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1 | (10) |
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1 | (1) |
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2 | (1) |
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3 | (1) |
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1.4 Linear Time Invariant Systems (LTI) |
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3 | (4) |
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1.4.1 Eigenfunctions of LTI Systems |
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3 | (3) |
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1.4.2 Transfer Function and Frequency Response |
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6 | (1) |
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1.5 Linear Differential Equations with Constant Coefficients |
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7 | (1) |
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1.6 Linearity of Physical Systems |
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8 | (3) |
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2 First and Second Order Systems |
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11 | (24) |
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2.1 First Order System. R, C Circuit |
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11 | (10) |
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12 | (1) |
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13 | (2) |
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2.1.3 Graphic Representation of the Frequency Response |
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15 | (2) |
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2.1.4 Geometric Interpretation of the Variation of the Frequency Response |
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17 | (2) |
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2.1.5 R, C Circuit with Output on the Resistor Terminals |
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19 | (2) |
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2.2 Second Order System. R, L, C Series Circuit |
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21 | (8) |
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21 | (2) |
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2.2.2 Second Order System Frequency Response |
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23 | (1) |
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2.2.3 Geometric Interpretation of the Variation of the Frequency Response |
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23 | (5) |
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2.2.4 Bode Representation of the Gain |
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28 | (1) |
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2.3 Case of Sharp Resonance |
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29 | (1) |
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30 | (5) |
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35 | (24) |
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3.1 Decomposition of a Periodic Function in Fourier Series |
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37 | (5) |
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3.2 Parseval's Theorem for Fourier Series |
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42 | (3) |
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3.3 Sum of a Finite Number of Exponentials |
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45 | (3) |
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48 | (3) |
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51 | (2) |
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3.6 Nonlinearity of a System and Harmonic Generation |
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53 | (6) |
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59 | (18) |
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4.1 Infinite Sum of Exponentials. Cauchy Principal Value |
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60 | (1) |
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61 | (6) |
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67 | (10) |
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67 | (2) |
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4.3.2 Properties of the Dirac Distribution |
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69 | (1) |
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4.3.3 Definition of the Convolution Product |
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70 | (2) |
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4.3.4 Primitive of the Dirac Distribution. Heaviside Function |
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72 | (1) |
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4.3.5 Derivatives of the Dirac Distribution |
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73 | (4) |
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77 | (16) |
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5.1 Impulse Response of an LTI System |
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77 | (2) |
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5.2 Fourier Transform of a Signal |
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79 | (3) |
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5.2.1 Direct Fourier Transform |
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79 | (1) |
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5.2.2 Inverse Fourier Transform |
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79 | (3) |
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5.3 Properties of Fourier Transform |
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82 | (2) |
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5.3.1 Symmetry Properties of the Fourier Transform of a Real Signal |
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82 | (1) |
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5.3.2 Time-Delay Property of the Fourier Transform |
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83 | (1) |
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5.4 Power and Energy of a Signal; Parseval--Plancherel Theorem |
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84 | (2) |
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5.5 Deriving a Signal and Fourier Transform |
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86 | (1) |
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5.6 Fourier Transform of Dirac Distribution and of Trigonometric Functions |
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87 | (2) |
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5.7 Two-Dimensional Fourier Transform |
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89 | (4) |
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6 Fourier Transform and LTI Filter Systems |
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93 | (18) |
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6.1 Response of a LTI System to Any Form of Input Signal |
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93 | (2) |
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6.2 Temporal Relastionship Between the Input and Output Signals of an LTI Filter |
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95 | (1) |
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6.3 Fourier Transform and Convolution in Physics |
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96 | (1) |
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6.4 Fourier Transform of the Product of Two Functions |
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97 | (1) |
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6.5 Fourier Transform of a Periodic Function |
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98 | (1) |
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6.6 Deterministic Correlation Functions |
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99 | (3) |
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6.7 Signal Spreads. Heisenberg-Gabor Uncertainty Relationship |
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102 | (9) |
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7 Fourier Transforms and Convolution Calculations |
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111 | (26) |
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7.1 Fourier Transformation of Common Fonctions |
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111 | (9) |
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7.1.1 Fourier Transform of a Rectangular Window |
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111 | (2) |
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7.1.2 Fourier Transform of a Triangular Window |
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113 | (1) |
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7.1.3 Fourier Transform of Hanning Window |
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114 | (1) |
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7.1.4 Fourier Transform of a Gaussian Function |
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115 | (5) |
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7.2 Behavior at Infinity of the Fourier Amplitude of a Signal |
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120 | (1) |
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7.3 Limitation in Time or Frequency of a Signal |
