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Slide 23

This document discusses random signals and random processes. A random signal is a member of an ensemble of possible signals, either discrete or continuous time, such as white noise. A random process is an infinite collection of random variables indexed by time or another parameter. Random processes can model experiments that evolve over time, like noise in a communication channel. A random process can be viewed as a function of both time and the outcome of the underlying random experiment. Properties of random processes include their mean, autocorrelation function, and power spectral density. A process is stationary if its properties do not change over time shifts.

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61 views16 pages

Slide 23

This document discusses random signals and random processes. A random signal is a member of an ensemble of possible signals, either discrete or continuous time, such as white noise. A random process is an infinite collection of random variables indexed by time or another parameter. Random processes can model experiments that evolve over time, like noise in a communication channel. A random process can be viewed as a function of both time and the outcome of the underlying random experiment. Properties of random processes include their mean, autocorrelation function, and power spectral density. A process is stationary if its properties do not change over time shifts.

Uploaded by

AbdalmoedAlaiashy
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
You are on page 1/ 16

EE 179, Lecture 23, Handout #39

Random Signals
A random signal is one of an ensemble of possible signals, discrete time
(time series) or continuous time, such as white noise

A random process (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 179, May 28, 2014

Lecture 23, Page 1

Two Ways to View a Random Process


A random process can be viewed as a function X(t, ) of two variables,
time t T and the outcome of the underlying random experiment
For fixed t, X(t, ) is a random variable over

For fixed , X(t, ) is a deterministic function of t, called a sample functi


X(t, 1 )

t
X(t, 2 )

t
X(t, 3 )

t1
t2
X(t1 , ) X(t2 , )
EE 179, May 28, 2014

t
Lecture 23, Page 2

Discrete-Time Random Process Example


Let Z U[0, 1], and define the discrete time process Xn = Z n for n 1.
Sample paths:
xn
Z=

1
2
1
4

1
2

1
8

1
16

n
xn
Z=

1
4

1
4

1
16

1
64

xn
Z=0
0
1
EE 179, May 28, 2014

0
2

0
3

...
4

...

n
Lecture 23, Page 3

Continuous-Time Random Process Example


Sinusoidal signal with random phase:
X(t) = cos(t + ) ,

t0

where U[0, 2] and and are constants


Sample functions:
x(t)

=0

3
2

x(t)
=

x(t)
=

EE 179, May 28, 2014

Lecture 23, Page 4

Characterization of Random Process


Some random processes can be described analytically. E.g.,
x(t) = A cos(c t + )
where is uniformly distributed in the range [0, 2). Sample functions are
sinusoids with random phase.
In general, a random process is described by joint CDF of n random
variables of the process for all n.
FX(t1 )X(t2 )X(tn ) (x1 , x2 , . . . , xn ) =
P{X(t1 ) x1 , X(t2 ) x2 , . . . , X(tn ) xn }
Kolmogorov showed that if these CDFs were consistent for all n, then the
random process was well defined.

EE 179, May 28, 2014

Lecture 23, Page 5

Ensemble with Finite Number of Sample Functions


Shown below are sample functions of a binary polar random process.
Later we will calculate the frequency content of this process.

EE 179, May 28, 2014

Lecture 23, Page 6

Mean and Autocorrelation


The mean of a random process is determined by the first order PDF.
Z
xpX (x; t) dx
X(t) = E(X(t)) =

The autocorrelation is determined by second order PDF.


RX (t1 , t2 ) = X1 (t)X2 (t) = E(X1 (t)X2 (t))
Z Z
=
x1 x2 pX (x1 , x2 ; t1 , t2 ) dx1 dx2

The autocorrelation function gives information about the frequency content


of the random process.

