Lecture 2.

References

Introduction to
Time-Frequency Analysis and Wavelet Transforms
Arun K. Tangirala
Lecture 2.2: Basic definitions and concepts - Part II

December 3, 2014

Arun K. Tangirala, IIT Madras

Lecture 2.2

Basic Definitions and Concepts

December 3, 2014

December 3, 2014

References

Objectives

To learn basic definitions and concepts of:

I

Power and energy signals

Cross-covariance functions (for deterministic signals)

Auto-covariance functions (for deterministic signals)

Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

Lecture 2.2

References

Energy signal
Energy
The energy of a continuous-time signal x(t) and a discrete-time signal x[k] are, respectively, defined as
(Cohen, 1994),
Z 1
1
X
2
Exx =
|x(t)| dt ;
Exx =
|x[k]|2
(1)
1

A signal with finite energy, i.e., 0 < Exx < 1 is said to be an energy signala .
a The

squared modulus instead of a simple square is introduced to accommodate complex-valued signals.

Examples: exponentially decaying signals, all finite-length (duration) bounded amplitude signals

Arun K. Tangirala, IIT Madras

Lecture 2.2

Basic Definitions and Concepts

December 3, 2014

References

Power signal
Power
The average power of a continuous-time signal x(t) and a discrete-time signal x[k] are, respectively,
defined as (Cohen, 1994)

Pxx

1
= lim
T !1 2T

k=N
X
1
|x[k]|2
N !1 2N + 1

T
T

|x(t)|2 dt ;

Pxx = lim

(2)

k= N

A signal with finite power, i.e., 0 < Pxx < 1 is said to be a power signal.
Examples: periodic signals, random signals

I All finite-duration (and amplitude) signals have Pxx = 0. In general, any energy signal is not a power
signal and vice versa. However, it is possible that a signal is neither an energy nor a power signal.
Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

December 3, 2014

Lecture 2.2

References

Energy Density
Equation (1) gives rise to the idea of an energy density in time. Drawing analogies with probability density
function and densities in mechanics, the quantity
Sxx (t) = |x(t)|2

(3)

is termed as the energy density per unit time. It can also be thought of as an instantaneous power.
1

0.8
Energy density

Signal

0.5

0.6

0.4

0.5
0.2

1
0

50

100

150

200

250

300

0
0

50

Time

Arun K. Tangirala, IIT Madras

Lecture 2.2

100

150

200

250

300

Time

Basic Definitions and Concepts

December 3, 2014

References

Power Density
Similarly, the power density in time can be defined as
xx (t) =

|x(t)|2
T

(4)

I For the discrete-time case, the energy and power density in time are not defined since the time domain
is not a continuum. The distribution functions exist nevertheless.
I On the other hand, we can think of energy and power densities of d.t. signals in a transform domain,
provided that the new domain is continuous and that the transform is energy / power preserving. This is the
basis for defining spectral densities of c.t. and d.t. signals in the Fourier (frequency) domain.

The energy / power densities in frequency domain share a strong connection with the time-domain
characteristics (properties) of the signal, specifically the covariance functions.

Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

December 3, 2014

Lecture 2.2

References

Cross-covariance function
The cross-covariance function (CCVF) is a measure of the linear dependence between two timelagged (random or deterministic) signals.
I

It is based on the notion of covariance, a quantity that measures the linear dependence between
two zero-lagged deterministic signals (or two random variables).

A normalized version known as, cross-correlation function (CCF), is more suitable for analysis
since it is invariant to the choice of units (for signals).

Caution: It is a common practice in signal processing to use the alternative terms cross-correlation and
normalized cross-correlation, for CCVF and CCF, respectively.

Arun K. Tangirala, IIT Madras

Lecture 2.2

Basic Definitions and Concepts

December 3, 2014

References

CCVF for periodic signals

The cross-covariance function between two zero-mean, periodic deterministic signals xp [k] and yp [k]
with a (least) common period Np is defined as
Np 1
1 X
xp [k]yp [k
xp yp [l] =
Np

(5)

l]

k=0

I
I

The (normalized) cross-correlation function is defined as xp yp [l] = p

xp yp [l]
xp xp [0] yp yp [0]

Observe that by setting xp = yp and l = 0 in (5), we obtain the average power of the periodic
signal.

Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

December 3, 2014

Lecture 2.2

References

CCVF for aperiodic signals

The cross-covariance function between two aperiodic deterministic, energy signals x[k] and y[k] is
defined as
xy [l]

1
X

x[k]y[k

(6)

l]

k= 1

As before,
I
I

The (normalized) cross-correlation function is defined as xy [l] = p

xx [0] yy [0]

Observe that by setting x = y and l = 0 in (6), we obtain the energy of the aperiodic signal.

Arun K. Tangirala, IIT Madras

Lecture 2.2

xy [l]

Basic Definitions and Concepts

December 3, 2014

References

Properties and uses of CCVF

The CCVF has a few, but very useful, properties and is one of the most widely used time-domain signal
analysis tools:
I

The CCVF measures the linear dependence between x[k] and time-shifted y[k] (by l samples). This
property is used in testing linear relationships between two signals.

It is asymmetric, i.e., xy [l] 6= xy [ l] (Why?).

The asymmetric property is used in estimating time-delays between signals
(by searching for peaks in the CCFs).

The CCVF specializes to auto-covariance function (ACVF) for univariate signals, which is a widely
used tool for periodicity detection and echo cancellation.
MATLAB: xcov, xcorr

Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

December 3, 2014

10

Lecture 2.2

References

Auto-covariance functions
The ACVFs of periodic and (finite-energy) aperiodic deterministic signals are, respectively,
Np 1
1 X
xp [k]xp [k
xp xp [l] =
Np

l];

xx [l]

1
X

x[k]x[k

(7)

l]

k= 1

k=0

I Unlike the CCVF, the ACVF is a symmetric function.

I As before, normalized versions can be defined to obtain the respective ACFs.
I The ACF inherits the characteristics of the signal. For example, the ACVF of a periodic signal
is also periodic with the same period.
xp xp [l

Arun K. Tangirala, IIT Madras

Lecture 2.2

+ Np ] =

xp xp [l]

Basic Definitions and Concepts

December 3, 2014

11

References

Examples
1

Figure shown for Np = 20 samples.

0.4
0.6
0.2

0.4
0.2
ACVF

Amplitude

xp [k] = cos(2f k)
1
=) xp xp [l] = cos(2f l)
2

0.6

0.8

0
0.2
0.4

0.4

0.6
0.6
0.8
1
0

10

15

20
Samples

25

30

35

40

(a) Snapshot of the cosine

=)

xx [l] =

0 , < 0

25

30

35

40

0.6
0.5

0.4
4

0.1
0
0

20

40

60

80

Samples

Arun K. Tangirala, IIT Madras

20
Lags

10

0.2

Figure shown for =

15

12

0.8

0.3

e2

10

0.9

0.7

k<0

(b) ACVF of the cosine

ACVF

:0,

0.8
0

Amplitude

x[k] =

8
<ek ,

0
0.2

0.05.

(c) Exponential signal

Basic Definitions and Concepts

100

0
0

20

40

60

80

100

Lags

(d) ACVF of signal

December 3, 2014

12

Lecture 2.2

References

Concluding remarks

The properties of covariance functions have been listed for deterministic signals. However, they
also apply to signals corrupted with noise as well.

Definitions of covariance functions for stochastic signals involve ensemble averages (in place of
time averages), also known as expectations.

Although ACVF is theoretically suited for detecting periodicities embedded in noise, a significantly
better tool for periodicity detection is the spectral density (obtained by Fourier analysis).

Arun K. Tangirala, IIT Madras

Lecture 2.2

Basic Definitions and Concepts

December 3, 2014

13

References

Bibliography I

Cohen, L. (1994). Time Frequency Analysis: Theory and Applications. Upper Saddle River, New Jersey, USA:
Prentice Hall.
Proakis, J. and D. Manolakis (2005). Digital Signal Processing - Principles, Algorithms and Applications. New
Jersey, USA: Prentice-Hall.
Tangirala, A. K. (2014). Principles of System Identification: Theory and Practice. CRC Press, Taylor & Francis
Group.

Arun K. Tangirala, IIT Madras

Basic Definitions and Concepts

December 3, 2014

14