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120 | (4) |
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7.3.1 Fourier Transform of a Time-Limited Cosine |
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120 | (2) |
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7.3.2 Practical Interest of Multiplying a Signal by a Time Window Before Calculating a Spectrum |
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122 | (1) |
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7.3.3 Frequency Limitation; Gibbs Phenomenon |
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122 | (2) |
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7.4 Convolution Calculations |
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124 | (13) |
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7.4.1 Response of a First Order System to Different Input Signals |
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124 | (4) |
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7.4.2 Examples of Calculations of Convolution |
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128 | (9) |
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8 Impulse Response of LTI Systems |
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137 | (12) |
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8.1 Impulse Response of a First-Order Filter |
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138 | (4) |
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8.2 Impulse Response of a Second Order Filter |
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142 | (7) |
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149 | (10) |
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9.1 Direct and Inverse Transforms |
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149 | (4) |
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9.1.1 Study of Convergence with an Example |
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151 | (2) |
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153 | (1) |
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9.2 Stability of a System and Laplace Transform |
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153 | (2) |
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154 | (1) |
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9.2.2 Minimum-Phase Filter |
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155 | (1) |
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9.3 Applications of Laplace Transform |
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155 | (4) |
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9.3.1 Response of a System to Any Input Signal |
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157 | (2) |
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159 | (18) |
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10.1 Delay of a Signal Crossing a Low-Pass Filter |
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159 | (2) |
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161 | (5) |
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166 | (2) |
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168 | (2) |
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10.5 Comparison of the Different Filters Responses |
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170 | (7) |
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11 Causal Signals---Analytic Signals |
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177 | (30) |
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11.1 Fourier Transform of the Pseudo-Function 1/t |
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177 | (4) |
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11.2 Fourier Transform of a Causal Signal; Hilbert Transform |
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181 | (4) |
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11.3 Paley-Wiener Theorem |
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185 | (1) |
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186 | (11) |
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11.4.1 Instantaneous Frequency of a Chirp |
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190 | (1) |
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11.4.2 Double-Sideband (DSB) Signal Modulation |
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190 | (3) |
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11.4.3 Single-Sideband Signal Modulation (SSB) |
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193 | (2) |
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11.4.4 Band-pass Filtering of Amplitude Modulated Signal |
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195 | (2) |
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11.5 Phase and Group Time Delays |
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197 | (2) |
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11.6 Decomposition of a Voice Signal by a Filter Bank |
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199 | (8) |
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12 Time--Frequency Analysis |
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207 | (20) |
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12.1 Short-Time Fourier Transform (STFT) and Spectrogram |
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208 | (4) |
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12.2 Wigner--Ville Distribution |
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212 | (5) |
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12.3 Continuous Wavelet Transform |
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217 | (10) |
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12.3.1 Examples of Wavelets |
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217 | (2) |
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12.3.2 Decomposition and Reconstruction of a Signal with Wavelets |
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219 | (5) |
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224 | (3) |
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13 Notions on Digital Signals |
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227 | (8) |
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13.1 Analog to Digital Conversion |
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228 | (2) |
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13.2 Criterion for a Good Sampling in Time Domain |
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230 | (2) |
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13.3 Simple Digital Signals |
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232 | (3) |
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14 Discrete Systems---Moving Average Systems |
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235 | (18) |
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14.1 Linear, Time-Invariant Systems (LTI) |
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236 | (1) |
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14.2 Properties of LTI Systems |
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236 | (1) |
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14.3 Notion of Transfer Function |
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237 | (2) |
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14.4 Frequency Response of a LTI System |
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239 | (1) |
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14.5 Moving Average (MA) Filters |
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240 | (1) |
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14.6 Geometric Interpretation of Gain Variation with Frequency |
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241 | (3) |
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14.7 Properties of Moving Average (MA) Filters, also Called Finite Impulse Response (FTR) |
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244 | (2) |
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14.8 Other Examples of All-Zero Filters (MA) |
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246 | (7) |
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253 | (10) |
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253 | (3) |
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15.2 Inversion of z-Transform |
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256 | (2) |
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15.3 z-Transform of the Product of Two Functions |
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258 | (1) |
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15.4 Properties of the z-Transform |
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259 | (1) |
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259 | (4) |
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16 Fourier Transform of Digital Signals |
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263 | (28) |
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16.1 Poisson's Summation Formula |
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264 | (1) |
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16.2 Shannon Aliasing Theorem |
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265 | (2) |
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16.3 Sampling Theorem of Shannon--Whittaker |
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267 | (2) |
