Fourier Analysis

EE531 (Semester II, 2010)
5. Fourier analysis
empirical transfer function estimate (ETFE)

discrete Fourier Transform of a finite-length signal
properties of ETFE
5-1
Empirical transfer function estimate

consider a linear system with the representation
Y () = G()U ()
we extend the frequency analysis to the case of multifrequency inputs
an estimate of the transfer function:
G()
= Y ()U ()1
is proposed and is called the empirical transfer-function estimate (ETFE)
Estimates of Y (), U () are given by the Fourier transform of the finite
sequences:
N
1 X
y(t)eit,
YN () =
N t=1
Fourier analysis
N
1 X
UN () =
u(t)eit
N t=1
5-2
Discrete Fourier Transform (DFT)

the DFT of the length-N time-domain sequence x[n] is defined by
N 1
1 X
X[k] =
x[n]ei2kn/N ,
N n=0
0k N 1
the sequences X[k] are, in general, complex numbers even x[n] are real
the inverse DFT is given by

N 1
1 X
X[k]ei2kn/N ,
x[n] =
N k=0
Fourier analysis
0nN 1
5-3
Matrix relation of DFT

Define W = ei2/N , we can write the DFT in a matrix form as
1
1
1
X[0]
1
2
1
X[1]
W
W
2
4
X[2] = 1 1
W
W
..
..
..
N
..
X[N 1]
1 W N 1 W 2(N 1)
or
1
x[0]
x[1]
W N 1
2(N 1)
W
x[2]
..
..
...
x[N 1]
W (N 1)(N 1)
X = Dx,
where D is called the DFT matrix
The inverse DFT is given by x = D1X and using the fact that
D1 = D
(D is called an orthogonal matrix, i.e., DD = I)
Fourier analysis
5-4
Orthogonality of DFT matrix

the columns of DFT matrix are of the form:

T
k
2k
k(N
1)
k = (1/ N ) 1 W
,
W
W
or equivalently

k = (1/ N ) 1 ei2k/N
i2k2/N

i2k(N 1)/N T
use hl, k i = k l and apply the sum of geometric series:
N 1
1 X i2(kl)n/N
1 ei2(kl)
1
hl, k i =
e
=
N n=0
N 1 ei2(kl)/N
the columns of DFT matrix are therefore orthogonal

(
1, for k = l + rN, r = 0, 1, 2, . . .
hl, k i =
0, for k =
6 l
Fourier analysis
5-5
Frequency sampling of the Fourier transform

the Fourier transform of the length-N sequence x[n] is given by
X() =
x[n]ein =
n=
N
1
X
x[n]ein
n=0
if we uniformly sampling X() on the -axis between [0, 2) by

k = 2k/N,
0 k N 1,
then we have
X() |=2k/N =
N
1
X
n=0
x[n]ei2kn/N ,
0k N 1
frequency samples of X() of length-N sequence x[n] at N equally spaced

frequencies is precisely the N -point DFT X[k]
Fourier analysis
5-6
Computing DFT on MATLAB

y[k]
3
2.5
1.5
0.5
0
0
20
40
60
80
100
120
k
y[k] = a|k64|/(1 a2), with a = 0.8 (an autocorrelation sequence)
Fourier analysis
5-7
Computing DFT on MATLAB

Sampling Fourier transform
25
25
20
20
15
15
Y (k )
Y [k]
DFT
10
0
0
10
20
40
60
80
100
120
0
3
0
1
Frequency (rad)
Use fft command

y[k] is symmetric about 0, and so is Y [k]
Compare with Y () = 1/(1 + a2 2a cos )
Fourier analysis
5-8
Transformation of DFT
let y(t) and u(t) are related by a strictly linear SISO system:
y(t) = G(q)u(t)
where q is the forward shift operator and G(q) is the transfer function
assume that |u(t)| C for all t and let
N
1 X
YN () =
y(t)eit,
N t=1
N
1 X
UN () =
u(t)eit
N t=1
then the DFTs of (windowed) y(t) and u(t) are related by

