Title:

Autocorrelation and Power spectral Characteristics of a Low Pass

Random Process

Objectives:

• Random sequence generation of N=10000

• Computation of autocorrelation and PSD.

• Mathematical calculation

Softwares used:

• MATLAB 2019R

• MS EXCEL

• MS WORD

Introduction.

This project is related to Autocorrelation and Power Spectral Characteristics of a

Low-Pass Random Process. Its basic aim is to manage all section related to

autocorrelation and Power Spectral Density characteristics of a low random

process .

1|Page
Autocorrelation is a mathematical representation of the degree of similarity

between a given time series and a lagged version of itself over successive time

intervals. It's conceptually similar to the correlation between two different time

series, but autocorrelation uses the same time series twice: once in its original form

and once lagged one or more time periods. Autocorrelation represents the degree of

similarity between a given time series and a lagged version of itself over

successive time intervals. Autocorrelation measures the relationship between a

variable's current value and its past values. An autocorrelation of +1 represents a

perfect positive correlation, while an autocorrelation of negative 1 represents a

perfect negative correlation.

Power Spectral Density, The power spectrum of a time series describes the

distribution of power into frequency components composing that signal. According

to Fourier analysis, any physical signal can be decomposed into a number of

discrete frequencies, or a spectrum of frequencies over a continuous range. The

2|Page
statistical average of a certain signal or sort of signal (including noise) as analyzed

in terms of its frequency content, is called its spectrum.

When the energy of the signal is concentrated around a finite time interval,

especially if its total energy is finite, one may compute the energy spectral density.

More commonly used is the power spectral density (or simply power spectrum),

which applies to signals existing over all time, or over a time period large enough

(especially in relation to the duration of a measurement) that it could as well have

been over an infinite time interval. The power spectral density (PSD) then refers to

the spectral energy distribution that would be found per unit time, since the total

energy of such a signal over all time would generally be infinite. Summation or

integration of the spectral components yields the total power (for a physical

process) or variance (in a statistical process), identical to what would be obtained

by integrating over the time domain, as dictated by Parseval's theorem.

3|Page
Matlab Code:
clc
clear all
close all
N=10000;
r=rand(N);
d = designfilt('lowpassfir', ...
'PassbandFrequency',0.15,'StopbandFrequency',0.2, ...
'PassbandRipple',1,'StopbandAttenuation',60, ...
'DesignMethod','equiripple');
a=filtfilt(d,r);
x = sqrt(2)*randn(10000,1);
Numlags = 30;
[xc,lags] = xcorr(x,Numlags,'coeff');
figure;
stem(lags(31:end),xc(31:end))
title('cross correlation of x')
Fs = 1; % sampling frequency
[Pxx,F] = periodogram(x,[],length(x),Fs);
figure;

plot(F,10*log10(Pxx));
title('Power spectral density')
n = 0:10000;
x = 0.7.^n;
[c,lags] = xcorr(x);
figure;
stem(lags,c)
title(' cross correlation or r ')

u=autocorr(c);
figure;
stem(u)
title('auto correlation')

4|Page
Outputs

5|Page
6|Page
 1. Create the scatter diagram between X and Y and compute the correlation

coefficient 𝜌𝑋𝑌. o Use small size for the marker size (e.g., size 2 in MS

Excel)

Solution

2. Estimate the PDFs of 𝑋 and 𝑌 by building the histogram for 𝑋 and 𝑌 using

the samples you generated

Solution

7|Page
3.Compute 𝑅𝑋(𝑚) and 𝑅𝑌(𝑚) for |𝑚| ≤ 𝑀 and plot them on the same graph.

 1 N

N − m x x
m n+m
 n= m
Rx (m) =  N −m
m = − M − ( M − 1)... − 1
 1
N − m x x n n+m
 n =1

m = − M − ( M − 1)... − 1

Solution

 1 N

N − m x x
m n+m
 n= m
Rx (m) =  N −m
m = − M − ( M − 1)... − 1
 1
N − m x x n n+m
 n =1

m = − M − ( M − 1)... − 1
For solution this we enter the value of m and n in equation. X In equation.