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16.4 Application of Poisson's Summation Formula: Fourier Transform of a Sine |
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269 | (1) |
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16.5 Fourier Transform of a Product of Functions of Time |
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270 | (1) |
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271 | (1) |
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16.7 Fourier Transform of a Rectangular Window |
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272 | (1) |
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16.8 Fourier Transform of a Sine Function Limited in Time |
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273 | (2) |
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275 | (4) |
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16.10 Discrete Fourier Transform (DFT) |
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279 | (2) |
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16.10.1 Important Special Case: The DFT of a Bounded Support Function |
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281 | (1) |
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16.11 Fast Fourier Transform Algorithm (FFT) |
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281 | (3) |
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284 | (1) |
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16.13 Signal Interpolation by Zero Padding |
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284 | (2) |
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16.14 Artifacts of the Fourier Transform on a Computer |
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286 | (5) |
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17 Autoregressive Systems (AR)---ARMA Systems |
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291 | (30) |
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17.1 Autoregressive First-Order System |
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292 | (5) |
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17.1.1 Case of a Causal System |
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292 | (3) |
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17.1.2 Analysis of the Anticausal System |
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295 | (2) |
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17.2 Autoregressive System (Recursive) of Second Order |
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297 | (8) |
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17.2.1 Calculation of the System Transfer Function H(z) |
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297 | (2) |
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17.2.2 Geometric Interpretation of Variation of Frequency Gain Magnitude |
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299 | (3) |
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17.2.3 Impulse Response of Second-Order System |
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302 | (1) |
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17.2.4 Functional Diagrams of the Digital System of Second Order |
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303 | (2) |
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305 | (5) |
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17.4 Transition from an Analog Filter to a Digital Filter |
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310 | (11) |
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17.4.1 Correspondence by the Bilinear Transformation |
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310 | (2) |
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17.4.2 Correspondence by Impulse Response Sampling |
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312 | (1) |
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17.4.3 Correspondence by Frequency Response Sampling |
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313 | (8) |
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18 Minimum-Phase Systems---Deconvolution |
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321 | (16) |
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18.1 Minimum-Phase Systems |
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321 | (6) |
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18.1.1 Notion of Minimum-Phase System |
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321 | (5) |
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18.1.2 Properties of Minimum-Phase Systems |
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326 | (1) |
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327 | (10) |
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18.2.1 Interest of Deconvolution |
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327 | (1) |
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18.2.2 Deconvolution Techniques |
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328 | (9) |
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19 Wavelets; Multiresolution Analysis |
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337 | (38) |
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19.1 Dyadic Decomposition-Reconstruction of a Digital Signal; Two Channels Filter Bank |
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338 | (8) |
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19.2 Multiresolution Wavelet Analysis |
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346 | (7) |
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353 | (22) |
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20 Parametric Estimate---Modeling of Deterministic Signals---Linear Prediction |
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375 | (32) |
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376 | (2) |
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378 | (7) |
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20.2.1 Pade Approximation |
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381 | (1) |
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381 | (1) |
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382 | (3) |
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20.3 Prony's Approximation Method. Shanks Method |
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385 | (7) |
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385 | (4) |
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389 | (3) |
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20.4 All-pole Modeling in the Context of the Prony's Method |
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392 | (2) |
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20.5 All-pole Modeling in the Case of a Finite Number of Data |
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394 | (2) |
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20.5.1 Autocorrelation Method |
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394 | (1) |
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395 | (1) |
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396 | (11) |
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405 | (2) |
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21 Random Signals: Statistics Basis |
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407 | (38) |
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21.1 First-Order Statistics |
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408 | (13) |
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21.1.1 Case of a Real Random Variable |
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408 | (5) |
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21.1.2 Gaussian Distribution (Normal Law) |
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413 | (6) |
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21.1.3 Probability Density Function of a Function of a Random Variable |
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419 | (2) |
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21.2 Second-Order Statistics |
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421 | (24) |
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21.2.1 Case of Two Real Random Variables |
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421 | (7) |
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21.2.2 Two Joint Gaussian r.r. |
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428 | (3) |
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21.2.3 Properties of the Sum of Two r.v. |
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431 | (4) |
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21.2.4 Complex Random Variables |
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435 | (10) |
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22 Multiple Random Variables---Linear Regression Maximum Likelihood Estimation |
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445 | (22) |
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22.1 Χ2υ (Chi-Square) Variable with υ Degrees of Freedom |
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445 | (4) |
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22.2 Least Squares Linear Regression |
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449 | (3) |
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449 | (2) |
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451 | (1) |
