Put

[ ]
Auto correlation functions (ACF)
Auto correlation
The auto correlation of a random process { } is defined by
(iii) [ ]
[ ]
Put , [ ]
[ ]
Property 2:
Time Average Approach
(i) If is a stationary process and it has no periodic components,
∫ then ̅̅̅̅ | | where ̅ [ ]
(ii) If is a stationary process and it has no periodic component then
Properties of ACF will have aperiodic component with the same period.
Property 1: If { } is W.S.S process, then (iii) If is a ergodic, zero mean and has no periodic component, then
(i) | | | |
(ii) (iv) cannot have an arbitrary shape.
(iii) [ ]
Proof: ILLUSTRATIVE EXAMPLES
(i) Consider [ ] Example 1: Prove that if is a W.S.S process, [ ]
[ ] [ ] where is the auto correlation of .
[ ] [ ] [ ] Solution: [ ] [ ]

But [ ] [ ] [ ] [ ]

[ ]

Example 2:The auto correlation function of a stationary ergodic process with

no periodic components is given by . Find the mean and
| |
This shows that the maximum value of is variance of { }.

(ii) By definition [ ] Solution:Given

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Then by a property, ̅̅̅̅ | | where ̅ is the mean [ ] Example 4:Check whether the following functions are valid auto correlation

̅̅̅̅ functions. (i) (ii)

[ ]
| |
Solution:
̅ [ ] √
(i) Let
Also by a property, [ ]

But [ ] [ ] { [ ]}
| | | |

| |
Further | | | |
Example 3:A stationary random process { } has an ACF given by
Hence | | is a valid ACF.
. Find the mean and variance of { }.
(ii)
Solution:Given

By a property, ̅̅̅̅ | |
is not an ACF.

̅̅̅̅ * + Example 5:If is a WSS process and if , prove

| |
that
̅̅̅̅ [ ] Solution:
| |
[ ]
[{ }{ }]
[ ]
| | [
]
[ ] [ ]
̅ [ ] √ [ ] [ ]
Since { } is WSS, [ ]
Also by a property, [ ]

But [ ] [ ] { [ ]}

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Example 6: Find the ACF of { } where where [ ]
is a zero mean stationary random process with ACF , and are
[ ]
constants and is uniformly distributed over and independent of .
Solution:Given [ ]
Since is uniformly distributed over , the p.d.f of is

[ ] Example 7:Consider the random process { } where

[ ] where is a constant and { } is a WSS process with ACF . Find the

[ ] [ ] ACF of { }.
Solution: [ ]
[ ]
[{ }{ }]
[ ] [ ] [ ]
[
[ ]
]
Since { } is WSS, [ ]

[ ]

{ [ ] [ ]} Example 8:Find the ACF of the periodic time function

Solution: ∫
{ [ ] }

∫
[ ]

∫ ∫

[ ]
∫ [ ( ) ]
* +

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 ∫ [ ] [ [ ] { } { }

{ }]
* ∫ ∫ +
[ { } { }

* ( ∫ ) { } + { }]

[ { } { }
( )
{ }]
( )
[ ( )∫ ( )∫

Example 9 : If , where are constants and is a { }]

random variable, uniformly distributed over , find the ACF of { }

where . ∫
Solution:Given
[ ( )∫ ( )∫

Since is uniformly distributed R.V, the p.d.f of is ,

{
ACF of is
[ ] }]
[ ]

* { }, -+
[ ( )∫ ( )∫

[{ }{ }]
{ }]
[

]
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 Independence of Random Processes
( )∫ ( )∫
Two Random Processes and are statistically independent if
[ ] [ ]
( )∫ { } If and are WSS processes then for independence of the processes
and , we have [ ] [ ]

( ), - ( ), -
Properties of Cross Correlation Function
If and are WSS processes, then
, - (1)
(2) | | √

(3) | | [ ]

