Chapter 5

Random Processes
By Abinet E.

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 Chapter Outline

➢ Random Process and Ensembles

➢ Autocorrelation Function and Its Properties
➢ Cross -correlation Function and Its Properties
➢ Stationary Random Processes
➢ Ergodic Random Processes
➢ Power Spectral Density function
 Determinism vs randomness
There are two main kinds of processes in Nature, distinguished by their time
evolution.
➢ 1. In a deterministic process, the future state of the system is completely
determined by the present state.
Physical systems whose time evolution is described by differential
equations are deterministic; e.g
• classical mechanics (Newton’s equation)
• quantum mechanics (Schrödinger’s equation)
• the weather (chaotic but deterministic!)
➢ 2. Stochastic (or random) processes are non-deterministic: the time
evolution is subject to a probability distribution.
Examples of stochastic processes are
• Random walks
• Markov chains
• Birth-death processes
• Queues 3
Random or Stochastic Process
✓ A RANDOM VARIABLE X, is a rule for assigning to every outcome, A, of an
experiment a number X(A).
• Note: X denotes a random variable and X(A) denotes a particular value.
✓ A RANDOM PROCESS X(t) is a rule for assigning to every outcome w, a function
X(t,A).
• Note: for notational simplicity we often omit the dependence on w.
• A general Random or Stochastic Process can be described as: Collection of time
functions (signals) corresponding to various outcomes of random experiments.
• Collection of random variables observed at different times.
• Examples of random processes in communications:
o Channel noise,
o Information generated by a source,
o Interference.

• A random process is a process (i.e., variation in time or one dimensional space)

whose behavior is not completely predictable and can be characterized by statistical
laws.
• Examples of random processes
o Daily stream flow
o Hourly rainfall of storm events
o Stock index
 Average of random process

Random process X = {X (t),t  0} = {X (t, A),t  0}

is a function with two variable , the time t and
the random event A .
•Ensemble average
Expectation operator E{}

The Ensemble average of X (t) : E{X (t)}

The Ensemble average of the autocorrelation :
RX (t, t +  ) = E{X (t)  X (t +  )}
• Time average
 T

 {}dt
1
Operator : lim
T → 2T −T

The time average of X (t) :

T

 x(t)dt
1
 X (t) = lim
T → 2T −T

where x(t) is any specific sample function.

The time average of the autocorrelation :
T

 x(t)x(t +  )dt
1
 X (t) X (t +  ) = lim
T → 2T −T
Example:
Consider process X (t) = a  cos(t +  ) , a, 
are constant. RV  is uniform In the
interval (-π, π)
(1) Find the Ensemble X (t) and its
average of autocorrelation
function.

(2) Find the time average X (t) and its

of autocorrelation
function.
Solution :
(1) The Ensemble average and autocorrelation function
(2) The time average of X (t)
T
1
 X (t ) = lim
T → 2T
 x(t )dt
−T
T
1
= lim
T →
 a cos(t +  )dt
2T − T
1  a  [sin(T +  ) − sin(− T +  )]
= lim
T →2T 
(−2 | sin(T +  ) − sin(− T +  ) | 2)
=0
 • The time average of the autocorrelation :
T

 x(t)  x(t +  )dt

1
 X (t)  X (t +  ) = lim
T → 2T −T
T
1
= lim
T → 2T
 a cos(t + )  a cos(t +  +
)dt
1 −T T
= lim
T → 2T  a cos(t + )  a cos(t +  +
−T
)dt
2
1 a
= lim [sin(2T +  + 2) + sin(−2T +  + 2)] + a 2 T  cos(  )}
{
T → 2T 4

(−2 | sin(2T +  + 2 ) + sin(−2T +  + 2 ) | 2)

2
=  cos( )
a
2
 Ergodic Random Processes

• Random process {X (t),t T} is ergodic

If it satisfies the following condition .

E{X (t)} =  X (t) 
RX (t,t +  ) = E{X (t)X (t +  )}
=  X (t) X (t +  ) 
Example:
Consider process X (t) = a  cos(t +  ) ,
a,  are constant. RV  is uniform In the
interval (-π, π)
X (t) is ergodic ?

E{X (t)} = 0 = X (t) 

RX (t, t +  ) = E{X (t) X (t +  )}
2
= cos( )
a
2
=  X (t)X (t +  ) 

X (t) is ergodic.
 Stationary process

• Strict sense stationary process (SSS)

• Wide sense stationary process (WSS)
(Mean)2 =
Solution:
USE AUTO CORRELATION FORMULA
Power Spectral Density for Random Processes

• Let {X (t),t T} be a wide-sense stationary

processes (WSS) ,
 1 +T  1 +T
E  X (t)  dt
2
PXav = E  lim  | X (t) | dt  = Tlim
2
→ 2T   
T → 2T −T  −T

PXav is the total average power of X (t) .

PXav can be denoted as
+1
 S X ()d 
PXav =
2 −
S X () is the power spectral density of X (t) .
 Spectral Property

If X (t) is WSS ,
+
(1) 1
PXav =   S X ()d  = R X ( = 0)
2 −

(2) RX ( ) and S X () are Fourier transform pair.

if X (t) is a continuous WSS
+
S X () = RX ( )  e − j d

−
+

  S X ()  e j d 
1
RX ( ) =
2 −
if X (t) is a discrete WSS
+

S X () =  RX ( )  e− jk
k =−
+
1
RX ( ) =   S X ()  e jk d 
2 −
(3) S X () is a even function and more than zero.
S X () = S X (−); S X ()  0
if X (t) is a discrete WSS
+