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22.3 Linear Regression with Noise on Data---Tikhonov Regularization |
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452 | (3) |
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22.4 Parametric Estimation |
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455 | (12) |
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22.4.1 Issues of the Estimation |
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455 | (3) |
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22.4.2 Maximum Likelihood Parametric Estimation |
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458 | (2) |
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460 | (7) |
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23 Correlation and Covariance Matrices of a Complex Random Vector |
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467 | (16) |
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23.1 Definition of Correlation and Covariance Matrices |
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467 | (2) |
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23.1.1 Properties of Correlation Matrix |
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468 | (1) |
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23.2 Linear Transformation of Random Vectors |
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469 | (2) |
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23.3 Multivariate Gaussian Probability Density Functions |
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471 | (3) |
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23.4 Estimation of the Correlation Matrix from Observations |
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474 | (2) |
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23.5 Karhunen-Loeve Development |
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476 | (7) |
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23.5.1 Example of Using the Correlation and Covariance Matrices |
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476 | (2) |
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23.5.2 Theoretical Aspects |
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478 | (2) |
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23.5.3 Optimality of Karhunen-Loeve Development |
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480 | (3) |
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24 Correlation Functions, Spectral Power Densities of Random Signals |
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483 | (28) |
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24.1 Correlation Function of a Random Signal |
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483 | (3) |
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24.1.1 Correlation Function of a Wide Sense Stationary (WSS) Signal |
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484 | (1) |
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24.1.2 Properties of the Correlation Function |
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485 | (1) |
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24.1.3 Centered White Noise |
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486 | (1) |
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24.2 Filtering a Random Signal by a LTI Filter |
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486 | (2) |
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486 | (1) |
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24.2.2 Correlation Functions of Input and Output Signals |
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487 | (1) |
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24.3 Power Spectral Density of a WSS Signal |
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488 | (3) |
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24.4 Filtering a Centered White Noise with a First Order Filter |
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491 | (2) |
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493 | (3) |
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24.6 Autocorrelation Matrix of a Random Signal |
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496 | (1) |
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497 | (1) |
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24.8 Analog Random Signals |
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498 | (3) |
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501 | (10) |
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25 Ergodicity; Temporal and Spectral Estimations |
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511 | (18) |
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25.1 Estimation of the Average of a Random Signal |
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512 | (3) |
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25.1.1 Expectation of the Average Estimator |
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512 | (1) |
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25.1.2 Variance of the Average Estimator |
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512 | (2) |
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25.1.3 Ergodicity Conditions |
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514 | (1) |
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25.2 Estimation of the Correlation Function |
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515 | (2) |
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517 | (5) |
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25.3.1 Raw Estimator of the Power Spectral Density or Periodogram |
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518 | (1) |
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25.3.2 Statistical Properties of the Periodogram |
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519 | (3) |
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25.4 Improvement of the Spectral Estimation |
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522 | (2) |
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25.5 Search for Harmonic Components |
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524 | (5) |
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25.5.1 Capon Method ("Maximum Likelihood") |
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524 | (2) |
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526 | (3) |
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26 Parametric Modeling of Random Signals |
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529 | (14) |
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26.1 Paley--Wiener Condition |
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529 | (3) |
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26.2 Parametric Modeling of Random Signals |
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532 | (11) |
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26.2.1 Yule-Walker Equations |
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532 | (3) |
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26.2.2 Search of the ARMA Model Coefficients for a Regular Process |
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535 | (1) |
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26.2.3 AR Modeling of a Regular Random Signal |
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536 | (2) |
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26.2.4 MA Modeling of a Regular Random Signal |
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538 | (5) |
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27 Optimal Filtering; Wiener and Kalman Filters |
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543 | (20) |
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544 | (1) |
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27.1.1 Stochastic Orthogonality |
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544 | (1) |
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27.1.2 Optimal Least Squares Estimate |
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544 | (1) |
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27.2 Wiener Optimal Filtering |
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545 | (7) |
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545 | (4) |
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27.2.2 Linear Prediction of a Random Signal |
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549 | (3) |
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552 | (3) |
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552 | (1) |
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553 | (2) |
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555 | (8) |
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27.4.1 Recursive Estimate of a Constant State |
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555 | (1) |
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27.4.2 General Form of the Kalman Recursive Equation |
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556 | (7) |
Appendix A Functions of a Complex Variable |
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563 | (10) |
Appendix B Linear Algebra |
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573 | (18) |
Appendix C Computer Calculations |
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591 | (10) |
Bibliography |
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601 | (4) |
Index |
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605 | |