Proof:(i)By definition
[ ]
[ ]
Put , then we obtain
Cross Correlation Function
[ ]
The cross correlation function of two random processes and is
[ ]
defined by
[ ] (or)
[ ]
(ii) From the Cauchy-Schwarz inequality, it follows that
If and are atleast WSS processes, then
{ [ ]} [ ] [ ]
[ ]
[ ]
[ ]
Thus | | √
Orthogonal Processes (iii) [ ]
If [ ] , ie., , then and are calledOrthogonal [ ]
Processes. [ ] [ ] [ ]
[ ] [ ] [ ]

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 Given [ ] [ ] and [ ] [ ]
Since are independent random variables [ ] [ ] [ ]
[ ] | | But [ ] [ ] { [ ]}
ie., [ ] { } [ ]
| | [ ]
Similarly [ ]
[ ] [ ]
Jointly Ergodic Processes
[ ]
Two random processes jointly ergodic if they are individually ergodic and also
Since
the time average cross correlation function.
[ ]
̅̅̅̅̅ , where̅̅̅̅̅ ∫ [ ]
[ ]
Jointly WSS Processes
and are jointly WSS processes.
Two random processes and are said to be jointly WSS if [
] , a function of only, (or) if [ ] Example 2: Two random processes and are given by
. where are constants and is a
uniform random variable over [ ]. Find the cross correlation of and
ILLUSTRATIVE EXAMPLES
and verify that .
Example 1: Let and be defined by and
Solution: The cross correlation of & is [ ]
where is a constant and are independent
[ ]
random variables both having zero mean and variance . Find the cross
correlation of and . Are and jointly WSS processes? [ ]
Solution: The cross-correlation of and is [ ] Since
[ ( )]
[ ]
[ ( )]
[ [ ] [ ]
]
[ ] [ ] ∫
[ ] [ ][ ]

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Since is a uniform random variable over[ ], the p.d.f is
* + [ ]
,
* +
[ ] * +
* +
* +

* +

From (1) and (2),

Similarly
[ ] Example 3 : If where

[ ] are independent random variables such that

, show that are not jointly
[ ]
WSS but they are individually stationary in the wide sense.
Solution: [ ]

[ ]
[ ] [ { }]
[ ] [ ] [
]
∫ [ ]

is a uniform random variable over [ ], the p.d.f is

[ ] [ ]
, [ ] [ ]

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 [ ] [ ][ ] [ ] [ ] [ ]
[ ] [ ]
Given Given
Also are independent, [ ] Also are independent, [ ]
[ ] [ ] [ ] [ ]

{ }
[ ]
is WSS process. , which is not a function of
[ ] [{ }{ }] are not jointly WSS processes.
[
Example 4 : Random processes are defined by
]
where are constants while
[ ] [ ]
is a uniform random variable on . Find the cross correlation function
[ ] [ ]
and show that are jointly WSS.
[ ] [ ][ ]
Solution:Given
[ ]
Given Since is uniformly distributed R.V, the p.d.f of is ,
Also are independent, [ ]
[ ]
[ ]
[ ]

{ } [ ]
[ ]
[ ]
is WSS process.
[ ] [ { }]
[ [ ]
]
[ ]

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 ∫
| |

∫ [ ]
[{ }{ }]
[ ] [ ] [ ] [ ]
∫

* + | |

[ ]
* +
[{ }{ }]
[ ]
* +
[ ] [ ] [ ] [ ]

[ ]

, a function of only. | |

are jointly WSS process.

Example 6 : Consider two random processes
Example 5 : are zero mean and stochastically independent
where and is uniformly distributed random variable
random processes having auto correlation functions
| | over [ ]. Verify that | | √
respectively.
Find the ACF of . Find the ACF of Solution:Given where

Find the cross correlation function of . and is uniformly distributed random variable over [ ], the p.d.f of is
Solution:Given are zero mean and stochastically independent
,
random processes, then .
[ ] [{ }{ }] [ ]

[ ] [ ]

[ ] [ ] [ ] [ ] [ ]

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 [ ]
[ { } ]
[ ] [ ] [ ]
[ ] [ ]
[ ]

[ ]
∫
[ ]
[ ]
∫ [ ]

* + [ ]
[ ]

* + [ ] [ ] [ ]
[ ]
* +
| | | | | |
[ ]

| | √
( )
Example 7 : The jointly WSS random processes have sample functions
( ) where is uniformly
distributed R.V in [ ] and are constants. Find the cross
correlation function for . Also find the value of when
[ ]
are orthogonal.
[ { }]
Solution: [ ]
[ { } ]
[ ]
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 [ ]

[ ] If are orthogonal, then .

