Bussgang theorem

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In mathematics, the Bussgang theorem is a theorem of stochastic analysis. The theorem states that the cross-correlation between a Gaussian signal before and after it has passed through a nonlinear operation are equal to the signals auto-correlation up to a constant. It was first published by Julian J. Bussgang in 1952 while he was at the Massachusetts Institute of Technology.[1]

Statement

Let {X(t)} be a zero-mean stationary Gaussian random process and {Y(t)}=g(X(t)) where g() is a nonlinear amplitude distortion.

If RX(τ) is the autocorrelation function of {X(t)}, then the cross-correlation function of {X(t)} and {Y(t)} is

RXY(τ)=CRX(τ),

where C is a constant that depends only on g().

It can be further shown that

C=1σ32πug(u)eu22σ2du.

Derivation for One-bit Quantization

It is a property of the two-dimensional normal distribution that the joint density of y1 and y2 depends only on their covariance and is given explicitly by the expression

p(y1,y2)=12π1ρ2ey12+y222ρy1y22(1ρ2)

where y1 and y2 are standard Gaussian random variables with correlation ϕy1y2=ρ.

Assume that r2=Q(y2), the correlation between y1 and r2 is,

ϕy1r2=12π1ρ2y1Q(y2)ey12+y222ρy1y22(1ρ2)dy1dy2.

Since

y1e12(1ρ2)y12+ρy21ρ2y1dy1=ρ2π(1ρ2)y2eρ2y222(1ρ2),

the correlation ϕy1r2 may be simplified as

ϕy1r2=ρ2πy2Q(y2)ey222dy2.

The integral above is seen to depend only on the distortion characteristic Q() and is independent of ρ.

Remembering that ρ=ϕy1y2, we observe that for a given distortion characteristic Q(), the ratio ϕy1r2ϕy1y2 is KQ=12πy2Q(y2)ey222dy2.

Therefore, the correlation can be rewritten in the form

ϕy1r2=KQϕy1y2

.

The above equation is the mathematical expression of the stated "Bussgang‘s theorem".

If Q(x)=sign(x), or called one-bit quantization, then KQ=22π0y2ey222dy2=2π.

[2][3][1][4]

Arcsine law

If the two random variables are both distorted, i.e.,

r1=Q(y1),r2=Q(y2)

, the correlation of

r1

and

r2

is

ϕr1r2=Q(y1)Q(y2)p(y1,y2)dy1dy2

.

When

Q(x)=sign(x)

, the expression becomes,

ϕr1r2=12π1ρ2[00eαdy1dy2+00eαdy1dy200eαdy1dy200eαdy1dy2]

where

α=y12+y222ρy1y22(1ρ2)

.

Noticing that

p(y1,y2)dy1dy2=12π1ρ2[00eαdy1dy2+00eαdy1dy2+00eαdy1dy2+00eαdy1dy2]=1,

and 00eαdy1dy2=00eαdy1dy2, 00eαdy1dy2=00eαdy1dy2,

we can simplify the expression of

ϕr1r2

as

ϕr1r2=42π1ρ200eαdy1dy21

Also, it is convenient to introduce the polar coordinate

y1=Rcosθ,y2=Rsinθ

. It is thus found that

ϕr1r2=42π1ρ20π/20eR22R2ρcosθsinθ 2(1ρ2)RdRdθ1=42π1ρ20π/20eR2(1ρsin2θ)2(1ρ2)RdRdθ1.

Integration gives

ϕr1r2=21ρ2π0π/2dθ1ρsin2θ1=2πarctan(ρtanθ1ρ2)|0π/21=2πarcsin(ρ)

This is called "Arcsine law", which was first found by J. H. Van Vleck in 1943 and republished in 1966.[2][3] The "Arcsine law" can also be proved in a simpler way by applying Price's Theorem.[4][5]

The function f(x)=2πarcsinx can be approximated as f(x)2πx when x is small.

Price's Theorem

Given two jointly normal random variables

y1

and

y2

with joint probability function

p(y1,y2)=12π1ρ2ey12+y222ρy1y22(1ρ2)

,

we form the mean

I(ρ)=E(g(y1,y2))=++g(y1,y2)p(y1,y2)dy1dy2

of some function

g(y1,y2)

of

(y1,y2)

. If

g(y1,y2)p(y1,y2)0

as

(y1,y2)0

, then

nI(ρ)ρn=2ng(y1,y2)y1ny2np(y1,y2)dy1dy2=E(2ng(y1,y2)y1ny2n)

.

