PROBABILITY DENSITY FUNCTION

 The pdf is defined as the derivative of the cdf:

 Note that, for all i, one has pi ≥ 0 and ∑pi = 1.

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CUMULATIVE JOINT PDF JOINT PDF
 Often encountered when dealing with combined
experiments or repeated trials of a single
experiment.
 Multiple random variables are basically
multidimensional functions defined on a sample
space of a combined experiment.
 Experiment 1
 S1 = {x1, x2, …,xm}
 Experiment 2
 S2 = {y1, y2 , …, yn}
 If we take any one element from S1 and S2
 0 <= P(xi, yj) <= 1 (Joint Probability of two or more
outcomes)
 Marginal probabilty distributions
 Sum all j P(xi, yj) = P(xi) 2
 Sum all i P(xi, yj) = P(yi)
EXPECTATION OF RANDOM VARIABLES
(STATISTICAL AVERAGES)
 Statistical averages, or moments,
play an important role in the
characterization of the random
variable.
 The first moment of the probability
distribution of a random variable X
is called mean value mx or
expected value of a random
variable X
 The second moment of a
probability distribution is mean-
square value of X
 Central moments are the
moments of the difference
between X and mx, and second
central moment is the variance of
x.
 Variance is equal to the difference
between the mean-square value
and the square of the mean

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Contd
 The variance provides a measure of the variable’s
“randomness”.
 The mean and variance of a random variable give a
partial description of its pdf.

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TIME AVERAGING AND ERGODICITY
 A process where any member of the ensemble
exhibits the same statistical behavior as that of the
whole ensemble.
 For an ergodic process: To measure various
statistical averages, it is sufficient to look at only
one realization of the process and find the
corresponding time average.
 For a process to be ergodic it must be stationary.
The converse is not true.

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GAUSSIAN (OR NORMAL) RANDOM VARIABLE
(PROCESS)
 A continuous random variable whose pdf is:

μ and are parameters. Usually denoted as

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CENTRAL LIMIT THEOREM
 CLT provides justification for using Gaussian
Process as a model based if
 The random variables are statistically independent
 The random variables have probability with same mean
and variance

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CLT
 The central limit theorem states that
 “The probability distribution of Vn approaches a
normalized Gaussian Distribution N(0, 1) in the limit as
the number of random variables approach infinity”
 At times when N is finite it may provide a poor
approximation of for the actual probability
distribution

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AUTOCORRELATION
Autocorrelation of Energy Signals
 Correlation is a matching process; autocorrelation refers to the
matching of a signal with a delayed version of itself
 The autocorrelation function of a real-valued energy signal x(t) is
defined as:

 The autocorrelation function Rx() provides a measure of how

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AUTOCORRELATION
 symmetrical in  about zero
 maximum value occurs at
the origin
 autocorrelation and ESD
form a Fourier transform
pair, as designated by the
double-headed arrows
 value at the origin is equal
to the energy of the signal

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AUTOCORRELATION OF A PERIODIC (POWER)
SIGNAL

 The autocorrelation function of a real-valued power

 When the power signal x(t) is periodic with period T0, the
autocorrelation function can be expressed as:

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AUTOCORRELATION OF POWER SIGNALS
The autocorrelation function of a real-valued periodic signal
has properties similar to those of an energy signal:
 symmetrical in  about zero
 maximum value occurs at
the origin
 autocorrelation and PSD
form a Fourier transform
pair, as designated by the
double-headed arrows
 value at the origin is equal
to the average power of the
signal

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 SPECTRAL DENSITY
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SPECTRAL DENSITY
 The spectral density of a signal characterizes the
distribution of the signal’s energy or power, in the
frequency domain
 This concept is particularly important when considering
filtering in communication systems while evaluating the
signal and noise at the filter output.
 The energy spectral density (ESD) or the power spectral
density (PSD) is used in the evaluation.
 Need to determine how the average power or energy of
the process is distributed in frequency.

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