[
Example 8 : Given two random processes . Find expressions for
]
Auto Correlation Function of if (i) are
[ ] correlated (ii) are uncorrelated with zero means.
Solution : ACF of
[ ]
[{ }{ }]

[ ] [ ] [ ] [ ] [ ]
[ ]

∫
This is the ACF when are correlated.
Since is uniformly distributed random variable over [ ], the p.d.f of is Suppose that are uncorrelated.
[ ] [ ]
,

Similarly
∫
ACF of is given by

∫ Power Spectral Density

Fourier transform of a process { } is given by

* + ∫

* + The inverse Fourier transform of is defined by

[ ] ∫

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Power Spectrum or Power Spectral Density Properties of Power Spectral Density
The power density spectrum of the random process is defined by 1. is real and
[| | ]
where ∫ and 2.
3. ∫ [ ]
{
4. where ̇

Average Power 5. ∫ [ ]& ∫ [ ]

The average power of a random process { } is defined by ie., the power density spectrum and the time average of ACF form a Fourier
∫ . It is always given by the time average of its second moment. transform pair. where [ ] ∫

Table of Fourier Transforms

∫ [ ]
Sl. No.

1
Power Density Spectrum of a WSS process
Let { } be a WSS process. Then the ACF and the power spectral 2

density form Fourier transform pair.

3
If is the ACF of , then the power spectral density (or power
spectrum) of is defined by ∫ 4

Thus ∫ 5 [ ]

6 [ ]
Wiener-Khinchin Relations
If { } is a WSS process with ACF then the power spectral density is 7

given by
8
∫ ∫
9
The above relations are known as Wiener-Khinchine relations.
| |
10

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IIUSTRATIVE EXAMPLES ( ) ( )
Example 1 : Find the average power of in the random process [ ]

where are constants and is a random variable

uniformly distributed on the interval* +. * +

Solution : Mean Squared Value of the process is [ ] [ ]

* +
* , -+ { }

* + The time average of [ ] is given by

* + { [ ]} ∫* +

∫ ∫ ∫

Since is uniformly distributed random variable over * +, the p.d.f of is

[ ] [ ]

,
[ ] [ ]

[ ] [ ]
∫

{ [ ]}

∫ Hence average power in { }

Example 2 : Find the power density spectrum of the R.P

∫ where are constants and is uniformly distributed on
Solution : ACF of is [ ]

* + [ ]

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 [ ] * + [ ]

[ ] From the table of Fourier Transforms,

[ ] [ ]

[ ]
[ ]

[ ] ∫

is uniformly distributed random variable over [ ], the p.d.f of is Consider,

, [ ] ∫[ ]

∫ Since by a property, ∫

[ ]
∫

[ ] [ ]
* +
Hence [ ]
* +
[ ]

Example 3 : Find the power density of a stationary random process for which
* +
| |
the ACF is
[ ] Solution : ∫

| |
∫

Power Spectral Density

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 [ ]
∫

[ ]
[ ]
( )

Example 5 : The ACF of an aperiodic power signal is . Find

Example 4 : The autocorrelation function of the random binary transmission
the power spectral density of the signal.
| |
| |
is given by , . Find the power spectrum of the Solution : Power spectral density ∫
| |
process . ∫
Solution : Power Spectral Density ∫

[ ]
∫ ∫

| | | | Here, ( )
∫( ) ∫( )
( )
∫
The second integral vanishes because the integrand is an odd function of .

| |
∫( ) ( )
∫

| | Put 
*( )( ) ( )( )+

{ ∫ } ∫

[ ]
∫ √

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 √
Hence,
Power Spectral density ∫
Example 6 : A wide sense stationary noise process has an ACF
| |
∫
where is constant. Find its power spectrum.
Solution : ∫ [ ]
[ ]
| |
∫
[ ] [ ]

∫ Example 8 : If the power spectral density of a WSS process is given by

| | | |
, . Find the ACF of the process.
| |
* + { ∫ }
Solution : ACF ∫

[ ]
∫{ | | }

∫
Example 7 : A random process { } is given by
where are independent random variables such that { }

. Find the power spectral density of the process.

