Ask me for random process

What is random variable and random process?

A random process may be thought of as a process where the outcome is probabilistic (also called stochastic)
rather than deterministic in nature; that is, where there is uncertainty as to the result.

Examples:

1. Tossing a die – we don’t know in advance what number will come up.
2. Flipping a coin – if you carefully enough devise an apparatus to flip the coin, it will always
come up the same way. However, normal flipping by a human being can be considered a
random process.
3. Shaking up a collection of balls in a hat and then pulling out one without looking.

Caution:

All the examples above may appear to be situations where the outcomes have equal
probabilities. But consider
1. A die that is not fair – e.g., 2 comes up twice as often as 3
2. A coin that is not fair – e.g., heads comes up twice as often as tails
3. A collection of balls not all of the same size or weight – you are more likely to pick
out large balls than small ones, or light ones than heavy ones

Random Variables: In most applications, a random variable can be thought of as a variable that
depends on a random process.

Examples:

1. Toss a die and look at what number is on the side that lands up. • Tossing the die is an
example of a random process; the number on top is the value of the random variable.
2. Toss two dice and take the sum of the numbers that land up. • Tossing the dice is the
random process; the sum is the value of the random variable.
3. Toss two dice and take the product of the numbers that land up. • Tossing the dice is the
random process; the product is the value random variable.

Examples 2 and 3 together illustrate: The same random process can be involved in two different
random variables.

What is a stationary random process?

We can classify random processes based on many different criteria. One of the important questions
that we can ask about a random process is whether it is a stationary process. Intuitively, a
random process {X(t),t∈J} is stationary if its statistical properties do not change by time. For
example, for a stationary process, X(t) and X(t+Δ) have the same probability distributions.

What is the difference between random and stochastic?

In general, stochastic is a synonym for random. For example, a stochastic variable is a random variable.
A stochastic process is a random process. Typically, random is used to refer to a lack of
dependence between observations in a sequence.
What does stationarity mean?

In the most intuitive sense, stationarity means that the statistical properties of a process generating a time
series do not change over time. It does not mean that the series does not change over time, just that the way it
changes does not itself change over time.

Why do we check for stationarity?

Stationarity is an important concept in time series analysis. Stationarity means that the statistical properties of
a a time series (or rather the process generating it) do not change over time. Stationarity is important because
many useful analytical tools and statistical tests and models rely on it.

What is first order stationary process?

First-order stationarity series have means that never changes with time. Any other statistics (like variance) can
change. Second-order stationarity (also called weak stationarity) time series have a constant mean, variance
and an autocovariance that doesn't change with time

Why do we use random variables?

Random variables are very important in statistics and probability and a must have if anyone is looking forward
to understand probability distributions. It’s a function which performs the mapping of the outcomes of
a random process to a numeric value. As it is subject to randomness, it takes different values.

How many classifications of random processes are there?

The four basic types of random processes are summarized, depending on whether time and the random variables
are continuous or discrete. For clarity and when necessary, we distinguish between a continuous-time process
and a discrete-time sequence using the following notation:

1. Continuous time, continuous amplitude.

2. Continuous time, discrete amplitude
3. Discrete time, continuous amplitude.
4. Discrete time, discrete amplitude

What is random signal analysis?

Random Signal Analysis in Engineering Systems covers the concepts of probability, random variables,
averages, simulation, and random signals. Random Signal Analysis in Engineering Systems covers the
concepts of probability, random variables, averages, simulation, and random signals.

What is the use of random signals?

Signals can be divided into two main categories - deterministic and random. The term random signal is used
primarily to denote signals, which have a random in its nature source. As an example we can mention the
thermal noise, which is created by the random movement of electrons in an electric conductor.

What is ergodicity?

In econometrics and signal processing, a stochastic process is said to be ergodic if its statistical properties can be
deduced from a single, sufficiently long, random sample of the process. The reasoning is that any collection of
random samples from a process must represent the average statistical properties of the entire process. In other
words, regardless of what the individual samples are, a birds-eye view of the collection of samples must represent
the whole process. Conversely, a process that is not ergodic is a process that changes erratically at an
inconsistent rate.

Is an ergodic process stationary?

A stationary process is a stochastic process whose statistical properties do not change with time. ...
An ergodic process is one where its statistical properties, like variance, can be deduced from a sufficiently long
sample. E.g., the sample mean converges to the true mean of the signal, if you average long enough.
When a random process is called ergodic process?

A random process is said to be ergodic if the time averages of the process tend to the appropriate ensemble
averages. This definition implies that with probability 1, any ensemble average of {X(t)} can be determined from a
single sample function of {X(t)}. But not all stationary processes are ergodic.

Why is Ergodicity important?

This is an extremely important property for statistical mechanics. In fact, the founder of statistical mechanics,
Ludwig Boltzmann, coined "ergodic" as the name for a stronger but related property: starting from a random point
in state space, orbits will typically pass through every point in state space.

Is white noise ergodic?

Gaussian white noise (GWN) is a stationary and ergodic random process with zero mean that is defined by the
following fundamental property: any two values of GWN are statistically independent now matter how close they
are in time.

Does Ergodicity imply stationarity? ?????? Your answer

Does stationarity imply Ergodicity? ??????? Your answer

Is a sine wave stationary? ??????? Your answer

Give an example of non stationary process by its features? ??????? Your answer