This Topic extends the definition of the power-spectral density in two
ways. First, it considers the cross-power spectral density (CPSD) for
considering the spectral characteristics of two-jointly stationary
processes. It takes the natural definition of being the Discrete-Time
Fourier Transform (DTFT) of the cross-correlation function. The video
considers some relevant properties of the CPSD. The Topic then considers
that, due to technical limitations of the DTFT, taking the bilateral
z-transform of the auto- or cross-correlation sequences is a more
powerful technique. This is defined as the complex- and cross-complex
spectral densities. An example of the complex-spectral density is
calculated. Finally, a discussion of using z-transform tables for taking
inverse transforms is provided.
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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