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ECN-505 Random Variables - 127 - 152 - Random Process

The document discusses wide sense stationary random sequences and their classification as continuous or discrete-time random processes. It covers key concepts such as correlation and covariance functions, power spectral density, and the relationship between input and output in linear time-invariant systems. Additionally, it provides mathematical formulations for autocorrelation functions and spectral density, emphasizing their significance in analyzing stochastic processes.

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14 views26 pages

ECN-505 Random Variables - 127 - 152 - Random Process

The document discusses wide sense stationary random sequences and their classification as continuous or discrete-time random processes. It covers key concepts such as correlation and covariance functions, power spectral density, and the relationship between input and output in linear time-invariant systems. Additionally, it provides mathematical formulations for autocorrelation functions and spectral density, emphasizing their significance in analyzing stochastic processes.

Uploaded by

princes
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Random Sequences

Wide Sense stationary Random


Sequences
Wide Sense stationary Random
Sequences
Random Process

• A random process is a collection of random


variables Xt indexed by time. Each realization of the process is
a function of t. For every fixed time t, Xt is a random variable.
• Random processes are classified as continuous
time or discrete-time, depending on whether time is continuous
or discrete. We typically notate continuous-time random
processes as {X(t)} and discrete-time processes as {X[n]}.
• Example: A sine wave having amplitude as R.V.
Basic Definitions
1.

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.

3. This is a necessary and sufficient condition.


4. Diagonal dominance
Example:
Power Spectral Density

• Time domain description of the second-order statistics of a


stochastic process: Auto correlation function.
• Frequency domain counter part of this statistical parameter is
the power spectral density. Also known as ‘Power spectrum’
or ‘Spectrum’.
Consider again a wide-sense stationary discrete-time stochastic
process : (a) mean=0 (b) auto-correlation function is denoted by
r(l) for lag l=…-2,-1,0,1,2,…

135
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 ) = å u N (n) e- jw n
n=- N

Angular frequency lies between –Pi to Pi.

136
Power Spectral Density
Complex conjugate of u N (n) can be given by
N
U N *(w ) = å u N *(k) e jw k
k=- N
From previous 2 equations,

N N

åå
2
U N (w ) = u N (n)u N *(k) e jw (n-k )
n=- N k=- N

Each realization U N (n) produces such results. Expected result is


obtained by taking expectations
On both sides:

137
Power Spectral Density
N N
E U N (w ) ù = å å E éëu N (n)u N * (k) ùûe- jw (n-k )
é 2
ë û n=- N k=- N

ìï E éëu N (n)u N * (k) ùû = r(n - k), - N £ (n, k) £ N


rN (n - k) = í
ïî0 Otherwise

N N
E é U N (w ) ù = å å r(n - k)e- jw (n-k )
2
ë û n=- N k=- N

Let l=n-k and re-arranging above equation

138
Power Spectral Density
1 é N
æ lö
E U N (w ) = å ç 1- ÷ r(l)e- jw l
ù
2

N ë û l=- N è N ø

Above fourier transform is function of two time functions: the


autocorrelation function rN (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

139
Power Spectral Density
If N is very high ¥
1 é
lim E U N (w ) ù = å r(l)e- jw l
2

N®¥ N ë û l=-¥
Based on above expression, we can define a quantity

1 é
S(w ) = lim E U N (w ) ù
2

N®¥ N ë û

Which is spectral density of expected power!!


“Also known as power spectral density”

140
LTI system with random input
A linear time-invariant (LTI) system can be represented by its impulse
response. If X(t) is the input signal to the system, the output, Y(t), can
be written as
Power Spectrum Density of LTI output
Input/ Output Relations for WSS Sequences and
Linear Systems
Example:

What would be H(z)?


Example
Solution

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