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Convolution and Correlation

Convolution
Convolution is a mathematical operation used to express the relation between input and output of an LTI
system. It relates input, output and impulse response of an LTI system as

y
y((t
t)) =
= x
x((t
t))∗
∗hh(
(tt)
)

Where y (t) = output of LTI

x (t) = input of LTI

h (t) = impulse response of LTI

There are two types of convolutions:

Continuous convolution

Discrete convolution

Continuous Convolution

y
y((t
t)) =
= x
x((t
t))∗
∗hh(
(tt)
)

∞
∞
=
= ∫
∫ x
x((τ
τ))h
h((t
t−−τ
τ))d
dττ
−
−∞∞

(or)

∞
∞
=
= ∫
∫ x
x((t
t−−τ
τ))h
h((τ
τ))d
dττ
−
−∞∞

Discrete Convolution

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y
y((n
n)) =
= x
x((n
n))∗
∗hh(
(nn)
)

∞
∞
=
= Σ
Σ x
x((k
k))h
h((n
n−−k
k))
k
k==−
−∞∞

(or)

∞
∞
=
= Σ
Σ x
x((n
n−−k
k))h
h((k
k))
k
k==−
−∞∞

By using convolution we can find zero state response of the system.

Deconvolution
Deconvolution is reverse process to convolution widely used in signal and image processing.

Properties of Convolution

Commutative Property

x
x1 (t) ∗ x 2 (
1 (t) ∗ x2 (tt)
) =
= x
x2 (t) ∗ x 1 (
2 (t) ∗ x1 (tt)
)

Distributive Property

x
x1 (t) ∗ [ x2
1 (t) ∗ [x
(t) + x3
2 (t) + x
(t)] = [ x1
3 (t)] = [x
(t) ∗ x2
1 (t) ∗ x
(t)] + [ x1
2 (t)] + [x
(t) ∗ x3
1 (t) ∗ x
(t)]
3 (t)]

Associative Property

x
x1 (
(tt)
)∗∗ [[x
x2 (
(tt)
)∗∗x
x3 (
(tt)
)]] =
= [[x
x1 (
(tt)
)∗∗x
x2 (
(tt)
)]] ∗
∗xx3 (
(tt)
)
1 2 3 1 2 3

Shifting Property

x
x1 (
(tt)
)∗∗x
x2 (
(tt)
) =
= y
y((t
t))
1 2

x
x1 (t) ∗ x 2 (
1 (t) ∗ x2 (tt−
−tt0 ) = y(t − t 0 )
0 ) = y(t − t0 )

x
x1 (t − t 0 )
1 (t − t0 )∗∗x
x2 (t) = y(t − t 0 )
2 (t) = y(t − t0 )

x
x1 (t − t 0 )
1 (t − t0 )∗∗x
x2 (t − t 1 )
2 (t − t1 ) =
= y
y((t
t−−t
t0 − t1)
0 − t1 )

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Convolution with Impulse

x
x1 (t) ∗ δ(t) = x(t)
1 (t) ∗ δ(t) = x(t)

x
x1 (t) ∗ δ(t − t 0 )
1 (t) ∗ δ(t − t0 ) =
= x
x((t
t−−t
t0 )
0)

Convolution of Unit Steps

u
u((t
t))∗
∗uu(
(tt)
) =
= r
r((t
t))

u
u((t
t−−T
T1 ) ∗ u(t − T 2)
1 ) ∗ u(t − T2 ) =
= r
r((t
t−−T
T1 − T 2)
1 − T2 )

u
u((n
n))∗
∗uu(
(nn)
) =
= [[n
n++1
1]]u
u((n
n))

Scaling Property

If x
x((t
t))∗
∗hh(
(tt)
) =
= y
y((t
t))

then x
x((a
att)
)∗∗h
h((a
att)
) =
=
1
1
y
y((a
att)
)
||a
a||

Differentiation of Output

if y
y((t
t)) =
= x
x((t
t))∗
∗hh(
(tt)
)

d
dyy(
(tt)
) d
dxx(
(tt)
)
then =
= ∗
∗hh(
(tt)
)
d
dtt d
dtt

or

d
dyy(
(tt)
) d
dhh(
(tt)
)
=
= x
x((t
t))∗
∗
d
dtt d
dtt

Note:
Convolution of two causal sequences is causal.

