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Random Process LN

# Random Process LN

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12/15/2012

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SignalModeling &Estimation
Part 1: RandomProcess

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Signal Modeling & Optimal Processing
Part 1 Random Process
( This a part of 6 part series of Lecture Notes/ Handouts for Post Graduate Students .)
White Noise
The term white noise was originally an engineering term and there are subtle, but
important diﬀerences in the way it is deﬁned in various econometric texts. Herewe deﬁne white noise as a series of un
-correlated random variables with zero
mean and uniform variance (σ2 > 0). If it is necessary to make the stronger
assumptions of independence or normality this will be made clear in the contextand we will refer to independent white noise or normal or Gaussian white noise.
Be careful of various deﬁnitions and of terms like weak, strong and strict white
noise The argument above for second order stationery of Normal white noisefollows for white noise. White noise need not be strictly stationary.
Some important Definitions
Joint Moments / Correlations

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some books refer it as
Φ
xy.
Where in case of RV being complex , the
y *
denotes the complex conjugate of Y. another important parameter related with Correlation is CO Variance whichis defined as :-where m
x and
m
y
are ensemble average ( mean ) two random variables X & Y. If X , Y have zeromean it can be seen that they are equal to correlation.To make the Covariance invariant to scaling of data , it is frequently normalizedas belowsuch normalized Covariance is known as CORRELATION CO EFFICIENTS. ( Sometime it is also written as S
xy
).
This coefficient has got great relevance in data forecasting , processing or signal extractionin an noisy environment etc. For Zero mean it is as shown below bounded by a value 1.

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