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Chap2 - Présentation1 - Random Process

The document discusses random variables, including their definitions, expected values, variances, and the concept of jointly distributed random variables. It also covers discrete-time random processes, their properties, and methods for calculating ensemble averages, autocorrelation, and ergodicity. Additionally, it touches on the Z-transform and its implications for sequences in random processes.

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عبد الفتاح بالمسمار
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15 views14 pages

Chap2 - Présentation1 - Random Process

The document discusses random variables, including their definitions, expected values, variances, and the concept of jointly distributed random variables. It also covers discrete-time random processes, their properties, and methods for calculating ensemble averages, autocorrelation, and ergodicity. Additionally, it touches on the Z-transform and its implications for sequences in random processes.

Uploaded by

عبد الفتاح بالمسمار
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Random Processes

1
Random variable
A random variable X is a function that maps each element in the
sample space with a real number (i.e., X : Ω  R.)
allocate numerical values to the outcomes.

X : Random variable .
x: particular real value of X
The coin flipping: Ω={Heads, Tails}
Mapping: 1 to Head and -1 to Tail X={1, -1}

Probability Cumulative Distribution Probability Density


Pr(1)=Pr{H}=0,5 function function
Pr(-1)=Pr{T}=0,5 Fx(a)=Pr(x≤a) fx(a)=dFx(a)/da

2
Ensembles averages
Expected value (Mean)
Discrete- type random variable Continuous- type random variable

The coin flipping: 1≡ Head -1 ≡ Tail RV uniform in [0 1]


E{X}=1x0.5+(-1)x0.5=0

Variance

3
Jointly Distributed Random Variables
Case for two or more random variables

X, Y two RVs:

Correlation
Covariance

Correlation coefficient

4
Independent, Uncorrelated Random variables

Independent RVs

Uncorrelated RVs

5
Random Processes
Discrete-time random process is a mapping from the sample
space Ω into the set of discrete-time signals
A discrete-time random process is a collection of discrete-time signals
Rolling a fair die, each outcome is assigned to a discrete-time signal
x(k)=A cos(kω0). A is an integer {1-6}

6
Random Processes
A discrete-time random process is a collection of discrete-time signals

If k is fixed and ω is variable: X(k) is an RV


If ω is fixed and k is variable: x(k) is a realization
If both ω and k are fixed: x(k0) is a number

for n=1:4
x(n,:)=rand(1,50)-0.5;
subplot(4,1,i) ; stem([0:49],x(i,:),'k')
end
0.5

Four realizations each having 50 samples of a 0

random process with zero mean value -0.5


0 5 10 15 20 25 30 35 40 45 50
0.5

-0.5
0 5 10 15 20 25 30 35 40 45 50
0.5

-0.5
0 5 10 15 20 25 30 35 40 45 50
0.5

-0.5
0 5 10 15 20 25 30 35 40 45 50

7
Ensemble averages
Random process is an indexed sequence of random variables X(0), X(1)…
For each of these RVs, we may compute:
The mean
The variance
Autocorrelation
Autocovariance

Example: for n=1:1000


x(n,:)=2*cos(2*pi*0.1*[1:32]+((rand(1)-
φ is a rv unifomly distrbuted over the
0.5)*2)*pi);
interval –π to π
end 2

-2
0 5 10 15 20 25 30 35
2

-2
0 5 10 15 20 25 30 35
2

-2
0 5 10 15 20 25 30 35
2

0
8
-2
0 5 10 15 20 25 30 35
Wide Sens Stationnary Process
A random process is said to be wss if the following conditions are satisfied:
- The mean of the process is a constant

- The autocorrelation rx(k,l) depends only on the difference k-l

9
Autocorrelation matrix
Let a p+1 RVs from a RP:

10
Ergodicity

11
La transformée en Z inverse

12
La transformée en Z inverse

X(z) a deux pôles, z=1 et z=1/2, si :la séquence doit être définie pour . On
aura donc des puissances négative de dans l’expression de développée.

13
La transformée en Z inverse

: la séquence doit être définie pour . On aura donc des puissances positives
de dans l’expression de développée.

14

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