Convolution of two anti causal sequences is anti causal.

Convolution of two unequal length rectangles results a trapezium.

Convolution of two equal length rectangles results a triangle.
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A function convoluted itself is equal to integration of that function.

Example: You know that u

u((t
t))∗
∗uu(
(tt)
) =
= r
r((t
t))

According to above note, u

u((t
t))∗
∗uu(
(tt)
) =
= ∫
∫ u
u((t
t))d
dtt =
= ∫
∫ 1
1ddt
t =
= t
t =
= r
r((t
t))

Here, you get the result just by integrating u

u((t
t)) .

Limits of Convoluted Signal

If two signals are convoluted then the resulting convoluted signal has following range:
Sum of lower limits < t < sum of upper limits

Ex: find the range of convolution of signals given below

Here, we have two rectangles of unequal length to convolute, which results a trapezium.

The range of convoluted signal is:

Sum of lower limits < t < sum of upper limits

−
−11+
+−−2
2 <
< t
t <
< 2
2++2
2

−
−33 <
< t
t <
< 4
4

Hence the result is trapezium with period 7.

Area of Convoluted Signal

The area under convoluted signal is given by A

Ay = A xA
y = Ax Ahh

Where Ax = area under input signal

Ah = area under impulse response

Ay = area under output signal

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y
∞
∞
Proof: y
y((t
t)) =
= ∫
∫
−
−∞∞
x
x((τ
τ))h
h((t
t−−τ
τ))d
dττ

Take integration on both sides

∞
∞
∫
∫ y
y((t
t))d
dtt =
= ∫
∫ ∫
∫ x
x((τ
τ))h
h((t
t−−τ
τ))d
dττd
dtt
−
−∞∞

∞
∞
=
= ∫
∫ x
x((τ
τ))d
dττ∫
∫ h
h((t
t−−τ
τ))d
dtt
−
−∞∞

We know that area of any signal is the integration of that signal itself.

∴
∴ A
Ay = Ax A
y = Ax Ahh

DC Component

DC component of any signal is given by

area
area of
of the
the signal
signal
DC
DC component
component =
=
period
period of
of the
the signal
signal

Ex: what is the dc component of the resultant convoluted signal given below?

Here area of x1(t) = length × breadth = 1 × 3 = 3

area of x2(t) = length × breadth = 1 × 4 = 4

area of convoluted signal = area of x1(t) × area of x2(t)

= 3 × 4 = 12
Duration of the convoluted signal = sum of lower limits < t < sum of upper limits

= -1 + -2 < t < 2+2

= -3 < t < 4

Period=7

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area
area of
of the
the signal
signal
∴
∴ Dc component of the convoluted signal = period
period of
of the
the signal
signal

Dc component = 12
12

7
7

Discrete Convolution

Let us see how to calculate discrete convolution:

i. To calculate discrete linear convolution:

Convolute two sequences x[n] = {a,b,c} & h[n] = [e,f,g]

Convoluted output = [ ea, eb+fa, ec+fb+ga, fc+gb, gc]

Note: if any two sequences have m, n number of samples respectively, then the resulting convoluted
sequence will have [m+n-1] samples.

Example: Convolute two sequences x[n] = {1,2,3} & h[n] = {-1,2,2}

Convoluted output y[n] = [ -1, -2+2, -3+4+2, 6+4, 6]

= [-1, 0, 3, 10, 6]

Here x[n] contains 3 samples and h[n] is also having 3 samples so the resulting sequence having 3+3-1 =
5 samples.

ii. To calculate periodic or circular convolution:

Periodic convolution is valid for discrete Fourier transform. To calculate periodic convolution all the
samples must be real. Periodic or circular convolution is also called as fast convolution.
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If two sequences of length m, n respectively are convoluted using circular convolution then resulting
sequence having max [m,n] samples.

