Wiener–Khinchin theorem

E158222

The Wiener–Khinchin theorem is a fundamental result in signal processing and probability theory that relates a wide-sense stationary random process’s autocorrelation function to its power spectral density via the Fourier transform.

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Predicate Object
instanceOf mathematical theorem
theorem in probability theory
theorem in signal processing
alsoKnownAs Wiener–Khinchin theorem
surface form: Wiener–Khinchin–Einstein theorem

Wiener–Khinchin theorem
surface form: Wiener–Khintchine theorem

Wiener–Khinchin theorem
surface form: autocorrelation theorem
appliesTo complex-valued random processes
real-valued random processes
stationary stochastic process
wide-sense stationary random process
assumes second-order moments exist
concerns second-order statistics of random processes
domain continuous-time processes
discrete-time processes
field harmonic analysis
probability theory
signal processing
stochastic processes
generalizationOf relationship between convolution and multiplication in Fourier domain
historicalNote results were developed independently by Norbert Wiener and Aleksandr Khinchin in the 1930s
implies autocorrelation function is positive semidefinite
power spectral density is nonnegative
inverseForm R_X(τ) = ∫_{-∞}^{∞} S_X(f) e^{j2π f τ} df
mathematicalForm S_X(f) = ∫_{-∞}^{∞} R_X(τ) e^{-j2π f τ} dτ
namedAfter Aleksandr Khinchin
Norbert Wiener
relatedTo Bochner theorem on characteristic functions
surface form: Bochner's theorem

Parseval's theorem
cross-correlation theorem
power spectrum
relates autocorrelation function
power spectral density
requires existence of autocorrelation function
integrability conditions for Fourier transform
wide-sense stationarity
statement the autocorrelation function of a wide-sense stationary process is the inverse Fourier transform of its power spectral density
the power spectral density of a wide-sense stationary process is the Fourier transform of its autocorrelation function
usedIn communications engineering
image processing
optics
radio astronomy
seismology
spectral analysis of random signals
statistical signal processing
time series analysis
usesTransform Fourier transform

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Referenced by (5)

Full triples — surface form annotated when it differs from this entity's canonical label.

Norbert Wiener knownFor Wiener–Khinchin theorem
Wiener–Khinchin theorem alsoKnownAs Wiener–Khinchin theorem
this entity surface form: Wiener–Khintchine theorem
Wiener–Khinchin theorem alsoKnownAs Wiener–Khinchin theorem
this entity surface form: Wiener–Khinchin–Einstein theorem
Wiener–Khinchin theorem alsoKnownAs Wiener–Khinchin theorem
this entity surface form: autocorrelation theorem
Khinchin's representation theorem isRelatedTo Wiener–Khinchin theorem