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Identification
Ali Karimpour
Assistant Professor
Ferdowsi University of Mashhad
lecture 2
Lecture 2
Introduction
Topics to be covered include:
Stochastic Process.
Signal spectra
Disturbances
Ergodicity
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Ali Karimpour Sep 2010
lecture 2
Impulse responses
It is well known that a linear, time-invariant, causal system can be described as:
y (t )
g (t )u ( )d
y (t )
g ( )u (t )d
Sampling
y (kT )
g ( )u (kT )d
Most often, the input signal u(t) is kept constant between the sampling instants:
u (t ) uk
So
y (kT )
kT t (k 1)T
g ( )u (kT )d
l 1
lT
( l 1)T
g ( )u (kT )d
u g (l ) u
g
(
)
d
k l
T
k l
( l 1)T
l 1
l 1
lT
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Ali Karimpour Sep 2010
lecture 2
Impulse responses
y (kT ) gT (l ) uk l
Where
l 1
lT
( l 1)T
g ( )d gT (l )
For ease of notation assume that T is one time unit and use t to enumerate
the sampling instants
y (t ) g (k ) u (t k )
t 0,1, 2, 3 .....
k 1
lecture 2
Transfer functions
Define forward and backward shift operator q and q-1 as
qu (t ) u (t 1)
q 1u (t ) u (t 1)
Now we can write output as:
k 1
k 1
g (k )q
y (t ) g (k )u (t k ) g (k ) q u (t )
k
k 1
u (t ) G (q )u (t )
G (q ) g (k )q k
k 1
v(t ) H (q )u (t )
So the basic description for a linear system with additive disturbance is:
y (t ) G (q)u (t ) H (q )e(t )
lecture 2
Transfer functions
Some terminology
G(q) is the transfer operator or transfer function
G (q ) g (k )q k
or
k 1
G ( z ) g (k ) z k
k 1
g (k )
k 1
This means that G(z) is analytic on and outside the unit circle.
We shall say the filter H(q) is monic if h(0)=1:
H ( q ) h( k ) q k
k 0
lecture 2
Frequency-domain expressions
Let
u (t ) cos t
y (t ) g (k ) Re e
i ( t k )
k 1
Re g (k )ei ( t k )
k 1
Re e . g (k ) e
k 1
it
i k
i t
i
Re
e
G
(
e
)
So we have
y (t ) G (e i ) cos t arg G (e i )
lecture 2
Frequency-domain expressions
u (t ) cos t
y (t ) G (e i ) cos t arg G (e i )
u (t ) Re e jt
Now suppose
cos t
0
u (t )
y (t ) g (k ) Re e
Re e . g (k ) e
k 1
i t
i k
Re e . g (k ) e
k 1
i ( t k )
k 1
Re e jt t 0
u (t )
t0
0
t0
t0
i t
Re e . g (k ) e
k t
i t
i k
i k
i t
Re e . g (k ) e
k t
y (t ) G (e ) cos t arg G (e ) Re e . g (k ) e i
k t
it
i k
lecture 2
f (t )
g ( )
f (t ) g ( )e it d
u (t )e
it
t 1
1
u (t )
N
U
k 1
(2k / N )ei 2 kt / N
2
4
6
) UN ( ) UN ( )
N
N
N
8
2 N
UN ( )
......
UN (
)
N
N
UN (
U N ( )
lecture 2
__________
U N ( ) U N ( )
U N ( 2 ) U N ( )
The function UN() is therefore uniquely defined by its values over the interval
[ 0, 2 ]. It is, however, customary to consider UN() for the interval [ - , ]. So
u(t)can be defined as
1
u (t )
N
N /2
i 2 kt / N
U
(
2
k
/
N
)
e
N
k N / 2 1
The number UN() tell us the weight that the frequency carries in the
decomposition. So
2
U N ( )
2
U
(
2
k
/
N
)
u
(
t
)
N
k 1
t 1
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lecture 2
u (t ) A cos 0t
Suppose u (t ) is periodic so 0 2 / N 0 for some integer N 0 1
Let t 1, 2 , 3 , ... , N where N is a multiple of N 0 ( N sN 0 )
1
U N ( )
N
A cos 0t e
t 1
i t
2 N
2 N
i 0 t
t 1
e i 0 t e i t
i (0 ) t
e i ( 0 ) t
t 1
2
2
if 0
s
N0
N
2k
if
, ks
N
A2
N
U N ( )
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lecture 2
1
U N ( )
N
u(t )e
it
t 1
2
4
6
) UN ( ) UN ( )
N
N
N
8
2 N
UN ( )
......
UN (
)
N
N
UN (
u1N
1
U N ( )
N
u (t )e
it
t 1
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Ali Karimpour Sep 2010
lecture 2
Transformation of Periodograms
As a signal is filtered through a linear system, its Periodograms changes.
Let:
Define:
Claim:
where
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lecture 2
Transformation of Periodograms
Claim:
Proof:
Now
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lecture 2
Transformation of Periodograms
Claim:
Proof:
Now
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lecture 2
Transformation of Periodograms
Claim:
Proof:
So
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lecture 2
Stochastic Processes
A random variable (RV) is a rule (or function) that assigns a real number to every
outcome of a random experiment.
The closing price of Iranian power market observed from Apr. 15 to Sep. 22, 2009.
For scalar (RV)
If e may assume a certain value with nonzero probability then fee contains function.
Two random variables e1 and e2 are independent, if we have:
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lecture 2
Stochastic Processes
A stochastic process is a rule (or function) that assigns a time function
to every outcome of a random experiment.
Consider the random experiment of tossing a dice at t = 0 and observing
the number on the top face.
The sample space of this experiment consists of the outcomes
{1, 2, 3, , 6}.
