Yates’ Chapter 6, 10:

Stochastic Processes & Stochastic Filtering

(Yates’ Chapter 6, 10)

• Definition of a Stochastic Process

• Basic Properties of Stochastic Processes

• Filtering of Stochastic Processes

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 1

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Definition of a Stochastic (Random) Process

Random Process : is a mapping from an outcome ei of an Ep to a real - valued time function (i.e. waveform).
ei X (t , ⋅ )
 → X (t, ei ) = xi (t ), a real - value waveform
e.g.,
X (t, e 1 ) = x1 (t )

X (t, ⋅) t

X (t, ⋅) X (t, e 2 ) = x 2 (t )
S e1
e2 t
e4 X (t, ⋅)
e3 X (t, e 3 ) = x 3 (t )
t
X (t, ⋅)
X (t, e 4 ) = x 4 (t )

S  → R 2 , a wo dimensional signal space ( x,t )

X (t , ⋅ )

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 2

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 Interpretations :
A random process X (t, e ) is
− a family of deterministic functions, where t and e are variables, X (t,e ) = {x(t,ei ) ei ∈ S }
− a random variable at t = t 0 , X = X (t 0 ,e ) where e is variable depending on the outcome of a
particular trial.
− a single time function (or a sample of the given process) given that e is fixed, X (t,e ) = x(t )
where t is variable.
− a real number if both t and e are fixed.

x(t,e )

t
e1

en
e

X (t ) is commonly used as a shorthand to represent X (t, e )

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 3

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 A and ω c are deterministic scalar constants
Example : X (t ) = A cos(ω c t + Θ ), where 
Θ is a random variable, uniformly distributed on [0, 2π )

Θ = θ , a deterministic scalar constant ⇒ X (t ) = A cos(ω c t + θ ) = x(t ) is a deterministic waveform

t = t 0 ⇒ X (t 0 ) = A cos(ω c t 0 + Θ ) = X is a random scalar - variable

FX ( x ) = P( X ≤ x ) = P(a ≤ Θ ≤ b ), What are a and b?

If X = x, then A cos(ω c t 0 + θ ) = x, where θ = a or b
a = arccos x ( A) − ω tc 0 ∈ [0, 2π ], b = 2π − arccos x ( A) − ω t c 0 ∈ [0, 2π ]
FX ( x ) = ∫
a
b
f Θ (θ ) dθ =
1
2π π
( )
(b − a ) = 1 − 1 arccos x A , ∀x ∈ (− A, A)
d 1
f X (x ) = FX ( x ) = , ∀x ∈ (− A,+ A)
dx (
π A −x
2 2 2
1
)
A cos (ω c t 0 + θ )

x
θ + ω ct0
0

2 π − cos −1
(x A )
cos −1
(x A )
May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 4
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Descriptio n of Random Processes
− analytical descriptio n :
X (t ) : {x (t , e ) e ∈ S } + probabilit y informatio n of S
− statistica l descriptio n :
Definition : A " complete" statistica l descriptio n of a random process X (t ) is : for any integer n
and any choice of sampling instants t1 , t 2 , L , t n , the joint - PDF f X (t1 ), X (t 2 ), L, X (t n ) ( x1 , x 2 , L , x n )
of ( X (t1 ), X (t 2 ), L , X (t n )), is given.

Statistica l averages
x(t , e3 )
− mean or expectatio n :
m X (t )

m(t 2 ) = E ( X (t 2 ))
x(t , e1 )
m(t1 )
t
t1 t2

x(t , e2 )

Figure. The mean of a random process.

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 5

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Definition : The mean (a.k.a., statistical expectation) of a random process X (t ) is a deterministic
function of time m X (t ), that at each time instant t 0 equals the mean of the random
variable X (t 0 ) . That is, m X (t ) = E ( X (t )) for all t.

At t = t 0 , X (t 0 ) is defined by a PDF f X (t0 ) (x ) :

∞
m X (t 0 ) = E ( X (t 0 )) = ∫ x ⋅ f X (t0 ) (x ) dx
−∞

Example Find the mean of the random process X (t ) = A cos(ω C t + Θ ), where Θ is a

random variable uniformly distributed on [0,2π ] i.e.,
 1 , 0 ≤ θ ≤ 2π
f Θ (θ ) =  2π
0, otherwise
⇒ m X (t ) = E ( X (t )) = E [A cos(ω C t + Θ )]
2π
= ∫ A cos(ω C t + θ ) f Θ (θ ) dθ = 0.
0

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Correlation Function :
Definition : The autocorrelation function R X (t1 , t 2 ) of a random process X (t ) :
R X (t1 , t 2 ) = E [ X (t1 )X (t 2 )].
R X (t1 , t 2 ) provides a way of describing the inter - dependence of two random
variables, obtained by observing a random process X (t ) at t1 and t 2 . The more
rapidly each realization X (t , e ) changes with ti me, the more rapidly R X (t1 , t 2 )
decreases from its maximum value R X (t1 , t 2 ) as t 2 − t1 increases.

