BIBLIOTECA DE LAUNVERSIDAD ‘DE CANTABRIA PROBABILITY, RANDOM VARIABLES, AND RANDOM SIGNAL PRINCIPLES Second Edition Peyton Z. Peebles, Jr., Pho. Professor of Electrical Engineering University of Flora McGraw-Hill, Inc.FT To my morncr Maida Erlene Denton Dials AND STEPPATHER Ralph Phillip Dials This book was stn ines Roman by Sanype International Limited: the eto was Sanjer Rao the cover was designed by Rafal Heroander; the production superiors wee Leroy A Young and Fred Sele Projet supervision wa doe by Alber arian, Husey Editorial Series LR: Donnelley & Sont Company wa printer und binder PROBABILITY, RANDOM VARIABLES, AND RANDOM SIGNAL PRINCIPLES Copyright © 1987, 980 by McCraw ne Al sight ceserved rite inthe United Sts of Ameren. Except as permitted under the United Sate Copyright Ae of 1975, ro art of this publication nay be repteduced oe distibted in any form of by any mean oF Stored in daa base of eteeval stem, without the prior witen person of he . pablhe. 567890 DOcDOC 9987654521 ISBN 0-07-049215-0 Lieatyof Congress Castigo Pabliaton Ds Peabes,Peyon Z ‘Probabiliy,random varisble, and eandom signal (McGraw-H series in lca engincerng ‘Communictions and iformaton iheory) Bibiogrpby: 1. Probabillier 2. Random variablet_3, Signal : theoty Telecommaniention) 1. Till 1. Seis, TAMOPG 1987 $192 6.10850, saw o47-49219-0 ISBN 007-049220-4 (olution manual) CONTENTS Preface to the Second Edition Preface to the First Edition Chapter 1 Probability 10 Introdvetion to Book and Chapter LL Set Definitions 12 Set Operations Venn Diagram / Equality and Diference / Union and Intesecion / Complement / Algebre of Sets / De Morgan's Laws / Duality Principle 13 Probability Introduced through Sets Experiments and Sample Spaces / Disrete and Continuous Sample Spaces / Events / Probability Definition and Axioms / Mathematical Model of Experiments 4 Joint and Consitionsl Probability Joint Probability / Conditional Probability / Tots! Probability / Bayes' Theorem LS) Independent Events ‘Two Events J Multinle Events / Properties of trtependent Events +16 Combined Experiments ‘Combined Sample Space / *Bvents on the Combined Space / ‘Probabilities 1) Dernouli Trale Problems ‘Additional Problems + Star inicntes more advanced mater n 2s 2B 2vii coxrests Chapter 2 20 21 2a 23 aa as 26 Chapter 3 ao a aa 23 4 Chapter 4 40 aq a2 ‘The Random Variable Introduction “The Random Variable Concept Definition ef a Random Variable / Conditions (or 8 Fanetion o Bea Random Variable / Discrete and CContinvovs Random Vaciables / Mixed Random Vacsble Distribution Function Density Function ‘Existence / Properties of Density Functions “The Gaussian Rendom Variable lier Distribution and Density Examples Tisemial/ Poisson / Uniform J Exponential / Rayleigh ‘Conditional Distribution and Density Functions ‘Conditional Dstibotion Properties of Conditional Disibution / Conditional Density Properties of Conditional Density / *Methods of Defining Conditioning Event Problems ‘Additional Problems Operations on One Random Variable— Expectation Introduction Expectation Expected Value of a Rendom Variable / Expected Valve ‘ofa Function of a Random Variable / *Conditions! Expected Value Moments ‘Moments about the Origin / Central Moments / ‘Variance and Skew Functions That Give Moments "Characterstie Function { *Moment Generating Furetion “Transformations of a Random Variable ‘Monotonic Transformations of a Continuous Random Variable / Nonmonotonic Transformations of Continous Random Variable / Transformation of Diserete Random Variable Problems Additional Problems Multiple Random Variables Introduction Veotor Random Varies Joint Distribution and lis Properties ‘pint Dstebstion Function / Properties ofthe Joint Distribution / Margiaal Distribution Functions uM M se “6 66 ° n ” 80 0 o 88 8 43 44 45 *47 Chapter 5 +54 “55 +56 Chapter 6 60 6 62 63 cconrents ix Joint Density and Its Properties 8 Yoint Density Function / Properties ofthe Joint Density / Marginal Density Funetions ‘Concitiona Distribution and Density 96 ‘Conditional Discbution and Densty—Point Conditioning /*Conditional Distribution and Density—interval Conditioning Statistea Independence 100 Distribution and Density of x Sum of Random Variables 102 ‘Som of Two Randoms Variables / *Sum of Several Random Variables Central Limit Theorem 10s “Unequal Distributions / *Equal Distributions Problems tog ‘aéitional Problems 1 Operations