Discrete

Fourier Transform II

Thisisthesecondtutorialinourongoingseriesontimeseriesspectralanalysis.Inthisentry,wewill
continueourdiscussionondiscreteFourierTransforminExcel,itsinterpretationandapplicationintime
domain.
TheDFTisbasicallyamathematicaltransformationandmaybeabitdry,butwehopethatthistutorial
willleaveyouwithadeeperunderstandingandintuitionthroughtheuseofNumXLfunctionsand
wizards.

Background
TherehavebeenseveralinquiriessincethetimewereleasedourfirstentryonDFT,especiallyabout
usingtheDFTcomponentstorepresenttheinputdatasetasthesumofthetrigonometricsinecosine
functions.Theinquiriesweremotivatedbyusingthisrepresentationtointerpolateintermediatevalues,
andpossiblyextrapolate(akaforecast)beyondtheinputdataset.
Inprinciple,theDFTconvertsadiscretesetofobservationsintoaseriesofcontinuoustrigonometric
(i.e.sineandcosine)functions.Sotheoriginalsignalcanberepresentedas:

x(t )

N
1

A
Ai cos( i t i )

N
i 1

Where

x (t ) isthevalueoftheobservationattimet.

t isthediscretetimeatwhichanobservationwastaken.
t {0,1, 2,.., N 1}

N isthenumberofobservationsintheinputdataset.
2N isthefundamentalorprinciplefrequency.

Ai i istheamplitudeandthephaseoftheithdiscreteFouriercomponent.

Analysis
ExaminingtheFouriertransformscomponents(i.e.amplitudeandphase)ofafiniteseriescloser,we
findthefollowingobservations:
OR

Ak k AN k N k
Ak k AN k k N

DiscreteFourierTransformII

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1. Theamplitudeseriesissymmetricalaroundthe N2 component.
2. Thephaseofthe k componentisthenegativeofthe N K component.
Inessence,weonlyneedthe1sthalfoftheDFTcomponentstorecovertheoriginalinputdataset.The
originaltimeisrepresentedbythefollowingcomponents:
2

1
x(t ) Ao 2 Ai cos( i t i )

N
i 1

Proof
N
N
N
2

1
1

A
A
cos(

i
t

)
A
A
cos(

i
t

)
Ai cos( i t i )
o i

o
i
i
i

N
i 1
i 1
i N 2 1
N

N
N
2

1
x(t ) Ao Ai cos( i t i ) AN i cos( i t T i )
N
i 1
i N 2 1

x(t )

2
2

1
x(t ) Ao Ai cos( i t i ) Ai cos( (N i ) t i )
N
i 1
i 1

1
x(t ) Ao Ai cos( i t i ) Ai cos( (N i) t i )
N
i 1

1
x(t ) Ao Ai cos( i t i ) Ai cos(2 t ( t i i ))
N
i 1

1
x(t ) Ao 2 Ai cos( i t i )
N
i 1

IMPORTANT:Foranevensizedinputdataset,thelastDFTcomponent(i.e. N2 )doesnotneedtobe
multipliedby2.Sothecosinerepresentationoftheinputdataisexpressedasfollows:
1
2

1
x(t ) Ao 2 Ai cos( i t i ) AN cos( N2 t N )

2
2
N
i 1

1
2

1
x(t ) Ao 2 Ai cos( i t i ) AN cos( t N )

2
2
N
i 1

1
2

1
x(t ) Ao 2 Ai cos( i t i ) AN cos( N ) cos( t )

2
2
N
i 1

DiscreteFourierTransformII

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Conclusion
UsingthediscreteFouriertransform,werepresentthediscreteinputdatasetasthesumof
deterministiccontinuoustrigonometricfunctions.
Dissimilartotheoriginaldata,whichisdefinedatdiscretetimeinstances,theFourierrepresentationis
continuousandthusdefinedatalltimevalues.Usingthiscontinuousrepresentation,wecan
interpolateanyvaluesinthisrange(butnotforextrapolation/forecast).

DiscreteFourierTransformII

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