∫
Solution : ACF [ ]
[{ }{ }]
[ ( ) ( )]
[ ][ ] [ ][ ]
[ ] [ ( ) ( ) ( ) ( )]
Since are independent,
[ ][ ] [ ][ ] [ ]
[ ]
( )

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Example 9 : For a random process , the power density spectrum
| | ∫( )
{ . Find the ACF of the process.

Solution : ∫ *( )( ) ( )( )+

∫
*( )( ) ( )( )+

* + *( )( ) ( )( )+

[ ] *( )( ) ( )( )+

* , - { } { }+

Example 10 : Find the power spectrum of the random process whose ACF is
[ { } { } { }] ,
| |

Solution : Power Density Spectrum [ ], where denotes the

( ) ( )-
Fourier Transform.
| | | |
[ ] [ ] [ ] [ { } { } { }]
From the Fourier transform results

* + and [ | |
] Example 12 : Find the PSD of the random process whose ACF is
| |

Solution : ∫

Example 11 : The power spectral density of a random process is given by ∫ | |

, . Determine the ACF of the process.

∫
Solution : ACF ∫
| |
{ }

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 Example 14 : The power spectral density function of zero mean WSS process
∫ [ ]
| |
{ } is given by { . Find the and show that

∫ [ ] and ( ) are uncorrelated.

Solution : ∫
∫ ∫
∫ * +

{ ∫ }
* +, ( )-

Example 13 : Find the ACF of the process{ } for which the PSD is given [ ]
| |
by {
| | [ ( ) ] ( )
Solution : ACF ∫
Since [ ] * ( ) +

∫ [ ( ) ] [ ( )] [ ]

( )are uncorrelated.
∫

Example 15 : The ACF of the Poisson increment process is given by,

∫ | |
{ | | . Find the power spectral density of the
( ) | |
{ }
process.

[ ( ) ( ) ( )]
∫

[ ] [ ]
| |
∫, ( )- ∫ ∫

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 | | Now, * ( ) +
∫ ∫( )

( )
∫ ( ) where is the Fourier transform of .
*( ) +
∫
∫( )

( ) ( )
∫ ∫
∫( )

Put √ ( ), Then √ √
[( )( ) ( )( )]

[ ∫ ]
[ ] √

( )
{ ( ) }
∫
√
From the table of Fourier transforms,

( ) Put , Then
√
[ ]
( )
∫
√ √
Example 16 : Find the power spectral density of a WSS process with ACF

∫ [ ( )]
√ √
∫

[√ ]
√
∫

√
* +
∫

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Example 17 : Show that the power spectrum of random process (real) is Relationship between cross correlation and cross spectral densities
real and verify that
If the random processes are jointly WSS then the cross
Solution : ∫ correlations and cross spectral densities form Fourier transform pairs. Thus if

∫ ∫

∫
∫ ∫

∫
Since is an even function of , i.e., , the second
integral vanishes.
∫
∫
Since ,We obtain where

is real. denotes the complexconjugate.

Also ∫ Remark

The cross power in the random process are defined by

∫
∫

∫
Cross Spectral Density

If are jointly WSS, we define the cross correlation functions Also if are two random processes then the time average cross

. The Fourier transform of these cross correlations functions correlation function

define the cross spectral density functions .

