5

5.1

5.2

5.3

Random Processes

Random Processes . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.1.1

Definition and Examples . . . . . . . . . . . . . . . . . . . . .

5.1.2

Ensemble Averages and Stationarity . . . . . . . . . . . . . . .

5.1.3

Time Averages and Ergodicity . . . . . . . . . . . . . . . . . .

Autocorrelation and Power Spectra . . . . . . . . . . . . . . . . . . .

11

5.2.1

Autocorrelation and Autocovariance . . . . . . . . . . . . . . .

11

5.2.2

Power Spectral Density . . . . . . . . . . . . . . . . . . . . .

15

5.2.3

Deterministic Power and Energy Signals . . . . . . . . . . . . .

17

5.2.4

Examples of Autocorrelation Functions and Power Spectral Densities 19

Excitation of LTI Systems with Stationary Random Processes . . . . . . .

28

5.3.1

Expected Value of the Output Random Process

. . . . . . . . .

28

5.3.2

Autocorrelation Function of the Output Random Process . . . . .

29

5.3.3

Power Spectral Density of the Output Random Process . . . . . .

30

5.3.4

Cross-Correlation between Input and Output Random Process . . .

32

Dr. Tanja Karp

5.1
5.1.1

Random Processes

Definition and Examples

random variable

random experiment

X(t, 1 )

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

*1

* X(t, )
2

0.5
0

*i
*3

*2

0.5

X(t, 3 )

sample space S

0.5
0
0.5

X(t, i )

t1
Dr. Tanja Karp

5.1

Random Processes

t2
2

Random Process:
A random process X(t) describes the mapping of a random experiment with sample space
S onto an ensemble of sample functions X(t, i). For each point in time t1, X(t1)
describes a random variable.
Example: Rolling a Die
Random variable: X = i if number i is on top of the die
Random process: Y (t) = X cos(0t).
Example: Tossing a Coin N Times
Random variable: Xn = 0 if the nth result is head, Xn = 1 if the nth result is tail
PN
Random process: Y (t) =
n=1 Xn rect(t n + 0.5).
Y (t, 1 )
t
Y (t, 1 )
t
Y (t, 1 )
t
Y (t, 4 )

Y (t, 2N )
t

Dr. Tanja Karp

5.1

Random Processes

t
3

Example: Filtering a Random Process

Y (t) = h(t) X(t) =

h( )X(t )d

X(t), Y (t): random processes, h(t): filter impulse response

5.1.2

Ensemble Averages and Stationarity

For each time instance of a random process, the average value, variance etc. can be
calculated from all sample functions X(t, i).
Expected Value E{X(t)}:
For a random process X(t) with probability density function fX(t)(x), the expected value
E{X(t)} = mX (t) is given by:
Z
x fX(t)(x)dx = mX (t)
E{X(t)} =

Variance X (t):

Z
2

X (t) = E{|X(t) mX (t)| } =

|x mX (t)| fX(t)(x)dx

Dr. Tanja Karp

5.1

Random Processes

For a stationary random process the probability density function is independent of time t,
thus the expected value and the variance are also a constant over time.

fX(t)(x) = fX(t+t0)(x),
mX (t) = mX (t + t0) = mX ,
5.1.3

t, t0

X (t) = X (t + t0) = X

Time Averages and Ergodicity

So far, the average value and the variance of a random process X(t) were calculated based
on the probability density function fX(t). However, in practical experiments the probability
density function of a random process is often unknown. Also, in many cases, there is only
one sample function X(t, i) available. Therefore, it is favorable to average over time
instead of taking the ensemble average.
Average Value mX(i):

mX(i)

1
= lim
T T

T /2

X(t, i)dt
T /2

2
Variance X(
):
i

2
X( )
i

Dr. Tanja Karp

1
= lim
T T

5.1

T /2
T /2

(X(t, i) mX(i)) dt

Random Processes

ensemble average
1

random experiment
X(t, 1 )

