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Questions Involving Random Processes

A random process is a collection of random variables indexed by time or another parameter that can be used to model experiments that evolve over time. Random processes have dependencies between variables at different times and can be used to analyze long-term averages, extreme or boundary events, and estimation from noisy signals. A random process can be viewed as both a function of time for a fixed outcome and as a random variable for a fixed time, with each sample function representing the possible outcomes over time.

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24 views

Questions Involving Random Processes

A random process is a collection of random variables indexed by time or another parameter that can be used to model experiments that evolve over time. Random processes have dependencies between variables at different times and can be used to analyze long-term averages, extreme or boundary events, and estimation from noisy signals. A random process can be viewed as both a function of time for a fixed outcome and as a random variable for a fixed time, with each sample function representing the possible outcomes over time.

Uploaded by

gop
Copyright
© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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A random process (RP) (or stochastic process) is an infinite indexed

collection of random variables {X(t) : t ∈ T }, defined over a common


probability space
• The index parameter t is typically time, but can also be a spatial
dimension
• Random processes are used to model random experiments that
evolve in time: ◦ Received sequence/waveform at the output of a
communication channel
◦ Packet arrival times at a node in a communication network
◦ Thermal noise in a resistor
◦ Scores of an NBA team in consecutive games ◦ Daily price of a
stock
◦ Winnings or losses of a gambler
EE 278B: Random Processes

6–2

Questions Involving Random Processes


• Dependencies of the random variables of the process
◦ How do future received values depend on past received values? ◦
How do future prices of a stock depend on its past values?
• Long term averages
◦ What is the proportion of time a queue is empty?
◦ What is the average noise power at the output of a circuit?
• Extreme or boundary events
◦ What is the probability that a link in a communication network
is congested?

◦ What is the probability that the maximum power in a power


distribution line is exceeded?

◦ What is the probability that a gambler will lose all his captial? •
Estimation/detection of a signal from a noisy waveform
EE 278B: Random Processes

Two Ways to View a Random Process


• A random process can be viewed as a function X(t,ω) of two
variables, time t ∈ T and the outcome of the underlying random
experiment ω ∈ Ω
6–3

◦ For fixed t, X(t,ω) is a random variable over Ω


◦ For fixed ω, X(t,ω) is a deterministic function of t, called a sample
function
X(t,w1)

X(t,w2)

X(t,w3)

t
t1 t2 X(t1, w) X(t2, w)

EE 278B: Random Processes

6–4

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