Random Process
Random Process
2.
3.
Hermitian Symmetry of correlation and Covariance
functions
Notes:
1. Each correlation or covariance matrix of a random vector must be positive
definite.
2. The two-dimensional function g(t,s) is positive semidefinite if for all N>0 and
all t1<t2…<tN.
107
Power Spectral Density
• Let the infinitely long time series u(n) denote
a single realization of the process. Windowed
portion of this time series is given by writing
ìu(n), n = 0, ±1, ±2,... ± N
u N (n) = í
î0, n > N
• The discrete-time fourier transform of the
windowed time series u N (n) is given by
N
U N (w ) = åu N (n) e - jw n
n=- N
Angular frequency lies between –Pi to Pi. 108
Power Spectral Density
Complex conjugate of u N (n) can be given by
N
U N *(w ) = åu N *(k) e jw k
k=- N
From previous 2 equations,
N N
å åu
2 jw (n-k )
U N (w ) = N (n)u N *(k) e
n=- N k=- N
N ë û l=- N è Nø
Above fourier transform is function of two time
functions: the autocorrelation functionrN (l) for lag
l, and a triangular window known as the Bartlett
Window, which is defined by
ìæ l ö
ïç 1- ÷ ; l £ N
w B (l) = íè N ø
ï0 l ³ N;
î
111
Power Spectral Density
If N is very high
¥
1 é
lim E U N (w ) = å r(l)e
ù
2 - jw l
N®¥ N ë û l=-¥
Based on above expression, we can define a
quantity 1
E é U N (w ) ù
2
S(w ) = lim
N®¥ N ë û
• The Poisson process is one of the most widely used counting processes.
• It is usually used in scenarios where we are counting the occurrences of certain
events that appear to happen at a specific rate but entirely at random.
• For example, suppose that from a dataset, we know that a bus arrives at a
particular station at a rate of 3 per hour.
• The timings of the bus are completely random. Thus, we conclude that the Poisson
process might be a good model for counting the arrival of the bus. In practice, the
Poisson process or its extensions have been used to model following cases:
The probability Mass function of the Poisson counting process is given as:
We can note that it is the PMF of a Poisson random variable with mean λt, which is
also called intensity is given as:
Examples
3. Let X be a random variable with zero mean and variance 1. Y is another R.V.
which is independent of X with mean 3 and variance 4. If Z=Y-X
(a) Calculate the correlation between Y and Z.
(b) Calculate the covariance between Y and Z.
4. Check whether the following function is a valid auto-correlation function
(a) 5 sin(nτ)
(b) 1/(1+9τ2)
5. Find the mean and variance of a stationary random process, whose auto correlation
function is given as