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Wojbor A. Woyczyński
Birkhäuser
Boston • Basel • Berlin
Wojbor A. Woyczyński
Department of Statistics and
Center for Stochastic and Chaotic Processes
in Science and Technology
Case Western Reserve University
10900 Euclid Avenue
Cleveland, OH 44106
U.S.A.
Mathematics Subject Classification: 60-01, 60G10, 60G12, 60G15, 60G35, 62-01, 62M10, 62M15,
62M20
987654321
www.birkhauser.com
This book is dedicated to my children:
Martin Wojbor, Gregory Holbrook, and Lauren Pike.
They make it all worth it.
Contents
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xi
1 Description of Signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Types of random signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Time domain and frequency domain descriptions . . . . . . . . 8
1.3 Characteristics of signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.4 Problems and exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
4 Stationary Signals. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
4.1 Stationarity, autocovariance, and autocorrelation . . . . . . . . . 93
4.2 Estimating the mean and the autocorrelation function,
ergodic signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.3 Problems and exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201
Introduction
This book was designed as a text for a first, one-semester course in sta-
tistical signal analysis for students in engineering and physical sciences.
It had been developed over the last few years as lecture notes used by
the author in classes mainly populated by electrical, systems, computer
and biomedical engineering juniors/seniors and graduate students in
sciences and engineering who have not been previously exposed to this
material. It was also used for industrial audiences as educational and
training material and for an introductory time series analysis class.
The only prerequisite for this course is a basic two- to three-semester
calculus sequence; no probability or statistics background is assumed
except the usual high school elementary introduction. The emphasis is
on a crisp and concise but fairly rigorous presentation of fundamental
concepts in the statistical theory of stationary random signals and rela-
tionships between them. The author’s goal was to write a compact but
readable book of approximately 200 pages countering the recent trend
towards fatter and fatter textbooks.
Since Fourier series and transforms are of fundamental importance
in random signal analysis and processing, this material is developed
from scratch in Chapter 2 emphasizing the time domain vs. frequency
domain duality. Our experience showed that although harmonic anal-
ysis is normally included in the calculus syllabi, students’ practical un-
derstanding of its concepts is often hazy. Chapter 3 introduces basic
concepts of probability theory, law of large numbers and the stability of
fluctuations law, and statistical parametric inference procedures based
on the latter.
In Chapter 4 the fundamental concept of a stationary random sig-
nal and its autocorrelation structure is introduced. This time domain
analysis is then expanded to the frequency domain by discussion in
Chapter 5 of power spectra of stationary signals. How stationary sig-
nals are affected by their transmission through linear systems is the
subject of Chapter 6. This transmission analysis permits a preliminary
x Introduction
Description of Signals
1
Fig. 1.1.1. Signal x(t) = sin(t)+ 3 cos(3t) [V] is analog and periodic with period
P = 2π [s]. It is also deterministic.
t 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
x(t) 0.50 0.51 0.93 1.23 0.71 −0.16 0.51 −0.48 −0.78 −1.21
0.5
-0.5
-1
0 2 4 6 8 10
sin(t)+ 13
Fig. 1.1.2. Signal x(t) = cos(3t) [V] digitally sampled at time intervals
equal to 0.5 s with resolution 0.01 V.
0.5
-0.5
-1
0 2 4 6 8 10
0.2
0.1
0
-0.1
-0.2
0 2 4 6 8 10
1
Fig. 1.1.3. Signal x(t) = sin(t) + 3 cos(3t) [V] in the presence of additive ran-
dom noise with average amplitude of 0.2 V. The magnified noise component
itself is pictured underneath the graph of the signal.
Note the role the resolution R plays in the above formula. Take,
for example, R = 0.01. If the signal x(t) takes all the continuum of
values between m = mint x(t) and M = maxt x(t), then x(t)0.01 takes all
x(t)
the continuum of values between 100m and 100M, but 0.01 takes
4 1 Description of Signals
only integer values between 100m and 100M. Finally, 0.01 x(t) 0.01 takes
as its values only all the discrete numbers between m and M that are
0.01 apart.