Ex: convolute two sequences x[n] = {1,2,3} & h[n] = {-1,2,2} using circular convolution

Normal Convoluted output y[n] = [ -1, -2+2, -3+4+2, 6+4, 6].

= [-1, 0, 3, 10, 6]

Here x[n] contains 3 samples and h[n] also has 3 samples. Hence the resulting sequence obtained by
circular convolution must have max[3,3]= 3 samples.

Now to get periodic convolution result, 1st 3 samples [as the period is 3] of normal convolution is same
next two samples are added to 1st samples as shown below:

∴
∴ Circular convolution result y
y[[n
n]] =
= [[9
9 6
6 3
3]]

Correlation

Correlation is a measure of similarity between two signals. The general formula for correlation is

∞
∞

∫
∫ x
x1 (t)x 2 (
1 (t)x2 (tt−
−ττ)
)ddt
t
−
−∞∞

There are two types of correlation:

Auto correlation

Cros correlation

Auto Correlation Function

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It is defined as correlation of a signal with itself. Auto correlation function is a measure of similarity
between a signal & its time delayed version. It is represented with R( τ
τ ).

Consider a signals x(t). The auto correlation function of x(t) with its time delayed version is given by

∞
∞

R
R11 (τ ) = R(τ ) = ∫
11 (τ ) = R(τ ) = ∫
x
x((t
t))x
x((t
t−−τ
τ))d
dtt [+ve
[+ve shift]
shift]
−
−∞∞

∞
∞

=
= ∫
∫ x
x((t
t))x
x((t
t++τ
τ))d
dtt [-ve
[-ve shift]
shift]
−
−∞∞

Where τ
τ = searching or scanning or delay parameter.

If the signal is complex then auto correlation function is given by

∞
∞

R
R11 (τ ) = R(τ ) = ∫
11 (τ ) = R(τ ) = ∫
x
x((t
t))x
x∗∗(
(tt−
−ττ)
)ddt
t [+ve
[+ve shift]
shift]
−
−∞∞

∞
∞

=
= ∫
∫ x
x((t
t++τ
τ))x
x∗∗(
(tt)
)ddt
t [-ve
[-ve shift]
shift]
−
−∞∞

Properties of Auto-correlation Function of Energy Signal

Auto correlation exhibits conjugate symmetry i.e. R ( τ

τ ) = R*(- τ
τ )

Auto correlation function of energy signal at origin i.e. at τ

τ =0 is equal to total energy of that

signal, which is given as:

∞
∞ 2
R (0) = E = ∫
∫
−
|| x
x((t
t)
2
) || d
dtt
−∞∞

Auto correlation function ∞

∞
1
1
τ
,
τ

Auto correlation function is maximum at τ

τ =0 i.e |R ( τ
τ ) | ≤ R (0) ∀ τ
τ

Auto correlation function and energy spectral densities are Fourier transform pairs. i.e.

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F
F .. T
T [[R
R((τ
τ))]] =
= Ψ
Ψ((ω
ω))

∞
∞ −
−jjω
ωττ
Ψ
Ψ((ω
ω)) =
= ∫
∫ R
R((τ
τ))e
e d
dττ
−
−∞∞

R
R((τ
τ)) =
= x
x((τ
τ))∗
∗xx(
(−−τ
τ))

Auto Correlation Function of Power Signals

The auto correlation function of periodic power signal with period T is given by

T
T

1
1 2
2

R
R((τ
τ)) =
= lim
lim ∫
∫ x
x((t
t))x
x∗∗(
(tt−
−ττ)
)ddt
t
T
T→→∞
∞ T
T −
−TT

2
2

Properties

Auto correlation of power signal exhibits conjugate symmetry i.e. R

R((τ
τ)) =
= R
R∗∗(
(−−τ
τ))

Auto correlation function of power signal at τ

τ =
= 0
0 (at origin)is equal to total power of that

signal. i.e.

