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# 2.2.

**Wide-Sense Stationary (WSS)
**

Processes

Ø Mean of the random process

X(t) is the mean of random

variable X(t) at time instant t.

∫

+∞

∞ −

· dx x xf t X E

t X

) ( )] ( [

) (

) ( )] ( [ t t X E

X

µ ·

Let f

X(t)

(x) be the pdf of X(t)

at time instant t.

Ø Autocorrelation function of X(t) is

a function of two variables t

1

= t

and t

2

= t + τ,

)] ( ) ( [ ) , ( τ τ + · + t X t X E t t R

X

This is a measure of the degree to

which two time samples of the same

random process are related

Ø Autocorrelation function of X(t) is a function of two variables t

1

= t

and t

2

= t + τ,

)] ( ) ( [ ) , ( τ τ + · + t X t X E t t R

X

This is a measure of the degree to which two time samples of the

same random process are related

A random process X(t) is WSS if

) ( )] ( ) ( [ ) , ( ) (

constant )] ( [ ) ( ) (

τ τ τ

µ

X X

X

R t X t X E t t R ii

t X E t i

· − · −

· ·

What is a WSS Process?

In other words, a random process X(t) is WSS if its two

statistics, its mean and autocorrelation, do not vary with a shift

in the time origin.

Solution.

)] ( [ t X E

) 2 cos( ) ( Θ + · t f A t X

c

π

Example 2.3. Find the mean and

autocorrelation function of the

random process X(t) ( in E.g. 2.2),

¹

'

¹

≤ ≤

·

Θ

otherwise , 0

2 0 ), 2 /( 1

) ( : pdf

π θ π

θ f

where Θ is uniformly

distributed over [0, 2 π].

)] ) ( 2 cos( ) 2 cos( [ Θ + + Θ + · τ π π t f A t f A E

c c

]

]

]

Θ + + + · ) 2 ) 2 ( 2 cos(

2

1

) 2 cos(

2

1

2

τ π τ π t f f E A

c c

) 2 cos(

2

2

τ π

c

f

A

·

Since the mean and autocorrelation

of X(t) do not depend on time t, then

X(t) is a WSS process.

= 0

) , ( τ + t t R

X

θ

π

θ π

π

d t f A

c

2

1

) 2 cos(

2

0

∫

+ ·

Is X(t) a WSS?

According to the definitions,

) ( ) ( 1. τ τ − ·

X X

R R

Properties of Autocorrelation Function

of a WSS process X(t)

Symmetric in τ about zero

) 0 ( ) ( . 2

X X

R R ≤ τ

for all τ, Maximum value occurred at the

origin

) ( ) ( . 3 f S R

X X

↔ τ

Autocorrleation and psd form a

pair of the Fourier transform

] ) ( [ ) 0 ( 4.

2

t X E R

X

·

The value at origin is equal to the

average power of the signal

Power Spectral Density (PSD) of a

WSS Random Process

∫

+∞

∞ −

−

· · df e f S f S R

f j

X X X

τ π

τ

2 1

) ( )) ( ( ) ( F

)) ( ( ) ( τ

X X

R f S F ·

For a given WSS process X(t), the psd of X(t) is the

Fourier transform of its autocorrelation, i.e.,

∫

+∞

∞ −

−

· τ τ

τ π

d e R

f j

X

2

) (

For the random process in Example 2.3, we have

Hence, the psd of X(t) is the Fourier transform of the

autocorrelation of X(t), given by

) 2 cos(

2

) (

2

τ π τ

c X

f

A

R ·

[ ] ) ( ) (

4

) (

2

c c X

f f f f

A

f S + + − · δ δ

f

S

X

(f)

A

2

/4

A

2

/4

f

c

- f

c

) 2 cos( ) ( ) ( Θ + · t f t X t Y

c

π

Example 2. 4 Let

where X(t) is a WSS process with

psd S

X

(f), Θ is uniformly

distributed over [0, 2 π], and X(t)

is independent of Θ and

Find the psd of Y(t).

) 2 cos( Θ + t f

c

π

Solution.

First we need to show that Y(t) is WSS.

)] ( [ ) ( t Y E t m

Y

·

)] 2 cos( ) ( [ Θ + · t f t X E

c

π

(by independence )

)] 2 [cos( )] ( [ Θ + · t f E t X E

c

π

(by Example 2.3)

0 0 ) ( · ⋅ · t m

X

Mean:

)] ( ) ( [ τ + · t Y t Y E

)] ) ( 2 cos( ) ( ) 2 cos( ) ( [ Θ + + + Θ + · τ π τ π t f t X t f t X E

c c

)] ) ( 2 cos( ) 2 [cos( )] ( ) ( [ Θ + + Θ + + · τ π π τ t f t f E t X t X E

c c

) 2 cos(

2

1

) ( τ π τ

c X

f R ·

By Example 2.3.

Hence, Y(t) is WSS. Therefore

) (τ

Y

R ·

)] ( [ ) ( τ

Y Y

R F t S ·

)] )( ( [

4

1

2 2 τ π τ π

τ

c c

f j f j

X

e e R F

−

+ ·

[ ] ) ( ) (

4

1

c X c X

f f S f f S + + − ·

) , ( τ + t t R

Y

Autocorrelation of Y(t):

Properties of PSD

0 ) ( 1. ≥ f S

X

) ( ) ( 2. f S f S

X X

− ·

) ( ) ( . 3 τ

X X

R f S ↔

always real valued

for X(t) real-valued

a pair of Fourier transform

∫

+∞

∞ −

· · ) ( ) 0 ( . 4 df f S R P

X X

Relationship between

average power and psd

Transmission over LTI Systems

n Response of LTI system to a

random input X(t):

h(t)

X(t)

Y(t)

) ( ) ( ) ( t h t X t Y ∗ ·

τ τ τ

∫

∞

∞ −

− · d h t x ) ( ) (

3) Autocorrelation:

) ( ) ( ) ( ) ( τ τ τ τ − ∗ ∗ · h h R R

X Y

Properties of the output:

1) If X(t) is WSS, so does Y(t).

