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Discrete-Time Random Signals

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2.10 Discrete-Time Random Signals

Deterministic: each value of a sequence is

uniquely determined by a mathematically
expression, a table of data, or a rule of
some type.
Stochastic signal: a member of an
ensemble of discrete-time signals that is
characterized by a set of probability density
function.
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2.10 Discrete-Time Random Signals

For a particular signal at a particular time,

the amplitude of the signal sample at that
time is assumed to have been determined
by an underlying scheme of probability.

That is, x  n is an outcome of some

random variable Xn .

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2.10 Discrete-Time Random

Signals
x[n] is an outcome of some random variable
Xn (no necessary to distinguish x[n] and Xn ).
The collection of random variables is called a
random process.
 The stochastic signals do not directly have
Fourier transform, but the Fourier transform
of the autocorrelation and autocovariance
sequece often exist.

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Fourier transform in stochastic signals

The Fourier transform of autocorrelation

sequence has a useful interpretation in
terms of the frequency distribution of
the power in the signal.
The effect of processing stochastic
signals with a discrete-time LTI system
can be described in terms of the effect
of the system on the autocorrelation
sequence.
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Stochastic signal as input

Let xn  be a real-valued sequence that is a
sample sequence of a wide-sense stationary
discrete-time random process.
Consider a stable LTI system with real h[n].
xn yn
hn
 
yn   hn  k xk    hnxn  k 
k   k  

If the input is stationary, then so is the output

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2.10 Discrete-Time Random Signals

Let xn  be a real-valued sequence that is a
sample sequence of a wide-sense stationary
discrete-time random process.
Consider a stable LTI system with real h[n].
xn yn
hn
 
yn   hn  k xk    hnxn  k 
k   k  

If the input is stationary, then so is the output

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Stochastic signal as input

In our discussion, no necessary to distinguish
between the random variables Xn andYn and
their specific values x[n] and y[n].
mXn = E{Xn }, mYn= E(Yn}, can be written
as mx[n] = E{x[n]}, my[n] =E(y[n]}.
x[n] stationary, mx[n] independent of n, mx[n]→mx
The mean of output 
process
my  E  y  n    h  k  E  x  n  k 
 k 

 h k   H  e  m
wide-sense
 mx j0
x stationary
k 
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Stochastic signal as input

The autocorrelation function of output
 
yy  m  E y  n y  n  m  h kx n  k   h r x n  m  r
k  r 
   
 E    h  k  h  r  x  n  k  x  n  m  r 
 k  r  
  
   h  k  h  r   m  ( r  k )      m  l  c l 
k  r 
xx
l 
xx hh

l   lk 
l
where chh l    h  k  h l  k 
 chh n is called a deterministic autocorrelation
k 

sequence or autocorrelation sequence of hn 

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Stochastic signal as input



 yy  m   E  y  n  y  n  m     xx  m  l  chh l 
l 

where c  l    h  k  h  l  k   h  l  * h  l 
hh
k 

     
 yy e jw  Chh e jw  xx e jw real h[n]

     
Chh e jw  H e jw H  e jw  H e jw   2

e   H e   e  power (density)
2
 yy jw jw
xx
jw

spectrum
DTFT of the autocorrelation function of output
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2.10 Discrete-Time Random Signals

Consider a stable LTI system with real h[n].
xn yn
 xx  n  hn  yy  n 
 
yn   hn  k xk    hnxn  k 
k   k  

 yy  m   E  y  n  y  n  m    xx  m  l  chh l 


l 

 yy  e jw   H  e jw   xx  e jw 
2

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Total average power in output

 yy  e jw   H  e jw   xx  e jw 
2

provides the motivation for the term

power density spectrum.
1 
 2

E y  n    yy  0  
2 
 yy e jw dw e jw0 
1 
   
2
  
jw jw
H e e dw
2   xx

 total average power in output

  X e 

1
 xn
2  jw 2
Parseval’s E   dw
Theorem n   2 
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For Ideal bandpass system

Suppose that H(e jw ) is
an ideal bandpass filter,
as shown in Figure .
Since  xx  m  is a real, even, its FT  xx  e  is
jw

also real and even, i.e.,  xx e     e jw

xx
 jw

so is  yy e   H e   e 
jw jw 2
xx
jw

1 
H  e   xx  e jw  dw
2
 yy  0  
jw

2 
1 b 1 b

2  a
 xx  
e jw
dw 
2   a
 xx e jw
dw  
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For Ideal bandpass system

1 1
 xx  e  dw   xx  e jw  dw
b b
 yy  0  
jw

2 a 2  a

 
the area under  xx e jw for a    b
can be taken to represent the mean square
value of the input in that frequency band.
lim  yy  0  0
(b a )  0

 xx  e jw   0 for all w
 the power density function of a real signal is
real, even, and nonnegative.
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Ex. 2.30 White Noise

A white-noise signal is a signal for which
 xx  m    x2  m
Assume the signal has zero mean. The
power spectrum of a white noise is

 xx  e jw
     m e xx
 jwm
  x2 for all w
m 

The average power of a white noise is

1 1
 xx  e jw  dw 
 
 xx  0     x2 dw   x2
2  2 
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Color Noise

A noise signal whose power spectrum is

not constant with frequency.
A noise signal with power spectrum  yy  e jw 
can be assumed to be the output of a LTI
system with white-noise input.

 yy e    H e  
jw jw 2 2
x

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Color Noise
Suppose h  n   a n u  n 

1
H  e jw  
1  ae  jw
2
1
 yy  e   H e 
2
jw jw
 
2
x  2
x
1  ae  jw
 x2

1  a 2  2a cos w
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Cross-correlation between the

input and output
 xy  m   E  x  n  y  n  m
 

 E  x  n   h  k  x  n  m  k 
 k  

  h  k   m  k 
k 
xx

 h  k    xx  k 

     
 xy e jw  H e jw  xx e jw
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Cross-correlation between
the input and output
If  xx  m    x2  m 

 xy  m   h  k    xx  k    h  k    m  k    h  m 
2
x
2
x
k 

That is, for a zero mean white-noise input,

the cross-correlation between input and
output of a LTI system is proportional to
the impulse response of the system.

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Cross power spectrum between

the input and output

 xy  m   h  k    xx  k    h  k    m  k    h  m 
2
x
2
x
k 

    ,   w  
 xx e jw 2
x

 e    H e 
xy
jw 2
x
jw

The cross power spectrum is proportional

to the frequency response of the system.

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