R
R((0
0)) =
= ρ
ρ

Auto correlation function of power signal ∞

∞
1
1
τ
,
τ

Auto correlation function of power signal is maximum at τ

τ = 0 i.e.,

||R
R((τ
τ))|| ≤
≤ R
R((0
0))∀
∀ττ

Auto correlation function and power spectral densities are Fourier transform pairs. i.e.,

F
F .. T
T [[R
R((τ
τ))]] =
= s
s((ω
ω))

∞
∞ −
−jjω
ωττ
s
s((ω
ω)) =
= ∫
∫ R
R((τ
τ))e
e d
dττ
−
−∞∞

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R
R((τ
τ)) =
= x
x((τ
τ))∗
∗xx(
(−−τ
τ))

Density Spectrum
Let us see density spectrums:

Energy Density Spectrum

Energy density spectrum can be calculated using the formula:

∞
∞
2
2
E
E =
= ∫
∫ || x
x((f
f)) || d
dff
−
−∞∞

Power Density Spectrum

Power density spectrum can be calculated by using the formula:

∞ 2
2
∞
P
P =
= Σ
Σn || C
Cn |
n|
n=
=−−∞
∞

Cross Correlation Function

Cross correlation is the measure of similarity between two different signals.

Consider two signals x1(t) and x2(t). The cross correlation of these two signals R
R12 (τ )
12 (τ )
is given by

∞
∞

R
R12 (τ ) = ∫
12 (τ ) = ∫
x
x1 (t)x 2 (
1 (t)x2 (tt−
−ττ)
)ddt
t [+ve
[+ve shift]
shift]
−
−∞∞

∞
∞

=
= ∫
∫ x
x1 (
(tt+
+ττ)
)xx2 (
(tt)
)ddt
t [-ve
[-ve shift]
shift]
1 2
−
−∞∞

If signals are complex then

∞
∞

∗∗
R
R12 (
(ττ)
) =
= ∫
∫ x
x1 (
(tt)
)xx ((t
t−−τ
τ))d
dtt [+ve
[+ve shift]
shift]
12 1 2
2
−
−∞∞

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∞
∞

∗
∗
=
= ∫
∫ x
x1 (t + τ )x (t) dt
1 (t + τ )x (t) dt
[-ve
[-ve shift]
shift]
2
2
−
−∞∞

∞
∞

∗
∗
R
R21 (τ ) = ∫
21 (τ ) = ∫
x
x2 (t)x (t − τ ) dt
2 (t)x (t − τ ) dt
[+ve
[+ve shift]
shift]
1
1
−
−∞∞

∞
∞

∗
∗
=
= ∫
∫ x
x2 (t + τ )x (t) dt
2 (t + τ )x (t) dt
[-ve
[-ve shift]
shift]
1
1
−
−∞∞

Properties of Cross Correlation Function of Energy and Power Signals

Auto correlation exhibits conjugate symmetry i.e. R

R12 (τ ) = R
12 (τ ) = R
∗
∗
21
21
(
(−−τ
τ)) .

Cross correlation is not commutative like convolution i.e.

R
R12 (τ ) ≠ R 21(
12 (τ ) ≠ R21 (−
−ττ)
)

∞
∞
If R12(0) = 0 means, if ∫
∫
−
x
x11
(
(tt)
)x
∗∗
x ((t
t))d
dtt =
= 0
0 , then the two signals are said to be
−∞∞ 2
2

orthogonal.

T
T

For power signal if lim

limTT→
→∞∞
1
1
∫
∫−
2
2
−T
T
x
x((t
t))x
∗
∗
x (
(tt)
)ddt
t then two signals are said to be orthogonal.
T
T
2
2

Cross correlation function corresponds to the multiplication of spectrums of one signal to the
complex conjugate of spectrum of another signal. i.e.

∗ ∗
R
R12 (
(ττ)
) ←
←→→ X
X1 (
(ωω)
)XX ((ω
ω))
12 1 2
2

This also called as correlation theorem.

Parseval's Theorem

Parseval's theorem for energy signals states that the total energy in a signal can be obtained by the
spectrum of the signal as

1 ∞
∞ 2
2
1
E
E =
= ∫
∫ ||X
X((ω
ω))|| d
dωω
2
2ππ −
−∞∞

Note: If a signal has energy E then time scaled version of that signal x(at) has energy E/a.
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