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In practical problems we deal with time varying waveforms whose value at a time is

random in nature. For example, the speech waveform, the signal received by

communication receiver or the daily record of stock-market data represents

random variables that change with time. How do we characterize such data?

Such data are characterized as random or stochastic processes. This lecture covers

the fundamentals of random processes..

Random processes

Recall that a random variable maps each sample point in the sample space to a point in

the real line. A random process maps each sample point to a waveform.

Consider a probability space {S , F , P}. A random process can be defined on {S , F , P} as

an indexed family of random variables { X ( s, t ), s S,t } where is an index

set which may be discrete or continuous usually denoting time. Thus a random

process is a function of the sample point and index variable t and may be

written as X (t , ).

Remark

For a fixed t ( t 0 ), X (t 0 , ) is a random variable.

is a deterministic function.

For a fixed ( 0 ) and a fixed t ( t 0 ), X (t , 0 ) is a single number.

The random process { X ( s, t ), s S , t T } is normally denoted by { X (t )}. Following

figure illustrates a random procee.

A random process is illustrated below.

X (t , s3 )

S

s3 X (t , s2 )

s1

s2

X (t , s1 )

t

Figure Random Process

( To Be animated)

If the index set is continuous, { X (t ), t } is called a continuous-time process.

uniformly distributed between 0 and 2 . X (t ) is an example of a continuous-time

process.

(TO BE ANIMATED)

0.8373

0.9320

1.6924

1.8636

If the index set is a countable set, { X (t ), t } is called a discrete-time process.

Such a random process can be represented as X [n], n Z and called a random sequence.

set of positive integers.

We can define a discrete-time random process on discrete points of time. Particularly,

The discrete-time random process is more important in practical implementations.

Advanced statistical signal processing techniques have been developed to process this

type of signals.

Example Suppose X n 2 cos( 0 n Y ) where 0 is a constant and Y is a random

variable uniformly distributed between and - .

X n is an example of a discrete-time process.

0.4623

1.9003

0.9720

The value of a random process X (t ) is at any time t can be described from its probabilistic

model.

The state is the value taken by X (t ) at a time t, and the set of all such states is called the

state space. A random process is discrete-state if the state-space is finite or countable. It

also means that the corresponding sample space is also finite countable. Other-wise the

random process is called continuous state.

Example Consider the random sequence { X n , n 0} generated by repeated tossing of a

fair coin where we assign 1 to Head and 0 to Tail.

Clearly X n can take only two values- 0 and 1. Hence { X n , n 0} is a discrete-time two-

state process.

How to describe a random process?

As we have observed above that X (t ) at a specific time t is a random variable and can

distribution function is called the first-order probability distribution function. We can

dFX ( t ) ( x)

similarly define the first-order probability density function f X (t ) ( x ) .

dx

To describe { X (t ), t } we have to use joint distribution function of the random

variables at all possible values of t. For any positive integer n,

X (t1 ), X (t 2 ),..... X (t n ) represents n jointly distributed random variables. Thus a

random process { X (t ), t } can thus be described by specifying the n-th order joint

distribution function

n

f X ( t1 ), X ( t2 )..... X ( tn ) ( x1 , x2 .....xn ) FX ( t1 ), X ( t2 )..... X ( tn ) ( x1 , x2 .....xn )

x1x2 ...xn

collection of n-th order joint probability mass function

Moments of a random process

We defined the moments of a random variable and joint moments of random variables.

We can define all the possible moments and joint moments of a random process

{ X (t ), t }. Particularly, following moments are important.

Note that

RX (t1 , t2 ) = RX (t2 , t1 , ) and

RX (t , t ) EX 2 (t ) sec ond moment or mean - square value at time t.

t1 and t2 is defined by

=RX (t1 , t2 ) X (t1 ) X (t2 )

C X (t , t ) E ( X (t ) X (t )) 2 variance of the process at time t.

C X (t1 , t2 )

The ratio X (t1 , t2 ) is called the correlation coefficient.

C X (t1 , t1 ) C X (t2 , t2 )

The autocorrelation function and the autocovariance functions are widely used to

characterize a class of random process called the wide-sense stationary process.

R X (t1 , t 2 , t 3 ) E ( X (t 1 ), X (t 2 ), X (t 3 )) = Triple correlation function at t1 , t 2 , t3 etc.