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.12

0.14

0.16

0.18

0.2

*1

* X(t, )
2

0.5
0

*i
*3

*2

0.5

X(t, 3 )

sample space S

0.5
0
0.5

X(t, i )

time average
0

0.02

0.04

0.06

t1

Dr. Tanja Karp

5.1

Random Processes

0.08

0.1

t2

Ergodicity:
A stationary random process X(t) is called ergodic, if the time averages of each sample
function X(t, i) converge towards the corresponding ensemble average with probability
one.
In practical applications ergodicity is often assumed since just one sample function is
available and therefore the ensemble averages cannot be taken.
Example 1:
Random process: X(t) = A cos(0t)
A: discrete random variable with P (A = 1) = P (A = 2) = 0.5
0: constant
Ensemble average:

mX (t) = E{X(t)} = E{A} cos(0t) = 1.5 cos(0t)

For 0 = 0 the random process is not stationary and we are not allowed to take the time
average.

Dr. Tanja Karp

5.1

Random Processes

Example 2:
Random process: X(t) = A
A: discrete random variable with P (A = 1) = P (A = 2) = 0.5
Ensemble average:

mX (t) = E{X(t)} = E{A} = 1.5

the ensemble average is independent of time.
Time averages:

mX(1)

mX(2)

1
= lim
T T
1
= lim
T T

T /2

1
X(t, 1)dt = lim
T T
T /2

T /2

1
X(t, 2)dt = lim
T T
T /2

T /2

1 dt = 1
T /2

T /2

2 dt = 2
T /2

time averages taken for different sample functions are not identical to the ensemble
average, the random process is thus not ergodic.

Dr. Tanja Karp

5.1

Random Processes

Example 3: Tossing a Coin N Times

Random variable: Xn = 0 if the nth result is head, Xn = 1 if the nth result is tail.
N
P
Xn rect(t n + 0.5)
Random process: Y (t) =
n=1

Y (t, 1 )
t
Y (t, 1 )
t
Y (t, 1 )
t
Y (t, 4 )

Y (t, 2N )
t

Ensemble average:

mY (t) = E{Y (t)} = 0.5

Time average: Sample function Y (t, i): Coin is tossed N times and we observe n1 times
head and n2 times tail.
Z N
1
1
n2
mY (i) =
Y (t, i)dt = (n1 0 + n2 1) =
N 0
N
N

for N , n1 and n2 converge towards N/2 and mY (t,i) = mY (t) = mY . The

random process is thus ergodic.
Dr. Tanja Karp

5.1

Random Processes

random process X(t) with

pdf fX(t) (x)

stationary random process

with pdf f X (x)

ergodic random process:

time average=ensemble average

Dr. Tanja Karp

5.1

Random Processes

10

5.2
5.2.1

Autocorrelation and Power Spectra

Autocorrelation and Autocovariance

We are interested in how the

value of a random process
X(t) evaluated at t2 depends
on its value at time t1.
At t1 and t2 the random
process is characterized by
random variables X1 and X2,
respectively.
The relationship between X1
and X2 is given by the joint
probability density function

X(t, 1 )

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

0.5

X(t, 2 )

0.5
1

X(t, 3 )

0.5
0

0.5

fX1 X2 (x1, x2)

X(t, i )

Autocorrelation Function:

RXX (t1, t2) = E{X1 X2}

t1

= E{X(t1) X(t2)} =

Dr. Tanja Karp

t2

x1x2fX1X2 (x1, x2)dx1dx2

5.2 Autocorrelation and Power Spectra

11

Autocovariance Function:

CXX (t1, t2) = E{(X(t1) mX (t1)) (X(t2) mX (t2))}

Z Z
=
(x1 mX (t1))(x2 mX (t2)) fX(t1)X(t2)(x1, x2)dx1dx2

= RXX (t1, t2) mX (t1)mX (t2)

2
CXX (t, t) describes the variance X
(t) of a random process.

Autocorrelation and Autocovariance Function of a Stationary Random Process:

The joint probability density function of a stationary process does not change if a constant
value t is added to both t1 and t2.

fX1 X2 (x1, x2) = fX(t1)X(t2)(x1, x2) = fX(t1+t)X(t2+t)(x1, x2)

