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cpsd

Cross power spectral density

Syntax

pxy = cpsd(x,y)
pxy = cpsd(x,y,window)
pxy = cpsd(x,y,window,noverlap)
pxy = cpsd(x,y,window,noverlap,nfft)
pxy = cpsd(___,'mimo')
[pxy,w] = cpsd(___)
[pxy,f] = cpsd(___,fs)
[pxy,w] = cpsd(x,y,window,noverlap,w)
[pxy,f] = cpsd(x,y,window,noverlap,f,fs)
[___] = cpsd(x,y,___,freqrange)
cpsd(___)

Description

example

pxy = cpsd(x,y) estimates the cross power spectral density (CPSD) of two discrete-time signals, x and y, using Welch’s averaged, modified periodogram method of spectral estimation.

  • If x and y are both vectors, they must have the same length.

  • If one of the signals is a matrix and the other is a vector, then the length of the vector must equal the number of rows in the matrix. The function expands the vector and returns a matrix of column-by-column cross power spectral density estimates.

  • If x and y are matrices with the same number of rows but different numbers of columns, then cpsd returns a three-dimensional array, pxy, containing cross power spectral density estimates for all combinations of input columns. Each column of pxy corresponds to a column of x, and each page corresponds to a column of y: pxy(:,m,n) = cpsd(x(:,m),y(:,n)).

  • If x and y are matrices of equal size, then cpsd operates column-wise: pxy(:,n) = cpsd(x(:,n),y(:,n)). To obtain a multi-input/multi-output array, append 'mimo' to the argument list.

For real x and y, cpsd returns a one-sided CPSD. For complex x or y, cpsd returns a two-sided CPSD.

pxy = cpsd(x,y,window) uses window to divide x and y into segments and perform windowing.

pxy = cpsd(x,y,window,noverlap) uses noverlap samples of overlap between adjoining segments.

pxy = cpsd(x,y,window,noverlap,nfft) uses nfft sampling points to calculate the discrete Fourier transform.

example

pxy = cpsd(___,'mimo') computes a multi-input/multi-output array of cross power spectral density estimates. This syntax can include any combination of input arguments from previous syntaxes.

[pxy,w] = cpsd(___) returns a vector of normalized frequencies, w, at which the cross power spectral density is estimated.

[pxy,f] = cpsd(___,fs) returns a vector of frequencies, f, expressed in terms of the sample rate, fs, at which the cross power spectral density is estimated. fs must be the sixth numeric input to cpsd. To input a sample rate and still use the default values of the preceding optional arguments, specify these arguments as empty, [].

example

[pxy,w] = cpsd(x,y,window,noverlap,w) returns the cross power spectral density estimates at the normalized frequencies specified in w.

example

[pxy,f] = cpsd(x,y,window,noverlap,f,fs) returns the cross power spectral density estimates at the frequencies specified in f.

[___] = cpsd(x,y,___,freqrange) returns the cross power spectral density estimate over the frequency range specified by freqrange. Valid options for freqrange are 'onesided', 'twosided', and 'centered'.

example

cpsd(___) with no output arguments plots the cross power spectral density estimate in the current figure window.

Examples

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Generate two colored noise signals and plot their cross power spectral density. Specify a length-1024 FFT and a 500-point triangular window with no overlap.

r = randn(16384,1);

hx = fir1(30,0.2,rectwin(31));
x = filter(hx,1,r);

hy = ones(1,10)/sqrt(10);
y = filter(hy,1,r);

cpsd(x,y,triang(500),250,1024)

Generate two two-channel sinusoids sampled at 1 kHz for 1 second. The channels of the first signal have frequencies of 200 Hz and 300 Hz. The channels of the second signal have frequencies of 300 Hz and 400 Hz. Both signals are embedded in unit-variance white Gaussian noise.

