Part 1 Random Processes for

Communications
System Models
o A good mathematical model for a system is the
basis of its analysis.
o Two models are often considered:
n Deterministic model
o No uncertainty about its time-dependent behavior at
any instance of time
n Random or stochastic model
o Uncertain about its time-dependent behavior at any
instance of time
o but certain on the statistical behavior at any instance of
time
© Po-Ning [email protected] 1-2
Examples of Stochastic Models
o Channel noise and interference
o Source of information, such as voice

© Po-Ning [email protected] 1-3

Notion of Relative Frequency
o How to determine the probability of “head
appearance” for a coin?
o Answer: Relative frequency.
Specifically, by carrying out n coin-tossing
experiments, the relative frequency of head
appearance is equal to Nn(A)/n, where Nn(A) is
the number of head appearance in these n
random experiments.

© Po-Ning [email protected] 1-4

Notion of Relative Frequency
o Is relative frequency close to the true
probability (of head appearance)?
n It could occur that 4-out-of-10 tossing results are
“head” for a fair coin!
o Can one guarantee that the true “head
appearance probability” remains unchanged
(i.e., time-invariant) in each experiment
performed at different time instance?

© Po-Ning [email protected] 1-5

Notion of Relative Frequency
o Similarly, the previous question can be
extended to “In a communication system, can
we estimate the noise by repetitive
measurements at consecutive but different time
instance?”

o Some assumptions on the statistical models are

necessary!

© Po-Ning [email protected] 1-6

Conditional Probability
o Definition of conditional probability
æ N n ( A ! B ) ö P( A ! B )
P ( B | A) çç » ÷÷ =
è N n ( A) ø P ( A)

o Independence of events P ( B | A) = P ( B )
n A knowledge of occurrence of event A tells us no
more about the probability of occurrence of event B
than we knew without this knowledge.
n Hence, they are statistically independent.

© Po-Ning [email protected] 1-7

Random Variable
o A non-negative function fX(x) satisfies
$
𝐹! 𝑥 = Pr X ≤ 𝑥 = ( 𝑓! 𝑡 d𝑡
"#
is called the probability density function (pdf) of
random variable X.
o If the pdf of X exists, then
¶FX ( x )
f X ( x) =
¶x
© Po-Ning [email protected] 1-8
Random Variable
o It is not necessarily true that
n If ¶FX ( x )
f X ( x) = ,
¶x
then the pdf of X exists and equals fX(x).

© Po-Ning [email protected] 1-9

Random Vector
n If its joint density fX,Y(x,y) exists, then
@ 2 FX,Y (x,y)
fX,Y (x, y) = @x@y

where 𝐹!,# 𝑥, 𝑦 = Pr[𝑋 ≤ 𝑥 and 𝑌 ≤ 𝑦]

n The conditional density of Y given that [X = x] is

fX,Y (x,y)
fY |X (y|x) = fX (x)

provided that fX(x) ¹ 0.

© Po-Ning [email protected] 1-10
Random Process
o Random process: An extension of multi-
dimensional random vectors
n Representation of two-dimensional random vector
o (X,Y) = (X(1), X(2)) = {X(j), jÎI}, where the index set I
equals {1, 2}.
n Representation of m-dimensional random vector
o {X(j), jÎI}, where the index set I equals {1, 2,…, m}.

© Po-Ning [email protected] 1-11

Random Process
n How about {X(t), tÎÂ}?
o It is no longer a random vector since the index set is
continuous!
o This is a suitable model for, e.g., a noise because a
noise often exists continuously in time.

© Po-Ning [email protected] 1-12

Stationarity
o The statistical property of a random process
encountered in real world is often independent
of the time at which the observation (or
experiment) is initiated.
o Mathematically, this can be formulated as that
for any t1, t2, …, tk and t:
FX ( t +t ), X ( t +t ),..., X ( t
1 2 k +t ) ( x1 , x2 ,..., xk )
= FX ( t ), X ( t
1 2 ),..., X ( tk ) ( x1 , x2 ,..., xk )
© Po-Ning [email protected] 1-13
Stationarity
o Why introducing “stationarity?”
n With stationarity, we can be certain that the
observations made at different instances of time have
the same distributions!
n For example, X(0), X(T), X(2T), X(3T), ….

n Suppose that Pr[X(0) = 0] = Pr[X(0)=1] = ½. Can we

guarantee that the relative frequency of “1’s
appearance” for experiments performed at several
different instances of time approach ½ by stationarity?
No, we need an additional assumption!
© Po-Ning [email protected] 1-14
Mean Function
o The mean of a random process X(t) at time t is
equal to:
¥
µ X (t ) = E[ X (t )] = ò x × f X ( t ) ( x )dx
-¥

where fX(t)(×) is the pdf of X(t) at time t.

o If X(t) is stationary, µX(t) is a constant for all t.

