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White Noise

Lecture 15

EEE 352 Analog Communication Systems

Mansoor Khan

Electrical Engineering Dept.

CIIT Islamabad Campus

Gaussian Processes

• Gaussian process is a special random process

– Important for communications because noise is usually modeled

as Gaussian process

• Definition

– A random process X(t) is Gaussian process if at any time instant

t

i

, the random variable X(t

i

) has Gaussian distribution (is

Gaussian random variable)

• A simple property

– when a Gaussian process passes a linear filter, the output is still

a Gaussian process

X(t)

t

t

i

X(t

i

)

• Gaussian process & Gaussian random variable

– Remind: if X(t) is Gaussian process, then at each time instant t

i

,

X(t

i

) is Gaussian random variable

– Gaussian random variable X(t

i

) described by a PDF with mean μ

and variance σ

2

• Gaussian process & Gaussian random variable

– Remind: if X(t) is Gaussian process, then at each time instant t

i

,

X(t

i

) is Gaussian random variable

– Gaussian random variable X(t

i

) described by a PDF with mean μ

and variance σ

2

– Gaussian random process X(t) described by mean function μ(t)

and power spectral density (PSD) S

X

(f)

• or use autocorrelation function R

X

(τ) in place of PSD

– Main property #1: for stationary random process

– Main property #2: power of random process equals to

power of random variable

– Main property #3: If random process has zero mean,

then

mean function of random process is contant,

and equals to mean of random variable,

( ) t u u =

2

( )

X

S f df o

·

÷·

=

í

| |

( ) ( ) ( )

X i i

S f df E X t X t

·

÷·

=

í

• Example

– Let X(t) be zero-mean stationary Gaussian process with PSD

S

X

(f). Determine PDF of X(3).

5, for 500 500 Hz

( )

0, else

X

f

S f

÷ s s

¦

=

´

¹

2

10000

Probability density function of random variable (3) :

1

( )

10000

x

X

f x e

t

÷

=

500

2

500

Mean of random variable (3) : ( ) [ ( )] 0

variance of random variable (3) :

( ) 5 5000

X X

X

X t E X t

X

S f df df

u u

o

·

÷· ÷

= = =

= = =

í í

White Processes

• White process is a special random process with

constant power spectral density

– Power density is a constant for all frequencies

– White process is an ideal math model because the total power is

infinite, analogy to impulse function δ(t).

– But it is useful to model noise, and usually gives very good

approximation and extremely simple math.

( ) , ( ) ( )

W W

S f C R C t o t = =

Noise

• An important type of noise is thermal noise

– The origin is random movement of electrons

– This noise signal can be modeled as Gaussian

process

• The composite effect of a large number of small electrons

becomes Gaussian distributed

– We also model the noise signal by white process

• Without any special filtering, noise power will be almost

constant for all frequencies

– The noise signal is usually added to information

signals, so we call it Additive White Gaussian Noise

(AWGN)

• Model of AWGN (additive white Gaussian noise)

X(t): random or deterministic signal

W(t): AWGN

Y(t)=X(t)+W(t): random process

A realization of

AWGN W(t)

• AWGN W(t) is a white Gaussian random process

– “White”: constant PSD

– “Gaussian”: at time t

i

, random variable W(t

i

) has Gaussian

distribution, usually assumed with zero mean.

0 0

( ) , ( ) ( )

2 2

W W

N N

S f R t o t = =

2

2

2

1

( )

2

x

f x e

o

t o

÷

=

Filtered Noise Processes

• AWGN is an ideal noise model, we often use it

to describe the received noise

– Practical noise can usually be modeled by filtering AWGN, i.e.,

processing noise via filters

• Major difference between AWGN and filtered

noise

– PSD different: filtered noise has limited bandwidth B, and PSD: .

– Distribution of random variable same: still Gaussian random

variable

2

( ) | ( ) | ( )

N W

S f H f S f =

• Example

– If AWGN pass an ideal lowpass filter with bandwidth B and

magnitude 1, what is the output signal N(t)? Determine the PDF

of N(0).

1, for

( )

0, otherwise

B f B

H f

÷ s s

¦

=

´

¹

2 2

0

0

( ) is still Gaussian process, with PSD

( ) | ( ) | ( ) | ( ) |

2

, for

2

0, otherwise

N W

N t

N

S f H f S f H f

N

B f B

= =

¦

÷ s s

¦

=

´

¦

¹

2

0

2

0

0

2

0

(0) is Gaussian random variable with zero-mean, variance

( )

2

1

Its PDF is: ( )

2

B

N N

B

x

N B

N

N

S f df df N B

f x e

N B

o

t

·

÷· ÷

÷

= = =

=

í í

• Random process & random variable

– When an AWGN signal passes a filter with bandwidth B and unit

passband magnitude

• If AWGN has zero mean, then all the random processes and random

variables are zero mean.

• PSD and variance relationship

Random process

PSD S(f)

Random variable

variance σ

2

Input W(t)

Output N(t)

0

( )

2

W

N

S f =

0

, for in passband

( )

2

0, otherwise

N

N

f

S f

¦

¦

=

´

¦

¹

2

0 N

N B o =

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