S X () =  RX ( )  e− jk
k =−
+
1
RX ( ) =   S X ()  e jk d 
2 −
(3) S X () is a even function and more than zero.
S X () = S X (−); S X ()  0
 +
1
(1) Showing : PXav =   S X ()d  = R X ( = 0)
2 −
X (t) ⎯Fourier transform⎯→G()

According to Parseval’s theorem , the

total energy of X (t)
+ 2 +

Q =  X (t ) 1
  G() 2 d 
2 −
X
dt−=
 X (t), t T
Let X T (t) de defined as : X T (t) = 
 0, t T

X T (t) ⎯ ⎯⎯ ⎯⎯
Fourier transform
→G T ( )
+ T

GT () =  X T (t)e − jtdt =  X (t)e − jtdt

− −T
 The total energy of X T (t)

+ +T 2 1 +
QX =
2
T 
−
XT (t) dt =  X (t) dt =
2
  GT ( ) 2 d 
−T −
lim Q X T = Q X
T →

The time average of QX T

+T +
QX
  X (t) 2 dt = 1  1
1
=  GT () d 
2
T

2T 2T −T 2T 2 −

QX
Then the ensemble average of T

2T
 QX   1 +T   1 1 + 
E
2T
T
 = E 2T   X (t ) dt  = E 2T  2


2
  G T () d 
2

  −T   − 
• Continuing…
the total average power of X (t) :
 QX   1 +T 
+T
 2
dt
  
1 E X (t)
= lim E 2T   X (t) dt  = lim
2
PXav = lim E  T
 
T → 2T →
   
T →
−T T 2T −T
+T +T
1 1
= lim
T → 2T −T
 R X (t, t)dt = lim
T → 2T −T
R X ( = 0)dt = R X ( = 0)

PXav = RX ( = 0)
 QX   1 1 +

PXav = lim E  T  = lim E  2T  2
T → T →
 GT ( ) d  
2

 2T   − 
+
1  1  G () 2  d 
=    lim E T 
2 − T → 2T   
1 
Let S () = lim E G () 2 
X
 T  , then
T → 2T
+

  S X ()d 
1
PXav =
2 −
(2) Showing:
RX (  ) ⎯⎯⎯⎯⎯ → SX ()
Fourier transform

1 
SX () = Tlim E  GT () 
2
→ 2T
T
GT () =  X (t)e − jtdt
−T
1 E  G () 2  = 1 E  G () 2  = 1
E GT () G T () 
2T  T
 2T  T
 2T
1 T T

− jt − js
=   X (t)e dt   X (s)e ds 
2T  −T −T 
E
1 T T

=
2T  −T  X (t)e − jt
dt   X (s)e ds  js

−T 
E
1  
T T
− j (t−s )
=
2T  −T  −T X (t)X (s)e dtds 

E
1 
T T

2T  −T −T 
= E X (t)X (s)  e − j (t−s )
dtds 

T T
1  − j (t−s )

=  −T X
2T  −T
R (t − s) e dtds 

• Continuing…
let u = t + s ,  = t - s  t = u +  , s = u - 
t t 1 1 2 2
u 1
J=  = 2 2 = −
2
s s 1 1
−
u  2 2
1 
T T
− j (t−s)

S X () =    RX (t − s)  e dtds 
2T  −T −T 
u + u −
1  − j , - T  T , -T  T
= 2T   J  RX ( )  e dud 
 2 2
1  2T 
2T −| |
− j
 
=  J  R X ( )  e du  d 
  −(2T −| |)
2T  −2T 
 
 | |
2T
− j
= −2T  2T 
1 −  R X ( )  e d

1 T T  +
S () = lim
X    R X (t − s)  e
− j (t−s)
dtds  =  RX ( )  e− j d
T → 2T
 −T −T  −
(3) showing:
S X () = S X (−)
RX ( ) = RX (− )
+

S X () =  RX ( )  e− j d
−
+

S X (−) =  RX ( )  e j d let 1 = −

−
−
R (− )  e− j1 d (− )
=  X 1 1
+
+
R ( )  e− j1 d ( )
= 
−
X 1 1

S X () = S X (−)
 Example: X (t) is a WSS process , the mean
m X (t) = 0 , the autocorrelation X
R ( ) = 4e −| |
 cos( ) ,
(1) Find the power spectral density S X () ;
(2) Find the total average power PXav .
Solution: (1)

RX ( ) ⎯ ⎯⎯⎯⎯
Fourier transform
→ S X ()
+

S X () =  RX ( )  e− j d
−

 1 1 
= 4 + 2
 1 + ( +  )
2
1 + ( −  ) 
 +
(2) 1
PXav =   S X ()d 
2 −
= RX ( = 0)
=4
Example:

X (t) is a WSS process , the mean m X (t) = 0 ,

the power spectral density
22 + 1
S X () = 4
 + 52 + 4 .

(1)Find the autocorrelation RX ( ) ;

(2)Find the total average PXav

power Solution: (1)
 RX ( ) ⎯ ⎯ ⎯ ⎯⎯
Fourier transform
→ S X ()
+ +
22 +1

1 1
RX ( ) =  j
d
2 −  S X ()  e j
d  = 2 −  + 5 + 4
4 2
e

+
2k 4k   e j d 
= 1   2 +1 + 2 + 4 

1 2

2 − 
= k e− + k e−2
1 2
1
k= − , k 7
1 2
=
6 12
+
1
(2) PXav =   S X ()d
2 −
= RX ( = 0)
5
= k1 + k2 =
12
Q.N. A random process has sample functions of the form X(t) = A
cos(wt+Θ) where w is constant, A is a random variable that has a
magnitude of +1 and −1 with equal probability, and Θ is a random
variable that is uniformly distributed between 0 and 2π. Assume that
the random variables A and Θ are independent. 1. Is X(t) a wide-
sense stationary process?
QUESTION
For good questions

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