[ ] ∫

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The cross power spectrum is defined by ILLUSTRATIVE EXAMPLES

Example 1 : The cross power density spectrum of the processes { } { }

∫, ∫ -
is given by , . Where are real

∫ constants. Find the cross correlation function

Solution : The cross correlation function is given by

By inverse Fourier Transform, we have
∫
∫ ∫
∫ ( )
For jointly wide sense stationary processes, the time average ACF is just
, we can get ∫ ( )

∫ *( )( ) ( )( )+

*,( )( ) ( )( )-
Properties of Cross-Power Density Spectrum

1. ,( )( ) ( )( )-+
2. [ ] [ ]are even functions of .
3. [ ] [ ]are odd functions of . * ( ) ( ) ( )( ) ( )( )+

4. , if are orthogonal.
* ( ) ( ) ( ){ }+
5. If are uncorrelated and have constant means ̅ ̅,
̅̅ . [ { } { } ( ){ }]
6. [ ] [ ] ie., the cross
[ { } { } ( ){ }]
power density spectrum and the time average of the cross correlation
function are a Fourier transform pair. ( )

[ { } { } ( ){ }]

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 (iii) From ,
[ ]
(or) [ ] [ ] [ ]
[ ]
Which means that the mean square of is equal to the sum of the mean
squares of .
Example 2 : Let be both zero-mean and WSS random processes.
Consider the random process defined by . Example 3 : A random process is given by where

(i) Find the ACF & the power spectrum of if are jointly WSS. are real constants and are jointly WSS processes.

(ii) Find the power spectrum of if are orthogonal. (a) Find the power spectrum of .
(iii) Show that if are orthogonal, then the mean square of is (b) Find if are uncorrelated.
equal to the sum of the mean squares of . (c) .

Solution : ACF of is given by Solution : (a)ACF of , [ ]

[ ] [{ }{ }]

[{ }{ }] [ { } { } { }

[{ }] { }]

[ ] [ ] [ ] [ ] [ ] [ ] [ ]
[ ]

(i) If are jointly WSS, then we have

{ }
Where
Taking Fourier Transform on both sides of the above expression,
Taking Fourier Transform on both sides of , we get
{ }

(b) If are uncorrelated, then

(ii) If are orthogonal, then

(c) [ ]
And the Fourier Transform of the above gives,
[ { }]

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 {| | ∫ ∫ [ ]
[ ] [ ]
∫ ∫ ---(1) [ [ ] ]
Let and
Taking Fourier Transform on both sides of the above expression,
and
and
In a similar manner, we can easily prove
| | | |

WIENER-KHINCHINE THEOREM
| |
Statement : If is the Fourier Transform of the truncated random
The limits of t are : when
process is defined as { , Where { } is a real WSS The limits of are : when
process with power density spectrum then
{| | ∫ ∫
[ {| | }]

Proof : {| | *∫ + *∫ +
Given that { }
[ ] *∫ +
∫

*∫ +
∫ { }

| | [ ][ ] { | | ̅} [ {| | }] *∫ +

*∫ + *∫ +
*∫ +

∫ ∫
∫

∫ ∫
[ {| | }]

Hence proved.
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 3. State and prove Weiner-Khintchine Theorem.

MAY 2015 PART-A DEC 2014

PART-A 1. Write any two properties of autocorrelation.
1. State any two properties of cross correlation function.
2. Find the auto correlation function whose spectral density is 2. Write the Wiener-Khintchine relation.
⌈ ⌉
, PART-B
PART-B 1. The random binary transmission process { } is a WSS process with
1. Consider two random processes and | |
zero mean and autocorrelation function , where is a
, where and is uniformly distributed over .
Verify | | √ constant. Find the mean and variance of the time average of { }over

2. Find the Power spectral density of a random binary transmission process . Is { } mean ergodic?
where autocorrelation function is 2. Find the power spectral density of a WSS process with autocorrelation

| | function .
, | |
3. A random process { } is given by , where
3. If the power spectral density of a continuous process is are independent random variables such that
find the mean square value of the process. and . Find the power spectral density of the process.
4. A stationary process has an auto correlation function given by 4. If the power spectral density of a WSS process is given by
| | | |
Find the mean value, mean square value and variance of the , . Find the autocorrelation function of the process.
| |
process.

PART-A MAY 2014 PART-A MAY 2013

1. A random process is defined by where is
1. Define cross-correlation function and state any two of its properties.
constant is uniformly distributed over . Find the autocorrelation
2. Find the variance of the stationary ergodic process { } whose
function of .
autocorrelation function is given by .
2. Define cross-correlation of . When do you say that they are
PART-B independent?
1. Find the mean and autocorrelation of the Poisson process. PART-B
2. Prove that the random processes defined by 1. Define spectral density of a stationary random process . Prove that
and are jointly wide sense for a real random process the power spectral density is an even
stationary. function.