Example

For any positive integer n, X (t1 ), X (t 2 ),..... X (t n ) represent n jointly random

variables. These n random variables define a random vector

X [ X (t1 ), X (t2 ),..... X (tn )]'. The process X (t ) is called Gaussian if the random vector

[ X (t1 ), X (t2 ),..... X (tn )]' is jointly Gaussian with the joint density function given by

1

X'CX1 X

e 2

f X (t1 ), X (t2 )... X ( tn ) ( x1 , x2 ,..., xn )

n

2 det(CX )

where CX E ( X XX

)( X)'

The Gaussian Random Process is completely specified by the autocovariance matrix

C X and hence by the mean vector X and the autocorrelation matrix R X EXX ' .

A Bernoulli process is a discrete-time random process consisting of a sequence of

independent and identically distributed Bernoulli random variables. Thus the discrete

time random process { X n , n 0} is Bernoulli process if

P{ X n 1} p and

P{ X n 0} 1 p

Example

Consider the random sequence { X n , n 0} generated by repeated tossing of a fair coin

1

p X (1) P{ X n 1} and

2

1

p X (0) P{ X n 0}

2

(c) A sinusoid with a random phase

X (t ) A cos( w0 t ) where A and w0 are constants and is uniformly distributed

between 0 and 2 . Thus

1

f ( )

2

X (t ) at a particular t is a random variable and it can be shown that

1

xA

f X ( t ) ( x ) A2 x 2

0 otherwise

The pdf is sketched in the Fig. below:

The mean and autocorrelation of X (t ) :

X (t ) EX (t )

EA cos( w0t )

1

A cos( w0t ) d

2

0

RX (t1 , t2 ) EA cos( w0t1 ) A cos( w0t2 )

A2 E cos( w0t1 ) cos( w0t2 )

A2

E (cos( w0 (t1 t2 )) cos( w0 (t1 t2 2 )))

2

A2 A2 1

cos( w0 (t1 t2 )) cos( w0 (t1 t2 2 )) d

2 2 2

A2

cos( w0 (t1 t2 ))

2

In practical situations we deal with two or more random processes. We often deal with the

input and output processes of a system. To describe two or more random processes we

have to use the joint distribution functions and the joint moments.

Consider two random processes { X (t ), t } and {Y (t ), t }. For any positive integers

/ / /

random variables. Thus these two random processes can be described by the

(n m)th order joint distribution function

/ ( x1 , x2 .....xn , y1 , y2 ..... ym )

1 2 )..... X )

f X (t ), X (t ( tn ),Y ( t1/ ),Y ( t2/ ),.....Y ( tm/ )

( x1 , x2 .....xn , y1 , y2 ..... ym )

1 2 )..... X

n m

F / / / ( x1 , x2 ..... xn , y1 , y 2 .... . ym )

x1x2 ...xn y1y2 ...ym X (t1 ), X (t2 )..... X (tn ),Y (t1 ),Y (t2 ),.....Y (t m )

RXY (t1 , t2 ) E ( X (t 1 )Y (t2 )) E ( X (t 1 )Y (t2 ))

Similarly,

RYX (t1 , t2 ) E (Y (t 1 ) X (t2 )) E ( X (t 2 )Y (t1 ))

C XY (t1 , t2 ) E ( X (t 1 ) X (t1 ))(Y (t2 ) Y (t2 ))

RXY (t1 , t2 ) X (t1 ) Y (t2 )

.

Cross-correlation coefficient

C XY (t1 , t2 )

XY (t1 , t2 )

C X (t1 , t1 ) CY (t2 , t 2 )

On the basis of the above definitions, we can study the degree of dependence between

two random processes

are called independent if each t1 and t2 , the random variables X (t1 ) and

X (t2 ) are independent.

are called uncorrelated if

C XY (t1 , t2 ) 0 t1 , t2

.

are called orthogonal if

R XY (t1 , t2 ) 0 t1 , t2

Example Suppose X (t ) A cos( w0t 1 ) and Y (t ) A sin( w0t 2 ) where A and w0 are

constants and 1 and 2 are independent random variables each uniformly distributed

between 0 and 2 . Then

and are independent

= EA cos( w0t1 1 ) A sin( w0t 2 )

= EA cos( w0t1 1 ) EA sin( w0t 2 )

=0 0 0

Therefore, random processes { X (t ), t } and {Y (t ), t } are orthogonal.

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