Randomness of signals can have different origins, such as the quan-
tum uncertainty principle, the computational complexity of algorithms,
the chaotic behavior in dynamical systems, or the random fluctuations
and errors in measurement of outcomes of independently repeated ex-
periments.1 The usual way to study them is via their aggregated statis-
tical properties. The main purpose of this book is to introduce some
of the basic mathematical and statistical tools useful in the analysis
of random signals that are produced under stationary conditions, that
is, in situations where the measured signal may be stochastic and con-
tain random fluctuations, but the basic underlying random mechanism
producing it does not change over time; think here about outcomes of
independently repeated experiments, each consisting of tossing a sin-
gle coin.
At this point, to help the reader visualize the great variety of random
signals appearing in the physical sciences and engineering, it is worth-
while to review a gallery of pictures of random signals, both experi-
mental and simulated, presented in Figures 1.1.4–1.1.8. The captions
explain the context in each case.
1
See, e.g., M. Denker and W. A. Woyczyński, Introductory Statistics and Ran-
dom Phenomena: Uncertainty, Complexity, and Chaotic Behavior in Engi-
neering and Science, Birkhäuser Boston, Cambridge, MA, 1998.
1.1 Types of random signals 5
The Red Cross is the most generally recognized humanitarian movement in the
known world. Clara Barton.
The Red Cross has awakened the senses, and attuned the public ear to the cry of
distress wherever emanating. Clara Barton.
The Treaty of Geneva takes its powers from the common consent of the United
Governments of the civilized world.
Clara Barton.
Human intelligence has devised the provisions of the Red Cross, and it is
peculiarly adapted to popular favor. Clara Barton.
It is probable that no sign nor figure in the secular world is sacred to so many
people as is the Red Cross of Geneva. Clara Barton.
The insignia, which has given its name to the Treaty of Geneva, has become
universally known and respected. Clara Barton.
The Red Cross never leads, but follows, in all military matters.
Clara Barton.
The Red Cross has given rise to most valuable inventions and, under its humane
impulses, sanitary science has made rapid progress.
Clara Barton.
Inspired by the love of humanity and the world-wide motto of the Red Cross: “In
time of peace and prosperity, prepare for war and calamity.” Clara Barton.
© Clinedinst, Washington, D. C.
AMBASSADOR BAKHMETEFF
Some forty nations are in the Red Cross treaty, and from every military hospital
in every one of these nations floats the same flag.
Clara Barton.
Of all existing organizations, there is possibly not one that has causes for
sentiment of higher devotion and more prayerful gratitude than the Red Cross,
which owes its very life to pity and help for the woes of the world. Clara Barton.
The Red Cross means not national aid for the needs of the people, but the
people’s aid for the needs of the nation.
Clara Barton.
History records the wonderful achievements of the Red Cross, greatest of relief
organizations, though it cannot record the untold suffering which has been averted
by it. Clara Barton.
Although the original purpose and object of the Red Cross was indeed to heal the
wounds and sickness incident to warfare, there will remain the work under the
“American Amendment,” in which the Red Cross goes forth to heal other great ills
of life.
Clara Barton.
INTERNATIONAL RED CROSS—AMERICAN
RED CROSS—AMERICAN AMENDMENT
The International Treaty of Geneva—Red Cross—dates from
August 23rd, 1864. The Red Cross is a Confederation of Societies in
different countries for the amelioration of the condition of wounded
soldiers in arms, in campaigns on land and sea. The World Society
originated with Henri Dunant of Switzerland, after seeing the
condition from neglect of the wounded at the battle of Solferino,
Italy, on June 24, 1859. Gustave Moynier, also of Switzerland, called
a meeting at Geneva, Switzerland, and the organization followed—
August 23, 1864.