fs = 1e3;
t = (0:1/fs:1-1/fs)';

q = 2*sin(2*pi*[200 300].*t);
q = q+randn(size(q));

r = 2*sin(2*pi*[300 400].*t);
r = r+randn(size(r));

Compute the cross power spectral density of the two signals. Use a 256-sample Bartlett window to divide the signals into segments and window the segments. Specify 128 samples of overlap between adjoining segments and 2048 DFT points. Use the built-in functionality of cpsd to plot the result.

cpsd(q,r,bartlett(256),128,2048,fs)

By default, cpsd works column-by-column on matrix inputs of the same size. Each channel peaks at the frequencies of the original sinusoids.

Repeat the calculation, but now append 'mimo' to the list of arguments.

cpsd(q,r,bartlett(256),128,2048,fs,'mimo')

When called with the 'mimo' option, cpsd returns a three-dimensional array containing cross power spectral density estimates for all combinations of input columns. The estimate of the second channel of q and the first channel of r shows an enhanced peak at the common frequency of 300 Hz.

Generate two 100 Hz sinusoidal signals sampled at 1 kHz for 296 ms. One of the sinusoids lags the other by 2.5 ms, equivalent to a phase lag of π/2. Both signals are embedded in white Gaussian noise of variance 1/4².

Fs = 1000;
t = 0:1/Fs:0.296;

x = cos(2*pi*t*100)+0.25*randn(size(t));
tau = 1/400;
y = cos(2*pi*100*(t-tau))+0.25*randn(size(t));

Compute and plot the magnitude of the cross power spectral density. Use the default settings for cpsd. The magnitude peaks at the frequency where there is significant coherence between the signals.

cpsd(x,y,[],[],[],Fs)

Plot magnitude-squared coherence function and the phase of the cross spectrum. The ordinate at the high-coherence frequency corresponds to the phase lag between the sinusoids.

[Cxy,F] = mscohere(x,y,[],[],[],Fs);

[Pxy,F] = cpsd(x,y,[],[],[],Fs);

subplot(2,1,1)
plot(F,Cxy)
title('Magnitude-Squared Coherence')

subplot(2,1,2)
plot(F,angle(Pxy))

hold on
plot(F,2*pi*100*tau*ones(size(F)),'--')
hold off

xlabel('Hz')
ylabel('\Theta(f)')
title('Cross Spectrum Phase')

Generate two -sample exponential sequences, and , with . Specify , , and a small to see finite-size effects.

N = 10;
n = 0:N-1;

a = 0.8;
b = 0.9;

xa = a.^n;
xb = b.^n;

Compute and plot the cross power spectral density of the sequences over the complete interval of normalized frequencies, . Specify a rectangular window of length and no overlap between segments.

w = -pi:1/1000:pi;
wind = rectwin(N);
nove = 0;

[pxx,f] = cpsd(xa,xb,wind,nove,w);

The cross power spectrum of the two sequences has an analytic expression for large :

Convert this expression to a cross power spectral density by dividing it by . Compare the results. The ripple in the cpsd result is a consequence of windowing.

nfac = 2*pi*N;

X = 1./(1-a*exp(-1j*w));
Y = 1./(1-b*exp( 1j*w));
R = X.*Y/nfac;

semilogy(f/pi,abs(pxx))
hold on
semilogy(w/pi,abs(R))
hold off
legend('cpsd','Analytic')

Repeat the calculation with . The curves agree to six figures for as small as 100.

N = 25;
n = 0:N-1;
xa = a.^n;
xb = b.^n;

wind = rectwin(N);

[pxx,f] = cpsd(xa,xb,wind,nove,w);
R = X.*Y/(2*pi*N);

semilogy(f/pi,abs(pxx))
hold on
semilogy(w/pi,abs(R))
hold off
legend('cpsd','Analytic')

Use cross power spectral density to identify a highly corrupted tone.

