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CHAPTER 4 Random Processes

x/t)

0 t

Figure 4.1
An ensemble of noise recordings. The ensemble contains a
portion of all possible noise recordings of the class being studied;
this is suggested by the ellipsis ( : ) at the top of the figure.

for X(t ). Figures 4.2 and 4.3 indicate two other ensembles that are of interest in this
book.
Sample functions of a random process X(t) may, in general, have any feature of wave-
forms we commonly find in engineering, e.g., they can be continuous, discrete, sampled,
periodic, or transient. The point we emphasize here is that successive realizations of a

0
Figure 4.2
Au ensemble oJ: recordings of sinu soids with random phases. The
en~emble ~ontarn s a portion o f all possibl e recordings of the class
bemg st d ct· th· · .
u ie ' · is is suggeS ted by the ellipsis ( : ) at the top of the
fi gure. ·
 4.3 Probability Density Functions 165

z.\ (t)

I
I
I
--
Z2l f)
I I I ➔ I
I I

Z1(t)
I I ► t
I
0 t
Figure 4.3
An ensem ble of record ings of rando m, unsyn chron ized pulse s.
The ensem ble conta ins a portio n of all possi ble recor dings of the
class being studie d; this is sugge sted by the ellips is ( : ) at the top
of the figure .

random process vary one froin another in some nondeterministic, or

random, fashion as
suggested in Figures 4.1 , 4.2, and 4.3.
What we need to do in this chapter is to build upon the theory of rando
m variables
developed in Chapters 2 and 3 and apply it in some manageable way to
random processes.
We use a notation similar to that used in our discussion of random varia
bles~ we denote
random processes as X(t), Y(t), Z(t), etc.
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~t~ b 1 f2-xx ( tiJ t=i..-) .
i-e., J Q._xx (t1 , t":i-) c:: t[><Ct-.1.,)· X(t;'.l--JJ

dJ-le 1:-,.._ ,:::. \:. ,l + L.. / i-sR Ll.L z:.. l (" / ~ V\"'..,, b u_ .

'14,, --tt,_.__ au_,,J +Y>Y> 4 ~ c.orre.W-o- 0 ~c.~CJYJ

is; .,1
Rxx(l:-1, ti+:) c:. c[x(h)· .X(t..l+tl_j

Oft s:,,.,f1 J RxxCt,t+-7:) = e[x(t_') -x(t+~J

• -3~ X(-\:..) Is ~ s-e_~J o-rclu._ s \:a._\::\M~7 .J -\t........,,

j olV\ t ~l \:a ~c__\. I 00 i .S- Cl ~ t. \: I llYJ 4 ~

~1 ~ cl;," ~UL ( t.l- - - ti), Nol--J 1 -A Cf: 4 'X C\) '~
R.x .,JL, 1 t:i..) ::- ~ [
00
X (ti)• -X
c,()
Ct:i_) J
t:: JJ 'l<.-j 'lc.i... .fXI Xi_ ( ly I :t.1- j t:-, i 1:-.2.-) o\ly cl.~ .
--Vo -c,-:,

j 0 a.l:,6 '/('.. ~0 '2 H s: ; s: o fv, cJ I <n of Q-,. __ I:.J ,-1--fe.-.c.,,_

U-\$ of- ~ Q\ ~ ; 12-xx (I::,, \: J ;.c- c.J..io o.. ~ c_JllYJ,
1( I:..J_- 1:- J_.) :·"- ) J;-.,u_ cb 1%~t..lL.
~ PnJ ~, of e& A-c-F-
~ f~ ~
(.i) ~ ;\-C ~ ;~ V~ .,._1- L= O

fl-xx CL--) ,~ bo\A~ch_J by ,t- s re..o...,k_ v ~ .

;.~,, \12-xx(q\ ~ RxxC 0 ) .

('-J 71,.._ t~ v~ 6f- A-cF i..c ,.,~ to .-ti-,__ wv _cv r,

t ~ ~
-S I' ~ V J,w._ .-{- .-+t-...__ to c:..f.&& .~J -_ \.s:

-tt ~ ~ () ~ Q_,\__ ~ () ---tk- r ro .c__u-.f '

,,~ R-xx Co) :::_ t=[ x:l--(l-)_J ~ c[ x( t) · ><C~J .

(3) Jk... A-CF ~ """'- ~ .s: '/ rn,..., ~ cJ,.,.,d- t =0

'~ Qx x (- c:._) ::::__ Q__xx Cc:) .

f X (t j Is=' t e.,t,D
, ~c __ - r> ;.\{., ~ ..,__.--., J I ; ~ g_x xC~
(It) j

I&" o.4-o ~ ~<> c:i,'c._ h} ;+i.i "7w- Sa ..-u__ f v..-.,, c;Q .

W~~ E[ X( ~J J ~ . 01 X =f- O (r\,Ot ~ ~ -
~ X Ltj \~ u J,_L.- 1r> 1-1-\.., vu, f~ o cl ,t 0:m-1f o"' ~
.,
~

) J; (Y) R_ (-cJ : : _ J~"":- err c-XJ.L

lt\-r(>o xx

,~ e _ ~ ol tc ~ <Y) Q..a ,Vv ~ ~ V\,O

( ") c_J l X ( -t')
u
,t * 0
pU.:-o ch c VO>«J fCV! Q»c\: ~1

1fi~ Ix> Q><x Cc ) ""' 0 . (:z.t7"-o_).

 ~ u rrJco..h.r-0 f--, c. h 4'0 @' cF_)
-~ ;t:s: ~ITT)t~~'
C.)-0.ss ~YT..ioJ:\(t{ ) ~c:.ho-o 4 b-,o =-"'~...,., rYOc..elS<1A.

X(\:--) ~ y (t) ~~ ~-~ d , ab

_ _ Rx-y (t.u ~ = tfx(}·J._)•Y(b--JJ

- ,- - - --- ---
• s ..tt \O l .1. :c. t o.,v,-..d. \:,_-'-I:::..1.. = L- . , hl 1c ~
'2.x'{ (tr l:+-z) := t[_X(tj·Y (t+-c:Jj

3t, -tl-.,._ u-, 0 ~-,,.c..u&eA Ov-.L s6l:1s ti"~ '"4....,~

~ c_c__ F b CJJrrr> e.! 1
Q_

Q><~ (_\:- I ~+½ =- F[x[t )J . t: l '< ( t+-cl]

.) t X ( l--) ~ Y (tj c:u.._ s ~ .i;:{,; ~ ; " £r '-"'-~

~ Jo\ ""~ W s-s ' ~ c..c. f=. ;& cf b/ )

=r A
Y9--.,.,

Rxx Ct) @ x. y
~~ ~s ct ~ ~Cw\_,-\:-,

• J~ txyCt,t+ S) = ~[><(t-J ·Y(t+tJJ =O

~"'- X (t ) ~ Y (t) lu...o... ~ o--r-K_n ~ oJ_
PYD CV~~.
 P71 c.J::e.A 4 C G F .
;t.

Q-) Rxy (--c) ~ QYX (-c.)

0-) ( '2-xy (,c) I ~ ¼[ 12-xxCoJ + Q_yy (o )j

~
-,
3
( ) \ 12-:.:y (c:J I ~ ~ - Q_xx Cc) • !Zyy (oJ

• ,, J
Co Va,,\.;ON\.G2.. hA¥\ c_ t_-, o<) ~± R-o..~ ~ m Pn ~ QA .
7k. C\AA,\-o U V ~Ov¾(L ~~Y\( t ,w . ~ ~? · X(-\:-) 1~

oll ~ e_J 0-..A

Lxx (t I l-+"S) ,::_ , ~t8(-\:_)- E [_x (tJJJ[X (~Fe) - E(><(l-+-c)J_J]

= E{ 0ct)- _}Ax(t=>) ( xn+0- }AxcH-~]

Ex f~ Q ..-\-t.....-- h~.rns )

= c ~ xC-t) · x(t+-s) - x(-t_) . ~[x(\:+"C,;)j

- 1=[x(b)J • x(t+-z:_) + ~[x(l-'.}J E[><Clc+-"s2.Jj
~ E t X ( 1:-) . X ( \:, + -c_) - 'X (tj , r X ( -1:+s) - fx (t;) . X ( \;-+ -cJ
+ · Yxct) ·JJ-xc1:+-Y J
~ I:' [ X C-1::} >< ( t +-y J - C [ X ( \:;)J .J¾c (\:+-s) - A ltj E,G 0+3
+Y ><(-t) ·r (-t-\-~

- Rx x (t.., t+-c_) - )J.xctj j.A.xCh -s)

r -- --- -- --
'/~~-x(l~ \: +_-cJ c=:. ((xx (t, t+<:)_- E[x~aj · E[X(H-~fl)
 ~ ~~ ~ v ~ (J.M__CJ2_ ~ tw \) r c...u ~ cu. ><le 4' y ~
r Q_d
uY1)

b
ts ch 1
.. Lxy (\::, t:+- c) .::= sl( xt \j- b[x(t)JJLY(t+"9-~[YcH-0f
~ t:: { [ X (t) -~ ("t J] [ Y ( \-+ z) - f-'\y(t+--c)~

s,""'tt-fro , cr\'€2. , -

&~ Se.c. .,,.-, ~ «clu ._ s~o ...b (JY )/ err

• k-
~$ $
ywu iUU

J --\1_,__ ~f~(<!O
"'-9J- .

r ~e, cV~ CX IV'\ ~ cf Ciro~ ~

2-
Lxx (-c) ~ R---xx (z) - (x)

~ Cx.y (c:..) =- txy (cJ - X-Y

• 'Tk . VfAMON\.UL. o-f R.P X(- \j ls . er~ bl C..xx LcD.
~-e -J ~:- ~ Cxx Co) ~ f2-xXlC0 ) - (xj 2-

• . h:>Y t'-4 o reuv, dlo..,., f 1ro ~ Q.!. x CtJ ~ y O:j J ,f

c..' n ) _s:.<;- Cc\J w,,.; ON\ ll2.. ~c ..\:: ,' G-0 ) C X y ( -1:-) t + 9 =. 0

~ ~ OJJ_ co il~ \A.v\ C..." r, &s,l:- ~ ~

~xy lt, t+ e-) = l=[ X(t )]· E[Y (t"+ c.)J

. ~ "'4 ~ ~ "0 VYO c__.e___s: S,.' ~ CVJ._ o.,U.0 \AN\ C..t ln-~
.
cJ""OJv)

7
Q.,V'\

ak c_c"' v e..u e__ ,s v\.o \::- Y\ e c_e_ s:- r o...J..,:.. ~

A-cl~ b aY ) cf- Q ~ « :> f ce.l!..>'e..&.
YQ .

,4 _\:::: vJ ,. ~ l olu_ ..+t,...,._ ° '~ \.:-; •--o 6t -\:w '<> I' > ~ e , , , , ~

~ Y O ~ se .. g X (t ) ~ Y (- t' ) ~
J~,(\~ -W ~ S r u .V )~ rl )

X (~) + Y (tj ~ W (t)

~ \,.;:,,, (j ~ -- tk -4 c_
F 4
J" ~ uv ..e _1 1A (L cu. .,_ _

w C-t:_) . a -~ ,
~ s\A.N\lv

Q~,/c ) ::: E [ [ X (t J + Y Ct-i) [ X (t+c__) + y (t

+c) JJ
x ( tj · Y (t -+ -z :) +
: : _ EI, X (\ j. x (t + t) +
J
(t + -0
'<Ct'). x (t+c::.)+ Y('tJ · Y
+ '2-xy ( L ) +- ~><' (z ) +
e-y (c )
-\ · Q_hJ (-c) ~ , flx (-c) C CF c.. c F 4cF-
A-c_F
..,,___ C C F
4 y Ctj GU ..L 1 0 ~ " " ' - - ~ .J --ti.
:,l w-, CJL. X (-\::)

& i>Yl f\;,f u -b,

'2 x y (L ) ::: ¾x (c ): :: fa } - ¾ -
rlx C t) + c2r A + £y C-c
)
9 ¾ Ct-J :=_

y (l) ~ a.... ~ be,\..Q..,

e_; ..\-h u... >< Ct; J oY

a J,J ( ~ ) -:::: f<-x (t ) + r2-y (s ) .

t-1\ v..,\ n}'. \; c:aJ"\ G:Y'l 1- R CI\M. &-l'V\. f 'l'lD LLl S eA ;,

~ & ; J.u._ ~ c:w.,. e...- ~ -\-:,;. o hi ~ <.,v\. ~t.., jo\ ""7 -

ltJS' S: 'rr\MJ,. ,n ?m CV s 126 (M.J._' ,v\,\,\_ r
\,t \ U e_J) ta r--1h_LL :
w (tJ ::=_ ><Ct) - Y (tj
t'--lo~ 1 ~ V\N._(}.y\ 4 W ltJ Ls:

E[WC-t)J = ~ :::c c[xCt'.)· Y CBJ ~ JJvx ·h ·

-tt-i.__ \/~Ovv\_c.Q_ 4 w (~ ,~ ;.

cr;:i)__ = E[ A]2-
Gct)-Y(t-) - r J. 2-

= ( u;/- + f¢) C~L +JAY) - y?; f-y

\h..L C,l._,v..;to(.,O..~t~ +V\LJ-,00 fw- W Ct) ,-~
0-<)

14, (-c) - E [ X(tj · Y(\j · X (t+rj · Y (t+zJ J

""' E [xCt:)· x(t+c:__~ - E [YC+J·Y(t--1-c~

· ~ (-c) ~ E_x ( "t:-) · Ry (-cJ