The power spectral density

The Wiener-Hincin theorem

Linear filtering of stochastic signals

Decision and estimation in information processing:

courses nr. 10 and 11

April 13, 2021

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We are interested in statistical measures that characterize the

signal in frequency (spectral) domain.
Frequency domain =⇒ Fourier transform.
The condition for the Fourier transform of a signal x(t) to
R∞
exist: the signal must be integrable: |x(t)|dt = M < ∞.
−∞
Problem: stationary stochastic signals are not integrable.
Stationarity implies the necessity that the signal has infinite
duration! (e.g., σξ2 (t1 ) = σξ2 ∀t1 ∈ R!)
R∞
=⇒ |ξ(t)|dt = ∞.
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

We shall use a workaround.
Let ξ (k) (t) be an instance of ξ(t) stationary.
Let:
ξ (t) if |t| ≤ T2
 (k)
(k)
ξT (t) =
0 otherwise
(k)
Obviously, ξT (t) is integrable, as it has finite duration.
Let:
n o Z∞
(k) (k) (k)
XT (ω) = F ξT (t) (ω) = ξT (t) exp(−jωt)dt.
−∞

Obviously:
Z∞
(k) −1
n
(k)
o 1 (k)
ξT (t) =F XT (ω) (t) = XT (ω) exp(jωt)dω.
2π
−∞
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

(k)
The energy of ξT (t):
Z∞  Z∞
(k) 2
 1 (k) 2
Eξ(k) = ξT dt = XT (ω) dω
T 2π
−∞ −∞

(We applied the Parseval property of energy conservation.)

(k)
The power of ξT (t):

Eξ(k) Z∞
T
1 (k) 2
Pξ(k) = = XT (ω) dω.
T T 2πT
−∞

We already have a measure of the frequency distribution of

(k)
the power of the troncated instance ξT (t).
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

The mean power of troncated signal:
2 2
Z∞ X (k) (ω) Z∞ X (k) (ω)
1 T 1 T
PξT = Pξ(k) = dω = dω
T 2π T 2π T
−∞ −∞

The mean power of non-troncated signal:

2
Z∞ (k)
XT (ω)
1
Pξ = lim PξT = lim dω
T →∞ 2π T →∞ T
−∞

The signal’s power spectral density:

(k) 2
def
XT (ω)
qξ (ω) = lim
T →∞ T
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density

Obviously:
Z∞
1
Pξ = qξ (ω)dω
2π
−∞

qξ (ω)dω = the average signal power contained by its

harmonics inside the [ω, ω + dω] interval.
Properties:
qξ (ω) ∈ R.
qξ (ω) ≥ 0 ∀ω ∈ R.
qξ (ω) = qξ (−ω).

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The power spectral density: practical interpretation

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: enouncement

The power spectral density of a stationary signal is the Fourier

transform of its autocorrelation function.
Z∞
qξ (ω) = F {Rξ (τ )} (ω) = Rξ exp (−jωτ ) dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: enouncement

The power spectral density of a stationary signal is the Fourier

transform of its autocorrelation function.
Z∞
qξ (ω) = F {Rξ (τ )} (ω) = Rξ exp (−jωτ ) dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

We start from:

(k) 2
XT (ω) (k) (k)∗
XT (ω)XT (ω)
qξ (ω) = lim = lim
T →∞ T T →∞ T

But we have:
(k) R∞ (k)
XT (ω) = ξT (t1 ) exp (−jωt1 ) dt1
−∞
T
R2
= ξ (k) (t1 ) exp (−jωt1 ) dt1
− T2
T
(k)∗ R2
XT (ω) = ξ (k) (t2 ) exp (jωt2 ) dt2
− T2