The sound signals generated when you dial a number or symbol on a digital phone are sums of sinusoids with frequencies taken from two different groups. Each pair of tones contains one frequency of the low group (697 Hz, 770 Hz, 852 Hz, or 941 Hz) and one frequency of the high group (1209 Hz, 1336 Hz, or 1477 Hz).

Generate signals corresponding to all the symbols. Sample each tone at 4 kHz for half a second. Prepare a reference table.

fs = 4e3;
t = 0:1/fs:0.5-1/fs;

nms = ['1';'2';'3';'4';'5';'6';'7';'8';'9';'*';'0';'#'];

ver = [697 770 852 941];
hor = [1209 1336 1477];

v = length(ver);
h = length(hor);

for k = 1:v
    for l = 1:h
        idx = h*(k-1)+l;
        tone = sum(sin(2*pi*[ver(k);hor(l)].*t))';
        tones(:,idx) = tone;
    end
end

Plot the Welch periodogram of each signal and annotate the component frequencies. Use a 200-sample Hamming window to divide the signals into non-overlapping segments and window the segments.

[pxx,f] = pwelch(tones,hamming(200),0,[],fs);

for k = 1:v
    for l = 1:h
        idx = h*(k-1)+l;
        ax = subplot(v,h,idx);
        plot(f,10*log10(pxx(:,idx)))
        ylim([-80 0])
        title(nms(idx))
        tx = [ver(k);hor(l)];
        ax.XTick = tx;
        ax.XTickLabel = int2str(tx);
    end
end

A signal produced by dialing the number 8 is sent through a noisy channel. The received signal is so corrupted that the number cannot be identified by inspection.

mys = sum(sin(2*pi*[ver(3);hor(2)].*t))'+5*randn(size(t'));

% To hear, type soundsc(mys,fs)

Compute the cross power spectral density of the corrupted signal and the reference signals. Window the signals using a 512-sample Kaiser window with shape factor β = 5. Plot the magnitude of each spectrum.

[pxy,f] = cpsd(mys,tones,kaiser(512,5),100,[],fs);

for k = 1:v
    for l = 1:h
        idx = h*(k-1)+l;
        ax = subplot(v,h,idx);
        plot(f,10*log10(abs(pxy(:,idx))))
        ylim([-80 0])
        title(nms(idx))
        tx = [ver(k);hor(l)];
        ax.XTick = tx;
        ax.XTickLabel = int2str(tx);
    end
end

The digit in the corrupted signal has the spectrum with the highest peaks and the highest RMS value.

[~,loc] = max(rms(abs(pxy)));

digit = nms(loc)
digit =

    '8'

Input Arguments

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Input signals, specified as vectors or matrices.

Example: cos(pi/4*(0:159))+randn(1,160) specifies a sinusoid embedded in white Gaussian noise.

Data Types: single | double
Complex Number Support: Yes

Window, specified as an integer or as a row or column vector. Use window to divide the signal into segments.

  • If window is an integer, then cpsd divides x and y into segments of length window and windows each segment with a Hamming window of that length.

  • If window is a vector, then cpsd divides x and y into segments of the same length as the vector and windows each segment using window.

If the length of x and y cannot be divided exactly into an integer number of segments with noverlap overlapping samples, then the signals are truncated accordingly.

If you specify window as empty, then cpsd uses a Hamming window such that x and y are divided into eight segments with noverlap overlapping samples.

For a list of available windows, see Windows.

Example: hann(N+1) and (1-cos(2*pi*(0:N)'/N))/2 both specify a Hann window of length N + 1.

Data Types: single | double

Number of overlapped samples, specified as a positive integer.

  • If window is scalar, then noverlap must be smaller than window.

  • If window is a vector, then noverlap must be smaller than the length of window.

If you specify noverlap as empty, then cpsd uses a number that produces 50% overlap between segments. If the segment length is unspecified, the function sets noverlap to ⌊N/4.5⌋, where N is the length of the input and output signals.

