Random Process: Some Examples
Random Process: Some Examples
Random Process: Some Examples
1
fΘ (θ) = , 0 ≤ θ ≤ 2π
2π
= 0, elsewhere
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Random Process: Time vs. Ensemble Averages
Ensemble averages
• Difficult to generate a number of realisations of a random
process
• =⇒ use time averages
• Mean
Z +T
1
µx (T ) = x(t) dt
2T −T
• Autocorrelation
Z +T
1
Rx (τ, T ) = x(t)x(t + τ ) dt
2T
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−T
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lim µx (T ) = µX
T →+∞
lim var[µx (T )] = 0
T →+∞
2. it is ergodic in autocorrelation:
lim Rx (τ, T ) = RX (τ )
T →+∞
lim var[Rx (τ, T )] = 0
T →+∞
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Figure 1: An LSI system
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In Figure 1 , h[n] is an LSI system if it satisfies the following
properties
– Linearity The system is called linear, if the following
equation holds for all signals x1 [n] and x2 [n] and any a and
b:
x1 [n] → y1 [n]
x2 [n] → y2 [n]
=⇒ a.x1 [n] + b.x2 [n] → a.y1 [n] + b.y2 [n]
x[n] → y[n]
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=⇒ x[n − n0 ] → y[n − n0 ]
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