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

Whence: qξ (ω) =
RR T
limT →∞ T1 −2T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2
1
RR T2
= limT →∞ T − T ξ (k) (t1 )ξ (k) (t2 ) exp (−jω(t1 − t2 )) dt1 dt2
2 | {z }
Rξ (t1 ,t2 )=Rξ (t1 −t2 )
T
1
RR
= limT →∞ T
2
− T2
Rξ (t1 − t2 ) exp (−jω(t1 − t2 )) dt1 dt2
We have already shown, in the context of mean ergodicity
theorem, that:
T
ZZ
2
Z T
Kξ (t1 − t2 )dt1 dt2 = (T − |τ |)Kξ (τ )dτ
− T2 T

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

It follows:
ZT  
|τ |
qξ (ω) = lim 1− Rξ (τ ) exp(−jωτ )dτ
T →∞ T
−T

τ
It can be noticed that 1 − T T−→ 1:
→∞

R∞
Therefore qξ (ω) = Rξ (τ ) exp(−jωτ )dτ.
−∞ Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

It follows:
ZT  
|τ |
qξ (ω) = lim 1− Rξ (τ ) exp(−jωτ )dτ
T →∞ T
−T

τ
It can be noticed that 1 − T T−→ 1:
→∞

R∞
Therefore qξ (ω) = Rξ (τ ) exp(−jωτ )dτ.
−∞ Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

It follows:
ZT  
|τ |
qξ (ω) = lim 1− Rξ (τ ) exp(−jωτ )dτ
T →∞ T
−T

τ
It can be noticed that 1 − T T−→ 1:
→∞

R∞
Therefore qξ (ω) = Rξ (τ ) exp(−jωτ )dτ.
−∞ Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The Wiener-Hincin theorem: proof

It follows:
ZT  
|τ |
qξ (ω) = lim 1− Rξ (τ ) exp(−jωτ )dτ
T →∞ T
−T

τ
It can be noticed that 1 − T T−→ 1:
→∞

R∞
Therefore qξ (ω) = Rξ (τ ) exp(−jωτ )dτ.
−∞ Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The interaction power spectral density

Let ξ(t) and η(t) be two stationary signals.
We define the interaction power spectral density:
(k)∗ (k)
XT (ω)YT (ω)
qξη (ω) = lim
T →∞ T

The definition is by analogy with the power spectral density.

It does not reperesent a physical power: qξη ∈ C − R.
We remark: qηξ (ω) = qξη ∗ (ω)

It can be proven (by re-doing the steps of WH theorem) that:

Z∞
qξη (ω) = F {Rξη (τ )} (ω) = Rξη (τ ) exp(−jωτ )dτ
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

White noise
Stationary signal ξ(t) is called white noise if:
qξ (ω) = K , ∀ω ∈ R

The autocorrelation function of white noise:

Rξ (τ ) = F −1 {qξ (ω)}(τ ) = K δ(τ )

qξ(ω) Rξ(τ)

Kδ(τ)

ω τ

White noise is a theoretical model for the purely uncorrelated

Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

White noise
Stationary signal ξ(t) is called white noise if:
qξ (ω) = K , ∀ω ∈ R

The autocorrelation function of white noise:

Rξ (τ ) = F −1 {qξ (ω)}(τ ) = K δ(τ )

qξ(ω) Rξ(τ)

Kδ(τ)

ω τ

White noise is a theoretical model for the purely uncorrelated

Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

White noise
Stationary signal ξ(t) is called white noise if:
qξ (ω) = K , ∀ω ∈ R

The autocorrelation function of white noise:

Rξ (τ ) = F −1 {qξ (ω)}(τ ) = K δ(τ )

qξ(ω) Rξ(τ)

Kδ(τ)

ω τ

White noise is a theoretical model for the purely uncorrelated

Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

White noise
Stationary signal ξ(t) is called white noise if:
qξ (ω) = K , ∀ω ∈ R

The autocorrelation function of white noise:

Rξ (τ ) = F −1 {qξ (ω)}(τ ) = K δ(τ )

qξ(ω) Rξ(τ)

Kδ(τ)

