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EEE310 05 Random Processes II PDF

This document provides an overview of random processes and their properties. It discusses topics such as random variables and random processes, statistical averages and correlation, stationary random processes, power and energy of random processes, correlation of random processes, power spectral density of random processes, transmission of random processes through linear time-invariant systems, Gaussian processes, white processes, noise-equivalent bandwidth, and bandlimited processes. Examples are provided to illustrate key concepts.

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104 views

EEE310 05 Random Processes II PDF

This document provides an overview of random processes and their properties. It discusses topics such as random variables and random processes, statistical averages and correlation, stationary random processes, power and energy of random processes, correlation of random processes, power spectral density of random processes, transmission of random processes through linear time-invariant systems, Gaussian processes, white processes, noise-equivalent bandwidth, and bandlimited processes. Examples are provided to illustrate key concepts.

Uploaded by

Supipi Hiyadma
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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EEE310 Communication Theory

05-Random Processes II
DR. THILINI RAJAKARUNA
Content
 Random Processes:
 Classification of random processes and their properties
 Autocorrelation function
 Power spectral density
 Gaussian processes
 Filtering of random processes
Ref:
Communication Systems, Simon Hykin, 4E
Communication Systems Engineering, John G. Proakis, M. Salehi, 2E

EEE301 COMMUNICATION THEORY 2


Random Processes

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Random Variables and Random Processes
 Denote the random process by 𝑥(𝑡). The time functions
𝑥1(𝑡), 𝑥2(𝑡), 𝑥3(𝑡), . . . are specific realizations of the process.

 At any time instant, 𝑡 = 𝑡𝑘 , define random variable 𝑥(𝑡𝑘 ).

 At any two time instants, 𝑡1 and 𝑡2, there are two different random
variables 𝑥(𝑡1) and 𝑥(𝑡2).

 Any relationship between random variables 𝑥(𝑡1) and 𝑥(𝑡2) is completely


described by the joint pdf 𝑓 𝑥 𝑡1 , 𝑥 𝑡2
(𝑥1, 𝑥2; 𝑡1, 𝑡2).
EEE301 COMMUNICATION THEORY 4
Statistical Averages and correlation
 Define mean and mean squared values (i.e., first-order and second-order
statistics),

 The correlation between two random variables 𝑥1 = 𝑥(𝑡1) and 𝑥2 =


𝑥(𝑡2) is,

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Stationary Random Processes
In a wide-sense stationary random process,
 Mean and mean-squared values are constant over time,

 Correlation only depends on the time difference 𝜏 = 𝑡2 − 𝑡1.

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Power and Energy of a Random Process
Let 𝑋(𝑡) be a random process with sample functions 𝑥(𝑡, 𝜔𝑖 ). Then, the energy and power of
each sample function are defined as,

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Power and Energy of a Random Process
contd.
The power content PX and the energy content EX of the random process 𝑋(𝑡) are defined as,

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Power and Energy of a Random Process
contd.

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Correlation of two random Processes
 The cross-correlation function between two random processes 𝑋(𝑡) and 𝑌(𝑡) is defined as,

 Two random processes 𝑋(𝑡) and 𝑌(𝑡) are jointly wide-sense stationary, or simply jointly
stationary, if both 𝑋(𝑡) and 𝑌(𝑡) are individually stationary and the cross correlation
function 𝑅𝑋𝑌 (𝑡1, 𝑡2) depends only on 𝜏 = 𝑡1 − 𝑡2.

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Stationary Random Processes and Linear
Systems
 A stationary process 𝑋(𝑡) is the input to a linear time-invariant system with impulse
response ℎ(𝑡), and the output process is denoted by 𝑌(𝑡)

 If a stationary process 𝑋(𝑡) with mean 𝑚𝑋 and autocorrelation function 𝑅𝑋(𝜏) is passed
through a linear time-invariant system with impulse response ℎ(𝑡), the input and output
processes 𝑋(𝑡) and 𝑌(𝑡) will be jointly stationary with,

EEE301 COMMUNICATION THEORY 11


Random processes in the frequency
domain
Power Spectrum of Random Processes:

 Let 𝑋(𝑡) denote a random process and let 𝑥(𝑡; 𝜔𝑖 ) denote a sample function of this
process. Define,

 The energy-spectral density for this signal is |𝑋𝑇 ( 𝑓 )|2. Define power-spectral density as
the average energy-spectral density per unit of time; i.e., |𝑋𝑇 ( 𝑓 )|2/𝑇 .

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Power Spectral Density of a Random
Process

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Power Spectral Density of a Stationary
Random Process

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Example:
 A random process is defined by 𝑋(𝑡) = 𝐴 cos(2𝜋 𝑓0𝑡 + ∅) where ∅ is a random variable
uniformly distributed on [0, 2𝜋).

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Transmission over LTI systems
 If a stationary process 𝑋(𝑡) with mean 𝑚𝑋 and autocorrelation function 𝑅𝑋(𝜏) is passed
through a linear time-invariant system with impulse response ℎ(𝑡), the input and output
processes 𝑋(𝑡) and 𝑌(𝑡) will be jointly stationary with,

EEE301 COMMUNICATION THEORY 16


Transmission over LTI systems
 If a stationary process 𝑋(𝑡) with mean 𝑚𝑋 and autocorrelation function 𝑅𝑋(𝜏) is passed
through a linear time-invariant system with impulse response ℎ(𝑡),

EEE301 COMMUNICATION THEORY 17


Gaussian Processes

 For Gaussian processes, knowledge of the mean and autocorrelation; i.e., mX (t) and RX
(t1, t2) gives a complete statistical description of the process.

 If the Gaussian process X(t) is passed through an LTI system, then the output process Y (t)
will also be a Gaussian process.

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White process
 The term white process is used to denote the processes in which all frequency
components appear with equal power

 A process X(t) is called a white process if it has a flat spectral density; i.e., if SX ( f ) is a
constant for all f .

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Noise-Equivalent Bandwidth
 When white Gaussian noise passes through a filter, the output process, although still
Gaussian, will not be white anymore. The filter characteristics determine the spectral
properties of the output process,

 Define Bneq, the noise-equivalent bandwidth of a filter with frequency response H( f ), as

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Noise-Equivalent Bandwidth
 Define Bneq, the noise-equivalent bandwidth of a filter with frequency response H( f ), as

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Example: Frequency response of RC filter

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Bandlimited processes
 A bandlimited process is a random process whose power-spectral density occupies a finite
bandwidth. In other words, a bandlimited process is a process with the property that for all | f
| ≥ W, we have SX ( f ) ≡ 0 where W is the bandwidth of the process.
 Power spectrum of a bandlimited process,

EEE301 COMMUNICATION THEORY 24

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