Consider two functions [math]\displaystyle{ u(x) }[/math] and [math]\displaystyle{ v(x) }[/math] with Fourier transforms[math]\displaystyle{ U }[/math] and [math]\displaystyle{ V }[/math]:
[math]\displaystyle{ \begin{align}
U(f) &\triangleq \mathcal{F}\{u\}(f) = \int_{-\infty}^{\infty}u(x) e^{-i 2 \pi f x} \, dx, \quad f \in \mathbb{R}\\
V(f) &\triangleq \mathcal{F}\{v\}(f) = \int_{-\infty}^{\infty}v(x) e^{-i 2 \pi f x} \, dx, \quad f \in \mathbb{R}
\end{align} }[/math]
where [math]\displaystyle{ \mathcal{F} }[/math] denotes the Fourier transform operator. The transform may be normalized in other ways, in which case constant scaling factors (typically [math]\displaystyle{ 2\pi }[/math] or [math]\displaystyle{ \sqrt{2\pi} }[/math]) will appear in the convolution theorem below. The convolution of [math]\displaystyle{ u }[/math] and [math]\displaystyle{ v }[/math] is defined by:
In this context the asterisk denotes convolution, instead of standard multiplication. The tensor product symbol [math]\displaystyle{ \otimes }[/math] is sometimes used instead.
where [math]\displaystyle{ f\cdot x }[/math] indicates the inner product of [math]\displaystyle{ \mathbb{R}^n }[/math]:[math]\displaystyle{ f\cdot x = \sum_{j=1}^{n} {f}_j x_j, }[/math] and [math]\displaystyle{ dx = \prod_{j=1}^{n} d x_j. }[/math]
The convolution of [math]\displaystyle{ u }[/math] and [math]\displaystyle{ v }[/math] is defined by:
Hence by Fubini's theorem we have that [math]\displaystyle{ r\in L^1(\mathbb{R}^n) }[/math] so its Fourier transform [math]\displaystyle{ R }[/math] is defined by the integral formula:
Note that [math]\displaystyle{ |u(\tau)v(x-\tau)e^{-i 2\pi f \cdot x}|=|u(\tau)v(x-\tau)|, }[/math] Hence by the argument above we may apply Fubini's theorem again (i.e. interchange the order of integration):
[math]\displaystyle{
\begin{align}
R(f) &= \int_{\mathbb{R}^n} u(\tau)
\underbrace{\left(\int_{\mathbb{R}^n} v(x-\tau)\ e^{-i 2 \pi f \cdot x}\,dx\right)}_{V(f)\ e^{-i 2 \pi f \cdot \tau}}\,d\tau\\
&=\underbrace{\left(\int_{\mathbb{R}^n} u(\tau)\ e^{-i 2\pi f \cdot \tau}\,d\tau\right)}_{U(f)}\ V(f).
\end{align}
}[/math]
Periodic convolution (Fourier series coefficients)
Consider [math]\displaystyle{ P }[/math]-periodic functions [math]\displaystyle{ u_{_P} }[/math] and [math]\displaystyle{ v_{_P}, }[/math] which can be expressed as periodic summations:
In practice the non-zero portion of components [math]\displaystyle{ u }[/math] and [math]\displaystyle{ v }[/math] are often limited to duration [math]\displaystyle{ P, }[/math] but nothing in the theorem requires that.
[math]\displaystyle{ \begin{align}
U[k] &\triangleq \mathcal{F}\{u_{_P}\}[k] = \frac{1}{P} \int_P u_{_P}(x) e^{-i 2\pi k x/P} \, dx, \quad k \in \mathbb{Z}; \quad \quad \scriptstyle \text{integration over any interval of length } P\\
V[k] &\triangleq \mathcal{F}\{v_{_P}\}[k] = \frac{1}{P} \int_P v_{_P}(x) e^{-i 2\pi k x/P} \, dx, \quad k \in \mathbb{Z}
\end{align} }[/math]
where [math]\displaystyle{ \mathcal{F} }[/math] denotes the Fourier series integral.
The pointwise product: [math]\displaystyle{ u_{_P}(x)\cdot v_{_P}(x) }[/math] is also [math]\displaystyle{ P }[/math]-periodic, and its Fourier series coefficients are given by the discrete convolution of the [math]\displaystyle{ U }[/math] and [math]\displaystyle{ V }[/math] sequences:
[math]\displaystyle{ \begin{align}
\mathcal{F}\{u_{_P} * v\}[k] &\triangleq \frac{1}{P} \int_P \left(\int_P u_{_P}(\tau)\cdot v_{_P}(x-\tau)\ d\tau\right) e^{-i 2\pi k x/P} \, dx\\
&= \int_P u_{_P}(\tau)\left(\frac{1}{P}\int_P v_{_P}(x-\tau)\ e^{-i 2\pi k x/P} dx\right) \, d\tau\\
&= \int_P u_{_P}(\tau)\ e^{-i 2\pi k \tau/P}
\underbrace{\left(\frac{1}{P}\int_P v_{_P}(x-\tau)\ e^{-i 2\pi k (x-\tau)/P} dx\right)}_{V[k], \quad \text{due to periodicity}} \, d\tau\\
&=\underbrace{\left(\int_P\ u_{_P}(\tau)\ e^{-i 2\pi k \tau/P} d\tau\right)}_{P\cdot U[k]}\ V[k].