Example
The autocorrelation function of the random process X (t ) = A cos(ω C t + Θ ) is
R X (t1 , t 2 ) = E [ A cos(ω C t1 + Θ ) A cos(ω C t 2 + Θ )]
1 1 
= A 2 E  cos[ω C (t1 − t 2 )] + cos[ω C (t1 + t 2 ) + 2Θ]
2 2 
A2 A 2 2π 1 A2
= cos[ω C (t1 − t 2 )] + cos[ (
∫0 444C414224444
ω t + t ) + 2θ ] dθ = cos[ω C (t1 − t 2 )]
2 2 1 2π43 2
=0

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 7

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 Stationary Stochastic Processes
Definition : A random process X (t ) is wide - sense stationary (WSS) if m X (t ) = constant
and R X (t , t − τ ) = R X (τ ).
For example, the random process in the preceding examples is WSS. ECE 316 will be
concerned almost exclusively with WSS processes.

Properties of R X (τ ) :
(1) R X (τ ) = R X (− τ ) if X (t ) is real - valued.
proof : R X (τ ) = R X (t , t − τ ) = E [ X (t )X (t − τ )] = E [X (t − τ )X (t )] = R X (− τ ).

( 2) R X (τ ) ≤ R X (0 ).
proof : [
E ( X (t ) ± X (t − τ ))
2
] ≥ 0 [ ]
⇒ E X 2 (t ) + X 2 (t − τ ) ± 2 X (t )X (t − τ ) ≥ 0
[ ] [ ]
⇒ E X 2 (t ) + E X 2 (t − τ ) ± 2 E [X (t )X (t − τ )] ≥ 0
⇒ R X (0 ) + R X (0 ) ± 2 R X (τ ) ≥ 0 ⇒ m R X (τ ) ≤ R X (0 ) ⇒ R X (τ ) ≤ R X (0 )

(3) R X (0 ) is the average power of X (t )

 1 T  1 T
proof : The average power of X (t ) is P = E lim ∫ T2 X 2 (t )dt  = lim ∫ T2 E X 2 (t ) dt [ ]
 T −∞ T − 2  T −∞ T
−
2

1 T2
= lim ∫−T R X (0 )dt = R X (0 )
T −∞
T 2

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 8

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 Power & Power Spectral Density (PSD) of a Deterministic Signal x(t )

The time - average power of x(t ) is

T −∞
1 T
P = lim ∫ T2 [x(t )] dt = lim ∫ x(t ) rect t
T −
2
2

T −∞
[
T
1 ∞
−∞
( )] T
2

T −∞
1 ∞
T
[
dt = lim ∫ F x(t ) rect t
−∞
( )]
T
2
df

1 ∞ ∞ 1 ∞
= lim ∫ X T ( f ) df = ∫ lim X T ( f ) df = ∫ S x ( f ) df
2 2

T −∞ T T −∞ T
−∞ −∞ −∞

1,
where rect ( ) t
T
= 
−T ≤ t ≤ T
2 2.
0, otherwise
1 T 1 ∞
The identity lim ∫ T2 [x(t )] dt = lim ∫ X T ( f ) df is called the Parseval's theorem.
2 2

T −∞ T T −∞ T
− −∞
2

1
S x ( f ) = lim X T ( f ) is called the PSD of x(t ) .
2

T −∞ T
∞ ∞ 1
F −1 {S x ( f )} = ∫ S x ( f )e j 2π fτ df = ∫ lim X T ( f ) ⋅ e j 2π fτ df
2

T −∞ T
−∞ −∞

*
1 ∞ T   T 
= lim ∫  ∫ T2 x(t1 ) e − j 2π f t1 dt1  ⋅  ∫ T2 x(t ) e − j 2π f t dt  e j 2π f τ df
T −∞ T −∞  − 2  − 2 
1 T T 1 T T
= lim ∫ T2 x(t )∫ T2 x(t1 ) ∫ e j 2π f (τ −t1 +t ) df  dt1 dt = lim ∫ T2 x(t )∫ T2 x(t1 ) ⋅ δ (τ − t1 + t ) dt1 dt
∞

T −∞ T − 2 −
2
 −∞  T −∞ T − 2 −
2

1 T
= lim ∫ T2 x(τ + t ) x(t ) dt , the autocorrelation function of x(t )
T −∞ T − 2

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 9

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Power and PSD of a Random Signal X (t )
1 T2 2
For a random signal X (t ), its time - average power lim ∫ T X (t ) dt is a random variable.
T −∞ T − 2