The autocorrelation function then only depends on the difference between t1 and t2
Z Z
RXX (t1, t2) = E{X(t1) X(t2)} =
x1x2fX(t1)X(t2)(x1, x2)dx1dx2

Z Z
=

x1x2fX(0)X(t2t1)(x1, x2)dx1dx2 = RX,X (0, t2 t1) = RX,X ( )

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

12

Since the average value is a constant, the autocovariance function is given by:

CXX (t1, t2) = E{(X(t1) mX ) (X(t2) mX )}

Z Z
=
(x1 mX )(x2 mX ) fX(t1)X(t2)(x1, x2)dx1dx2

Z Z

(x1 mX )(x2 mX ) fX(0)X(t2t1)(x1, x2)dx1dx2

= CXX (0, t2 t1) = CXX ( )

Properties of the Autocorrelation Function of a Stationary Random Process:

Symmetry: RXX ( ) = RXX ( )

Mean Square Average: RXX (0) = E{X(t)2} 0
Maximum: RXX (0) |RXX ( )|
Periodicity: if RXX (0) = RXX (t0), then RXX ( ) is periodic with period t0.

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

13

Wide Sense Stationary (WSS) Random Process:

A random process X(t) is called WSS if the following three properties are satisfied:

The average value of the random process is a constant: mX (t) = mX

The autocorrelation and autocovariance function only depend on the time difference
= t1 t2:
RXX (t1, t2) = RXX (t2 t1) = RXX ( )
CXX (t1, t2) = CXX (t2 t1) = CXX ( )
2
The variance is constant and finite: X
= CXX (0) = RXX (0) m2X <

Autocorrelation and Autocovariance Function of an Ergodic Random Process:

1
RXX ( ) = lim
T T

T /2
Z

XT (t, i)XT (t + , i)dt

T /2

1
T T

T /2
Z

CXX ( ) = lim

(XT (t, i) mX )(XT (t + , i) mX )dt

T /2

XT (t, i): sample function of random process X(t) windowed to be of length T (starting
at T /2 ending at T /2).
Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

14

5.2.2

Power Spectral Density

Motivation:

Description of random processes in the frequency domain

Calculation of the Fourier Transform of a sample function is not useful
We assume in the following that the random process considered is at least WSS if not
stationary.
The power spectral density (psd) of a WSS random process X(t) is defined as the Fourier
Transform of the autocorrelation function RXX ( ):
Z
j2f
SXX (f ) = F {RXX ( )} =
RXX ( ) e
d

Inverse transform:

Z
j2f

RXX ( ) =

SXX (f ) e

df

Properties of the Power Spectral Density:

SXX (f ) = SXX (f ),
Dr. Tanja Karp

SXX (f ) 0,

5.2 Autocorrelation and Power Spectra

Im{SXX (f )} = 0
15

Ergodic Random Process x(t):

Autocorrelation Function:
T /2
T /2
Z
Z
1
1
xT (t, i)xT (t + , i)dt = lim
xT (t)xT (t + )dt
Rxx( ) = lim
T T
T T
T /2

Power Spectral Density:

T /2

j2f

Rxx( ) e

Sxx(f ) =

1
=
lim
T T
1
= lim
T T

T /2

j2f

xT (t)xT (t + )dt e

T /2

T /2

xT (t)
T /2

1
= XT (f ) lim
T T

j2f

xT (t + ) e
|
{z

d dt
}

XT (f )ej2f t
T /2

xT (t) e

j2f t

dt

T /2

|XT (f )|2
XT (f )XT (f )
= lim
= lim
T
T
T
T
Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

16

5.2.3

Deterministic Power and Energy Signals

Power Signal:
The autocorrelation function and the power spectral density can also be calculated for a
deterministic power signal x(t). In this case, the signal simply replaces the random process.
With xT (t) = x(t) rect(t/T ) we obtain for the autocorrelation function:

1
Rxx( ) = lim
T T

T /2
Z

xT (t)xT (t + )dt
T /2

and for the power spectral density:

Z
XT (f )XT (f )
|XT (f )|2
Sxx(f ) =
Rxx( ) exp(j2f )d = lim
= lim
T
T
T
T

Note that we obtain the power of x(t) as

1
P = Rxx(0) = lim
T T

T /2
Z
2

xT (t)dt =
T /2

Dr. Tanja Karp

Z
Sxx(f )df

5.2 Autocorrelation and Power Spectra

17

Energy Signals:
For an energy signal x(t) an energy autocorrelation function can be defined as
Z
E
Rxx( ) =
x(t)f (t + )dt = x( ) x( )

Applying the Fourier Transform to the energy autocorrelation function, we obtain the
energy spectral density as:
Z
E
E

2
Sxx(f ) =
Rxx( ) exp(j2f )d = X(f )X (f ) = |X(f )|

We obtain the energy as

Z
E

E = Rxx(0) =

x(t) dt =

1
2

Z
E

Sxx(f )df =

|X(f )| df

which restates Parsevals Theorem.

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

18

5.2.4

Examples of Autocorrelation Functions and Power Spectral Densities

Example 1: Sinusoid with Random Phase Angle

Random process:

x(t) = A sin(0t + )
A, 0: constant values,
: random variable with probability density function f(x):

1/2 for x <

f(x) =
0
otherwise
Average value:

mx(t) = E{x(t)} = E{A sin(0t + )}

Z

A sin(0t + x)f(x) dx

1
A sin(0t + x) dx = 0
2

The average value is a constant and independent of t. Since mx = 0 the autocorrelation

and autocovariance functions are identical.
Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

19

Autocorrelation function:

Rxx(t1, t2) = E{x(t1)x(t2)} = E{A sin(0t1 + ) A sin(0t2 + )}

Applying:

2 sin(A) sin(B) = cos(A B) cos(A + B)

2

Rxx(t1, t2) = E{0.5A cos(0(t2 t1)) 0.5A cos(0(t2 + t1) + 2)}

2

= 0.5A E{cos(0(t2 t1))} 0.5A E{cos(0(t2 + t1) + 2)}

2

= 0.5A cos(0(t2 t1)) 0 = Rxx( )

The autocorrelation function only depends on = t2 t1 but not on the absolute values
of t1 and t2.
Power spectral density:
2

Sxx(f ) = F{Rxx( )} = F {0.5A cos(0 )} = 0.5A F {cos(0 )}

2

= 0.5A ((f f0) + (f + f0))

Ergodicity:
If the random process is ergodic, we obtain the same results for the average value and the
autocorrelation function by taking the time averages over one sample function.
Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

20

Let us assume the sample function x(t, i) has a phase angle i:

x(t, i) = A sin(0t + i)
Average value (time average):

mx(i)

Z T /2
1
= lim
x(t, i)dt
T T
T /2
Z T /2
1
= lim
A sin(0t + i)dt = 0 = mx
T T
T /2

Autocorrelation function (time average):

Z T /2
1
Rx(i)x(i)( ) = lim
x(t, i)x(t + , i)dt
T T
T /2
Z T /2
1
2
A sin(0t + i) sin(0(t + ) + i)dt
= lim
T T
T /2
Z T /2
A2
1
=
lim
cos(0 ) + cos(0(2t + ) + 2i)dt
2 T T T /2
A2
cos(0 ) = Rxx( )
=
2
Time averages of one sample function and ensemble averages are identical
the random process is ergodic.
Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

21

A = 1, 0 = 2
Autocorrelation Function Rxx()

Sample Functions
x(t,1)

0.5

0
1

0.5

1.5

2.5

3.5

4.5

x(t,2)

0
1

0.5

1.5

2.5

3.5

4.5

x(t,3)

0.5
3

Power Spectral Density S (f)

xx

0.5

1.5

2.5

3.5

4.5

x(t,4)

0.6
0
1

0.5
0.4
0

0.5

1.5

2.5

3.5

4.5

1
x(t,5)