 1 10000

10000 − −1  cos −1 cos 0−1

 n = −1
Rx (−1) =  10000 − ( −1)
 1
1000 − −1 n
cos 0 cos 0+1
 = −1

After finding the determinant of −1 at all step we fin its solution as it

 1 10000

10000 − 1  cos −1 cos 0−1

 n =1
Rx (−1) =  10000 +1
 1
1000 − 1 
cos 0 cos 0+1
n =1

No we calculate all value of cos

8|Page
  1 10000
 9999  0.54
 n =1
Rx (−1) =  10001
 1
  0.54
 9999 − 1 n =1

After solution we reached at this point which given below

 10000



0.000101 
n =1
0.54
Rx (−1) =  10001
0.000101 0.54
 
n =1

After solved it

1.46801897459
Rx (−1) = 
1.48269916433 This is ploted on x axis of plant

 1 N

N − m x x
m n+m
 n= m
R y ( m) =  N −m
m = − M − ( M − 1)... − 1
 1
N − m x x n n+m
 n =1

m = − M − ( M − 1)... − 1

For solution this we enter the value of m and n in equation. X In equation.

 1 10000

10000 − −1  cos −1 cos 0−1

 n = −1
Ry (−1) =  10000 − ( −1)
 1
1000 − −1 n
cos 0 cos 0+1
 = −1

9|Page
 After finding the determinant of −1 at all step we fin its solution as it

 1 10000

10000 − 1  cos −1 cos 0−1

 n =1
Ry (−1) =  10000 +1
 1
1000 − 1 
cos 0 cos 0+1
n =1

No we calculate all value of cos

 1 10000
 9999  0.54
 n =1
Ry (−1) =  10001
 1
 9999 − 1 
0.54
n =1

After solution we reached at this point which given below

 10000



0.000101 
n =1
0.54
Ry (−1) =  10001
0.000101 0.54
 
n =1

After solution of all points

1.46801897459
Ry (−1) =  this is ploted on y axixs of garph
1.48269916433

4.Compute 𝑆𝑋(𝑓) and 𝑆𝑌(𝑓) and plot them on the same graph. Consider the
logarithmic scale for the power density value on the vertical axis.

M
2 fm
Sx ( f ) = 
m =− M
Rx (m)e − f
2M + 1

10 | P a g e
Solution.

M
2 fm
Sx ( f ) = 
m =− M
Rx (m)e − f
2M + 1

We fisrt enter the value of man n and x informula

30
2 f − 1
Sx ( f ) = 
m =−30
Rx (−1)e − f
2(30 + 1)

After its become

30
2 f − 1
Sx ( f ) = 
m =−30
Rx (−1)e − f
2(30 + 1)

When all value of m ,n and x is enter its will becom

30
2 f − 1
Sx ( f ) = 
m =−30
Rcos (−1)e − f
2(30 + 1)

After getting values of all these points we get answer as it as follow

S x, y ( f ) = 2438.85405955

M
2 fm
Sy ( f ) = 
m =− M
Rx (m)e − f
2M + 1

We fisrt enter the value of man n and x informula

30
2 f − 1
Sy ( f ) = 
m =−30
Rx (−1)e − f
2(30 + 1)

After its become

11 | P a g e
 30
2 f − 1
Sx ( f ) = 
m =−30
Rx (−1)e − f
2(30 + 1)

When all value of m ,n and x is enter its will becom

30
2 f − 1
Sy ( f ) = 
m =−30
Rcos (−1)e − f
2(30 + 1)

After getting values of all these points we get answer as it as follow

S y ( f ) = 2438.85405955

Both has value

S x , y ( f ) = 2438.854059 this ploted on vertical line of graph.

Consider the logarithmic scale for the power density value on the vertical axis.

Logarthim of power series will be

log 2438.85405955

3.3871850901

5.Compute the mean and the power of the random processes 𝑋 and 𝑌 from the
samples you generated. Tabulate your results as follow.

Solution

We find the mean and power value of process of x and y and put it into Table as it
as given below

Process X Process Y
Mean 3 40
Power = 𝑅(0) 11.47 11.075679

12 | P a g e
6. Discussion, conclusions, and critical understanding of subject: What did
you learn from this analysis? Are the results consistent with the theories you
learned in class and in what sense? How does the 𝛼 affect the autocorrelation
and PSD properties of the output random sequence?

Solution

From the above analysis of the generation of random sequence and its PSD, auto
correlation and cross correlation it is concluded that the autocorrelation of the
given series is decreasing and in discrete graph it is clear from above also the PSD
shows much of the concentration the cross correlation is lowered in amplitude and
its discrete wave form is shown in the graph above also theoretically the values are
calculated which verifies the results.

7. Communication skills – How well the report was written and organized,
coherent presentation, use of effective language, proper figure and table
labeling

Solution

Communication skill used in report are related in professional terms all steps are
related to each other and are conducted in order. Step by step procedure is followed
with their corresponding outcomes in the form of MATLAB graphs or
calculations. The graphs shown are related in a sense the output of previous step is
the data set for the upcoming step.

13 | P a g e