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Chapter 5 Random Processes: Ensemble

This document summarizes key concepts about random processes from Chapter 5: 1) A random process is a collection of time functions and an associated probability description. Random processes can be classified as continuous, discrete, deterministic, nondeterministic, stationary, nonstationary, ergodic, or nonergodic. 2) Continuous random processes have random variables that can assume any value within a range, while discrete processes have random variables that can only assume isolated values. 3) Deterministic processes can be exactly predicted, while nondeterministic processes cannot predict future values exactly from past observations. 4) Stationary processes have probability distributions that do not depend on time, while nonstationary processes do depend on time

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Rajesh Bathija
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194 views

Chapter 5 Random Processes: Ensemble

This document summarizes key concepts about random processes from Chapter 5: 1) A random process is a collection of time functions and an associated probability description. Random processes can be classified as continuous, discrete, deterministic, nondeterministic, stationary, nonstationary, ergodic, or nonergodic. 2) Continuous random processes have random variables that can assume any value within a range, while discrete processes have random variables that can only assume isolated values. 3) Deterministic processes can be exactly predicted, while nondeterministic processes cannot predict future values exactly from past observations. 4) Stationary processes have probability distributions that do not depend on time, while nonstationary processes do depend on time

Uploaded by

Rajesh Bathija
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Chapter 5 Random Processes

random process : a collection of time functions


and an associated probability description


marginal or joint pdf
ensemble
{x(t)}
X(t) : a sample function
X(t
1
) random variable
=
X
1
How to extended the concepts of random variables
to those of random processes? simple

more difficult is
to relate the mathematical representations for random variables
to the physical properties of the process

classification of random processes
continuous / discrete
deterministic / nondeterministic
stationary / nonstationary
ergodic / nonergodic
5.2 Continuous & Discrete Random Processes
Dependent on the possible values of the random variables

continuous random process :
random variables X(t
1
), X(t
2
), can assume any value
within a specified range of possible values
PDF is continuous (pdf has NO function)
X(t)
X1
t
1
t
sample function
pdf
f(x)
x
discrete random process :
random variables can assume only certain isolated values
pdf contains only functions









mixed process : have both continuous and discrete component
X(t)
t
sample function pdf
f(x)
x
100
0 0 100

5.3 Deterministic & Non deterministic Random Processes


nondeterministic random process :
future values of each sample ftn cannot be
exactly predicted from the observed past values
(almost all random processes are nondeterministic)

deterministic random process :
~ can be exactly predicted ~


random ftn of time
(Example)
X(t) = A cos(t + )
A, known constant
constant for all t
but different for each sample function
random variation over the ensemble, not wrt time
still possible to define r.v. X(t
1
), X(t
2
),
and to determine pdf for r.v.



Remark : convenient way to obtain a probability model
for signals that are known except for one or two
parameters

Tx Rx

5.4 Stationary & Nonstationary Random Processes
dependency of pdf on the value of time






stationary random process:
If all marginal and joint density function of the process do not depend
on the choice of time origin, the process is said to be stationary
( mean moment )

ensemble
sample
ftn time
t
1
X(t
1
)
r.v.
pdf
nonstationary random process:
If any of the pdf does change with the choice of time origin,
the process is nonstationary.

All maginal & joint density ftn should be independent of
the time origin!
too stringent
relaxed condition
mean value of any random variable X(t
1
) is independent of t
1
& the correlation of two r.v. depends only on the time difference
1 2
t t
stationary in the wide sense

mean, mean-square, variance, correlation coefficient of
any pair of r.v. are constant
random
input
response
system analysis strictly stationary stationary
in the wide sense !
5.5 Ergodic & Nonergodic Random Process
If Almost every member of the ensemble shows the
same statistical behavior as the whole ensemble,
then it is possible to determine the statistical
behavior by examining only one typical sample
function.
Ergodic process
For ergodic process, the mean values and
moments can be determined by time averages as
well as by ensemble averages, that is,



(Note) This condition cannot exist
unless the process is stationary.
ergodic means stationary (not vice verse)
} }


= =
T
T
n
T
n
n
dt t X
T
dx x f x X ) (
2
1
lim ) (
5.6 Measurement of Random Processes
Statistical parameters of a random process
= the sets of statistical parameters associated with
the r.v. X(t) at various times t


these parameters are the same for all r.v.
consider only one set of parameters
if stationary
How to estimate the process parameters from
the observations of a single sample function?
We cannot make an ensemble average for
obtaining the parameters!





if erogodic
but, we cannot have a sample function
over infinite time interval
make a time average
make a time average over a finite
time interval ~ approximation to the true value
Will determine
How good this approximation is?
Upon what aspects of measurement the goodness of the
approximation depends?

Estimation of the mean value of an ergodic random process {X(t)}


random variable true mean value
?


}
=
T
dt t X
T
X
0
) (
1

X
X
X

X
mean variance !
| |
X dt X
T
dt t X
T
E X E
T
T
= =
(

=
}
}
0
0
1
) (
1

( )
T
X
1

var
(see Ch.6)
T good estimate !
(Remark) X(t)

discrete measurement
If we measure X(t) at equally spaced time interval , that is,


then the estimate of can be expressed as




mean

mean-square


... ), 2 ( ), (
2 1
t X X t X X A = A =
X

=
N
i
X
N
X
1
1

| | | |

= = =
(

= X X
N
X E
N
X
N
E X E
i i
1 1 1

( ) | |

=
(

=
(

j i j i
X X E
N
X X
N
E X E
2 2
2
1 1

: statistically independent, that is,











mean of estimate = true mean

| |
( ) j i X
j i X X X E
j i
= =
= =
2
2
( ) ( )( ) | |
( )
( )
2
2
2
2
2
2 2
2
2
1
1
1
1
1

X
N
X
N
X
N
X N N X N
N
X E
X
+ =
|
.
|

\
|
+ =
+ =
(

o
( ) ( ) | | { }
2
2 2
1

var
X
N
X E X E X
o =

=
( )
N
X
1

var
See the example in pp.201~202



zero-mean
Gaussian
Random process


( )
2
, 0
Y
N o
( )
2
) (t Y
) ( ) (
2
t Y t X =
5.7 Smoothing Data with a Moving Window Average
i
Sample
i
X
Noise
i
N
Observed Data
i
Y
X X X
X
X X
X
i-n
L
i-1 i+1 i+n
R

=
+
+ +
=
R
L
n
n k
k i
R L
i
Y
n n
X
1
1

A kind of LPF

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