0.7

0.3
0.2

0
1

0.1
0

0.5

Dr. Tanja Karp

1.5

2.5
t in sec

3.5

4.5

0
3

5.2 Autocorrelation and Power Spectra

0
f

22

Example 2: Binary Data Transmission

A binary sequence is transmitted by rectangular pulses of width Tb. The amplitude of
the pulse is determined by each bit, i.e. it is one if the bit is one and zero if the bit is
zero. We assume that ones and zeros are equally likely and that each bit is statistically
independent of all others. Using ergodicity, we obtain the following results from a sample
function x(t, 1):
Average value (sample function of length N bits with n1 ones):
Z T
Z N Tb
1
1
x(t, 1)dt = lim
x(t, 1)dt
mx = E{x(t, 1)} lim
N

T T
N
T
b 0
0

1
n1
= lim
[n1 1 Tb + (N n1) 0 Tb] = lim
= 0.5
N N Tb
N N
Autocorrelation function:

1
Rxx( ) = E{x(t, 1)x(t + , 1)} = lim
T T
= 0.25((t) + ( /Tb))

x(t, 1)x(t + , 1)dt

0

Power spectral density:

2

Sxx(f ) = F {Rxx( )} = 0.25(1 + sinc (f Tb))

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

23

Autocorrelation Function Rxx()

x(t,1)

Sample Function
1.5
1
0.5
0
0.5

0.75

0.5
0

10
t/T

12

14

16

18

20

0.25

x(t+0.3Tb,1)
x(t+Tb,1)

1.5
1
0.5
0
0.5

x(t+1.5Tb,1)

Shifted Copies of Sample Function

1.5
1
0.5
0
0.5

1.5
1
0.5
0
0.5

0
5

0
/Tb

Power Spectral Density S (f)

xx

10

12

14

16

18

20

0.75

0.5
0

10

12

14

16

18

20
0.25

Dr. Tanja Karp

10
t/Tb

12

14

16

18

20

0
4

5.2 Autocorrelation and Power Spectra

0
f Tb

24

Example 3: Deterministic Energy Signal

f (t) = rect(t 0.5)

Energy autocorrelation function:
E
Rf f ( )

f (t)f (t + )dt = ( )

Energy spectral density:

E

Sf f (f ) = F{Rf f ( )} = sinc (f )

0.8

0.8
xx

0.6

0.6

0.4

0.4

0.2

0.2

0
4

Dr. Tanja Karp

Power Spectral Density

S (f)

Rxx()

Autocorrelation Function

0
4

5.2 Autocorrelation and Power Spectra

0
f

25

Example 4: White Noise

A random process n(t) is called white noise, if it has a constant power spectral density of
N0/2 watts per Hz measured over positive frequencies. If in addition the random process
has zero mean (mn = 0), the power spectral density is given by:

Snn(f ) = N0/2

for all f

Autocorrelation function:

Rnn( ) = F

{Snn(f )} =

N0
(t)
2

Since only the first and second moment of the process are known, the probability density
function cannot be uniquely determined.
In the case of a Gaussian probability density function, the process is called white Gaussian
noise.
If the white Gaussian noise is added to the signal, we denote it as additive white Gaussian
noise (AWGN).

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

26

White Gaussian Noise

3
2

n(t)

1
0

1
2

5
t

Rnn ()

Snn ( f )

(N0 /2)

N0 /2

Dr. Tanja Karp

5.2 Autocorrelation and Power Spectra

10

27

5.3

Excitation of LTI Systems with Stationary Random Processes

Excitation of an LTI system with sample function x(t, i) of a stationary random process
x(t).

x(t, i )

LTI system
h(t)

y(t, i )

Sample function y(t, i) of the output random process y(t):

y(t, i) = h(t) x(t, i)

5.3.1

Expected Value of the Output Random Process

8
>
< Z
my = E{y(t)} = E{x(t) h(t)} = E

>
:

9
>
=
x(t )h()d

Z
=

Dr. Tanja Karp

Z
j20

E {x(t )} h()d =

>
;

mx h() e
| {z } d = mxH(0)