For each outcome of the experiment, let us arbitrarily assign a
function of time t in the following manner.
lecture 2
Stochastic Processes
Mean of a random process X(t) is
In general, mX(t) is a function of time.
Correlation RX(t1, t2) of a random process X(t) is
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lecture 2
Stochastic Processes
Example Sinusoid with random amplitude
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lecture 2
Stochastic Processes
Example Sinusoid with random phase
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lecture 2
Stochastic Processes
x(t) is stationary if
Example Sinusoid with random phase
?????
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lecture 2
Signal Spectra
A Common Framework for Deterministic and Stochastic Signals
y (t ) G (q )u (t ) H (q )e(t )
y(t) is not a
stationary process
Ey (t ) G (q )u (t )
?????
Quasi-stationary signals
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lecture 2
Stochastic Processes
x(t) is stationary if
and
(
If {s(t)} is a deterministic
sequence
)
Quasi-stationary
means
{s(t)} is a bounded sequence and
1
Rs ( ) lim
N N
If {s(t)} is a stationary
stochastic process
s(t )s(t )
Exist
t 1
lecture 2
Signal Spectra
Notation:
and
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lecture 2
Signal Spectra
Two signals {s(t)} and {w(t)} are jointly quasi-stationary if:
1- They both are quasi-stationary,
2- the cross-covariance function
exist.
Uncorrelated
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lecture 2
Signal Spectra
Discrete Fourier transform (DFT)
u (1) u (2) u (3)
u (4) ...... u ( N )
1
U N ( )
N
u(t )e
it
t 1
2
4
6
) UN ( ) UN ( )
N
N
N
8
2 N
UN ( )
......
UN (
)
N
N
UN (
u1N
1
U N ( )
N
u (t )e
it
t 1
But this limits fail to exist for many signals of practical interest.
So we shall develop a frame work for describing signals and their spectra that is
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applicable to deterministic as well as stochastic signals.
Ali Karimpour Sep 2010
lecture 2
Signal Spectra
Use Fourier transform of covariance function (Spectrum or Spectral density)
We define the (power) spectrum of {s(t)} as
s ( )
i
R
(
)
e
s
sw ( )
i
R
(
)
e
sw
lecture 2
Signal Spectra
Exercise4 : Spectra of a Periodic Signal: Consider a deterministic, periodic
signal with period M, i.e., s(t)=s(t+M)
Show that
s ( ) sp ( ) F ( , M )
Where
M 1
( ) Rs ( )e
p
s
and
F ( , M )
ilM
e
2
s ( )
M
M 1
s (2k / M ) ( 2k / M ), 0 2
k 0
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lecture 2
Signal Spectra
Exercise5: Spectra of a Sinusoid: Consider
u (t ) A cos 0t
to the interval
[1, )
Show that
A2
( 0 ) ( 0 ) .2
u ( )
4
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lecture 2
Signal Spectra
Example Stationary Stochastic Processes: Consider v(t) as a stationary
stochastic processes
We will assume that e(t) has zero mean and variance . It is clear that:
v ( )
R ( )e
k max( 0 , )
(I )
k max( 0 , )
h(k )h(k )e
Where
h (k )h(k )
.............
H (e )
H (e ) h( s )e is
i
s 1
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lecture 2
Signal Spectra
Spectrum of Stationary Stochastic Processes
v ( ) H (e )
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lecture 2
Signal Spectra
Spectrum of a Mixed Deterministic and Stochastic Signal
deterministic
Rs Ru Rv
Stochastic:
stationary and zero
mean
s ( ) u ( ) v ( )
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lecture 2
s ( ) G (e ) w ( )
sw ( ) G (e i ) w ( )
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lecture 2
Disturbances
There are always signals beyond our control that also affect the system.
We assume that such effects can be lumped into an additive term v(t) at
the output
v(t)
u(t)
So
y(t)
y (t ) g (k ) u (t k ) v(t )
k 1
There are many sources and causes for such a disturbance term.
Measurement noise.
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lecture 2
Disturbances
Characterization of disturbances
Its value is not known beforehand.
Making qualified guesses about future values is possible.
It is natural to employ a probabilistic framework to describe
future disturbances.
We put ourselves at time t and would like to know disturbance at
t+k, k 1 so we use the following approach.
k 0
lecture 2
Disturbances
Consider for example, the following PDF for e(t):
Exercise8: Derive above figure for =0.1 and =0.9 and a suitable h(k).
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lecture 2
Disturbances
On the other hand, the PDF:
Often we only specify the second-order properties of the sequence {e(t)} that is the
mean and variances.
Exercise9: What is a white noise?
38 Sep 2010
Exercise10: Derive above figure for =0.1 and =0.9 and a suitable h(k). Ali Karimpour
lecture 2
Disturbances
We will assume that e(t) has zero mean and variance . Now we want to know
the characteristic of v(t) :
Mean:
Covariance:
k 0 s 0 h(k )h( s ) (k s )
k 0 h(k )h(k ) Rv ( )
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lecture 2
Disturbances
We will assume that e(t) has zero mean and variance . Now we want to know
the characteristic of v(t) :
Mean:
Covariance:
Rv ( ) Ev(t )v(t )
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lecture 2
Ergodicity
Suppose you are concerned with determining what the most visited parks in a
city are.
One idea is to take a momentary snapshot: to see how many people are this moment
in park A, how many are in park B and so on.
Another idea is to look at one individual (or few of them) and to follow him for a
certain period of time, e.g. a year.
The first one may not be representative for a longer period of time, while the second
one may not be representative for all the people.
The idea is that an ensemble is ergodic if the two types of statistics give the same result.
Many ensembles, like the human populations, are not ergodic.
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lecture 2
Ergodicity
Let x(t) is a stochastic process