© Po-Ning [email protected] 1-15

Autocorrelation
o The autocorrelation function of a (possibly
complex) random process X(t) is given by:

o If X(t) is stationary, the autocorrelation

function RX(t1, t2) is equal to RX(t1 - t2, 0).
© Po-Ning [email protected] 1-16
Autocorrelation

A short-hand for
autocorrelation function
of a stationary process
© Po-Ning [email protected] 1-17
Autocorrelation
o Conceptually,
n Autocorrelation function = “power correlation”
between two time instances t1 and t2.
n “Variance” is the degree of variation to the standard
value (i.e., mean).

© Po-Ning [email protected] 1-18

Autocovariance

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Autocovariance
o If X(t) is stationary, CX(t1, t2) becomes

© Po-Ning [email protected] 1-20

Wide-Sense Stationary (WSS)
o Since in most cases of practical interest, only
the first two moments (i.e., µX(t) and CX(t1, t2))
are concerned, an alternative definition of
stationarity is introduced.
o Definition (Wide-Sense Stationarity) A
random process X(t) is WSS if
ì µ X (t ) = constant; ì µ X (t ) = constant;
í or í
îC X (t1 , t2 ) = C X (t1 - t2 ) î RX (t1 , t2 ) = RX (t1 - t2 ).
© Po-Ning [email protected] 1-21
Wide-Sense Stationary (WSS)
o Alternative names for WSS
n weakly stationary
n stationary in the weak sense
n second-order stationary

o If the first two moments of a random process

exist (i.e., are finite), then strictly stationary
implies weakly stationary (but not vice versa).

© Po-Ning [email protected] 1-22

Cyclostationarity
o Definition (Cyclostationarity) A random
process X(t) is cyclostationary if there exists a
constant T such that
ì µ X (t + T ) = µ X (t );
í
îC X (t1 + T , t2 + T ) = C X (t1 , t2 ).

© Po-Ning [email protected] 1-23

Properties of Autocorrelation Function for
WSS Random Process
1. Mean Square Value: RX(0) = E[|X(t)|2]
2. Conjugate Symmetry:

n Recall that autocorrelation function = “power

correlation” between two time instances t1 and t2.
n For a WSS process, this “power correlation” only
depends on time difference.
n Hence, we only need to deal with RX(t) here.

© Po-Ning [email protected] 1-24

Properties of Autocorrelation Function for
WSS Random Process
3. Real Part Peaks at zero: |Re{RX(t)}| ≦ RX(0)
Proof:

Hence,
with equality holding when

© Po-Ning [email protected] 1-25

Properties of Autocorrelation Function for
WSS Random Process
o Operational meaning of autocorrelation
function:
n The “power” correlation of a random process at t
seconds apart.
n The smaller RX(t) is, the less the correlation
between X(t) and X(t+t).
o Here, we assume 𝑋(𝑡) is a real-valued random process.

© Po-Ning [email protected] 1-26

Properties of Autocorrelation Function for
WSS Random Process
n If RX(t) decreases faster, the correlation decreases
faster.
RX(t)

© Po-Ning [email protected] 1-27

Example: Signal with Random Phase
o Let X(t) = A cos(2pfct + Q), where Q is
uniformly distributed over [-p, p).
n Application: A local carrier at the receiver side may
have a random “phase difference” with respect to
the phase of the carrier at the transmitter side.

