RANDOM PROCESSES

This chapter presents an introductory treatment of stationary random processes with emphasis on
second-order statistics. In particular, it discusses the following issues:
The notion of a random process.
The requirement that has to be satisfied for a random process so be stationary.
The partial description of a random process in terms of its irwan, correlation, and covarianc.e
functions.
The conditions thai have to be satisfied for a stationary random process to be ergodic. a property
that enables us to substitute time averages for ensemble averages.
What happens to a stationary random process when it is transmitted through a linear rimeinvariant fIlter?
The frequency-domam description of a random process in terms of power spedral density.
The characteristics of an important t)pe of r ndom process known da a Gaussian process.
Sources of noise and their narrowband form.
Rayleigh and Rician distributions, which represent two special probability distributions
that arise in the study of to mmunication systems.
introduction
The idea of a mathematical model used to describe a physical phenomenon is well estab.lished in
the physical cientes and engineering, In this context, we may distinguish two classes of
znatlwmaticat models deterministic and ttochastjc. A model is said to be deterministic ii thete is
no uncertainty about 1t5 time-dependent behavior at any instant of time. However, in many realworld problems the use of a deterministic model is inappropriate because the physical
phenomenon of imerest i,wolves tOo many unknown factors. Nevertheless, it may be possible to
consider a model described in probabilistic terms in that wv speak of the probability of a future
value lying between two specified limits. In such a case, the ntiidel is said to be stochastic or
random. A brief review of probability theory is presented in Appendix 1.
Consider, for example, a radio communication system. The received signal in such a system
usually consists of an ,nformasion-&earing s,gnal component, a random asserterence component,
and cJ,annel noise. The information-bearing signal component may represent, for example, a
voice signal that, typically, consists of randomly spaced bursts of energy of random duration. The
interference component may represent spurious eccrromagnetic waves produced by other
communication systems operating in the vicinity of the

3)
42 Cwana I a Kakiwsas Paovnsta
where a the mean at the pracuts XW. Accsrdiny. the time ascent js.IT) represent an ashland
esinanite at tiw ctsembkaverated wean x. We say that the f(OCn* Xle( is ergndsc in the wean if
two conditions are ssti.&.J;
The nate aveeqe i4I approaches the ensemble avesage ,, in the hunt a. the obsesiagiect interval
T approaches inAnity; that is,
p.4?) Ma
The vaetaae of ss,(Tl, teeatttd as a random vanttble, appeessches are in the limit as the
ofacevattan mterval Tappeoaches tnfnteyt that is.
han ea4p,AT(j = 0
tie other twit anraie of patticuise interest is the aseacorrelatson funceioa Jt,jt, 7) defined in lrnns
at die triple ftnace,cat sit) ofriened oat, the interval -Ta en T. Fefinwang Equation 4124). we amy
fonnaOy define the rinrr.anrag,ed satoconedaerrm fauaaian of a sample hsetiaa x(t) a follows:
R,4r, 7) jj J, sit I r)stSI Ut (lit)
This seated wtw.nuaje chould also he errand as a andoni eatable with. await and tartanceot its
own, Ta a manner siatilse to eegaslieiay ad the mean, asre say that the peixesa aft) is erguadic sat
the .iutuconelarkan flatteries if the following two Iirndlag condsitass are saristied
io Rjri T) 1!ins variLl ,, Ti) 0
We etenld, ad count, gn an in a similar way in deAne esgndiciry in the rest general inane by
easuidniasg biglsen-ardee sgataaties of the pessees. Xi:). In peactave, however, ne pudseity in the
nina and enpdiciey in the tocorrolasioti function. as described hens, ala often hae nut always)
cainsdued to he adequate. Nate slats that the use ad Equations 41244 and) 126)tocotnputethe
time aneagesp,,(Tl and Rjt,T) reqtsseesthaenhepeoce.s Xfn be stationary. Is cites words, Jo, a
tandem pessiem to be ergutlis. as has to be usttesnsey; hsswevee, the convene is not necessarily
true.
I 1.6 Tra,ssmia,iejn qf a Random. Process
[Through a Linear flame .1 seem riant Filter
%ppesae thai a random peoceas XI:) Is applied as input to a hstear tnse-uwuvs,ar ftftn of knpadse
ssqottee b(4 prttacieg a new eardoin peutnas Y4rl at the filter output, a in figure 1.11. In vner*
am dfksslt to desentar the prubabtltey dnsnbution of the output eaadoas prom. Y4r4a even when
she prubahility distribution ad the input tastadoin ptvt.eas XCt) a completely specified foe - <S <

In tins season, we deteetanne the tiane-dtmtain Ions of the input-output relatsons of List filter foe
defining the mean and sssocnerelaoon functions of the output randoer peaces. 104 in tunas of
those of Use input Xis), amsanting that Xii) n a sratsotsary peosssL