RANDOM PROCESSES
STOCHASTIC PROCESSES
CHAPTER: 5
Average of random process
random process X {X (t ), t 0} {X (t, A), t 0}
is a function with two variable , the time t and
the random event A .
• Ensemble average
Expectation operator E{}
The Ensemble average of X (t ) : E{ X (t )}
The Ensemble average of the autocorrelation :
RX (t, t ) E{X (t ) X (t )}
• Time average
T
1
Operator : lim
T 2T {} dt
T
The time average of X (t ) :
T
1
X (t ) lim
T 2T x(t )dt
T
where x(t ) is any specific sample function.
The time average of the autocorrelation :
T
1
X (t ) X (t ) lim
T 2T x(t ) x(t )dt
T
Example:
Consider process X (t ) a cos(t ) ,
a , are constant. RV is uniform In the
interval (-π, π)
(1)Find the Ensemble average of X (t ) and its
autocorrelation function.
(2)Find the time average of X (t ) and its
autocorrelation function.
Solution :
(1) The Ensemble average and autocorrelation
function
(2) The time average of X (t )
T
1
X (t ) lim
T 2T x(t )dt
T
T
1
lim
T 2T a cos(t )dt
T
1 a
lim [sin(T ) sin( T )]
T 2T
( 2 | sin(T ) sin( T ) | 2)
0
• The time average of the autocorrelation :
T
1
X (t ) X (t ) lim
T 2T x(t ) x(t )dt
T
T
1
lim
T 2T a cos(t ) a cos(t )dt
T
T
1
lim
T 2T a cos(t ) a cos(t )dt
T
1 a2
lim { [sin(2T 2 ) sin( 2T 2 )] a 2 T cos( )}
T 2T 4
( 2 | sin(2T 2 ) sin( 2T 2 ) | 2)
a2
cos( )
2
• random process { X (t ), t T } is ergodic
If it satisfies following condition .
E{ X (t )} X (t )
RX (t , t ) E{ X (t ) X (t )}
= X (t ) X (t )
Example:
Consider process X (t ) a cos(t ) ,
a , are constant. RV is uniform In the
interval (-π, π)
X (t ) is ergodic ?
E{ X (t )} 0 X (t )
RX (t , t ) E{ X (t ) X (t )}
a2
= cos( )
2
= X (t ) X (t )
X (t ) is ergodic.
Stationary process
• Strict sense stationary process (SSS)
• Wide sense stationary process (WSS)
Mean =
Solution:
USE AUTO CORRELATION FORMULA
power spectral density for random
processes
• Let { X (t ), t T } be a wide-sense stationary
processes (WSS) ,
1
T
1
T
E lim T | X (t ) | dt Tlim E X (t ) dt
2 2
PXav
T 2T 2T
T
PXav is the total average power of X (t ) .
PXav can be denoted as
1
PXav S X ( )d
2
S X () is the power spectral density of X (t ) .
Spectral Property
If X (t ) is WSS ,
(1)
1
PXav S X ( )d RX ( 0)
2
(2) RX ( ) and S X ()
are Fourier transform pair.
if X (t ) is a continuous WSS
S X ( )
RX ( ) e j d
1
RX ( ) S X ( ) e j d
2
if X (t ) is a discrete WSS
S X ( ) R
k
X ( ) e jk
1
RX ( ) S X ( ) e jk d
2
(3) S X () is a even function and more than zero.
S X () S X ( ); S X () 0
if X (t ) is a discrete WSS
S X ( ) R
k
X ( ) e jk
1
RX ( ) S X ( ) e jk d
2
(3) S X () is a even function and more than zero.
