume now that the amplitudes are random and they are mutually independent of the
phases. Derive an expression for the autocorrelation of the harmonic process.

2) Given a WSS random process X(t) with autocorrelation function

Rx (t ) = e- a t
X(t) amplitude modulates a carrier cos(wot+Θ) to produce the output Y(t);

cos(wot+ )

X(t) Y(t)
X

where wo is a constant and Θ is uniformly distributed over (-π, π). Θ is statistically

independent of X(t). Determine the autocorrelation function of Y(t). Also determine
the PSD of Y(t).

3) Let 2 RP X(t) and Y(t) be defined by

X (t ) = A cos( wot ) + B sin( wot )
Y (t ) = B cos( wot ) - A sin( wot )
Where A and B are random variables and wo is a constant.
It can be shown that X(t) is WSS if A and B are uncorrelated zero mean random
variables with the same variance. With the same constraints on A and B Y(t) is also
WSS. Show by finding the crosscorrelation function R XY(t,t+τ) that X(t) and Y(t) are
jointly WSS. Also find the cross PSD of the SXY(w).
4) Show in detail how in the modified periodogram method of estimating the PSD
windowing improves the BIAS of the estimator.

5) Derive approximate expressions for the variance of the following estimators for
the PSD.
a) Bartlett method, b) Welches Method c) Blackman Tukey method
Your approximate expressions should be based on the variance of the periodogram.

6) Write a simple matlab code that will implement Bartlett’s method (given in class
notes), Welch’s method and Blackman Tukey method. Your code will call three
functions called bart1.m, welch.m and per_smooth.m (Blackman Tukey).

Use your code to estimate the PSD of

a) white noise : Generate a white noise record (using the matlab randn.m
function) of length N=10000 with zero mean and unit variance.
For the Bartlett and Welch’s methods the number of samples in each
section should be L=200. For Welch’s method use 50% overlap. For the
Blackman Tukey method use the Blackman window. Plot the PSD
estimates of the 3 methods. Repeat for a larger data record (e.g.
N=100000). Compare and comment.

b) b) AR(2) process (refer to your text for the definition). Generate an AR(2)
process by appropriately filtering white noise with a IIR filter. Use the
three methods to estimate the PSD.

7) Investigate the resolution of the periodogram based methods:

Where w1=0.4π, w2=0.41 π and A=5. Derive an approximate expression for the
number of samples that need to be employed for the periodogram estimate in order to
resolve the two frequencies. Investigate via simulations using the basic periodogram
(rectangular window), modified periodogram (use Bartlett Hamming and Hanning
windows), Bartlett method, welch’s method and Blackman tukey method the
resolution ability of the different methods. Compare them and comment on them.
(the following table taken from Hayes should guide you)