In signal processing, the power spectrum of a continuous time signal describes the distribution of power into frequency components composing that signal. According to Fourier analysis, any physical signal can be decomposed into a number of discrete frequencies, or a spectrum of frequencies over a continuous range. The statistical average of any sort of signal (including noise) as analyzed in terms of its frequency content, is called its spectrum.
When the energy of the signal is concentrated around a finite time interval, especially if its total energy is finite, one may compute the energy spectral density. More commonly used is the power spectral density (PSD, or simply power spectrum), which applies to signals existing over all time, or over a time period large enough (especially in relation to the duration of a measurement) that it could as well have been over an infinite time interval. The PSD then refers to the spectral energy distribution that would be found per unit time, since the total energy of such a signal over all time would generally be infinite. Summation or integration of the spectral components yields the total power (for a physical process) or variance (in a statistical process), identical to what would be obtained by integrating over the time domain, as dictated by Parseval's theorem.
The spectrum of a physical process often contains essential information about the nature of . For instance, the pitch and timbre of a musical instrument are immediately determined from a spectral analysis. The color of a light source is determined by the spectrum of the electromagnetic wave's electric field as it fluctuates at an extremely high frequency. Obtaining a spectrum from time series such as these involves the Fourier transform, and generalizations based on Fourier analysis. In many cases the time domain is not specifically employed in practice, such as when a dispersive prism is used to obtain a spectrum of light in a spectrograph, or when a sound is perceived through its effect on the auditory receptors of the inner ear, each of which is sensitive to a particular frequency.
However this article concentrates on situations in which the time series is known (at least in a statistical sense) or directly measured (such as by a microphone sampled by a computer). The power spectrum is important in statistical signal processing and in the statistical study of stochastic processes, as well as in many other branches of physics and engineering. Typically the process is a function of time, but one can similarly discuss data in the spatial domain being decomposed in terms of spatial frequency.
Units
In
physics, the signal might be a wave, such as an electromagnetic wave, an
sound wave, or the vibration of a mechanism. The
power spectral density (PSD) of the signal describes the power present in the signal as a function of frequency, per unit frequency. Power spectral density is commonly expressed in
SI units of
Watt per
hertz (abbreviated as W/Hz).
When a signal is defined in terms only of a voltage, for instance, there is no unique power associated with the stated amplitude. In this case "power" is simply reckoned in terms of the square of the signal, as this would always be proportional to the actual power delivered by that signal into a given impedance. So one might use units of V2 Hz−1 for the PSD. Energy spectral density (ESD) would have units of V2 s Hz−1, since energy has units of power multiplied by time (e.g., watt-hour).
In the general case, the units of PSD will be the ratio of units of variance per unit of frequency; so, for example, a series of displacement values (in meters) over time (in seconds) will have PSD in units of meters squared per hertz, m2/Hz.
In the analysis of random , units of g2 Hz−1 are frequently used for the PSD of acceleration, where g denotes the g-force.
Mathematically, it is not necessary to assign physical dimensions to the signal or to the independent variable. In the following discussion the meaning of x( t) will remain unspecified, but the independent variable will be assumed to be that of time.
One-sided vs two-sided
A PSD can be either a
one-sided function of only positive frequencies or a
two-sided function of both positive and negative frequencies but with only half the amplitude. Noise PSDs are generally one-sided in engineering and two-sided in physics.
Definition
Energy spectral density
In signal processing, the energy of a signal
is given by
Assuming the total energy is finite (i.e.
is a square-integrable function) allows applying Parseval's theorem (or Plancherel's theorem). That is,
where
is the Fourier transform of
at
frequency (in Hz). The theorem also holds true in the discrete-time cases. Since the integral on the left-hand side is the energy of the signal, the value of
can be interpreted as a
density function multiplied by an infinitesimally small frequency interval, describing the energy contained in the signal at frequency
in the frequency interval
.
Therefore, the energy spectral density of is defined as:
The function and the autocorrelation of form a Fourier transform pair, a result also known as the Wiener–Khinchin theorem (see also Periodogram).