ω τ

White noise is a theoretical model for the purely uncorrelated

Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

White noise
Stationary signal ξ(t) is called white noise if:
qξ (ω) = K , ∀ω ∈ R

The autocorrelation function of white noise:

Rξ (τ ) = F −1 {qξ (ω)}(τ ) = K δ(τ )

qξ(ω) Rξ(τ)

Kδ(τ)

ω τ

White noise is a theoretical model for the purely uncorrelated

Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear, time-invariant systems (LTIS)

System: “blackbox” that, when fed with x(t), produces at the
output signal y (t) = O{x(t)}.
Linear system:
O{ax1 (t)+bx2 (t)} = aO{x1 (t)}+bO{x2 (t)} = ay1 (t)+by2 (t)

Time-invariant system:
O{x(t − t1 )} = y (t − t1 )

LTIS = linear filter

ax1(t)+bx2(t) ay1(t)+by2(t)
Sistem liniar

ax1(t−t0)+bx2(t−t0)
invariant in timp ay (t−t )+by (t−t )
1 0 2 0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear, time-invariant systems (LTIS)

System: “blackbox” that, when fed with x(t), produces at the
output signal y (t) = O{x(t)}.
Linear system:
O{ax1 (t)+bx2 (t)} = aO{x1 (t)}+bO{x2 (t)} = ay1 (t)+by2 (t)

Time-invariant system:
O{x(t − t1 )} = y (t − t1 )

LTIS = linear filter

ax1(t)+bx2(t) ay1(t)+by2(t)
Sistem liniar

ax1(t−t0)+bx2(t−t0)
invariant in timp ay (t−t )+by (t−t )
1 0 2 0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear, time-invariant systems (LTIS)

System: “blackbox” that, when fed with x(t), produces at the
output signal y (t) = O{x(t)}.
Linear system:
O{ax1 (t)+bx2 (t)} = aO{x1 (t)}+bO{x2 (t)} = ay1 (t)+by2 (t)

Time-invariant system:
O{x(t − t1 )} = y (t − t1 )

LTIS = linear filter

ax1(t)+bx2(t) ay1(t)+by2(t)
Sistem liniar

ax1(t−t0)+bx2(t−t0)
invariant in timp ay (t−t )+by (t−t )
1 0 2 0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear, time-invariant systems (LTIS)

System: “blackbox” that, when fed with x(t), produces at the
output signal y (t) = O{x(t)}.
Linear system:
O{ax1 (t)+bx2 (t)} = aO{x1 (t)}+bO{x2 (t)} = ay1 (t)+by2 (t)

Time-invariant system:
O{x(t − t1 )} = y (t − t1 )

LTIS = linear filter

ax1(t)+bx2(t) ay1(t)+by2(t)
Sistem liniar

ax1(t−t0)+bx2(t−t0)
invariant in timp ay (t−t )+by (t−t )
1 0 2 0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear, time-invariant systems (LTIS)

System: “blackbox” that, when fed with x(t), produces at the
output signal y (t) = O{x(t)}.
Linear system:
O{ax1 (t)+bx2 (t)} = aO{x1 (t)}+bO{x2 (t)} = ay1 (t)+by2 (t)

Time-invariant system:
O{x(t − t1 )} = y (t − t1 )

LTIS = linear filter

ax1(t)+bx2(t) ay1(t)+by2(t)
Sistem liniar

ax1(t−t0)+bx2(t−t0)
invariant in timp ay (t−t )+by (t−t )
1 0 2 0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Relation between input and output of LTIS:

Z∞
y (t) = h(t) ? x(t) = h(τ )x(t − τ )dτ
−∞

where h(t) is called the point-spread function of the system:

h(t) = O{δ(t)}

LTIS fundamental property: if input signal is a pure sine

wave x(t) = A cos(ω0 t + ϕ), than output signal will also be
pure sine wave of the same frequency:
y (t) = A0 cos(ω0 t + ϕ0 ) !!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