France was the first nation to adopt the treaty, this being
September 23, 1864. The United States was the thirtieth in the list of
nations adopting the treaty, this being on March 1, 1882. Up to the
present time 49 nations have acceded to the Treaty of Geneva. In this
list are the following possessing a National Red Cross Society:
1. Wurtemberg
2. Belgium
3. Prussia
4. Denmark
5. France
6. Italy
7. Spain
8. Hessie (Grand Duchy)
9. Portugal
10. Sweden
11. Norway
12. United States
13. Saxony
14. Baden
15. Switzerland
16. Russia
17. Austria
18. Netherlands
19. Bavaria
20. Turkey
21. Great Britain
22. Montenegro
23. Serbia
24. Roumania
25. Greece
26. Peru
27. Argentine
28. Hungary
29. Bulgaria
30. Japan
31. Congo
32. Venezuela
33. Uruguay
34. Bolivia
35. Brazil
36. Chili
37. Colombia
38. Cuba
39. Ecuador
40. Guatemala
41. Haiti
42. Panama
43. Siam
44. Luxembourg
45. Mexico
46. Persia
47. Honduras
48. Nicaragua
49. China
If the end brings me out all right what is said against me won’t amount to
anything. Abraham Lincoln.
Truth is generally the best vindication against slander.
Abraham Lincoln.
The greater the truth the greater the libel. Lord Mansfield.
All error, false hate, malice, evil company and their kindred, are sure to find
their true value, and though apparently successful are doomed to die at last. Clara
Barton.
The Almighty has his own purposes. Abraham Lincoln.
We never know the uses the Master will put us to. His designs are known only to
himself. Clara Barton.
When you come to the certain conclusion that only truth and justice are eternal,
you will find it easy to wait and let the Heavens rule. Clara Barton.
Nothing but truth lives. Clara Barton.
Would that my soul were where I believe the soul of that woman is.
John Alespie,
Peter Maurice.
(Two of the judges that condemned Joan of Arc.)
First in the list of American great women is Clara Barton; first in her ideals; first
in her achievements. In America, she ranks with Jeanne d’Arc, of France, to whom
the English are now (1818) placing a monument in Manchester.
Corra Bacon-Foster, Author, Clara Barton, Humanitarian.
Joan of Arc was rather tall, well shaped, dark, with a look of composure,
animation and gentleness. Guizot.
It is not true, I think, that Miss Barton has ever done anything to disentitle her to
a conspicuous recognition in the Red Cross Building. Ex-Secretary of State
Richard Olney (in 1917). (The eminent American selected by the “Remonstrants”
in 1903, and unanimously approved by the Red Cross, to name the members of the
Red Cross Proctor Committee—to investigate the “charges.”)
GROVER CLEVELAND
There is, and can be, no foundation for such a charge.... During all the twenty-
five years that Miss Barton has devoted herself to the Red Cross work she has been
in receipt of an individual income which it has been her pleasure to use in
defraying her own expenses and for such helpers as the extensive correspondence
compelled.
(In a Memorial to Congress, March 3, 1903—from House Document No. 552, Vol.
49, 58th Cong.)
Wherein ... was removed from his position, under Miss Barton, he said: “I can
stand a great deal of cuffing, but then my time will come, so help me God I will not
humbly submit to all I am having to bear.” ... was brought to Washington from a
distant State ... principal witness for the “Remonstrants.” Mr. Stebbins and I were
convinced that ...’s object was blackmail.
W. H. Sears, Attorney for Red Cross.
... conspired to supplant Miss Barton by destroying her name and fame. Miss
Barton resigned in my favor. Hoping to secure justice for Miss Barton I accepted
the Presidency, but finding that I would be unable to assume the onerous duties as
her successor, with Miss ...’s insatiable desire to be at the head of the Red Cross, I
resigned in favor of a party Miss ... dared not oppose. Affidavit by Mrs. John A.
Logan. (From a book of 177 pages by General W. H. Sears, in a report to the
Library Committee of Congress, in 1916.)
... not one of whom (“remonstrants”) ever went to a field nor gave a dollar, above
fees; and half of whom were never known as members until now they appear in
protest against the management. Clara Barton (1903).
Clara Barton met her fate in the Nation’s Capital. Says The Fra:
“The clique went before Congress and secured an amended charter to
the Red Cross, which included none of Miss Barton’s friends.