As a physical example of how one might measure the energy spectral density of a signal, suppose represents the potential (in ) of an electrical pulse propagating along a transmission line of impedance , and suppose the line is terminated with a matched resistor (so that all of the pulse energy is delivered to the resistor and none is reflected back). By Ohm's law, the power delivered to the resistor at time is equal to , so the total energy is found by integrating with respect to time over the duration of the pulse. To find the value of the energy spectral density at frequency , one could insert between the transmission line and the resistor a bandpass filter which passes only a narrow range of frequencies (, say) near the frequency of interest and then measure the total energy dissipated across the resistor. The value of the energy spectral density at is then estimated to be . In this example, since the power has units of V2 Ω−1, the energy has units of V2 s Ω−1 = Joule, and hence the estimate of the energy spectral density has units of J Hz−1, as required. In many situations, it is common to forget the step of dividing by so that the energy spectral density instead has units of V2 Hz−1.
This definition generalizes in a straightforward manner to a discrete signal with a countably infinite number of values such as a signal sampled at discrete times :
where is the discrete-time Fourier transform of The sampling interval is needed to keep the correct physical units and to ensure that we recover the continuous case in the limit But in the mathematical sciences the interval is often set to 1, which simplifies the results at the expense of generality. (also see normalized frequency)
Power spectral density
The above definition of energy spectral density is suitable for transients (pulse-like signals) whose energy is concentrated around one time window; then the Fourier transforms of the signals generally exist. For continuous signals over all time, one must rather define the
power spectral density (PSD) which exists for stationary processes; this describes how the power of a signal or time series is distributed over frequency, as in the simple example given previously. Here, power can be the actual physical power, or more often, for convenience with abstract signals, is simply identified with the squared value of the signal. For example, statisticians study the
variance of a function over time
(or over another independent variable), and using an analogy with electrical signals (among other physical processes), it is customary to refer to it as the
power spectrum even when there is no physical power involved. If one were to create a physical
voltage source which followed
and applied it to the terminals of a one
ohm resistor, then indeed the instantaneous power dissipated in that resistor would be given by
.
The average power of a signal over all time is therefore given by the following time average, where the period is centered about some arbitrary time :
Whenever it is more convenient to deal with time limits in the signal itself rather than time limits in the bounds of the integral, the average power can also be written as
where and is unity within the arbitrary period and zero elsewhere.
When is non-zero, the integral must grow to infinity at least as fast as does. That is the reason why we cannot use the energy of the signal, which is that diverging integral.
In analyzing the frequency content of the signal , one might like to compute the ordinary Fourier transform ; however, for many signals of interest the ordinary Fourier transform does not formally exist.[Some authors, e.g., still use the non-normalized Fourier transform in a formal way to formulate a definition of the power spectral density
where is the Dirac delta function. Such formal statements may sometimes be useful to guide the intuition, but should always be used with utmost care.] However, under suitable conditions, certain generalizations of the Fourier transform (e.g. the Fourier-Stieltjes transform) still adhere to Parseval's theorem. As such,
where the integrand defines the power spectral density:
The convolution theorem then allows regarding as the Fourier transform of the time convolution of and , where * represents the complex conjugate.
In order to deduce Eq.2, we will find an expression for that will be useful for the purpose. In fact, we will demonstrate that . Let's start by noting that
and let , so that when and vice versa. So
Where, in the last line, we have made use of the fact that and are dummy variables.
So, we have
q.e.d.
Now, let's demonstrate eq.2 by using the demonstrated identity. In addition, we will make the subtitution . In this way, we have:
where the convolution theorem has been used when passing from the 3rd to the 4th line.
Now, if we divide the time convolution above by the period and take the limit as , it becomes the autocorrelation function of the non-windowed signal , which is denoted as , provided that is ergodic, which is true in most, but not all, practical cases.[ The Wiener–Khinchin theorem makes sense of this formula for any wide-sense stationary process under weaker hypotheses: does not need to be absolutely integrable, it only needs to exist. But the integral can no longer be interpreted as usual. The formula also makes sense if interpreted as involving distributions (in the sense of Laurent Schwartz, not in the sense of a statistical Cumulative distribution function) instead of functions. If is continuous, Bochner's theorem can be used to prove that its Fourier transform exists as a positive measure, whose distribution function is F (but not necessarily as a function and not necessarily possessing a probability density).]
Assuming the ergodicity of , the power spectral density can be found once more as the Fourier transform of the autocorrelation function (Wiener–Khinchin theorem).
Many authors use this equality to actually define the power spectral density.
The power of the signal in a given frequency band , where