Download DC2 Tehran 92-93-2 Random Process

‫دانشکده مهندس ی کامپیوتر‬
‫ارتباطات داده (‪)40-883‬‬
‫فرآیندهای تصادفی‬
‫نیمسال ّ‬
‫دوم ‪92-93‬‬
‫افشین ّ‬
‫همتیار‬
‫‪1‬‬
Random Process
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Introduction
Mathematical Definition
Stationary Process
Mean, Correlation, and Covariance
Ergodic Process
Random Process through LTI Filter
Power Spectral Density
Gaussian Process
White Noise
Narrowband Noise
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Introduction
• Deterministic Model
– No uncertainty about time-dependent behavior at
any instant of time
• Stochastic (Random) Model
– Probability of a future value lying between two
specified limits
– Example:
Received signal = Information-bearing signal
+ Inference + channel noise
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Mathematical Definition (1)
– Each outcome of the experiment is associated with a
“Sample point”
– Set of all possible outcomes of the experiment is called
the “Sample space”
– Function of time assigned to each sample point:
X(t,s), -T ≤ t ≤ T 2T: total observation interval
– “Sample function” of random process: xj(t) = X(t, sj)
– Random variables:
{x1(tk),x2(tk), . . . ,xn(tk)} = {X(tk, s1),X(tk, s2), . . . ,X(tk, sn)}
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Mathematical Definition (2)
An ensemble of sample functions
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Mathematical Definition (3)
– Random Process X(t):
“An ensemble of time functions together with a probability
rule that assigns a probability to any meaningful event
associated with an observation of one of the sample
functions of the random process”
• For a random variable, the outcome of a random experiment is
mapped into a number.
• For a random process, the outcome of a random experiment is
mapped into a waveform that is a function of time.
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Stationary Process (1)
• Strictly Stationary
FX(t1+τ), . . . ,X(tk+τ)(x1, . . . , xk) = FX(t1), . . . ,X(tk)(x1, . . . , xk)
(F is joint distribution function)
“ A random Process X(t), initiated at time t=-∞, is strictly
stationary if the joint distribution of any set of random
variables obtained by observing the random process X(t) is
invariant with respect to the location of the origin t=0.”
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Stationary Process (2)
• Strictly Stationary
FX(t1+τ), . . . ,X(tk+τ)(x1, . . . , xk) = FX(t1), . . . ,X(tk)(x1, . . . , xk)
(F is joint distribution function)
1) K = 1:
FX(t+τ)(x) = FX(t)(x) = FX(x)
for all t and τ
First-order distribution function of a stationary process is independent of time.
2) K = 2 & τ = -t1:
FX(t1),X(t2)(x1,x2) = FX(0), X(t2-t1)(x1,x2) for all t1 and t2
Second-order distribution function of a stationary process depends only on the
time difference between observation times.
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Stationary Process (3)
Example:
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Mean
• Mean
“Expectation of the random variable by observing the process
at some time t”
μX(t) = E[X(t)] = ∫ xfX(t)(x)dx
fX(t)(x) is the first –order probability density function of the process.
The mean of a strictly stationary process is a constant:
μX(t) = μX
for all t
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Correlation
• Correlation
“Expectation of the product of two random variables X(t1) ,
X(t2) , by observing the process X(t) at times t1 and t2”
RX(t1,t2) = E[X(t1)X(t2)] = ∫ ∫ x1x2fX(t1),X(t2)(x1,x2)dx1dx2
fX(t1),X(t2)(x1,x2) is the second –order probability density function of the process.
• Autocorrelation of a strictly stationary process:
RX(t1,t2) = RX(t2 - t1)
for all t1 and t2
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Covariance
• Autocovariance
CX(t1,t2) = E[(X(t1)-μX)(X(t2)-μX)] = RX(t2 - t1) – μ2X
Points:
1) The mean and autocorrelation functions only
provide a partial description of the distribution of a
random process.
2) The conditions of the equations for Mean and
Autocorrelation are not sufficient to guarantee the
random process X(t) is strictly stationary.
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Autocorrelation Properties
RX(τ) = E[(X(t+τ)X(t)] for all t
1) RX(0) = E[X2(t)]
(mean-square value of process)
2) RX(τ) = RX(-τ)
(even function of τ)
3) ІRX(τ)І ≤ RX(0)
(maximum magnitude at τ=0)
E[(X(t+τ)±X(t))2] ≥ 0
E[X2(t+τ)] ± 2E[X(t+τ)X(t)] + E[X2(t)] ≥ 0
2 RX(0) ± 2RX(τ) ≥ 0  -RX(0) ≤ RX(τ) ≤ RX(0)
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Autocorrelation Example 1
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Autocorrelation Example 2 (1)
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Autocorrelation Example 2 (2)
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Cross-Correlation (1)
Correlation Matrix :
X(t) and Y(t) stationary
and jointly stationary 
Cross-correlation is not even nor have
maximum at origin but have symmetry:
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Cross-Correlation (2)
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Ergodic Process (1)
DC value of x(t):
Mean of process X(t)
 Ergodic in Mean
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Ergodic Process (2)
Time-averaged Autocorrelation
 Ergodic in Autocorrelation
Note: Computing Time-averaged Mean and Autocorrelation,
requires that the process be stationary.
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Random Process through LTI Filter
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Power Spectral Density (1)
(Power Spectral Density)
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Power Spectral Density (2)
An example:
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Power Spectral Density (3)
P
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P
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R
T
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S
(1)
(2)
(3)
(4)
(5)
(Probability Density Function)
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Power Spectral Density (4)
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Power Spectral Density (5)
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Power Spectral Density (6)
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Power Spectral Density (7)
 Fourier transformable
(Periodogram)
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Power Spectral Density (8)
Cross-Spectral Densities:
Cross-Correlations:
< -- >
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Gaussian Process (1)
Linear Functional of X(t):
Gaussian Distribution:
Probability
Density
Function
Normalization 
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Gaussian Process (2)
Xi, i =1,2, . . . , N, is a set of random variables that satisfy:
1) The Xi are statistically independent.
2) The Xi have the same probability distribution with
mean μX and variance σ2X.
(Independently and identically distributed (i.i.d.) set of random variables)
Normalized variable:
Defined variable:
The central limit theorem states that the probability distribution
of VN approaches a normalized Gaussian distribution N(0,1) in the
Limit as the number of random variables N approaches infinity.
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Gaussian Process (3)
Property 1:

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Gaussian Process (4)
Property 2:
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Gaussian Process (5)
Property 3:
Property 4:
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Noise (1)
Shot Noise arises in electronic devices such as diodes and
transistors because of the discrete nature of current flow in these
devices.
h(t) is waveform of current pulse
ν is the number of electrons emitted
between t and t+t0
>>
Poisson Distribution
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Noise (2)
Thermal Noise is the electrical noise arising from the random
motion of the electrons in a conductor.
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Noise (3)
White Noise is an idealized form of noise for ease in analysis.
Te is the equivalent noise temperature of a system if defined as
the temperature at which a noisy resistor has to be maintained
such that, by connecting the resistor to the input of a noiseless
version of the system, it produces the same available noise power
at the output of the system as that produced by all the sources of
noise in the actual system.
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Noise (4)
• According to the autocorrelation function, any two different
samples of white noise, no matter how closely together in time
they are taken, are uncorrelated.
• If the white noise is also Gaussian, then the two samples are
statistically independent.
• White Gaussian noise represents the ultimate in randomness.
• White noise has infinite average power and, as such, it is not
physically realizable.
• The utility of white noise process is parallel to that of an
impulse function or delta function in the analysis of linear systems.
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Noise (5)
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Noise (6)
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Narrowband Noise (1)
In-phase and Quadrature components:
Properties:
1) Both components have zero mean.
2) If narrowband noise is Gaussian, then both components are jointly Gaussian.
3) If narrowband noise is stationary, then both components are jointly stationary.
4) Both components have the same power spectral density:
5) Both components have the same variance as narrowband noise.
6) The cross-spectral density of components is purely imaginary:
7) If the narrowband noise is Gaussian and its power spectral density is symmetric
about the mid-band frequency, then the components are statistically
independent.
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Narrowband Noise (2)
In-phase and Quadrature components
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Narrowband Noise (3)
Envelope and Phase components:

>> Uniform Distribution
>> Rayleigh Distribution
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Narrowband Noise (4)
Rayleigh Distribution
Normalized form >>
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Sine-Wave plus Narrowband Noise (1)
>> Rician Distribution
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Sine-Wave plus Narrowband Noise (2)
Rician Distribution
Normalized form >>
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