White Noise

Jeffrey B. Burl

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

Introduction

White noise is random process with

zero correlation time.

White noise does not exist in nature.

White noise provides a good approximation
to real signals input to linear systems.
The white noise approximation greatly
simplifies the computation of the output of
a linear system.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

Definition

A white noise signal has:

Zero mean.
Correlation function is zero at all times
other than zero.
RX ( ) = S X ( )

The PSD of a white noise signal is a

constant:
=
S X ( ) F=
[ RX ( )] S X

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

Comments

The impulse appearing in the definition of white

noise means that the variance and total power
of white noise is infinite (one reason why this
signal does not exist in nature).

Note that putting white noise into a filter with

finite bandwidth yields a well defined variance and
power for the output.
White noise will provide a useful approximation to
signals input to filters.
We will see when this approximation is good after
analyzing the output of systems with white noise
inputs.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl