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0.

Time-Continous
Time
Continous Stochastic Processes
process X(t)

single realisation of

X(t) : sample function x(t)

A process is stationary, if the ensemble averages (moments,


autocorrelation function, cross-correlation function,
probability density functions) are independent of time.
If you can calculate the expected values of a process
by averaging one sample function in time domain
instead of averaging an ensemble of sample functions
functions,
then the process is ergodic.
An ergodic process is always stationary too ,
but a stationary process need not to be ergodic.
We will only
y consider ergodic
g
p
processes on the next slides.
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Correlation Functions

Time-Continous
Time
Continous Stochastic Processes
process X (t ) , function g ( X (t )) :

moments

E{g ( X (t ))} = g (x ) p X ( x ) dx = lim

1st moment:

E{ X } =

T /2
1
T

g (x(t )) dt

T / 2

x p (x ) dx =
X

2nd moment:

{ } x

E X2 =

p X ( x ) dx

variance:

E X X

}= E{ X } (E{ X })
2

= =
2
X

0-2

Power Density Spectrum

2
X

p X ( x ) dx

Correlation Functions of Continous Processes


autocorrelation function (ACF) of a complex-valued process X(t):

rXX ( 1 , 2 ) = E X ( 1 ) X ( 2 ) = E{( X R ( 1 ) jX I ( 1 )) ( X R ( 2 ) + jX I ( 2 ))}


stationary processes: 1 t , 2 t +
autocovariance function:

{[

(t + ) X ]} = rXX ( ) X
c XX ( ) = rXX ( )

c XX ( ) = E X (t )

zero mean processes

rXX ( ) = E X (t ) X (t + )

] [X

cross correlation function (CCF) of two processes X(t) and Y(t):


cross-correlation

rXY ( 1 , 2 ) = E X ( 1 ) Y ( 2 )
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stationary rXY

( ) = E{X (t ) Y (t + )}

Correlation Functions

Correlation Functions of Continous Processes


characteristics of ACF

(
)
r

=
r
XX
XX ( )

real processes

rXX ( ) = rXX ( )

max{rXX ( )} = rXX (0 )

{
(
)
(
)
(
)
(
)
rXX 0 = E{X t X t } = E X t }

zero mean

ACF is even

rXX (0) = X2

characteristics of CCF

rXY ( ) = rYX ( )

real processes

c XY ( ) = rXY ( ) X Y

rXY ( ) = rYX ( )

cross-covariance

uncorrelated processes: c XY ( ) = 0 rXY ( ) = X Y


orthogonal processes:
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rXY ( ) = 0

uncorr. processes with


Correlation Functions

or

Y = 0

Power Density Spectrum


(Power Density Spectrum, PDS)

definition (Wiener-Khintshine theorem)

S XX ( j ) = F{ rXX ( )} =

j
r
(

)
e
d
XX

explanation of plausibility:
see slide 9

ACF is conjugate even power density spectrum is real

process average power (zero mean):


Var{X (t )} =

2
X

1
2

XX

( j ) d

= rXX (0)

white noise: PDS is a constant ( infinite power only a model)


S XX ( j ) = N 0 / 2 with - < <

rXX ( ) = F1{N 0 / 2} = N 0 / 2 0 ( )
0-5

Power Density Spectrum

Definition of Wiener-Khintschine : explanation of


plausibility
x(t ) if T t T
xT (t ) =
finite sample function:
X T ( j )
otherwise
0
T

finite energy:

xT (t ) dt =
2

average power:

1
2

X T ( j ) d
2

Theorem of Parseval

T
1
2T

xT (t ) dt =
2

1
2

1
2T

X T ( j ) d PDS of sample func.


2

definition: PDS of the ergodic process X(t)


mean off a sample
l ffunction
ti with
ith iinfinite
fi it llength
th :

S XX ( j ) = lim

0-6

1
2T

X T ( j )

Power Density Spectrum

Definition of Wiener-Khintschine : explanation of


plausibility

S XX ( j ) = F{rXX ( )} = rXX ( ) e j d

Wiener-Khintschine:

ergodic processes: rXX ( ) = lim

S XX ( j )
T

= lim

0-7

1
2T

lim

1
2T

(
)
(
)
(t ) X (t + )}
{
x
t

x
t
+

dt

E
X
T
T

e
d =
(
)
(
)
x
t

x
t
+

dt
T T

x ( t ) x ( t + )e

T T

1
2T

1
dtd = Tlim
2T

j
(
t
)
(
t

)
d dt
x
x
+
e
T T

Power Density Spectrum

Definition of Wiener-Khintschine : explanation of


plausibility

67
8

j
+ j t
(
)
(
)
x
t
x
t
+

e
e
T
T

= lim 21T
T

4
6
47
8
( t + )

d dt

(substitution: = t + ; d = d )
T

= lim 21T
T

0-8

j t
j
1
(
)
(
)
x
t
e
dt

x
e
=
( )

lim
T
T
T
T
2T X T j
T
14
4244
3 1442443
X T j
X T ( j )

Power Density Spectrum

(see slide 8)

Response of a linear system to a random input signal


random input signal : X (t )
h(t )
random output signal : Y (t )

impulse response:

(Energy-) ACF :

rhhE ( ) = h (t ) h(t + ) dt = h( ) h ( )

ACF of the output:

rYY ( ) = rXX ( ) rhhE ( ) = rXX ( ) h( ) h ( )

CCF off ini / output:


t t rXY ( ) = rXX ( )
PDS of output process:

h( )

SYY ( j ) = S XX ( j ) H ( j )

no phase information!

Cross-power density spectrum: S XY ( j ) = S XX ( j ) H ( j )


((between input
p and output)
p )
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Response of a Linear System

Response of a linear system to a random input signal


white noise as input signal of a linear system:

rYY ( ) = N 0 / 2 0 ( ) rhhE ( ) = N 0 / 2 rhhE ( )

SYY ( j ) = N 0 / 2 H ( j )

rXY ( ) = N 0 / 2 0 ( ) h( ) = N 0 / 2 h( )

S XY ( j ) = N 0 / 2 H ( j )
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Response of a Linear System

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