Data Types: double | single

Number of DFT points, specified as a positive integer. If you specify nfft as empty, then cpsd sets the parameter to max(256,2p), where p = ⌈log2 N for input signals of length N.

Data Types: single | double

Sample rate, specified as a positive scalar. The sample rate is the number of samples per unit time. If the unit of time is seconds, then the sample rate has units of Hz.

Normalized frequencies, specified as a row or column vector with at least two elements. Normalized frequencies are in rad/sample.

Example: w = [pi/4 pi/2]

Data Types: double

Frequencies, specified as a row or column vector with at least two elements. The frequencies are in cycles per unit time. The unit time is specified by the sample rate, fs. If fs has units of samples/second, then f has units of Hz.

Example: fs = 1000; f = [100 200]

Data Types: double

Frequency range for cross power spectral density estimate, specified as 'onesided', 'twosided', or 'centered'. The default is 'onesided' for real-valued signals and 'twosided' for complex-valued signals.

  • 'onesided' — Returns the one-sided estimate of the cross power spectral density of two real-valued input signals, x and y. If nfft is even, pxy has nfft/2 + 1 rows and is computed over the interval [0,π] rad/sample. If nfft is odd, pxy has (nfft + 1)/2 rows and the interval is [0,π) rad/sample. If you specify fs, the corresponding intervals are [0,fs/2] cycles/unit time for even nfft and [0,fs/2) cycles/unit time for odd nfft.

  • 'twosided' — Returns the two-sided estimate of the cross power spectral density of two real-valued or complex-valued input signals, x and y. In this case, pxy has nfft rows and is computed over the interval [0,2π) rad/sample. If you specify fs, the interval is [0,fs) cycles/unit time.

  • 'centered' — Rreturns the centered two-sided estimate of the cross power spectral density of two real-valued or complex-valued input signals, x and y. In this case, pxy has nfft rows and is computed over the interval (–π,π] rad/sample for even nfft and (–π,π) rad/sample for odd nfft. If you specify fs, the corresponding intervals are (–fs/2, fs/2] cycles/unit time for even nfft and (–fs/2, fs/2) cycles/unit time for odd nfft.

Data Types: char

Output Arguments

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Cross power spectral density, returned as a vector, matrix, or three-dimensional array.

Normalized frequencies, returned as a real-valued column vector.

  • If pxy is one-sided, w spans the interval [0,π] when nfft is even and [0,π) when nfft is odd.

  • If pxy is two-sided, w spans the interval [0,2π).

  • If pxy is DC-centered, w spans the interval (–π,π] when nfft is even and (–π,π) when nfft is odd.

Data Types: double | single

Frequencies, returned as a real-valued column vector.

Data Types: double | single

More About

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Cross Power Spectral Density

The cross power spectral density is the distribution of power per unit frequency and is defined as

Pxy(ω)=m=Rxy(m)ejωm.

The cross-correlation sequence is defined as

Rxy(m)=E{xn+myn}=E{xnynm},

where xn and yn are jointly stationary random processes, –∞ < n < ∞, <n<, and E {· } is the expected value operator.

Algorithms

cpsd uses Welch’s averaged, modified periodogram method of spectral estimation.

References

[1] Rabiner, Lawrence R., and B. Gold. Theory and Application of Digital Signal Processing. Englewood Cliffs, NJ: Prentice-Hall, 1975, pp. 414–419.

[2] Welch, Peter D. “The Use of the Fast Fourier Transform for the Estimation of Power Spectra: A Method Based on Time Averaging Over Short, Modified Periodograms.” IEEE® Transactions on Audio and Electroacoustics, Vol. AU-15, June 1967, pp. 70–73.

[3] Oppenheim, Alan V., Ronald W. Schafer, and John R. Buck. Discrete-Time Signal Processing. 2nd Ed. Upper Saddle River, NJ: Prentice Hall, 1999.

Introduced before R2006a

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