LTIS fundamental property

Indeed:
X (ω) = F{x(t)}(ω) = Aπ exp(jϕ)δ(ω−ω0 )+Aπ exp(−jϕ)δ(ω+ω0 )

X(ω)
πδ(ω+ω0) πδ(ω−ω0)

ω
−ω0 ω0

Then:
Y (ω) = H(ω)X (ω) = Aπ exp(jϕ)H(ω0 )δ(ω − ω0 ) + · · ·
+ Aπ exp(−jϕ)H(−ω0 )δ(ω + ω0 )

Whence: y (t) = A0 cos(ω0 t + ϕ0 ) with

A0 = A|H(ω0 )|
ϕ0 = ϕ + ϕ(ω0 )
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

The importance of Fourier transform

The Fourier transform: the decomposition of a signal into a
sum of pure sine waves!.
1
R∞
Indeed: x(t) = 2π X (ω) exp(jωt)dω can be written as:
−∞

Z∞
1
x(t) = |X (ω)| cos(ωt + ϕ(ω))dω
π
0

The amount X (ω) = |X (ω)| exp(jϕ(ω)) holds both amplitude

|X (ω)| and phase ϕ(ω) of the signal’s sine wave of frequency
ω.
The relation Y (ω) = H(ω)X (ω) ∀ω ∈ R shows how
amplitpude and phase of each sine wave are altered when the
signal is being filtered.
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

Problem: how linear filtering modifies statistical properties of

a stochastic signal.
E.g., if we know input autocorrelation function Rξ (τ ), how
can we compute output autocorrelation function Rη (τ )?
We have:
Z∞
η(t) = h(t) ? ξ(t) = h(τ )ξ(t − τ )dτ (1)
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

Problem: how linear filtering modifies statistical properties of

a stochastic signal.
E.g., if we know input autocorrelation function Rξ (τ ), how
can we compute output autocorrelation function Rη (τ )?
We have:
Z∞
η(t) = h(t) ? ξ(t) = h(τ )ξ(t − τ )dτ (1)
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

Problem: how linear filtering modifies statistical properties of

a stochastic signal.
E.g., if we know input autocorrelation function Rξ (τ ), how
can we compute output autocorrelation function Rη (τ )?
We have:
Z∞
η(t) = h(t) ? ξ(t) = h(τ )ξ(t − τ )dτ (1)
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

Problem: how linear filtering modifies statistical properties of

a stochastic signal.
E.g., if we know input autocorrelation function Rξ (τ ), how
can we compute output autocorrelation function Rη (τ )?
We have:
Z∞
η(t) = h(t) ? ξ(t) = h(τ )ξ(t − τ )dτ (1)
−∞

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with ξ(t − θ) and then applying the mean:
Z∞
η(t)ξ(t − θ) = h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )ξ(t − θ)dτ
−∞
whence it results:
Z∞
Rξη (θ) = h(τ )Rξ (θ − τ )dτ = h(θ) ? Rξ (θ)
−∞
or, in frequency:
qξη (ω) = H(ω)qξ (ω) (2)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

By multiplying (1) with η(t − θ) and then applying the mean:
Z∞
η(t)η(t − θ) = h(τ )ξ(t − τ )η(t − θ)dτ
−∞
Z∞
= h(τ )ξ(t − τ )η(t − θ)dτ
−∞
whence it results:
Z∞ Z∞
Rη (θ) = h(τ )Rξη (τ −θ)dτ = h(τ )Rηξ (θ−τ )dτ = h(θ)?Rηξ (θ)
−∞ −∞
or, in frequency:
qη (ω) = H(ω)qηξ (ω) (3)
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Linear filtering of stochastic signals

∗ (ω).
But, let us recall that qξη (ω) = qηξ
By putting together equeations (2) and (3), we get:
∗
qη (ω) = H(ω)qξη (ω) = H(ω)H ∗ (ω)qξ∗ (ω) = |H(ω)|2 qξ∗ (ω)
whence:
qη (ω) = |H(ω)|2 qξ (ω) ∀ω ∈ R