The statistically - averaged and time - average power of X (t ) is defined by

 1  1
[ ]
T T
P = E lim ∫
2
X 2 (t ) dt  = lim ∫
2
E X 2 (t ) dt
−T −T
 T −∞ T 2  T −∞ T 2

[ ] 1 T
If X (t ) is WSS, E X 2 (t ) = R X (0) = constant, then P = lim ∫T
2
R X (0) dt = R X (0)
T −∞ T −
2

 1
The PSD of X (t ) is defined as S X ( f ) = E lim F X (t ) ⋅ rect t
 T −∞ T T
[ ( )] 2

,

∞
Hence, P = ∫ S X ( f ) df = R X (0 )
−∞

 1 T
 1 T 1 T
F −1
{S X ( f )} = E lim ∫ T
2
X (τ + t )X (t ) dt  = lim ∫ T
2
E [X (τ + t ) X (t )] dt = lim ∫ T
2
R X (τ ) dt = R X (τ )
 T −∞ T −
2  T −∞ T −
2 T −∞ T −
2

S ( f ) = ∞
R X (τ ) e − j 2π fτ dτ
 X
Wiener - Khintchine Relations for WSS stochastic processes : 
∫
−∞
∞
 R X (τ ) = ∫ S X ( f ) e j 2π fτ df
 −∞

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 10

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Filtering of a Stochastic Signal through a Linear Time - Invariant (LTI) System

 y (t ) = x(t ) ⊗ h(t ) = ∞

Input - output Relationship :  ∫ x(t − τ ) h(τ ) dτ

−∞

Y ( f ) = X ( f )H ( f )

where H ( f ) = F [h(t )] =
∞
∫ h(t ) e − j 2π f t
dt
−∞

x(t ) h(t ) y (t )

In the case of a stochastic input - signal :

= E [Y (t )] = E ∫ X (t − τ ) h(τ ) dτ  =

∫ E[X (t − τ )]h(τ ) dτ
∞ ∞
Mean : mY (t )
 −∞  −∞

= E [X (t )] ⊗ h(t ) = m X (t ) ⊗ h(t )
∞
If X (t ) is WSS, then mY (t ) = m X ∫ h(τ ) dτ = m X ⋅ H (0 ) = constant
−∞

X (t ) h(t ) Y (t )

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 11

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Time - Domain Correlation Function :

RY (t , t + τ ) = E [Y (t ) Y (t + τ )] = E  ∫ X (t − α )h(α )dα   ∫ X (t + τ − β ) h( β ) dβ 

∞ ∞

 −∞   −∞ 
E [ X (t − α ) X (t + τ − β )] h(α ) h( β ) dα dβ
∞ ∞ ∞ ∞
= ∫ ∫ = ∫ ∫ R X (t − α , t + τ − β ) h(α ) h( β ) dα dβ
-∞ -∞ -∞ - ∞

If X (t ) is WSS, R X (t − α , t + τ − β ) = R X (τ − β + α ), then

∫ ∫ R X (τ − β + α )h(β )dβ  h(α ) dα ∫ [R (τ + α ) ⊗ h(τ + α )] h(α ) dα

∞ ∞ ∞
RY (t , t + τ ) = =
-∞ -∞  -∞
X

∫ [R (τ − α ) ⊗ h(τ − α )] h(−α ) dα
∞
= X = R X (τ ) ⊗ h(τ ) ⊗ h(− τ ) = RY (τ )
-∞

Hence, if X (t ) is WSS, then Y (t ) is also WSS.

The PSD of Y (t ) is
SY ( f ) = F [RY (τ )] = F [R X (τ ) ⊗ h(τ ) ⊗ h(− τ )] = F [R X (τ )] ⋅ F [h(τ )] ⋅ F [h(− τ )]
123
Output −Signal's
PSD

S X ( f ) H ( f )H * ( f ) = H( f ) ⋅ SX ( f )
2
=
123 142 4 43 4
Input −Signal's System
PSD Impulse− Response's
PSD

The statistically - averaged and time - averaged power of Y (t ) is :

∞
= RY (0 ) = ∫ H ( f ) ⋅ S X ( f ) ⋅ df
2
PY
−∞

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 12

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 Properties of the PSD
∞
(1) PX = R X (0 ) = ∫ S X ( f ) df
−∞
∞
(2) S X (0 ) = ∫ R X (τ ) ⋅ dτ
−∞

