Random Processes

Random Processes
In this chapter :
6-1 Random (Stochastic) Process
6-2 Specifying a random process
6-3 Stationary Random Process
6-4
6-5
 Random (Stochastic) Process
• Random experiment.
• For every   S, X(t, ) is assigned.
• For fixed, X(t, ) is called realization (or
sample path or sample function) of the
random process.
• For tk fixed, X(tk, ) is a random variable.
• Discrete-time and Continuous-time RP.
 Examples
•   [-1, 1], X(t, ) = cos(2t) t  ]-, [
•   [-, ], Y(t, ) = cos(2t + ) t  ]-, [
• Different Realizations.
 Specifying a random process
• Joint Distributions of time samples:
• Mean, Autocorrelation and Autocovariance
Joint Distributions of time samples
• Let X1 = X(t1, ), X2 = X(t2, ), …, Xk = X(tk, ).
• Collection of kth-order joint cdf:
FX1,…,Xk(x1,…, xk) = P[X(t1) ≤ x1, …, X(tk) ≤ xk]
• If continuous-valued then Collection of kth-order
joint pdf is used:
fX1,…,Xk(x1,…, xk)dx1…dxk = P[x1 ≤ X(t1) ≤ x1+dx1, …,
xk ≤ X(tk) ≤ xk+dxk]
• If discrete-valued then Collection of pmf is used:
pX1,…,Xk(x1,…, xk) = P[X(t1) = x1, …, X(tk) = xk]
 Mean, Autocorrelation and
Autocovariance
• Mean function mX(t): 
m X  t   E  X  t     xf X t   x  dx


• Variance function VAR[X(t)]: 

VAR  X  t      x  m    f
2
X t X t   x  dx


• Autocorrelation RX(t1, t2):  

R  t , t   E  X  t  X  t      xyf
X 1 2 1 2 X  t1  X  t 2   x , y  dxdy
 

• Autocovariance:
C  t , t   E  X  t   m  t    X  t   m  t   
X 1 2 1 X 1 2 X 2
 Stationary Random Process
• Nature of the randomness does not change
with time.
• Joint cdf of X(t1),…, X(tk) is the same that of
X(t1 + ),…, X(tk + )
• Mean and Variance of X(t) are constant.
EXAMPLE: MRP