Random Process – Spectral Characteristics

1. Introduction
2. Power density spectrum and its properties
3. Relationship between power spectrum and
autocorrelation function
4. Cross-power density spectrum and its properties
Introduction:
 Explores characterization of RP in the frequency
domain-spectral characteristics
 Spectral Characteristics can be easily learnt from the
theory of Fourier transforms.
 However direct use of FT on RP is not possible
 But Auto correlation function of a WSS RP is used to
study spectral characteristics such as power density
spectrum /power spectral density
 Power density spectrum
The power spectrum of a WSS random process X (t) is defined as

The auto correlation function can be obtained From PSD by

taking Inverse Fourier Transform

The power spectral density can also be defined as

 Average power of the random process
The average power of a WSS random process X(t) is defined as
Properties of power density spectrum
Relations between power spectrum and
autocorrelation function
Example 1:
Find the PSD Of Given Auto Correlation function
Example 2:
Band Width of the PSD
 Cross Power density spectrum
The Cross Power density spectrum of X(t) and
Y(t) is defined as
and
The Cross power spectral density can also be defined as

Average power of the random process:

Properties of cross power density spectrum
Example:

Find Cross Correlation function?

Find Cross Correlation function?
Relation between Cross PSD and Cross
Correlation