Because the name of Clara Barton headed the list, the bill was
passed; the members of Congress supposed it was a bill that Miss
Barton wanted. This was done without Miss Barton’s knowledge or
consent. However, Miss Barton was ignored by the new organization.
Her name has never been mentioned in their reports or publications;
she has never been invited to attend any meeting of the Society
which she had created, and established in this country.”
The Red Cross then was non politics, non society, non salary, non
graft. President Clara Barton was obdurate, non pliable. She could
not be used. Her virtues became her undoing. She was retired. From
Europe, for inspiration in America, was brought the English heroine;
—suppressed or belittled, the American Red Cross Mother in semi-
official literature, “At Home and Abroad.” The coup won—the
conspiracy completely triumphed. And how the official records
disclose.
Washington is the rendezvous of “in full dress” criminals—
character-assassins,—“that strange bedlam composed largely of
social climbers and official poseurs.” They carry a stiletto, half truth,
but in desperate cases make use of slander, of forty-five calibre. Their
prospective victims range from rich Uncle Sam down to a poor lone
woman, of charity. They ply their vocations sometimes, through
envy, for self-glorification; sometimes, through ambition, for self-
exaltation. While Washington was having the honor of dishonoring
the great American philanthropist, a western town was offering as a
present to her a fifty thousand dollar home, just to have the honor of
her presence there. Lincoln, Garfield, McKinley, Miss Barton’s three
cospirits and co-workers for humanity, met their fate while guarded
by detectives; under certain customs prevailing in the West and
South, as there is no protection from slander against a woman,
“Chivalry” would have come to the rescue of defenseless Clara
Barton.
There is an official Red Cross report to Congress, made in 1903,
said report on file in House Document No. 552, Vol. 49, 58th
Congress, statements of historic interest relating to the status of Red
Cross affairs about that time. In re the proposed annuity of $2,500
and the Honorary Presidency for Life, should Clara Barton consent
to permit the minority membership thereafter to control the Red
Cross, and other matters relating thereto, appear the following in
that report:
Since the filing of their (the remonstrants) Memorial in Congress, at least two
thousand newspapers, in the country and out of it, have openly published these
damaging statements, without the slightest knowledge of the facts.
While there were seven States represented by members actually present (at the
meeting), the entire list of signers to the Memorial (by the remonstrants), with one
exception, were residents of Washington, D. C.
With one exception, not one of the twenty-five members has ever taken part in
Red Cross Field work for a single day;—and she valuing her services, however, at
$50.00 per week for two weeks, making a sum of $100, which was allowed and
paid by the board; nor were there any records to show that, aside from their
membership fees aggregating about $160, they have ever contributed to the funds
of the Red Cross, while individual signers of this Memorial have drawn from it
more than 500, in aggregate amount.
Clara Barton has never been a pensioner on the Red Cross Society, and certainly
could not assent to be placed in that relation. We may, too, reasonably ask how
these sticklers for correct form in all proceedings can find authority, being only a
small minority of the membership, to offer such terms; and how can they
undertake to barter its offices, privileges, and funds for a compliance with their
demands? They admit they can stop the proceedings in Congress—for a
consideration—thereby indirectly admitting the purpose of their movement from
the beginning. The mere statement of the situation will suggest its difficulties. The
majority in control of the body is at a loss to know where and how, under the
charter or any of its bylaws, past or present, there can be authority for such
proceedings.
“That it was physically withstood,” says Clara Barton after her
retirement, “was beyond either the expectation or the intention;”
“still stamping on me;” “so long as I am personally unharmed I
expect nothing more.” Fortunately for her country her life was
spared, by her “enemies,” eight years more; for in that eight years she
did a work many times more difficult than to have kept running her
perfected and well-oiled Red Cross machinery. She brought into
existence a new organization, of possible greater benefit to the
American people than the Red Cross, an organization with
headquarters in Boston and branch societies everywhere from Maine
to California.