YN () = G()UN () + RN ()
where
Fourier analysis
2KC
|RN ()|
N
(Ljung 1999, THM 2.1)
5-9
Proof. by definition
N
N X
X
1 X
1
YN () =
y(t)eit =
g(k)u(t k)eit
N t=1
N t=1 k=1
N
k
X
1 X
g(k)eik
u( )ei
=
N k=1
=1k
the last term on RHS is deviated from UN () by

N k
1 X
u( )ei |
|UN ()
N =1k
0
1 X
1
i
|
u( )e
| + |
N =1k
N
Fourier analysis
N
X
=N k+1
u( )e
2Ck
|
N
5-10
therefore,

X

N
k
X

i
ik 1

|YN () G()UN ()| =

u( )e UN ()
g(k)e
N =1k
k=1

2 X
|kg(k)Ceik |
N k=1
If we define
K=
k=1
k|g(k)| <
then the inequality is bounded by

2KC
|YN () G()UN ()|
N
Fourier analysis
5-11
Properties of ETFE
consider a linear model with disturbance
y(t) = G(q)u(t) + v(t)
from the previous page, we found that
RN () VN ()
G() = G() +
+
UN () UN ()
where VN () denotes the Fourier transform of the disturbance term
if we assume that v(t) has zero mean, then
RN ()
E G()
= G() +
UN ()
the estimate has a bias term which decays as 1/ N

Fourier analysis
5-12
Properties of ETFE
It can be shown that (Ljung 1999,6.3)
E[(G()
G())(G()
G())]
Sv () + N
2
|UN ()|
=
N
U ()U (),
N
N
if
if
| | =
2k
N ,k
= 1, 2, . . .
with |N | is bounded by 1/N (up to a constant factor)
Fourier analysis
5-13
Conclusions
Periodic inputs
G()
is defined only for a fixed number of frequencies
at these frequencies the ETFE is unbiased and its variance decays like
1/N
Nonperiodic inputs
G()
is an asymptotically unbiased estimate of G() at many
frequencies
the variance of G()

does not decay with N but is given as the
noise-to-signal ratio at the frequency in question as N increases
this property makes the empirical estimate a crude estimate in most
cases in practice
Fourier analysis
5-14
Example
No smoothing
True
ETFE
0.8
Frequency Response
10
0.7
10
0.6
10
0.5
10
G(z) =
0.25
5
z0.2 ,
0.2
0.4
0.6
0.8
Normalized Frequency (x rad)
white noise input with power 1, additive noise variance is
Use etfe command in System Identification Toolbox

Fourier analysis
5-15
Example
Smoothing with a window of length 32
True
ETFE (N=512)
ETFE (N=32768)
0.77
Frequency Response
10
0.74
10
0.71
10
0.68
10
0.65
10
0.62
10
Fourier analysis
0.2
0.4
0.6
0.8
Normalized Frequency (x rad)
5-16
References
Chapter 6 in
L. Ljung, System Identification: Theory for the User, Prentice Hall, Second
edition, 1999
Chapter 5 in
S. K. Mitra, Digital Signal Processing, McGraw-Hill, International edition,
2006
Fourier analysis
5-17

Fourier Analysis

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EE531 (Semester II, 2010)

empirical transfer function estimate (ETFE)

Empirical transfer function estimate

Discrete Fourier Transform (DFT)

the inverse DFT is given by

Matrix relation of DFT

Orthogonality of DFT matrix

use hl, k i = k l and apply the sum of geometric series:

the columns of DFT matrix are therefore orthogonal

Frequency sampling of the Fourier transform

if we uniformly sampling X() on the -axis between [0, 2) by

frequency samples of X() of length-N sequence x[n] at N equally spaced

Computing DFT on MATLAB

Computing DFT on MATLAB

Use fft command

then the DFTs of (windowed) y(t) and u(t) are related by

(Ljung 1999, THM 2.1)

the last term on RHS is deviated from UN () by

|YN () G()UN ()| =

then the inequality is bounded by

the estimate has a bias term which decays as 1/ N

with |N | is bounded by 1/N (up to a constant factor)

the variance of G()

white noise input with power 1, additive noise variance is

Use etfe command in System Identification Toolbox

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