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Random Processes: Version 2, ECE IIT, Kharagpur
Random Processes: Version 2, ECE IIT, Kharagpur
2
Random Processes
Version 2, ECE IIT, Kharagpur
Lesson
8
Stochastic Processes
Stochastic Processes
Statistical Average
Wide sense stationary process
Complex valued stochastic process
Power Density Spectrum of a stochastic process
Many natural and man-made phenomena are random and are functions of time.
e.g., i) Fluctuation of air temperature or pressure, ii) Thermal noise that are
generated due to Brownian motion of carriers in conductors and semiconductors
and iii) Speech signal.
Now, let us consider another set of random variables X (ti + ) , generated from
same stochastic process X(t) with an arbitrary time shift ' '
X t1 + = X (t = t1 + ),....... X ti + = X (t = ti + )
and with a joint pdf p ( xt1 + , xt2 + ,....., xtn + ) .
In general, these two joint pdf-s may not be same. However, if they are same for
all and any n, then the stochastic process X(t) is said to be stationary in the
strict sense. i.e.,
p ( xt1 , xt 2 ,......, xtn ) = p ( xt1 + , xt2 + ,....., xtn + ) for all ' ' and all n.
Strict sense stationarity means that the statistics of a stochastic process is invariant
to any translation of the time axis. Finding a quick example of a physical random
process which is stationary in the strict sense may not be an easy task.
If the joint pdfs are different for any ' ' or n the stochastic process is nonstationary.
Statistical Averages
E[ X t i ] =
n
ti
2.8.1
. p ( xti )dxti
For a stationary process, p ( xti + ) = p ( xti ) for all and hence the n-th moment is
independent of time.
E[ Xt 1 Xt 2] =
x .x
t1
t2
2.8.2
p ( xt 1, xt 2) dxt 1dxt 2
- -
This joint moment is also known as the autocorrelation function, (t1,t2) of the
stochastic process X(t). In general, (t1,t2) is dependent on t1 and t2.
Note that hardly any physical stochastic process can be described as stationary in
the strict sense, while many of such processes obey the following conditions:
a) Mean value, i.e., E[X] of the process is independent of time and,
b) (t1 , t2 ) = (t1 t2 ) over the time domain of interest.
Such stochastic processes are known as wide sense stationary. This is a less
stringent condition on stationarity.
2.8.5
xy (t1 , t2 ) = E ( X t1Yt 2 ) =
y ( xt1 , yt 2 ) dxt1dyt 2
2.8.6
t1 t 2
2.8.7
Here, mx(t1) = E[ Xt1] and my(t1) = E[ Yt2]. If X and Y are individually and jointly
stationary, we have,
xy (t1 , t2 ) = xy (t1 t2 )
&
2.8.8
xy (t1 , t2 ) = xy (t1 t2 )
In particular, xy ( ) = E ( X t1Yt1+ ) = E ( X t ' .Yt ' ) = yx ( )
1
Now, two stochastic processes are said to be statistically independent if and only if,
p ( xt1 , xt 2 ,.....xtn , yt ' 1 , yt ' 2 ....., yt 'm )
2.8.9
= p ( xt1 , xt 2 ,.....tn ). p ( yt ' 1 , yt ' 2 ....., yt 'm )
for all ti, tj, n and m
Two stochastic processes are said to be uncorrelated if,
xy (t 1, t2) = E[Xt1].E[Yt2] . This implies, xy (t1, t 2) = 0
i.e., the processes have zero cross-covariance.
2.8.10
1
1
~
zz (t1, t2) = .E[ Zt 1. Z * t2] = .E[( xt 1 + jyt1)(xt2 + jyt2)]
2
2
1
= .[ xx (t1, t 2) + yy (t1, t 2) + j{yx (t1, t 2) - xy (t1, t 2)} ]
2
Here, xx (t1, t 2) : Auto-correlation of X;
yy (t 1, t 2) : Auto-correlation of Y;
yx (t1, t 2) and xy (t1, t 2) are cross correlations of X&Y.
2.8.11
( f ) =
( )e
j 2 f
2.8.13
(f)e
j2f
2.8.14
df
( f )df
= E ( X 12 ) 0
(0) represents the average power of the stochastic signal, which is the area under the
( f ) curve.
Hence, ( f ) is called the power density spectrum of the stochastic process.
Problems
Q2.8.1) Define and explain with an example a wide sense stationary stochastic
process.
Q2.8.2) What is the condition for two stochastic processes to be uncorrelated?
Q2.8.3) How to verify whether two stochastic processes are statistically independent
of each other?