Lecture 5

Stochastic Processes

Stochastic means: random

Process means: function of time

• Definition: Stochastic Process: A stochastic process X(t) consists of an experiment

with a probability measure P [·] defined on a sample space S and a function that assigns

a time function x(t, s) to each outcome s in the sample space of the experiment.

• Definition: Sample Function: A sample function x(t, s) is the time function associated

with outcome s of an experiment.

X(t) : name of the stochastic process

t : indicate the time dependence

s : indicates the particular outcome of the experiment

(5.1)

69
 Figure 5.1: Illustration of Stochastic Process.

Figure 5.2: Example: transmit 3 binary digits to the receiver.

5.1 Types of Stochastic Processes

• Discrete Value and Continuous Value Processes: X(t) is a discrete value process if the

set of all possible values of X(t) at all times t is a countable set SX ; otherwise, X(t)

is a continuous value process.

• Discrete Time and Continuous Time Process: The stochastic process X(t) is a discrete

time process if X(t) is defined only for a set of time instants, tn = nT , where T is a

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 constant and n is an integer; otherwise X(t) is a continuous time process.

• Random variables from random processes: consider a sample function x(t, s), each

x(t1 , s) is a sample value of a random variable. We use X(t1 ) for this random variable.

The notation X(t) can refer to either the random process or the random variable that

corresponds to the value of the random process at time t.

• Example: in the experiment of repeatedly rolling a die, let Xn = X(nT ). What is

the pmf of X3 ?

The random variable X3 is the value of the die roll at time 3. In this case,

 1/6, x = 1, 2 · · · , 6;

P X3 =
 0,

o.w.

5.2 Independent, Identically Distributed (i.i.d) Ran-

dom Sequences

An i.i.d. random sequence is a random sequence, Xn , in which

· · · , X−2 , X−1 , X0 , X1 , X2 , · · ·

are i.i.d random variables. An i.i.d random sequence occurs whenever we perform indepen-

dent trials of an experiment at a constant rate. An i.i.d random sequence can be either

discrete value or continuous value. In the discrete case, each random variable Xi has pmf

PXi (x) = PX (x), while in the continuous case, each Xi has pdf fXi (x) = fX (x).

Theorem: Let Xn denote an i.i.d random sequence. For a discrete value process, the sample

vector Xn1 , · · · , Xnk has joint pmf

k
Y
PXn1 , · · · , Xnk (x1 , · · · , xk ) = PX (x1 )PX (x2 ) · · · PX (xk ) = PX (xi )
i=1

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Otherwise, for a continuous value process, the joint pdf of Xn1 , · · · , Xnk is
k
Y
fXn1 , · · · , Xnk (x1 , · · · , xk ) = fX (x1 )fX (x2 ) · · · fX (xk ) = fX (xi )
i=1

5.3 Expected Value and Correlation

• The Expected Value of Process: The expected value of a stochastic process X(t)

is the deterministic function

µX (t) = E[X(t)]

• Autocovariance: the autocovariance function of the stochastic process X(t) is

CX (t, τ ) = Cov[X(t), X(t + τ )]

• Autocorrelation: The autocorrelation function of the stochastic process X(t) is

RX (t, τ ) = E[X(t)X(t + τ )]

• Autocovariance and Autocorrelation of a Random Sequence:

CX [m, k] = Cov[Xm , Xm+k ] = RX [m, k] − E[Xm ]E[Xm+k ]

where m and k are integers. The autocorrelation function of the random sequence Xn

is

RX [m, k] = E[Xm Xm+k ]

Example 1

Fading envelope, sampled at nTs , obtain a(i). Then

N
1 1 X
RX (t, Ts ) = [a(1)a(2)+a(2)a(3)+· · ·+a(N)a(N+1)] = a(i)a(i+1), (window length N)
N N i=1

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similarly,
N
1 X
RX (t, 2Ts ) = a(i)a(i + 2)
N i=1

and
N
1 X
CX (t, Ts ) = (a(i) − µX ) (a(i + 1) − µX )
N i=1

Example 2

If R is a random variable, find the expected value of the rectified cosine X(t) = R| cos 2πf t|.

Solution: The expected value of X(t) is

µX (t) = E[R| cos 2πf t|] = E[R] · | cos 2πf t|

Example 3

The input to a digital filter is an i.i.d random sequence · · · , X−1 , X0 , X1 , · · · with E[Xi ] = 0

and V ar[Xi ] = 1. The output is also a random sequence · · · , Y−1 , Y0 , Y1 , · · · . The relation-

ship between the input sequence and output sequence is expressed in the formula

Yn = Xn + Xn−1 for all integer n

Find the expected value function E[Yn ] and autocovariance function CY (m, k) of the output.

Solution: Because Yi = Xi + Xi−1 , we have E[Yi ] = E[Xi ] + E[Xi−1 ] = 0. Before calculating

CY [m, k], we observe that Xn being an i.i.d random sequence with E[Xn ] = 0 and V ar[Xn ] =

1 implies 
 1, k = 0;

CX [m, k] = E[Xm Xm+k ] =
 0, o.w.


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For any integer k, we can write

CY [m, k] = E[Ym Ym+k ] = E[(Xm + Xm−1 ) (Xm+k + Xm+k−1 )]

= E[Xm Xm+k + Xm Xm+k−1 + Xm−1 Xm+k + Xm−1 Xm+k−1 ]

= E[Xm Xm+k ] + E[Xm Xm+k−1 ] + E[Xm−1 Xm+k ] + E[Xm−1 Xm+k−1 ]

= CX [m, k] + CX [m, k − 1] + CX [m − 1, k + 1] + CX [m − 1, k]

We still need to evaluate the above expression for all k. For each value of k, some terms in

the above expression will equal zero since CX [m, k] = 0 for k 6= 0.

When k = 0

CY [m, 0] = CX [m, 0] + CX [m, −1] + CX [m − 1, 1] + CX [m − 1, 0] = 2.

When k = 1

CY [m, 1] = CX [m, 1] + CX [m, 0] + CX [m − 1, 2] + CX [m − 1, 1] = 1.

When k = −1

CY [m, −1] = CX [m, −1] + CX [m, −2] + CX [m − 1, 0] + CX [m − 1, −1] = 1.

When k = 2

CY [m, 2] = CX [m, 2] + CX [m, 1] + CX [m − 1, 3] + CX [m − 1, 2] = 0.

A complete expression for the autocovariance is


2, k = 0;






CY [m, k] = 1, k = ±1;




 0, o.w.


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5.4 Stationary Processes

In general, for the stochastic process, X(t), there is a random variable X(t1 ) at every time

instant t1 with pdf fX(t1 ) (x) which depends on t1 . For a special class of random process

known as stationary processes fX(t1 ) (X) does not depend on t1 . That is, for any two time

instants t1 and t1 + τ

fX(t1 ) (x) = fX(t1 +τ ) (x) = fX (x)

5.4.1 Some properties of Stationary Processes

• If X(t) is a stationary process, and for a > 0, then

Y (t) = aX(t) + b is also a stationary process

• If X(t) is a stationary process, the expected value, the autocorrelation, and the auto-

covariance have the following properties for all t

(a) µX(t) = µX

(b) Rx (t, τ ) = Rx (0, τ ) = RX (τ )

(c) Cx (t, τ ) = RX (τ ) − µ2X = CX (τ )

Example 4

At the receiver of an AM radio, the received signal contains a cosine carrier signal at the

carrier frequency fc with a random phase θ that is a sample value of the uniform (0, 2π)

random variable. The received carrier signal is

X(t) = A cos(2πfc t + θ)

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What are the expected value and autocorrelation of the process X(t)?

Solution: The phase has P DF


 1/(2π), 0 ≤ θ ≤ 2π;

fθ =
 0,

o.w.

For any fixed angle α and integer k,

2π
1
Z
E[cos(α + kθ)] = cos(α + kθ) dθ
0 2π
sin(α + kθ) 2π sin(α + 2kπ) − sin α
= 0
= =0
k k
(5.2)

We will use the identity cos A cos B = [cos(A−B)+cos(A+B)]/2 to find the autocorrelation:

RX (t, τ ) = E[A cos(2πfc t + θ)A cos(2πfc (t + τ ) + θ)]

A2
= E[cos(2πfc τ ) + cos(2πfc (2t + τ ) + 2θ)]
2

For α = 2πfc (t + τ ) and k = 2,

E[cos(2πfc (2t + τ ) + 2θ)] = E[cos(α + kθ)] = 0.

A2
Thus, RX (t, τ ) = cos(2πfc τ ) = RX (τ ).
2
Therefore, X(t) has the properties of a stationary stochastic

5.4.2 Wide Sense Stationary Stochastic Processes(WSS)

X(t) is a wide sense stationary stochastic process if and only if for all t,

E[X(t)] = µx , and RX (t, τ ) = RX (0, τ ) = RX (τ ).

Xn is a wide sense stationary random sequence if and only if for all n,

E[Xn ] = µx , and RX [n, k] = RX [0, k] = RX [k].

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In Example 4, we observe that µX (t) = 0 and RX (t, τ ) = (A2 /2) cos 2πfc τ Thus the random

phase carrier X(t) is a wide sense stationary process.

Properties of WSS

The autocorrelation function of a wide sense stationary process has a number of important

properties:

1. RX (0) ≥ 0

2. RX (τ ) = RX (−τ )

3. RX (0) ≥ RX (τ )

RX (0) has an important physical interpretation for electrical engineers.

The average power of a wide sense stationary process X(t) is RX (0) = E[X 2 (t)].

Quiz : Which of the following functions are valid autocorrelation functions?

1. R1 (τ ) = e−|τ |

2
2. R2 (τ ) = eτ

3. R3 (τ ) = e−τ cos τ

2
4. R4 (τ ) = e−τ sin τ

Example 5

A simple model (in degrees Celsius) for the daily temperature process C(t) is

2πn
Cn = 16[1 − cos ] + 4Xn
365

where xl , x2 , · · · is an iid random sequence of ℵ(0, 1) random variables.

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 (a) What is the mean E[Cn ]?

(b) Find the autocovariance function CC [m, k].

Solution:

(a) The expected value of the process is

2πn 2πn
E[Cn ] = 16E[1 − cos ] + 4E[Xn ] = 16[1 − cos ]
365 365

(b) The autocovariance of Cn is

h h 2πm i h 2πm ii
CC [m, k] = E Cm − 16 1 − cos Cm+k − 16 1 − cos
 365 365
 16, k = 0;

= 16E[Xm Xm+k ] =
 0, o.w.


Example 6

A different model for the above example Cn is given as:

1
Cn = Cn−1 + 4Xn ,
2
where C0 , X1 , X2 , · · · is an iid random sequence of ℵ(0, 1) random variables

a) Find the mean and variance of Cn .

b) Find the autocovariance CC [m, k].

Solution:

By repeated application of the recursion Cn = Cn−1 /2 + 4Xn , we obtain

Cn−2 hX
n−1
i
Cn = +4 + Xn
4 2
Cn−3 hX
n−2 Xn−1 i
= +4 + + Xn
8 4 2
..
.
n
C0 h X
1 X2 i C
0
X Xi
= n + 4 n−1 + n−2 + · · · + Xn = n + 4
2 2 2 2 i=1
2n−1

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 a) Since C0 , X1 , X2 , · · · all have zero mean,
n
E[C0 ] X E[Xi ]
E[Cn ] = + 4 =0
2n i=1
2n−1

b) The autocovariance is so complicated.

5.5 Random Signal Processing

Electrical signals are usually represented as sample functions of wide sense stationary stochas-

tic processes. We use probability density functions and probability mass functions to describe

the amplitude characteristics of signals, and we use autocorrelation functions to describe the

time-varying nature of the signals. In Practical equipment uses digital signal processing

to perform many operations on continuous-time signals, such equipment is known as an

analog-to-digital converter to transform a continuous-time signal to a random sequence. An

analog-to-digital converter performs two operations: sampling and quantization. Sampling

with a period Ts seconds transforms a continuous-time process X(t) to a random sequence

Xn = X(nTs ). Quantization transforms the continuous random variable Xn to a discrete

random variable Qn . Here, we ignore quantization and analyze linear filtering of random

processes and random sequences resulting from sampling random processes.

5.5.1 Linear Filtering of a Continuous-Time Stochastic Process

The relationship of the stochastic process at the output w(t) of a linear time invariant (LT I)

with impulse response h(t) filter to the stochastic process at the input of the filter v(t), is

the convolution:
Z ∞ Z ∞
w(t) = h(u)v(t − u)du = h(t − u)v(u)du.
−∞ −∞

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If the possible inputs to the filter are x(t), sample functions of a stochastic process X(t),

then the outputs, y(t), are sample functions of another stochastic process, Y (t). Because

y(t) is the convolution of x(t) and h(t), we adopt the following notation for the relationship

of Y (t) to X(t):
Z ∞ Z ∞
Y (t) = h(u)X(t − u)du = h(t − u)X(u)du.
−∞ −∞

Similarly, the expected value of Y (t) is the convolution of h(t) and E[X(t)].

hZ ∞ i Z ∞  
E[Y (t)] = E h(u)X(t − u)du = h(u)E X(t − u) du
−∞ −∞

5.5.2 Some Properties of LTI Systems

If the input to an LT I filter with impulse response h(t) is a W SS process X(t), the output

Y (t) has the following properties:

• Y (t) is also a W SS process with expected value

Z ∞
µY = E[Y (t)] = µX h(u)du,
−∞

and autocorrelation function

Z ∞ Z ∞
RY (τ ) = h(u) h(v)RX (τ + u − v)dvdu.
−∞ −∞

• X(t) and Y (t) are jointly wide sense stationary and have input-output cross-correlation
Z ∞
RXY (τ ) = h(u)RX (τ − u)du.
−∞

• The output autocorrelation is related to the input-output cross-correlation by

Z ∞
RY (τ ) = h(−u)RX (τ − u)du.
−∞

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 Example 7

X(t), a wide sense stationary stochastic process with expected value µ = 10 volts, is the

input to a linear time-invariant filter. The filter impulse response is


 et/0.2 , 0 ≤ t ≤ 0.1 sec;

h(t) =
 0,

o.w.

What is the expected value of the filter output process Y (t)?

Solution:

Z ∞ Z 0.1
et/0.2 dt = 2 e0.5 − 1 = 1.3 volt


µY = µX h(t)dt =
−∞ 0

5.5.3 Linear Filtering of a Random Sequence

The random sequence Xn is obtained by sampling the continuous-time process X(t) at a

rate of 1/Ts samples per second. If X(t) is a wide sense stationary process with expected

value E[X(t)] = µX and autocorrelation RX (τ ), then Xn is a wide sense stationary random

sequence with expected value E[Xn ] = µX and autocorrelation function

RX [k] = RX (kTs )

The impulse response of a discrete-time If the filter has a sequence hn , n = · · · , −1, 0, 1, · · ·

and the output is a random sequence Yn , related to the input Xn by the discrete-time

convolution,
∞
X
Yn = hi Xn−1
i=−∞

If the input to a discrete-time LT I filter with impulse response hn is a wide sense stationary

random sequence, Xn , the output Yn has the following properties.

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 • (a) Yn is a wide sense stationary random sequence with expected value
∞
X
µ = E[Yn ] = µX hn
n=−∞

and autocorrelation function

∞
X ∞
X
RY [n] = hi hj RX [n + i − j]
i=−∞ j=−∞

• (b) Yn and Xn are jointly wide sense stationary with input-output cross-correlation
∞
X
RXY [n] = hi RX [n − i]
i=−∞

• (c) The output autocorrelation is related to the input-output cross-correlation by

∞
X
RY [n] = h−i RXY [n − i]
i=−∞

Example 8

A wide sense stationary random sequence Xn with µX = 1 and autocorrelation function

RX [n] is the input to the order M − 1 discrete-time moving-average filter hn where


4, n = 0;
 



 1/M, n = 0, · · · , M;
 

hn = and RX [n] = 2, = ±1;
 0,

o.w.




 0, |n| ≥ 2.


For the case M = 2, find the following properties of the output random sequence Yn : the

expected value µY , the autocorrelation Ry [n], and the variance V ar[Yn ].

Solution:

For this filter with M = 2

µY = µX (h0 + h1 ) = µX = 1.

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The autocorrelation of the filter output is
1 X
X 1
RY [n] = (0.25)RX [n + 1 − i]
i=0 j=0




 3, n = 0;



 2,

|n| = 1;
= (0.5)RX [n] + (0.25)RX [n − 1] + (0.25)RX [n + 1] =
0.5, |n| = 2.







 0,

o.w.

To obtain V ar[Yn ], we know that E[Yn2 ] = RY [0] = 3.

∴ V ar[Yn ] = E[Yn2 ] − µ2Y = 2.

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5.6 Power Spectral Density of a Continuous-Time Pro-

cess

AS you studied before, the functions g(t) and G(f ) have the Fourier transform pair:
Z ∞ Z ∞
−j2πf t
G(f ) = g(t)e dt, g(t) = G(f )ej2πf t df,
−∞ −∞

The table below provides a list of Fourier transform pairs.

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The power spectral density function of the wide sense stationary stochastic process X(t) is
" Z #
T
1 h
2
i 1 2
SX (f ) = lim E XT (f ) = lim E X(t)e−j2πf t dt .
T →∞ 2T T →∞ 2T −T

Physically, Sx (f ) has units of watts/Hz = Joules. Both the autocorrelation function and

the power spectral density function convey information about the time structure of X(t).
Z ∞ Z ∞
−j2πf τ
SX (f ) = RX (τ )e dτ, RX (τ ) = SX (f )ej2πf τ df,
−∞ −∞

 For a wide sense stationary random process X(t), the power spectral density Sx (f ) is a

real-valued function with the following properties:

1. SX (f ) ≥ 0, for all f .

R∞
2. −∞
SX (f )df = E[X 2 (t)] = RX (0)

3. SX (−f ) = SX (f )

Example 9

A wide sense stationary process X(t) has autocorrelation function RX (τ ) = Ae−b|τ | where

b > 0. Derive the power spectral density function Sx (f ) and calculate the average power

E[X 2 (t)]. To find Sx (f ), we use the above table, since RX (τ ) is of the form ae−a|τ | .

2Ab
SX (f ) =
(2πf )2 + b2

The average power is

∞
2Ab
Z
2 −b|0|
E[X (t)] = RX (0) = Ae = df = A
−∞ (2πf )2 + b2

Figure 5.3 displays three graphs for each of two stochastic processes. For each process, the

three graphs are the autocorrelation function, the power spectral density function, and one

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Figure 5.3: Random processes V (t) and W (t) with autocorrelation functions Rv (τ ) = e−05|τ |

and Rw (τ ) = e−2|τ | are examples of the process X(t) in above Example. These graphs show

Rv (τ ) and Rw (τ ), the power spectral density functions Sv (f ) and Sw (f ), and sample paths

of V (t) and W (t).

sample function. For both processes, the average power is A = 1 watt. Note W (t) has a

narrower autocorrelation (less dependence between two values of the process with a given

time separation) and a wider power spectral density (more power at higher frequencies) than

V (t). The sample function w(t) fluctuates more rapidly with time than v(t).

5.7 Power Spectral Density of a Random Sequence

The spectral analysis of a random sequence parallels the analysis of a continuous-time pro-

cess. A sample function of a random sequence is an ordered list of numbers. Each number in

the list is a sample value of a random variable. The discrete-time Fourier transform (DTFT)

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is a spectral representation of an ordered set of numbers.

The sequence {· · · , X−2 X−1 x0 , X1 , x2 , · · · } and the function X(φ) are a discrete-time

Fourier transform (DTFT) pair if

∞
X Z 1/2
−j2πφn
X(φ) = Xn e , Xn = X(φ)ej2πφn dφ,
−∞ −1/2

where φ is normalized frequency, f = φfs .

The power spectral density function of the wide sense stationary random sequence Xn is
∞
X Z 1/2
−j2πφk
SX (φ) = RX [k]e , RX (k) = SX (φ)ej2πφk df.
k=−∞ −1/2

The properties of the power spectral density function of a random sequence are similar to

the properties of the power spectral density function of a continuous-time stochastic process.

1. SX (φ) ≥ 0, for all f .

R 1/2
2. −1/2
SX (φ)dφ = E[Xn2 ] = Rf X[0]

3. SX (−φ) = SX (φ)

4. For any integer n, SX (φ + n) = SX (φ).

Example 10

The wide sense stationary random sequence Xn has zero expected value and autocorrelation

function 
 σ 2 (2 − |n|)/2, n = −1, 0, 1;

RX [k] =
 0,

o.w.
Derive the power spectral density function of Xn .

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 Solution:

We have
1
X
SX (φ) = RX [n]e−j2πnφ
n=−1
h (2 − 1) 2 (2 − 1) −j2πφ i
= σ2 ej2πφ + + e
4 4 4
σ2  
= 1 + cos(2πφ)
2

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