\end{align} }[/math]
Functions of a discrete variable (sequences)
By a derivation similar to Eq.1, there is an analogous theorem for sequences, such as samples of two continuous functions, where now [math]\displaystyle{ \mathcal{F} }[/math] denotes the discrete-time Fourier transform (DTFT) operator. Consider two sequences [math]\displaystyle{ u[n] }[/math] and [math]\displaystyle{ v[n] }[/math] with transforms [math]\displaystyle{ U }[/math] and [math]\displaystyle{ V }[/math]:
[math]\displaystyle{ \begin{align}
U(f) &\triangleq \mathcal{F}\{u\}(f) = \sum_{n=-\infty}^{\infty} u[n]\cdot e^{-i 2\pi f n}\;, \quad f \in \mathbb{R}, \\
V(f) &\triangleq \mathcal{F}\{v\}(f) = \sum_{n=-\infty}^{\infty} v[n]\cdot e^{-i 2\pi f n}\;, \quad f \in \mathbb{R}.
\end{align} }[/math]
The § Discrete convolution of [math]\displaystyle{ u }[/math] and [math]\displaystyle{ v }[/math] is defined by:
[math]\displaystyle{ U(f) }[/math] and [math]\displaystyle{ V(f), }[/math] as defined above, are periodic, with a period of 1. Consider [math]\displaystyle{ N }[/math]-periodic sequences [math]\displaystyle{ u_{_N} }[/math] and [math]\displaystyle{ v_{_N} }[/math]:
[math]\displaystyle{ u_{_N}[n]\ \triangleq \sum_{m=-\infty}^{\infty} u[n-mN] }[/math] and [math]\displaystyle{ v_{_N}[n]\ \triangleq \sum_{m=-\infty}^{\infty} v[n-mN], \quad n \in \mathbb{Z}. }[/math]
These functions occur as the result of sampling [math]\displaystyle{ U }[/math] and [math]\displaystyle{ V }[/math] at intervals of [math]\displaystyle{ 1/N }[/math] and performing an inverse discrete Fourier transform (DFT) on [math]\displaystyle{ N }[/math] samples (see § Sampling the DTFT). The discrete convolution:
is also [math]\displaystyle{ N }[/math]-periodic, and is called a periodic convolution. Redefining the [math]\displaystyle{ \mathcal{F} }[/math] operator as the [math]\displaystyle{ N }[/math]-length DFT, the corresponding theorem is:[5][4]:p. 548
Under the right conditions, it is possible for this [math]\displaystyle{ N }[/math]-length sequence to contain a distortion-free segment of a [math]\displaystyle{ u*v }[/math] convolution. But when the non-zero portion of the [math]\displaystyle{ u(n) }[/math] or [math]\displaystyle{ v(n) }[/math] sequence is equal or longer than [math]\displaystyle{ N, }[/math] some distortion is inevitable. Such is the case when the [math]\displaystyle{ V(k/N) }[/math] sequence is obtained by directly sampling the DTFT of the infinitely long § Discrete Hilbert transform impulse response.[upper-alpha 1]
For [math]\displaystyle{ u }[/math] and [math]\displaystyle{ v }[/math] sequences whose non-zero duration is less than or equal to [math]\displaystyle{ N, }[/math] a final simplification is:
As a partial reciprocal, it has been shown [6]
that any linear transform that turns convolution into pointwise product is the DFT (up to a permutation of coefficients).
where the equivalence of [math]\displaystyle{ V(k/N) }[/math] and [math]\displaystyle{ \left(\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\right) }[/math] follows from § Sampling the DTFT. Therefore, the equivalence of (5a) and (5b) requires:
There is also a convolution theorem for the inverse Fourier transform:
Here, "[math]\displaystyle{ \cdot }[/math]" represents the Hadamard product, and "[math]\displaystyle{ * }[/math]" represents a convolution between the two matrices.
But [math]\displaystyle{ u = F\{\alpha\} }[/math] must be "rapidly decreasing" towards [math]\displaystyle{ -\infty }[/math] and [math]\displaystyle{ +\infty }[/math] in order to guarantee the existence of both, convolution and multiplication product. Equivalently, if [math]\displaystyle{ \alpha = F^{-1}\{u\} }[/math] is a smooth "slowly growing" ordinary function, it guarantees the existence of both, multiplication and convolution product.[7][8][9]
In particular, every compactly supported tempered distribution, such as the Dirac delta, is "rapidly decreasing". Equivalently, bandlimited functions, such as the function that is constantly [math]\displaystyle{ 1 }[/math] are smooth "slowly growing" ordinary functions. If, for example, [math]\displaystyle{ v\equiv\operatorname{\text{Ш}} }[/math] is the Dirac comb both equations yield the Poisson summation formula and if, furthermore, [math]\displaystyle{ u\equiv\delta }[/math] is the Dirac delta then [math]\displaystyle{ \alpha \equiv 1 }[/math] is constantly one and these equations yield the Dirac comb identity.
↑McGillem, Clare D.; Cooper, George R. (1984). Continuous and Discrete Signal and System Analysis (2 ed.). Holt, Rinehart and Winston. p. 118 (3–102). ISBN 0-03-061703-0.
↑Horváth, John (1966). Topological Vector Spaces and Distributions. Reading, MA: Addison-Wesley Publishing Company.
↑Barros-Neto, José (1973). An Introduction to the Theory of Distributions. New York, NY: Dekker.
↑Petersen, Bent E. (1983). Introduction to the Fourier Transform and Pseudo-Differential Operators. Boston, MA: Pitman Publishing.
Further reading
Katznelson, Yitzhak (1976), An introduction to Harmonic Analysis, Dover, ISBN 0-486-63331-4
Li, Bing; Babu, G. Jogesh (2019), "Convolution Theorem and Asymptotic Efficiency", A Graduate Course on Statistical Inference, New York: Springer, pp. 295–327, ISBN 978-1-4939-9759-6