© Po-Ning [email protected] 1-28

 Example: Signal with Random Phase
…0110 …,-m(t), m(t), m(t), -m(t)
Channel
Modulator
Encoder

m(t)

T
x(t)=A cos(2pfct)
Local carrier Carrier wave
w(t)=0 Accos(2pfct)
cos(2pfct+Q)
0110… >0 yT T s(t)
< ò0
dt Ä Å Ä
correlator

An equivalent view: Local carrier X(t)=A cos(2pfct+Q) 1-29

cos(2pfct)
Example: Signal with Random Phase
Then µ X (t ) = E[ A cos(2pf c t + Q)]
p 1
= ò A cos(2pf c t + q ) dq
-p 2p
A p
=
2p ò-p
cos(q + 2pf c t )dq

A
= (sin(q + 2pf ct ) ) -p
p

2p
A
= (sin(p + 2pf ct ) - sin( -p + 2pf ct ) )
2p
= 0.
© Po-Ning [email protected] 1-30
Example: Signal with Random Phase
RX (t1 , t2 ) = E [ A cos(2pf c t1 + Q) × A cos(2pf c t2 + Q)]
p 1
= A ò cos(q + 2pf c t1 ) cos(q + 2pf c t2 )
2
dq
-p 2p
A2 p 1
= ò (cos[(q + 2pf c t1 ) + (q + 2pf c t2 )]
2p -p 2
+ cos[(q + 2pf c t1 ) - (q + 2pf c t2 )])dq
A2 p 1
= ò (cos(2q + 2pf c (t1 + t2 ) ) + cos(2pf c (t1 - t2 ) ))dq
2p -p 2 =0
A2
= cos(2pf c (t1 - t2 ) ). Hence, X(t) is WSS.
2
© Po-Ning [email protected] 1-31
Example: Signal with Random Phase

RX(t)

© Po-Ning [email protected] 1-32

Example: Signal with Random Delay
o Let
¥
X (t ) = å A× I
n = -¥
n × p(t - nT - td )

where …, I-2, I-1, I0, I1, I2, … are independent,

and each Ij is either -1 or +1 with equal
probability, and
ì1, 0 £ t < T
p(t ) = í
î0, otherwise
© Po-Ning [email protected] 1-33
Example: Signal with Random Delay

I-4 I-3 I-2 I-1 I0 I1 I2 I3

I-4 I-2 I-1 I1 I2 I3

I-3 I0

© Po-Ning [email protected] 1-34

 Example: Signal with Random Delay
…0110 …,-m(t), m(t), m(t), -m(t)
Channel
Modulator
Encoder

m(t) = p(t)

No (or ignore)
x(t) = A p(t) w(t)=0 carrier wave
0110… >0 yT RT s(t)
Å
td
< td
dt

correlator
RT
An equivalent view: dt X(t) = A p(t−td) 1-35
0
Example: Signal with Random Delay
n By assuming that td is uniformly distributed over [0,
T), we obtain:

é ¥
ù
µ X (t ) = E ê å A × I n × p(t - nT - td )ú
ën = -¥ û
¥
= å A × E[ I
n = -¥
n
] × E[ p(t - nT - td )]
¥
= å A × 0 × E[ p(t - nT - t )]
n = -¥
d

=0
© Po-Ning [email protected] 1-36
Example: Signal with Random Delay
n A useful probabilistic rule: E[X] = E[E[X|Y]]
So, we have:

E [ X (t1 ) X (t2 )] = E [E [X (t1 ) X (t2 ) td ]]

E[X|Y ] = x fX|Y (x|y)dx = g(y)

Note: X
E E[X|Y ] = g(y) fY (y)dy
Y

© Po-Ning [email protected] 1-37

 E [X (t1 ) X (t2 ) td ]
éæ ¥ öæ ¥ ö ù
= E êç å A × I n × p(t1 - nT - td ) ÷ç å A × I m × p(t2 - mT - td ) ÷ td ú
êëè n = -¥ øè m = -¥ ø úû
¥ ¥
= A2 å å E [ I n I m | td ]E [ p(t1 - nT - td ) p(t2 - mT - td ) | td ]
n = -¥m = -¥
¥ ¥
= A2 å å E [ I n I m ] p(t1 - nT - td ) p(t2 - mT - td )
n = -¥m = -¥
¥
= A2 å E [ I n2 ] p(t1 - nT - td ) p(t2 - nT - td )
n = -¥
¥
= A2 å p(t1 - nT - td ) p(t2 - nT - td )
n = -¥

Since E [ I n I m ] = E [ I n ]E [ I m ] = 0 for n ¹ m.
© Po-Ning [email protected] 1-38
Among <n< , there is at most one n that can make

p(t1 nT td )p(t2 nT td ) = 1.