5.3 Excitation of LTI Systems with Stationary Random Processes

28

5.3.2

Autocorrelation Function of the Output Random Process

Ryy ( ) = E{y(t)y(t + )} = E{(x(t) h(t))(x(t + ) h(t + ))}

8
9

>
>
Z
<Z
=
=E
h()x(t )d
h()x(t + )d
>
>
:
;

Z Z
=

h()h()E {x(t )x(t + )} dd

Z Z

h()h()Rxx( + )dd

Z
=

h()h( + )d Rxx( )d

{z

RE ()
hh

Z
E

Rhh()Rxx( )d = Rhh( ) Rxx( )

E
Rhh
( ): Energy autocorrelation function of the system impulse response
Dr. Tanja Karp

5.3 Excitation of LTI Systems with Stationary Random Processes

29

5.3.3

Power Spectral Density of the Output Random Process

E

Syy (f ) = F{Ryy ( )} = F{Rhh( ) Rxx( )}

E

= F{Rhh( )} F{Rxx( )} = F{Rhh( )} Sxx(f )

with
E

Rhh( ) = h( ) h( )
h( ) H(f ),
E

h( ) H (f )

Rhh( ) H(f )H (f ) = |H(f )|

and thus
2

Syy (f ) = Sxx(f ) |H(f )|

Rxx ()

Sxx ( f )

Dr. Tanja Karp

x(t, i )

LTI system h(t)

REhh ()

|H()|2

y(t, i )

Ryy () = Rxx () REhh ()

Syy ( f ) = Sxx ( f )|H( f )|2

5.3 Excitation of LTI Systems with Stationary Random Processes

30

Example: Ideal Lowpass Filtering of White Noise

Input random process ni(t):

Snini (f ) = 0.5 0.5N0 ( ) = Rnini ( )

Ideal lowpass filter:

HLP (f ) =

1 for |f | < fc
0 otherwise

Output random process no(t):

Snono (f ) = Snini (f )|HLP (f )| =

0.5N0 for |f | < fc

0
otherwise

Power of output random process:

Z
P no =

Zfc
Snono (f )df =

HLP ( f )

0.5N0df = N0fc
fc

1 S ni ni ( f )

S no no ( f )

N0 /2

N0 /2

fc
Dr. Tanja Karp

fc

fc

5.3 Excitation of LTI Systems with Stationary Random Processes

fc f
31

5.3.4

Cross-Correlation between Input and Output Random Process

The autocorrelation function describes the statistical properties of two random variables X1
and X2 taken from the same random process at times t1 and t2, respectively, X1 = X(t1)
and X2 = X(t2).
The cross-correlation function describes the statistical properties of two random variables
X1 and Y2 taken from two different random processes X(t) and Y (t) (here input and
output of an LTI system) at times t1 and t 2, respectively, such that X1 = X(t1) and
Y2 = Y (t2). It is defined as:

RXY (t1, t2) = E{X(t1)Y (t2)}

For stationary processes, it simplifies to:

RXY ( ) = E{X(t) Y (t + )}
Two random processes X(t) and Y (t) are called uncorrelated if

RXY (t1, t2) = E{X(t1)Y (t2)} = E{X(t1)} E{Y (t2)} = mX (t1) mY (t2)
They are called orthogonal if

RXY (t1, t2) = 0,

Dr. Tanja Karp

for all t1, t2.

5.3 Excitation of LTI Systems with Stationary Random Processes

32

Here:

Rxy ( ) = E{x(t) y(t + )} = E{x(t)(x(t + ) h(t + ))}

8
9
>
>
Z
<
=
= E x(t)
h()x(t + )d
>
>
:
;

Z
=

h()E {x(t)x(t + )} d

h()Rxx( )d = h( ) Rxx( )

Example: System Identification

An LTI system with unknown impulse response is excited with a white noise random process
ni(t) with power spectral density Snini = N0/2. The output noise process is no(t). The
cross-correlation between input and output noise process is given by:
N0
N0
( ) =
h( )
Rnino ( ) = h( ) Rni,ni ( ) = h( )
2
2

Dr. Tanja Karp

5.3 Excitation of LTI Systems with Stationary Random Processes

33