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 2. Two random processes and are defined as follows: PART-A MAY 2012
and where are constants; 1. The autocorrelation function of a stationary random process is
is a uniform random variable over . Find the cross-correlation . Find the mean and variance of the process.
function of and .
2. Prove that
3. State and prove Wiener-Khintchine theorem. PART-B
4. If the cross power spectral density of and is
1. A stationary random process with mean 2 has the autocorrelation
| |
, where are constants. Find the cross function . Find the mean and variance of ∫ .

correlation function. 2. Find the power spectral density of the random process whose

autocorrelation function is .
PART-A DEC 2013
3. The cross-correlation function of two processes { } { } is given
1. Define power spectral density function.
by { } where are
2. State Wiener-Khintchine theorem.
constants. Fine the cross-power spectrum
PART-B
4. Let be both zero-mean and WSS random processes.
1. The autocorrelation function of the random telegraph signal process is
√| |
Consider the random process defined by . Find (i)
given by . Determine the power density spectrum of the
The Autocorrelation function and the power spectrum of
random telegraph signal.
if are jointly WSS. (ii) The power spectrum of
2. The autocorrelation function of the Poisson increment process is given by
if are orthogonal.

| | PART-A DEC 2012

, | | . Prove that its spectral density is
( ) | |
1. Find the variance of the stationary process { } whose auto correlation
| |
. function is given by .
2. Prove that for a WSS process { } is and even function of
3. If the power spectral density of a WSS process is given by
PART-B
| | | |
, . Find the autocorrelation function of the process. 1. If { } and { } are two random processes with autocorrelation
| |
function respectively then prove that | |
4. If the process { } is defined as where { } and
{ } are independent WSS processes, prove that (i) √ . Establish any two properties of autocorrelation function
.
and ∫

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 PART-B
2. Find the power spectral density of the random process whose
| | 1. The autocorrelation function of a random process is given by
| |
autocorrelation function is , | |
, | | . Find the power spectral density of the process.
( ) | |
3. State and prove Weiner-Khintchine Theorem and hence find the power
spectral density of a WSS process which has an autocorrelation
[ | | ] . 2. Given the power spectral density of a continuous process as

. Find the mean square value of the process.

PART-A MAY 2011
3. State and prove Weiner-Khintchine Theorem.
1. The autocorrelation function of a stationary random process is
4. The cross-power spectrum of real random processes { } { } is
. Find the mean and variance of the process. | |
given by { . Find the cross-correlation
2. Prove that for a WSS process { } is and even function of
PART-B function.

1. The power spectral density function of a zero mean WSS process is

PART-A MAY 2010
| |
given by { . Find and show that and 1. Find the mean of the stationary process { }, whose autocorrelation

are uncorrelated. function is given by

2. The Autocorrelation function of a WSS process is given by 2. Find the power spectral density function of the stationary process whose
| |
| |
determine the power spectral density of the process. autocorrelation function is given by

3. State and prove Weiner-Khintchine Theorem. PART-B

4. The cross-power spectrum of real random processes { } { } is 1. Find the autocorrelation function of the periodic time function of the
| | period time function { }
given by { . Find the cross-correlation
2. The autocorrelation function of the random binary transmission { } is
function. | |
given by for | | and for | | . Find the power

spectrum of the process { }.

PART-A DEC 2011
1. The autocorrelation function of a stationary random process is 3. { }and{ } are zero mean and stochastically independent random
. Find the mean and variance of the process. processes having autocorrelation functions | |
and
2. Prove that for a WSS process { } is and even function of respectively. Find

Department of Mathematics AnjalaiAmmalMahalingam Engineering College, Kovilvenni – 614 403. Page 26

 (1) The autocorrelation function of and

(2) The cross correlation function of and .

4. Find the autocorrelation function of the process { } for which the
power spectral density is given
by | | | |

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Department of Mathematics AnjalaiAmmalMahalingam Engineering College, Kovilvenni – 614 403. Page 27