Obviously:
F
Rξ (τ ) −→ qξ (ω)
qη (ω) = |H(ω)|2 qξ (ω)
F −1
qη (ω) −→ Rη (τ )

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering stochastic signals with ideal LPF

The absolute value of ideal LPF’s transfer function:
|H(ω)|

ω
−ω0 ω0

1 if |ω| ≤ ω0
|H(ω)| =
0 otherwise
If we feed the ideal LPF with ξ(t) stationary, we have:

qξ (ω) if |ω| ≤ ω0
qη (ω) =
0 otherwise
and, respectively:
Zω0
1
Rη (τ ) = qξ (ω) exp(jωτ )dω
2π
−ω0
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

If we consider ξ(t) is white noise =⇒ qξ (ω) = K ∀ω, we

have:
Zω0 ω0
1 K exp(jωτ ) K ω0
Rη (τ ) = K exp(jωτ )dω = = sinc(ω0 τ )
2π 2π jτ −ω0 π
−ω0

Rη(τ)

A2Kω0/π

−π/ω π/ω
0
0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

If we consider ξ(t) is white noise =⇒ qξ (ω) = K ∀ω, we

have:
Zω0 ω0
1 K exp(jωτ ) K ω0
Rη (τ ) = K exp(jωτ )dω = = sinc(ω0 τ )
2π 2π jτ −ω0 π
−ω0

Rη(τ)

A2Kω0/π

−π/ω π/ω
0
0

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

Conclusion: when filtering white noise with ideal LPF, a
certain correlation is induced in the signal, which is all the
more important as the filter’s bandwith is narrower!
2 ξ(t)

−2

0 10 20 30 40 50 60 70 80 90 100

2 η(t)

−2

0 10 20 30 40 50 60 70 80 90 100

2 ζ(t)

−2

0 10 20 30 40 50 60 70 80 90 100

Conclusion is valid regardless of the filter’s type (LPF, BPF,

HPS, ideal or not) and of the input signal!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

Conclusion: when filtering white noise with ideal LPF, a
certain correlation is induced in the signal, which is all the
more important as the filter’s bandwith is narrower!
2 ξ(t)

−2

0 10 20 30 40 50 60 70 80 90 100

2 η(t)

−2

0 10 20 30 40 50 60 70 80 90 100

2 ζ(t)

−2

0 10 20 30 40 50 60 70 80 90 100

Conclusion is valid regardless of the filter’s type (LPF, BPF,

HPS, ideal or not) and of the input signal!
Decision and estimation in information processing: courses nr. 10
 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

The correlation induced in the signal:

3 3 3

2 2 2

1 1 1
η(t+1)
ξ(t+1)

ζ(t+1)
0 0 0

−1 −1 −1

−2 −2 −2

−3 −3 −3
−2 0 2 −2 0 2 −2 0 2
ξ(t) η(t) ζ(t)

Decision and estimation in information processing: courses nr. 10

 The power spectral density
The Wiener-Hincin theorem
Linear filtering of stochastic signals

Example: filtering white noise with ideal LPF

The correlation induced in the signal:

3 3 3 3

2 2 2 2

1 1 1 1
η(t+1)

η(t+2)

η(t+3)

η(t+4)
0 0 0 0

−1 −1 −1 −1

−2 −2 −2 −2

−3 −3 −3 −3
−3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3

η(t) η(t) η(t) η(t)

3 3 3 3

2 2 2 2

1 1 1 1
ζ(t+1)

ζ(t+2)

ζ(t+3)

ζ(t+4)
0 0 0 0

−1 −1 −1 −1

−2 −2 −2 −2

−3 −3 −3 −3
−3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3

ζ(t) ζ(t) ζ(t) ζ(t)

Decision and estimation in information processing: courses nr. 10