Proof. The joint characteristic function of the random variables

y1

and

y2

is by definition the integral

Φ(ω1,ω2)=p(y1,y2)ej(ω1y1+ω2y2)dy1dy2=exp{ω12+ω22+2ρω1ω22}

.

From the two-dimensional inversion formula of Fourier transform, it follows that

p(y1,y2)=14π2Φ(ω1,ω2)ej(ω1y1+ω2y2)dω1dω2=14π2exp{ω12+ω22+2ρω1ω22}ej(ω1y1+ω2y2)dω1dω2

.

Therefore, plugging the expression of

p(y1,y2)

into

I(ρ)

, and differentiating with respect to

ρ

, we obtain

nI(ρ)ρn=g(y1,y2)p(y1,y2)dy1dy2=g(y1,y2)(14π2nΦ(ω1,ω2)ρnej(ω1y1+ω2y2)dω1dω2)dy1dy2=g(y1,y2)((1)n4π2ω1nω2nΦ(ω1,ω2)ej(ω1y1+ω2y2)dω1dω2)dy1dy2=g(y1,y2)(14π2Φ(ω1,ω2)2nej(ω1y1+ω2y2)y1ny2ndω1dω2)dy1dy2=g(y1,y2)2np(y1,y2)y1ny2ndy1dy2

After repeated integration by parts and using the condition at

, we obtain the Price's theorem.

nI(ρ)ρn=g(y1,y2)2np(y1,y2)y1ny2ndy1dy2=2g(y1,y2)y1y22n2p(y1,y2)y1n1y2n1dy1dy2==2ng(y1,y2)y1ny2np(y1,y2)dy1dy2

[4][5]

Proof of Arcsine law by Price's Theorem

If g(y1,y2)=sign(y1)sign(y2), then 2g(y1,y2)y1y2=4δ(y1)δ(y2) where δ() is the Dirac delta function.

Substituting into Price's Theorem, we obtain,

E(sign(y1)sign(y2))ρ=I(ρ)ρ=4δ(y1)δ(y2)p(y1,y2)dy1dy2=2π1ρ2

.

When

ρ=0

,

I(ρ)=0

. Thus

E(sign(y1)sign(y2))=I(ρ)=2π0ρ11ρ2dρ=2πarcsin(ρ)

,

which is Van Vleck's well-known result of "Arcsine law".

[2][3]

Application

This theorem implies that a simplified correlator can be designed.[clarification needed] Instead of having to multiply two signals, the cross-correlation problem reduces to the gating[clarification needed] of one signal with another.[citation needed]

References

  1. 1.0 1.1 J.J. Bussgang,"Cross-correlation function of amplitude-distorted Gaussian signals", Res. Lab. Elec., Mas. Inst. Technol., Cambridge MA, Tech. Rep. 216, March 1952.
  2. 2.0 2.1 2.2 Vleck, J. H. Van. "The Spectrum of Clipped Noise". Radio Research Laboratory Report of Harvard University No. 51. 
  3. 3.0 3.1 3.2 Vleck, J. H. Van; Middleton, D. (January 1966). "The spectrum of clipped noise". Proceedings of the IEEE 54 (1): 2–19. doi:10.1109/PROC.1966.4567. ISSN 1558-2256. https://ieeexplore.ieee.org/document/1446497. 
  4. 4.0 4.1 4.2 Price, R. (June 1958). "A useful theorem for nonlinear devices having Gaussian inputs". IRE Transactions on Information Theory 4 (2): 69–72. doi:10.1109/TIT.1958.1057444. ISSN 2168-2712. https://ieeexplore.ieee.org/document/1057444/;jsessionid=p7xQfWaG1zLvg43lhpnzWz6pUrVRPwQvTk_5Z-KclUPBlln2I6MR!144025597. 
  5. 5.0 5.1 Papoulis, Athanasios (2002). Probability, Random Variables, and Stochastic Processes. McGraw-Hill. pp. 396. ISBN 0-07-366011-6. 

Further reading