on Multiple Random Variables uw Introduction un Expected Value of «Function of Random Varibles 7 Toint Moments about the Origin / Joint Central Momenis Jini Characteristic Functions i Seintly Gaunsian Random Variables ne “Two Random Variables /*# Random Variables / +Some Properties of Gaussian Random Variables ‘Teansformations of Multpte Random Varies 12s Linear Transormation of Gaussian Random Variables 130 Compiex Rendom Variables 3 Problems 4 ‘Additonal Problems bs Random Processes 1a Introdvetion 1a ‘The Random Process Concept 1a CClassiftation of Processes / Deterministic and ® Nondetermininic Processes Stalionarity and Independence ur Distibution and Density Functions / Statistical Independence / First-Order Stationary Processes / Second-Order and Wide-Sense Steionaity/ N-Order and Striet-Sente Siationarity/ Time Averages and Exgodicity Corelation Functions 132 ‘Autocorrelation Function and Its Properties / ‘Cross-Correlation Function and Its Properties / Covariance Functions64 63 “66 : Chapter 7 10 a 1a 2 4 1s “16 Chapter 8 80 a a aa as 186 Meusurement of Corelation Functions Gaussian Random Processes Complex Random Processes Problems ‘Additional Problems Spectral Characteristics of Random Processes Introdvetion Power Density Spectrum and Its Properties ‘The Power Density Spectrum / Properties ofthe Power Density Speetum / Bandwidth of the Power Density Spectrum Relationship between Power Spectrum and Avloccrelation Fonction Hi ‘Cross-Power Density Spectrum and Its Properties ‘The Cross-Power Density Spectrum / Properties ofthe Cross-Power Density Spectrum Relationship between Cross-Power Spectrum and Crott-Cortlation Funetion Some Noise Definitions and other Topics White and Colored Noise / Product Device Response toa Random Signal Power Spectrum of Complex Processes Problems ‘Additional Problems Linear Systems with Random Inputs Introduction Linear System Fundomeatals ‘The General Linear System / Linear Time-lovariant Systems / Time-Invariant System Transfer Function / Weaized Sysiems / Causal ond Stable Systems Random Sigaal Responte of Linear Systems System Response—Convalution | Mean and Metn-Squtred Value of System Response / Avlocorrelation Fanetion of Response / Crost-Correlation Functions of Input and Output System Evaluation Using Random Noise ‘Spectral Characteristics of System Response Power Density Spectrum of Response / Crost-Power Density Spectrum of Input and Output Noise Bandwidth Bandpass, Band-Limited, and Narrowband Processes ‘*Band-Limited Processes / *Narrowband Processes / ‘Properties of Band-Limiled Processes / *Proof of Properties of Band:-Limited Processes 136 1538 160 162 168 m m 3 19 ia 18s 87 93 194 200 205 205 205 210 a4 215 a7 219 “0 as Chapter 9 90 a 92 93 Chapter 10 100 rot wa wa 04 wos 106 : wor Modeling of Noise Sources 26 Resistive (Thermal) Noise Source / Arbitrary Noise Sources, Elfetive Noise Temperature / An Antenna as a Noise Source Incremental Modeling of Noisy Networks 2 ‘Available Power Gain / Equivalent Networks, Effective Input Noise Temperature / Spot Nose Figures, Modeling of Practical Noisy Networks 26 ‘Average Nolse Figures / Average Noite “Temperatures / Modeling of Altenators / Model of Example System . Problems 240 ‘Aiaiiona Problems 281 Optimum Linear Systems a1 Introduction a1 Systems That Maximize Sigoal-to-Noite Ratio. 238 Matched Fite for Colored Noise / Matched Filter for White Noise Systems That Minimize Mean-Squared Ereor 262 ‘Wiener Fes / Minimum Mean-Squared Error Optimization by Parameter Selection 26 Problems 2» ‘Aiiional Problems nm Some Practical Applications of the Theory as Inroduction as Noite in an Amplitude Modulation Communication System 25 'AM Stent and Waveforms / Noite Performanes Noise in a Fregueney Modulation Communication Systers 240 FM System and Wavefooms / FM System Performance Noise ina Simple Conirol System 25, “Teansler Function / Error Function / Wiener Filter Application [Noize ina Phate-Locked Loop Phase Detector / Loop Transfer Function / Loop Noise Performance (Characteristic of Random Computee-Type Waveform Process Description / Power Spectrum / Autocorcelation Function . Envelope and Phase ofa Sinusoidal Signal Plus Noise ‘Wavelorms / Probability Densiy ofthe Envelope / Probability Density of Phase Rar Detection Using s Single Observation False Alarm Probability and Threshold / Detection Probability Problems 288 296 238 301 305