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RPdefinitions

This document defines and provides examples of random processes. It discusses discrete-time and continuous-time random processes as collections of random variables indexed by countable or real-valued indices. Random processes can model probabilistic signals over time or other indices. Key properties discussed include independence, Markov processes, means, autocorrelations, and cross-correlations between multiple processes.

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0% found this document useful (0 votes)
68 views2 pages

RPdefinitions

This document defines and provides examples of random processes. It discusses discrete-time and continuous-time random processes as collections of random variables indexed by countable or real-valued indices. Random processes can model probabilistic signals over time or other indices. Key properties discussed include independence, Markov processes, means, autocorrelations, and cross-correlations between multiple processes.

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dajedi43017
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Random Processes - Basic Denitions

Guy Lebanon January 6, 2006


We started some time ago with random variables X : R and moved to random vectors (X1 , . . . , Xn ) which are a vector of random variables. In a similar way, random processes are an innite collection of random variables (of innite dimensional random vectors). Discrete-time random processes are a collection of RV indexed by a countable set, for example the natural numbers X = {Xn : n = 1, 2, . . .} or the integers X = {Xn : n Z}. Continuous-time processes are a collection of RV indexed by a non-countable set that is a subset of the real-line, for example X = {Xt : t R, t 0}. We will use the index n for discrete-time processes and t for continuous-time processes. When we want to treat both cases we will use the index t. Regardless of whether the process X are discrete-time or continuous-time the RVs Xn or Xt can be either discrete or continuous RVs. If we look at the random processes as a function of the index n (for discrete-time) or t (for continuoustime) and hold xed we get a discrete-time or a continuous-time signal (or function) X , e.g. X (t) = Xt (), called the realization or sample path of the processes at . In this view, random processes are probabilistic models on continuous or discrete signals. Just like vector-RV we can dene events {X A} = { : X A} for A being a set of (discrete-time or continuous-time) functions. The probability P (X A) is then dened as the probability of that event. The processes can be independent (meaning the collection of RV dening the process are independent) or not. Example (independent discrete-time discrete-valued processes): let = (0, 1) and P be a uniform dis tribution over it. Denoting b1 , b2 , . . . as the decimal expansion of i.e. = i=1 bi 10i , bi {0, 1, . . . , 9} we dene the processes X by Xn () = bn , X = (b1 , b2 , . . .) and for example, P (X = (1, 1, 1, 1, . . .)) = 1 n=1 P (Xn = 1) = n=1 10 = 0. Example (dependent continuous-time continuous-valued processes): For the same sample space and P , consider the process dened by Xt () = sin(2t). The realization path is a sinusoid with random amplitude. This is a dependent process (X (t1 ) and X (t2 ) are dependent RVs) with continuous-time and continuous RVs. Just as we dene the marginal distribution of a random vector, we can dene the nite-dimensional marginal distribution of a random process, for example, P ((X1 , . . . , Xk ) A) = P ({ : (X1 (), . . . , Xk ()) A}). The notion of pdf and pmf are dicult to translate to random processes due to its innite dimensionality. Instead, we specify them for the nite-dimensional marginals of the processes. Theorem 1 (Kolmogorov). Let I R be an index set (think of this as the range of the index n or t). A collection of cdfs FXc1 ,...,Xck (xc1 , . . . , xck ) for all choices of c1 , . . . , ck I and for all orders k = 1, 2, . . . that is consistent in the sense that FXc1 ,...,Xck (xc1 , . . . , xck ) = FXc1 ,...,Xck ,Xck+1 (xc1 , . . . , xck , ) uniquely denes a random process for which the cdfs above are the marginal cdfs.

In a similar way, a collection of pdfs fXc1 ,...,Xck (xc1 , . . . , xck ) for all choices of c1 , . . . , ck and for all orders k uniquely denes a continuous-valued process if the pdf are consistent in the sense that

fXc1 ,...,Xck ,Xck+1 (xc1 , . . . , xck , xck+1 ) dxck+1 = fXc1 ,...,Xck (xc1 , . . . , xck ).

A collection of pmfs pXc1 ,...,Xck (xc1 , . . . , xck ) for all choices of c1 , . . . , ck and for all orders k uniquely denes a discrete-valued process if the pmfs are consistent in the sense pXc1 ,...,Xck ,Xck+1 (xc1 , . . . , xck , xck+1 ) = pXc1 ,...,Xck (xc1 , . . . , xck ).
xck+1

The standard relation between these functions (cdf,pmf,pdf) behaves as described earlier in the course for nite dimensional random vectors). Example: The discrete-time process described above can be dened by the collection of k-order pmfs P (Xc1 = xc1 , . . . , Xck = xc1 ) = 1 10k

for all k and for all c1 , . . . , ck {0, 1, . . . , 9}. Note that the pmfs are consistent with each other (in the sense described above). Denition 1. A process is said to have independent increments if for any k and for all choice of indices t1 < < tk the random variables Xt2 Xt1 , . . . , Xtk Xtk1 are independent (this denition holds for both discrete-time and continuous-time). Denition 2. A process is said to be a Markov process if for any k and for all choice of indices t1 < < tk fXtk |Xt1 =xt1 ,...,Xtk1 =xtk1 (xtk ) = fXtk |Xtk1 =xtk1 (xtk ) for continuous-time processes pXtk |Xt1 =xt1 ,...,Xtk1 =xtk1 (xtk ) = pXtk |Xtk1 =xtk1 (xtk ) for discrete-time processes (1) (2)

A process with independent increments is necessarily Markov but not vice-verse. Recall that for vector RV the mean and covariance are vectors and matrices. The analogue for processes become functions. Note however, the inappropriate (but conventional) denition of autocorrelation in light of our previous denition of correlation. The mean of a random process X is the function mX (t) = E(Xt ) The autocorrelation of a random process X is the function RX (t1 , t2 ) = E(Xt1 Xt2 ) The auto-covariance of a random process X is the function CX (t1 , t2 ) = E((Xt1 mX (t1 ))(Xt2 mX (t2 )). By the results we have for covariance we also have CX (t1 , t2 ) = RX (t1 , t2 ) mX (t1 )mX (t2 ). The variance at time t of the process is CX (t, t) Example: For a RV Y dene a process Xt = Y cos(2t). The mean is mX (t) = E(Y cos(2t)) = E(Y ) cos(2t) and the auto-correlation is RX (t1 , t2 ) = E(Y cos(2t1 )Y cos(2t2 )) = E(Y 2 ) cos(2t1 ) cos(2t2 ) and the autocovariance is CX (t1 , t2 ) = RX (t1 , t2 ) mX (t1 )mX (t2 ) = (E(Y 2 ) (E(Y ))2 cos(2t1 ) cos(2t2 ) If we have two processes X , Y we have similar denitions for their interaction: The two processes are said to be independent if all the nite dimensional marginals of the two processes (Xt1 , . . . , Xtk ), (Yt1 , . . . , Ytl ) are two vector RVs (independent from each other). The cross correlation is RX ,Y (t1 , t2 ) = E(Xt1 Yt2 ). It the cross correlation is identically zero the two processes are said to be orthogonal. The cross-covariance of the two processes is CX ,Y (t1 , t2 ) = E((Xt1 mX (t1 ))(Yt2 mY (t2 )).

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