(3) S X ( f ) ≥ 0, ∀f
(4) S X ( f ) = S X (− f )
∞
Proof : S X (− f ) = ∫ R X (τ ) ⋅ e − j 2π (− f )τ dτ
−∞
∞
∫ R (− τ ) ⋅ e
− j 2π f ( −τ )
= X dτ
−∞
−∞
∫ R (u ) ⋅ e (− du )
− j 2π f u
= X
u = -τ ∞
∞
= ∫ R X (u ) ⋅ e − j 2π f u du = S X ( f )
−∞

(5) S Y ( f ) = H( f ) ⋅ SX ( f )
2

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 13

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Example : Derive the PSD of the random process Y (t ) = X (t ) cos(2π f C t + Θ ), where X (t ) is a WSS
stochastic process with PSD S X ( f ), f c is a deterministic scalar constant, Θ is a random variable
uniformly distributed on [0, 2π ] and is statistically independent of X (t )

Solution :
Step 1 : To show that Y (t ) is WSS :
mY (t ) = E [X (t ) cos(2π f C t + Θ )] = E [X (t )] ⋅ E [cos(2π f C t + Θ )]
2π 1
= m X ⋅ ∫ cos(2π f C t + θ ) ⋅ dθ = 0
0 2π
R Y (t , t + τ ) = E [Y (t )Y (t + τ )] = E [ X (t ) cos(2πf C t + Θ ) ⋅ X (t + τ ) cos(2πf C t + 2πf Cτ + Θ )]
1
= E [ X (t )X (t + τ )] ⋅ E [cos(2πf C t + Θ ) ⋅ cos(2πf C t + 2πf Cτ + Θ )] = R X (τ ) ⋅ cos(2πf Cτ )
2
= R Y (τ ) ⇒ Y (t ) is WSS.
Step 2 : To use the Wiener - Khintchine relation to derive the PSD of Y (t ) :
1  1 1 
S Y ( f ) = F [R Y (τ )] = F  R X (τ ) cos(2πf Cτ ) = F  R X (τ ) exp( j 2πf Cτ ) + R X (τ ) exp(− j 2πf Cτ )
2  4 4 
1
= [S X ( f − f C ) + S X ( f + f C )]
4

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 14

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Example A random process N (t ) is " zero - mean whit e Gaussian noise" if
(1) N (t ) is a Gaussian random variable at all t ,
(2) E [N (t )] = 0 at all t , and
N0
(3) R N (τ ) = δ (τ )
2
N(t) Y(t)
These imply :
h(t) H(f)
i ) E [N (t1 )N (t 2 )] = 0 if t1 ≠ t 2 ;
ii) [
E N 2 (t )] = R N (0 ) = ∞ , i.e., N (t ) is physically unrealizab le!
iii) S N ( f ) = F [R N (τ )] = N 0 / 2, − ∞ < f < ∞ ( two - sided psd)
N0
iv ) S Y ( f ) = H ( f ) , wher e H (t ) is usually realizable .
H ( f ) SN ( f ) =
2 2

2
At the output, the mean is mY (t ) = m N (t ) ⊗ h (t ) = 0
and the statistica lly averaged and time - average power is :

[ ] ∞
E Y 2 (t ) = ∫ S Y ( f ) df =
−∞
N0 ∞
2 ∫− ∞
H ( f ) 2
df = σ Y
2

If the input to a linear ti me - invariant filter is Gaussian, then th e

output is also Gaussian; hence, at any time instant t 0 , Y (t 0 ) ~ N 0 ,σ Y ( 2
)
May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 15
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Summary
mean : m X (t ) = E [X (t )]
(1) Definition and description of a random process 
correlation : R X (t1 , t 2 ) = E [X (t1 )X (t 2 )]

(2) WSS random processes :

• m X (t ) = constant
• R X (t , t + τ ) = R X (τ ) → R X (τ ) = R X (− τ ), R X (0) ≥ R X (τ )
• Wiener - Khintchine Relation : R X (τ ) ←→ F SX ( f )
F − 1
 1   t 
2

where S X ( f ) ∆ E  lim F  X (t ) ⋅ rect    ≥ 0
T →∞ T   T  

∞  1 
S X ( f ) df X 2 (t )dt  = R X (0 )
T /2
(3) PX = ∫ -∞
= E lim
 T →∞ T
∫
−T / 2


(4) mY (t ) = m X (t ) ⊗ h(t ) = m X (t ) H (0)

RY (τ ) = R X (τ ) ⊗ h(τ ) ⊗ h(−τ ) X(t) LTI Y(t)
SY ( f ) = SX ( f ) H( f )
2 h(t)
WSS WSS
∞
∫ S X ( f ) H ( f ) df
2
PY =
−∞

May 10, 2004 By Prof.'s W. Zhuang & K. T. Wong 16

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