And why should she not have done so? About the time of her
retirement (in 1903) there was filed with Congress by a committee of
the Red Cross an official report, unanimously concurred in by the
committee, in which report appears the following: “At no time in her
life has Miss Barton been in sounder bodily or mental health, or
better able to continue the work to which her years of experience and
natural endowments have preeminently fitted her. Moreover, the
nation’s confidence is Miss Barton’s, and no hand can better guide its
Red Cross work than hers. While every right minded person will
deplore the mental suffering, anxiety, and personal humiliation
inflicted upon one of the noblest women that ever lived, it cannot be
supposed that she will abandon her life work on such a demand as
this, or that she will retire from the office to which she has been
almost unanimously elected, while under fire; nor would her friends
permit it if she were so disposed.—We find nothing in the opposition
except malice, resentment, and the jealousy of a few people whose
ambition has been thwarted.”
Tis eminence that makes envy rise;
As fairest fruit attract the flies.
Successful with her new organization, the Red Cross a few years
later (in 1910) formed in its society a department to carry on relief as
then carried on in Miss Barton’s new organization, the department
being of like name—The First Aid Division. In her new field of
humane service, Clara Barton expended from her personal funds
about $5,000, besides five years of hard work, before she achieved
success.
She was herself again; she was on the “firing line”; she had the
support of her former Red Cross field forces,—not one had deserted
her. She didn’t flee her “enemies” to Mexico, but to the “Hub”;—
where, and in which vicinity, she had enjoyed social amenities with
the Julia Ward Howes, the Wendell Phillips’, the George Bancrofts,
the John B. Goughs, the Louisa M. Alcotts, the Lucy Larcoms, the
Mary Baker Eddys, the Henry Wilsons, the Charles Sumners, the
George F. Hoars. Either among such then living or their friends, she
had lost none of her prestige because she had been attacked in the
“Den of Character-Assassins.”
Be thou chaste as ice, as pure as snow,
Thou shalt not escape calumny.
Human nature hasn’t changed since he, who became the first
American President, suffered through the “Conway Cabal,” a cabal
not dissimilar in the motives, the charges and the execution, to that
through which suffered the first Red Cross President. But George
Washington was a fighter; Clara Barton, a woman of peace. The Red
Cross President was as patient as was the first martyred American
President, under persecution, and who then said “I am nothing, but
truth is everything.” She was as innocent and unsuspecting as was
our last martyred American President, who said “I have never done
any man wrong, and I believe no man will do me one.”
Man, political, cowardly-man constructed the apparatus;—the
tongue of woman, the sender; the ear of woman, the receiver. Of all
the God-given good of earth, one woman is the best; TWO WOMEN, the
worst. The only serious charge in history that will stand against Clara
Barton is that she WAS A WOMAN; her most serious
“misappropriation,” that of her confidence in another woman.
Away the fair detractors went
And gave by turns their censures vent.
Elected for life? Yes. Then resigned? She was not a “war-
woman,”—she had never filled a swiveled-chair;—yes, she resigned in
the interest of peace and harmony. And from the facts, distorted,
and the motives, impugned, as to why she resigned were taken the
bundle of faggots to add fuel to the flames of her torture.
Slander never wants for material;
Virtue itself provides it with weapons.
As for safety, the ancient criminal fled to the Temple of the Gods,
so America’s modern character-assassin fled to the Temple of the
Red Cross, and implored silence; for then to recite the historic facts
of the martyrdom might cause vibrations that would have shaken to
earth the pillars of that sacred temple. President Clara Barton of the
Red Cross said: “Its President has spoken not at all, and never will.”
Silence reigned. The truth was withheld at the Red Cross receiving
station, while untruth sped wireless—and all the world wondered.
The Red Cross! No, the recent Red Cross officials don’t know the
facts,—the reputation of the Mother is the child’s richest heritage.
The Mother loved the Red Cross child; the child, the Mother—the
slander of the Mother, dead, is by the individual, not by the Red
Cross. The slander having coiled itself in Red Cross official circles
there it lives, and will live, until scotched by the Red Cross or the
American people.
For slander lives upon succession;
Forever housed, where it gets possession.
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