When I compute the cross spectral densitiy function Pxy using cpsd.m, and divide by Pxx, the angle is the wrong sign when compared to tfestimate.m Why is that.

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Mark Chertoff 2018-8-31

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回答： Honglei Chen 2018-8-31

I am computing the transfer function of a first order butterworth filter with random noise as the input. I compute Pxx, Pyy, Pxy with cpsd.m. When I compute the transfer function, Hxy, the angle is not the correct sign. Thus the phase is not correct. Why is this? When I use Tfestimate.m, it is correct.

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Answer 1

Honglei Chen 2018-8-31

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This is because in tfestimate, the transfer function is defined as Pyx/Pxx, and Pyx is conjugate of Pxy, that's why you see the sign difference in angle.

You can compare the algorithm section in the two functions

https://www.mathworks.com/help/signal/ref/cpsd.html

https://www.mathworks.com/help/signal/ref/tfestimate.html

HTH