S X () S X ( ); S X () 0
1
(1) Showing : PXav S X ( )d RX ( 0)
2
X (t )
Fourier transform
G()
According to Parseval’s theorem , the total energy
of X (t )
1
QX X (t ) dt G ( ) d
2 2
2
X (t ), t T
Let X T (t ) de defined as : X T (t )
0, t T
X T (t )
Fourier transform
GT ( )
T
GT ( )
X T (t )e jt dt X (t )e jt dt
T
the total energy of X T (t )
T
1
QX T X T (t ) dt X (t ) dt GT ( ) d
2 2 2
T
2
lim QX T QX
T
The time average of QX T
T
QX T 1 1 1
X (t ) dt GT ( ) d
2 2
2T 2T T 2T 2
QXT
Then the ensemble average of
2T
QX T 1 T 1 1
E X (t ) dt E GT () d
2 2
E
2T 2T T 2T 2
• Continuing…
the total average power of X (t ) :
QX T 1 T 1
T
lim E lim E X (t ) dt lim E X (t ) dt
2 2
PXav
T
2T T 2T T
T 2T
T
T T
1 1
lim RX (t , t )dt lim RX ( 0)dt RX ( 0)
T 2T T 2T
T T
PXav RX ( 0)
QX T 1 1
lim E Tlim E GT ( ) d
2
PXav
2T 2
T
2T
1 1 2
lim E GT ( ) d
2 T 2T
1
S X ( ) lim E GT ( )
2
Let , then
T 2T
1
PXav S X ( )d
2
(2) Showing: RX ( )
Fourier transform
S X ()
1
S X ( ) lim E GT ( )
2
T 2T
T
GT ( ) X (t )e
jt
dt
T
1 1 1
E GT ( ) E GT ( ) E GT ( ) GT ( )
2 2
2T 2T 2T
1
T T
2T T
E X (t )e dt X ( s )e ds
jt j s
T
1
T T
E X (t )e dt X ( s )e js ds
jt
2T T T
1
T T
E X (t )X ( s )e j ( t s )dtds
2T T T
1
T T
2T T T
j ( t s )
E X ( t ) X ( s ) e dtds
1
T T
2T T T
j ( t s )
R X ( t s ) e dtds
• Continuing…
u u -
let u t s , t - s t ,s
2 2
t t 1 1
u 2 1
J 2
s s 1 1 2
u 2 2
1
T T
2T T T
S X ( ) R X ( t s ) e j ( t s )
dtds
1 u u
j
J R ( ) e dud , - T T , -T T
2T X 2 2
1
2T 2 T | |
J RX ( ) e du d j
2T 2T (2T | |)
| |
2T
2T 2T X d
j
1 R ( ) e
1
T T
j ( t s ) j
S X ( ) lim R X ( t s ) e dtds R X ( ) e d
T 2T
T T
(3) showing: S X () S X ()
RX ( ) RX ( )
S X ( )
RX ( ) e j d
S X ( )
RX ( ) e j d let 1
RX ( 1 ) e j1 d ( 1 )
RX ( 1 ) e j1 d ( 1 )
S X ( ) S X ( )
Example: X (t ) is a WSS process , the mean
mX (t ) 0 , the autocorrelation RX ( ) 4e| | cos( ) ,
(1)Find the power spectral density S X () ;
(2)Find the total average power PXav .
Solution: (1)
RX ( )
Fourier transform
S X ( )
S X ( )
RX ( ) e j d
1 1
4 2
1 ( ) 2
1 ( )
(2) 1
PXav S X ( )d
2
RX ( 0)
4
Example: X (t ) is a WSS process , the mean
mX (t ) 0 , the power spectral density
2 2 1
S X ( ) 4
5 2 4
(1)Find the autocorrelation RX ( ) ;
(2)Find the total average power PXav .
Solution: (1)
RX ( )
Fourier transform
S X ( )
1 1 2 2
1
RX ( ) S X ( ) e j d 4 e j
d
2 2 5 4
2
1 2k1 4k2 j
2 2 e d
2 1 4
k1e k2e 2
1 7
k1 = , k2
6 12
(2) 1
PXav S X ( )d
2
RX ( 0)
5
k1 k2
12