© Po-Ning [email protected] 1-39

© Po-Ning [email protected] 1-40
As a result,

© Po-Ning [email protected] 1-41

Example: Signal with Random Delay

RX(t)

© Po-Ning [email protected] 1-42

Cross-Correlation
o The cross-correlation between two processes
X(t) and Y(t) is:

o Sometimes, their correlation matrix is given

instead for convenience:
é RX (t , u ) RX ,Y (t , u )ù
R X ,Y (t , u ) = ê ú
ë RY , X (t , u ) RY (t , u ) û
© Po-Ning [email protected] 1-43
Cross-Correlation
o If X(t) and Y(t) are jointly WSS, then

R X ,Y (t , u ) = R X ,Y (t - u )
é RX (t - u ) RX ,Y (t - u )ù
=ê ú
ë RY , X (t - u ) RY (t - u ) û

© Po-Ning [email protected] 1-44

Example: Quadrature-Modulated Random
Delay Processes
o Consider a pair of quadrature decomposition of
X(t) as:
ì X I (t ) = X (t ) cos(2pf c t + Q)
í
î X Q (t ) = X (t ) sin(2pf c t + Q)
where Q is independent of X(t) and is uniformly
distributed over [0, 2p), and
¥
X (t ) = å A× I
n = -¥
n × p(t - nT - td ) .

© Po-Ning [email protected] 1-45

 Example: Quadrature-Modulated Random
Delay Processes

RX I ,XQ
(t , u ) = E[ X I (t ) X Q (u )]
= E[ X (t ) cos(2pf c t + Q) × X (u ) sin(2pf c u + Q)]
= E[ X (t ) X (u )]E[sin( 2pf c u + Q) cos(2pf c t + Q)]
=0
é sin(2pf c (t + u ) + 2Q) + sin(2pf c (u - t )) ù
= RX (t , u ) E ê úû
ë 2
1
= - sin(2pf c (t - u )) RX (t , u )
2

© Po-Ning [email protected] 1-46

Example: Quadrature-Modulated Random
Delay Processes

© Po-Ning [email protected] 1-47

Example: Quadrature-Modulated Random
Delay Processes
n Notably, if t = u, i.e., two quadrature components
are synchronized, then

RX I ,XQ (t , t ) = 0

which indicates that simultaneous observations of

the quadrature-modulated processes are “orthogonal”
to each other!
(See Slide 1-59 for a formal definition of
orthogonality.)

© Po-Ning [email protected] 1-48

Ergodicity
o For a random-process-modeled noise (or random-
process-modeled source) X(t), how can we know its
mean and variance?
n Answer: Relative frequency.
n How can we get the relative frequency?
o By measuring X(t1), X(t2), …, X(tn), and calculating their average,
it is expected that this time average will be close to its mean.
o Question: Will this time average be close to its mean,
if X(t) is stationary ?
n Even if for a stationary process, the mean function µX(t) is
independent of time t, the answer is negative!
© Po-Ning [email protected] 1-49
Ergodicity
n An additional ergodicity assumption is necessary
for time average converging to the ensemble
average µX.

© Po-Ning [email protected] 1-50

Time Average versus Ensemble Average
o Example
n X(t) is stationary.
n For any t, X(t) is uniformly distributed over {1, 2, 3,
4, 5, 6}.
n Then, ensemble average is equal to:
1 1 1 1 1 1
1 × + 2 × + 3 × + 4 × + 5 × + 6 × = 3.5
6 6 6 6 6 6

© Po-Ning [email protected] 1-51

Time Average versus Ensemble Average
n We make a series of observations at time 0, T,
2T, …, 10T to obtain 1, 2, 3, 4, 3, 2, 5, 6, 4, 1.
(These observations are deterministic!)
n Then, the time average is equal to:
1+ 2 + 3+ 4 + 3+ 2 + 5 + 6 + 4 +1
= 3.1
10

© Po-Ning [email protected] 1-52

Ergodicity
o Definition. A stationary process X(t) is ergodic
in the mean if Time average Ensemble

[ ]
average

1. Pr lim µ X (T ) = µ X = 1, and
T ®¥

2. lim Var [µ X (T )] = 0
T ®¥

where
1 T
µ X (T ) =
2T ò
-T
X (t )dt

© Po-Ning [email protected] 1-53

Ergodicity
o Definition. A stationary process X(t) is ergodic
in the autocorrelation function if
Ensemble
Time average average

[
1. Pr lim RX (t ; T ) = RX (t ) = 1, and
T ®¥
]
2. lim Var [RX (t ; T )] = 0
T ®¥

where 1 #
𝑅! 𝜏; 𝑇 = ( 𝑋 𝑡 + 𝜏 𝑋 ∗ 𝑡 d𝑡
2𝑇 "#
© Po-Ning [email protected] 1-54
Ergodicity
o Experiments (or observations) on the same
process can only be performed at different time.
o “Stationarity” only guarantees that the
observations made at different time come from
the same distribution.
n Example. Rolling two different fair dices will get
two results but the two results have the same
distribution.

