Professional Documents
Culture Documents
Stochastic Processes
M. Sami Fadali
Professor of Electrical Engineering
University of Nevada, Reno
, , ,
0.05
e. g. 0,1 ,
,
N 0,1 ,
-0.05
, , R,
Z
0.15
0.1
Example: No deterministic
structure.
X(t)
-0.1
(integer)
0
10
t
4
Random Processes
Random Process
5
4
Sample
Function
3
2
1
0
-1
-2
4.5
-3
4
-4
=random variable
3.5
0
10
20
30
2.5
Random Sequence
1.
2.
3.
4.
Mathematical Description
2T
2T
D
10
11
Statistically Independent
Random Signals
Joint Densities
changes with
Any choice of
Possibly
and
13
14
Autocorrelation
15
.
D = random start time, uniformly
distributed in
.
Switching point
same pulse.
2T
2T
in the
Switching point
same pulse.
D
1
not in the
1
2
probability =
in same interval
, with equal
17
Probabilities
2T
18
2T
D
1
1
probability =
2
2
1/T
in same interval
, with equal
D
T
19
20
Product of Amplitudes
Use
in same pulse as
to include
|t2 t1|
|t2 t1|
|t2 t1|
|t2 t1|
21
22
Function of
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-6
23
-4
-2
2 1
24
Strictly Stationary
Two definitions
25
Nonstationary Signal
(depends on separation
26
only)
27
28
and
Values at
First-order distributions are different
(even though their mean is the
same).
29
30
Stationarity Necessary
Explanation
Single realization has a single
average for any property: all
moments, autocorrelation etc.
Can only obtain expected value if
it is constant.
32
Ergodicity in Mean
Amplitude
Time Average
Mean of constant
Stationarity is not sufficient.
, as
33
Ergodicity in Autocorrelation
34
Example
Time Autocorrelation
Deterministic structure
N(0, 2 ), constant
Sample realization
, fix
Compare time autocorrelation &
autocorrelation.
36
Time Autocorrelation
Autocorrelation
1 T
X A (t ) X A (t )dt
T T 0
1 T
_| A12 sin t sin t dt
T T 0
A12 T
cos cos 2t dt
_|
T 2T 0
A2
(finite integral)/T
1 cos
2
e X A ( ) _|
cos
cos
cos 2
sin
sin 2
37
38
Properties of Autocorrelation
From autocorrelation
For
stationary
39
40
Even Function
Peak Value
Stationary
=even function of
41
Periodic Component
42
has
A periodic component of the same period.
No information about phase.
=zero-mean
+ uncorrelated
44
Zero-mean
Zero-mean, ergodic process
has
A periodic component of the same
period.
No information about phase.
45
46
Crosscorrelation Function
=conjugate transpose
=transpose for real
Stationary:
Stationary: skew-symmetric
47
48
Properties of Crosscorrelation
Example: Cross-correlation
Zero at
Zero mean as
shown earlier
not maximum
49
50
Sum
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
51
Receive signal.
0
-8
-6
-4
-2
Td
52
Example
Wiener-Khinchine Relation
_
53
54
For = 0
55
56
Example
Integration tables.
57
58
Skew-symmetry of cross-correlation:
=
60
Properties of SDF
Real function
Even function
+
+
Zero cross-correlation:
+
&
uncorrelated &
61
or
zero mean.
62
Coherence Function
Conclusion
Probabilistic description of random
signals.
Autocorrelation and crosscorrelation.
Power spectral density function.
Experimental determination:
necessary but difficult.
63
64
References
R. G. Brown and P. Y. C. Hwang, Introduction to
Random Signals and Applied Kalman Filtering,
3ed, J. Wiley, NY, 1997.
G. R. Cooper and C. D. MaGillem, Probabilistic
Methods of Signal and System Analysis, Oxford
Univ. Press, NY, 1999
Binary signal example is from
K. S. Shanmugan & A. M. Breipohl, Detection,
Estimation & Data Analysis, J. Wiley, NY, 1988,
pp. 132-134.
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