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) .

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