) 0 ( H

X Y

µ µ ·

2) Mean:

4) PSD:

2

| ) ( | ) ( ) ( f H f S f S

X Y

·

h(t)

X(t)

Y(t)

R

X

(τ)

R

y

(τ)

|H(f)|

2

S

Y

(f)

S

X

(f)

F

F

-1

R X (t . t + τ ) = E[ X (t ) X (t + τ )] This is a measure of the degree to which two time samples of the same random process are related .Ø Autocorrelation function of X(t) is a function of two variables t1 = t and t2 = t + τ.

a random process X(t) is WSS if its two statistics. . do not vary with a shift in the time origin.What is a WSS Process? A random process X(t) is WSS if (i ) µ X (t ) = E[ X (t )] = constant (ii ) R X (t . its mean and autocorrelation. t − τ ) = E[ X (t ) X (t − τ )] = R X (τ ) In other words.

2). Find the mean and RX (t. According to the definitions. 1 1 = A 2 E cos(2πf cτ ) + cos(2πf c (2t + τ ) + 2Θ ) 2 2 A2 = cos(2πf cτ ) 2 Is X(t) a WSS? Solution. 2.Example 2. t + τ ) autocorrelation function of the random process X(t) ( in E. 0 ≤ θ ≤ 2π pdf : fΘ (θ ) = otherwise 0. 1 /(2π ).g. ∫ A cos( 2πf ct + θ ) 0 1 dθ 2π =0 . E[ X (t )] = 2π Since the mean and autocorrelation of X(t) do not depend on time t.3. then X(t) is a WSS process. 2 π]. = E [ A cos( 2πf t + Θ) A cos( 2πf (t + τ ) + Θ)] c c X (t ) = A cos( 2πf c t + Θ) where Θ is uniformly distributed over [0.

R X (τ ) = RX (−τ ) Symmetric in τ about zero for all τ. R X (0) = E[ X (t ) 2 ] . R X (τ ) ↔ S X ( f ) 4.Properties of Autocorrelation Function of a WSS process X(t) 1. Maximum value occurred at the origin Autocorrleation and psd form a pair of the Fourier transform The value at origin is equal to the average power of the signal 2. R X (τ ) ≤ RX (0) 3 .

e.Power Spectral Density (PSD) of a WSS Random Process For a given WSS process X(t). i. the psd of X(t) is the Fourier transform of its autocorrelation.. S X ( f ) = F ( R X (τ )) = ∫ +∞ −∞ R X (τ ) e − j 2 π fτ d τ +∞ R X (τ ) = F −1 ( S X ( f )) = ∫ −∞ S X ( f ) e j 2π f τ df .

3. given by A2 SX ( f ) = [δ ( f − f c ) + δ ( f + f c )] 4 A2/4 SX(f) A2/4 .fc fc f .For the random process in Example 2. the psd of X(t) is the Fourier transform of the autocorrelation of X(t). we have A2 R X (τ ) = cos( 2πf cτ ) 2 Hence.

4 Let mY (t ) = E[Y (t )] = E[ X (t ) cos( 2πf ct + Θ)] = E[ X (t )]E[cos( 2πf c t + Θ)] (by independence ) Y (t ) = X (t ) cos( 2πf ct + Θ ) where X(t) is a WSS process with psd SX(f). = m X (t ) ⋅ 0 = 0 (by Example 2. Θ is uniformly distributed over [0. 2 π].Solution. and X(t) is independent of Θ and cos(2πf ct + Θ) Find the psd of Y(t).3) . Mean: Example 2. First we need to show that Y(t) is WSS.

Therefore By Example 2. Y(t) is WSS. t + τ ) = E[Y (t )Y (t + τ )] = E[ X (t ) cos( 2πf ct + Θ) X (t + τ ) cos( 2πf c (t + τ ) + Θ)] = E[ X (t ) X (t + τ )] E[cos( 2πf c t + Θ) cos( 2πf c (t + τ ) + Θ)] 1 = R X (τ ) cos(2πf cτ ) = RY (τ ) 2 Hence.3. 1 j 2πf cτ − j 2πf cτ +e )] SY (t ) = F [ RY (τ )] = F [ RX (τ )(e 4 1 = [S X ( f − f c ) + S X ( f + f c )] 4 .Autocorrelation of Y(t): RY (t .

S X ( f ) = S X (− f ) always real valued for X(t) real-valued a pair of Fourier transform Relationship between average power and psd 3. S X ( f ) ≥ 0 2. S X ( f ) ↔ R X (τ ) 4.Properties of PSD 1. P = R X (0) = ∫ S X ( f )df −∞ +∞ .

Transmission over LTI Systems n Response of LTI system to a random input X(t): X(t) Y(t) Properties of the output: 1) If X(t) is WSS. so does Y(t). 2) Mean: µY = µX H(0) h(t) 3) Autocorrelation: Y (t ) = X (t ) ∗ h(t ) ∞ RY (τ ) = R X (τ ) ∗ h(τ ) ∗ h (−τ ) 4) PSD: = −∞ ∫ x(t − τ )h(τ )dτ S Y ( f ) = S X ( f ) | H ( f ) |2 .

X(t) RX(τ) h(t) Y(t) Ry(τ) F F-1 SX(f) |H(f)|2 SY(f) .