EE 179, May 28, 2014

Lecture 23, Page 7

Autocorrelation Examples

EE 179, May 28, 2014

Lecture 23, Page 8

Strong Sense Stationary


A random process is strictly stationary (strong-sense stationary) if time
shifts do not change probabilities. For all n, , x1 , . . . , xn ,
P{X(t1 ) x1 , . . . , X(tn ) xn } =
P{X(t1 + ) x1 , . . . , X(tn + ) xn }
In particular, the first order pdf is the same for every t.
Z
Z
xpX (x; t2 ) = X(t2 )
xpX (x; t1 ) dx =
X(t1 ) =

The autocorrelation function of a SSS random process depends only on


difference t2 t1 .
RX (t1 , t2 ) = X(t1 )X(t2 ) = X(t1 + )X(t2 + )
We write autocorrelation as a function of delay.
RX ( ) = RX (t2 t1 )
EE 179, May 28, 2014

Lecture 23, Page 9

Wide-Sense (Weakly) Stationary


A random process is wide-sense stationary (WSS) if its mean and
autocorrelation are time invariant:
X(t) = constant
RX (t1 , t2 ) = RX (t2 t1 ) = X(t1 )X(t2 )
The power of a WSS random process is also time invariant.
E(X(t)2 ) = X(t)X(t) = RX (0)
Important facts about autocorrelation:
The maximum value of |RX ( )| occurs for = 0.

If RX ( ) = RX (0) then X(t) is periodic and conversely.

The PSD of a WSS random process is SX (f ) = F{RX (t)}.


Z
Z
SX (f ) df
SX (f ) df = 2
Total power of WSS r.p. is

For complex-valued random processes,


EE 179, May 28, 2014

Lecture 23, Page 10

PSD of Low-Pass White Noise


White noise with PSD N0 /2 is a low-pass filtered.
N0  f 
RX ( ) = N0 B sinc(2B )

SX (f ) =
2
2B

EE 179, May 28, 2014

Lecture 23, Page 11

Sample Functions of Low-Pass White Noise


0.2
0
0.2

0.5

1.5

2.5

3.5

4.5

0.5

1.5

2.5

3.5

4.5

0.5

1.5

2.5

3.5

4.5

0.5

1.5

2.5

3.5

4.5

0.2
0
0.2
0.1
0
0.1
0.5
0
0.5

EE 179, May 28, 2014

Lecture 23, Page 12

Random Phase Cosine


Let X(t) = A cos(c t + ) where is random from [0, 2).
Once is chosen, the signal realization is known.

The random phase process is wide-sense stationary.


EE 179, May 28, 2014

Lecture 23, Page 13

PSD of Random Phase Cosine


The random phase cosine process is WSS.
Z 2
1
A cos(c t + ) d = 0
X(t) = A cos(c t + ) =
2
0
RX (t1 , t2 ) = A cos(c t1 + ) A cos(c t2 + )
= 12 A2 cos(c (t2 t1 ) + cos(c (t2 + t1 ) + 2
= 21 A2 cos(c (t2 t1 ))

The mean is constant, and the autocorrelation depends only on t2 t1 .


Therefore the process is WSS.

The random phase cosine process is SSS. Exercise for the reader.
EE 179, May 28, 2014

Lecture 23, Page 14

Random Binary Process


A discrete-time random process is not stationary because the signals change
at specific times, multiple of Tb .
A standard trick to make the process stationary is to shift by a random
phase. In other words, let time t = 0 be random.

The random waveforms can be written in terms of the phase shift:


X
X(t) =
an p(t nTb ) , [0, Tb ] uniform
n

We can use this formula to find the autocorrelation.


EE 179, May 28, 2014

Lecture 23, Page 15

Random Binary Process (cont.)


If t2 > t1 + Tb then X(t1 ) and X(t2 ) are independent
RX (t1 , t2 ) = X(t1 )X(t2 ) = X(t1 )X(t2 ) = 0 0 = 0 .
If | | = |t2 t1 | < 1 then the pulses overlap and the overlap decreases as
1. As shown in the figure,
RX ( ) = (Tb ) SX (f ) = Tb sinc2 (Tb vf )

As expected, most of the power of the binary process is contained within


1/TB Hz.
EE 179, May 28, 2014

Lecture 23, Page 16

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