© Po-Ning [email protected] 1-55

Statistical Average of Random Variables
o Alternative names of ensemble average
n Mean
n Expected value, or expectation value
n Sample average
o How about the sample average of a function g( )
of a random variable X ?

¥
E [ g ( X )] = ò g ( x ) f X ( x )dx
-¥

© Po-Ning [email protected] 1-56

Statistical Average of Random Variables
o The nth moment of random variable X
n
R1 n
E[X ] = 1
x fX (x)dx
n The 2nd moment is also named mean-square value.
o The nth central moment of random variable X

n The 2nd central moment is also named variance.

n Square root of the 2nd central moment is also named
standard deviation.

© Po-Ning [email protected] 1-57

Joint Moments
o The joint moment of X and Y is given by:

n When i = j = 1, the joint moment is specifically

named correlation.
n The correlation of centered random variables is
specifically named covariance.

© Po-Ning [email protected] 1-58

Joint Moments
n Two random variables, X and Y, are uncorrelated if
Cov[X, Y] = 0.
n Two random variables, X and Y, are orthogonal if
E[XY*] = 0.
n The covariance, normalized by two standard
deviations, is named correlation coefficient of X
and Y.
Cov[ X , Y ]
r=
s XsY

© Po-Ning [email protected] 1-59

Stable Linear Time-Invariant (LTI) System
Impulse
X(t) Response Y(t)
h(t)
o Linear
n Y(t) is a linear function of X(t).
n Specifically, Y(t) is a weighted sum of X(t).
o Time-invariant
n The weights are time-independent.
o Stable ¥

n Dirichlet’s condition (defined later) and ò-¥ t dt < ¥

2
| h ( ) |
n “Stability” implies that if the input is an energy function (i.e., finite
energy), the output is an energy function.

© Po-Ning [email protected] 1-60

 Example of LTI Filter: Mobile Radio Channel
(a1 ,t 1 )

X (t ) Y (t )
(a 2 ,t 2 )
Transmitter Receiver

(a 3 ,t 3 )

© Po-Ning [email protected] 1-61

Example of LTI Filter: Mobile Radio Channel

X (t ) Y (t )
Transmitter Receiver

¥
Y (t ) = ò h(t ) X (t - t )dt
-¥

© Po-Ning [email protected] 1-62

Stable Linear Time-Invariant (LTI) System
o What are the mean and autocorrelation
functions of the LTI filter output Y(t)?
n Suppose X(t) is stationary and has finite mean.
¥
n Suppose ò | h(t ) | dt < ¥
-¥
n Then

µY (t ) = E[Y (t )] = E ò h(t ) X (t - t )dt ù

é ¥

êë - ¥ úû
¥ ¥
= ò h(t ) E [ X (t - t )]dt = µ X ò h(t )dt
-¥ -¥

© Po-Ning [email protected] 1-63

Zero-Frequency (ZF) or Direct Current
(DC) Response

Impulse
1 Response
h(t)

n The mean of the LTI filter output process is equal to

the mean of the stationary filter input multiplied by
the DC response of the system.
¥
µY = µ X ò h(t )dt
-¥

© Po-Ning [email protected] 1-64

Autocorrelation Relation of LTI system

© Po-Ning [email protected] 1-65

Important Fact: WSS Input Induces
WSS Output
o From the above derivations, we conclude:
n For a stable LTI filter, a WSS input guarantees to
induce a WSS output.
n In general (not necessarily WSS),
Z 1
µY (t) = h(⌧ )µX (t ⌧ )d⌧
1
Z 1 Z 1
RY (t, u) = h(⌧1 )h⇤ (⌧2 )RX (t ⌧1 , u ⌧2 )d⌧2 d⌧1
1 1
n As the above two quantities also relate in the
“convolution” form, a spectrum analysis is perhaps
better in characterizing their relationship.
© Po-Ning [email protected] 1-66
Summary
o Random variable, random vector and random process
o Autocorrelation and crosscorrelation
o Definition of WSS
o Why ergodicity?
n Time average as a good “estimate” of ensemble average

© Po-Ning [email protected] 1-67