Scribd
Upload
3 views

proba 6

Chapter six discusses random processes and spectral analysis, covering concepts such as stationary processes, correlation functions, and power spectral density. It explains the distinction between random variables and random processes, and introduces key properties like ergodicity and the Markov property. The chapter emphasizes the importance of characterizing random processes in both time and frequency domains.

Uploaded by

Raw Row Ruw
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
3 views

proba 6

Chapter six discusses random processes and spectral analysis, covering concepts such as stationary processes, correlation functions, and power spectral density. It explains the distinction between random variables and random processes, and introduces key properties like ergodicity and the Markov property. The chapter emphasizes the importance of characterizing random processes in both time and frequency domains.

Uploaded by

Raw Row Ruw
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 39

Chapter- six

Random Processes and Spectral Analysis


Topics discussed in this section:

The random processes concept

Stationary & Independence

Correlation Functions

Power spectral density

2020
Eya Z
AMU
The random processes concept
➢ A random process may be viewed as a collection of random variables, with
time t as a parameter running through all real numbers.
➢ The properties of RP
a. Function of time.
b. Random in the sense that before conducting an experiment, not
possible to define the waveform.
➢ Difference between RV and RP
RV: The outcome is mapped into a real number
RP: The outcome is mapped into a function of time
➢ Formally, we say a random process X(t) is a mapping of the elements of the
sample space into functions of time.
Cont,d…

▪ Sample space S function of time, X(t,s)


mapping

, 2T:The total observation interval


S → X (t,s) -T  t  T

s j → X (t, s j ) = x j (t) , x j (t) = sample function


Cont’d…

➢ Examples:-
1. the signal strength in a cell-phone receiver varies continuously
over time in a random manner depending on location.(To model
this requires that the random signal strength depend on the
continuous-time index t.)
2. all amplifiers internally generate thermal noise, even if the radio
is not receiving any signal, the voltage at the output of the amplifier is
not zero but is well modeled as a Gaussian random variable each
time it is measured.
➢ N:B the receiver does not know the time when the transmitter was
turned on or the distance from the transmitter to the receiver.
Cont’d..
➢ The collection of all possible wave forms is known as ensemble of the
random process X(t), which gives the complete information about RP.
➢ Random Signal X(t)
- if t = to fixed, X(t) becomes a RV X

x1

x2

x3
t = t0
Cont’d..

➢ Fixing the time t, the random process X(t) becomes a random variable. In
this case, the techniques we use with random variables apply. Consequently,
we may characterize a random process by
1. The first-order
- distribution as
- density function as

2. The second order


➢ The second-order distribution function is the joint distribution of the
two random variables X(t1) and X(t2) for each t1 and t2. This results in
Cont,d…
- distribution as

- density function as

➢ Normally, a complete probabilistic description of an arbitrary random


process requires the specification of distributions of all orders given by
Cont,d…
➢ The nth order density function:
Mean, Correlation and Covariance Functions
➢ Expectations
▪
Cont’d..
➢ Correlation
Cont’d..
▪
Cont’d..
▪
.
Cont’d..
.
Stationary & Independence
▪ A random process whose statistical characteristics do not change with
time is classified as strictly stationary or stationary in the strict

sense random process. the process will appear the some.


▪ A process X(t) is wide-sense stationary (WSS) if the following conditions
are satisfied
Cont’d..
Cont,d..

➢ Example 3 Consider a random process X(t) = A cos(ωt + θ), where θ is a


random variable uniformly distributed between 0 and 2π, whose
pdf is given below

Is this random process a wide-sense stationary?

➢ Two random processes X(t) and Y(t) are independent if, for all t1, t2,
the random variables X(t1) and Y(t2) are independent.
Cont’d..
Cont’d..
➢ The auto correlation function of a random process X(t) is the correlation
of two RVs X(t1) and X(t2) defined by the process at times t1 and t2

➢ For WSS processes the auto correlation function exhibits the following
properties
Cont,d..
➢ If the two processes X(t) and Y(t) are statistically independent, then the
cross correlation functions becomes

➢ The properties of the cross correlation function applicable to wss


processes
Cont,d..
Covariance
Cont’d..
Cont’d..
Cont’d..
Ergodicity

➢ Ergodicity in the Mean


A random process X(t) is ergodic in the mean if the time-averaged mean
value of a sample function x(t) is equal to the ensemble-averaged mean
value function. That is,
Cont’d..

➢ Ergodicity in the Autocorrelation


Cont’d..
Markov Process

➢ In probability theory, a Markov process is a random process with the


Markov property, which is also known as absence of memory property
or memoryless property, i.e. the future behaviour of the process
depends only on the current state, but not on the states in the past.
➢ Mathematically, the Markov process is defined as follows.
Cont’d..
Cont’d..
Cont’d..
Probability Distribution of a Markov Chain:
Cont’d..
Power Spectral Density (PSD)

◼ The random processes have involved the time domain, i.e characterized
processes by auto correlation, cross correlation and covariance
functions without any consideration of spectral properties.

◼ The purpose of this topic is to introduce the most important concepts


that apply to characterizing random processes in the frequency domain
Cont’d..
.

▪ Example4.7 Consider a random process X(t) whose autocorrelation is


given by ,

Determine the power spectrum?


Cont’d..
.
Cont’d..
.
Cont’d..
.
Cross-Spectral Densities

You might also like