Addis Ababa University
Addis Ababa Institute of Technology
Probability and Random Process
Chapter 4: Random Processes
Random Processes
Outline
Introduction
Definition of a Random Process
Characterization of Random Processes
Mean, Correlation, and Covariance Functions
Semester-I, 2015 By Habib M. 2
Introduction
In real-life applications, we are often interested in multiple
observations of random values over a period of time.
Example:
Observing the stock price of a company over the next few months.
temperature in a certain city and the demand placed on the local electric
power
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Definition of a Random Process
A random variable is a number X(ζ) assigned to every outcome
of an experiment. A stochastic (Random) process is the
assignment of a function of t X(t, ζ) to each outcome of an
experiment.
The set of functions{X(t, ζ1), X(t, ζ2),…,X(t, ζN )} corresponding to
the N outcomes of an experiment is called an ensemble and
each member X(t, ζi) is called a sample function of the
stochastic process.
Common convention: write X(t) instead of X(t, ζ)
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Definition of a Random Process contd..
Example 1: Starting at launch time t=0. let X(t) denote the
temperature in degrees Kelvin on the surface of a space
shuttle. With each launch, we record a temperature sequence
x(t,s). For example, x(8073.68, 2)=207, indicates that the
temperature is 207 K at 8073.68 seconds during the second
launch. X(t) is a stochastic process.
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Definition of a Random Process contd..
stochastic process representing the temperature on the surface of a space
shuttle
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Definition of a Random Process contd..
Alternative Definition:
A stochastic process is a family of random variables X(t1), X (t2) ,…
for all t belonging to (0,T) . For a discrete parameter stochastic
process, this set is finite or countably infinite. For continuous
processes this set is non-countably infinite.
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Definition of a Random Process contd..
Example 2: Suppose that at time instants T = 0, 1, 2, 3, …, we roll a
die and record the outcome NT where 1 ≤ NT ≤ 6. We then define the
random process X(t) such that for T ≤ t ≤ T+1, X(t) = N T. In this case
the experiment consists of an infinite sequence of rolls and a sample
function is just the waveform corresponding to a particular sequence
of rolls.
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Types of Random Processes
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Types of Random Processes
Deterministic Vs Non-Deterministic
A stochastic process is deterministic if a sample function can be
described by a mathematical function such that its future
values can be computed. The randomness is in the ensemble,
not in the time functions. For example, let the sample functions
be of the form, X(t) = Acos(2π f0t +θ) and let the parameter θ
be random over the ensemble but constant for any particular
sample function. All other stochastic processes are non-
deterministic.
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Characterization of Random Processes
If X(t) is a random process, then for fixed t=t1, X1=X(t1) represents a
random variable.
Its distribution function is given by:
FX ( x1 , t1 ) P{ X (t1 ) x1}
Notice that FX(x, t) depends on t, since for a different t, we obtain a
different random variable.
The first-order probability density function of the process X(t) is
defined as:
dFX ( x1 , t1 )
f X ( x1 , t1 )
dx1
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Characterization of Random Processes Cont’d…..
For t = t1 and t = t2, X(t) represents two different random variables X1 = X(t1) and X2 =
X(t2) respectively.
Their joint distribution is given by:
The second-order 2 , t1 , t 2 )
FX ( x1 , xprobability (t1 ) xof1 ,theX random
P{ Xfunction
density (t2 ) process
x2 } X(t) is:
Similarly represents the nth order density function of the
process X(t). 2 FX ( x1 , x2 , t1 , t2 )
f X ( x1 , x2 , t1 , t2 )
x1 x2
f X ( x1 , x2 , xn , t1 , t 2 , t n )
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Mean, Correlation, and Covariance Functions
As in the case of random variables, random processes are often
described by using statistical averages.
The mean of X(t) is defined by:
X (t ) E X (t )
where X(t) is treated as a random variable for a fixed value of t.
In general, μX(t) is a function of time, and it is often called the
ensemble average of X(t).
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Mean, Correlation, and Covariance Functions …...
A measure of dependence among the random variables of X(t) is
provided by its autocorrelation function, defined by:
RXX (t1 , t 2 ) E X (t1 ) X (t 2 )
Note that:
R XX (t1 , t 2 ) R XX (t 2 , t1 ) and R XX (t , t ) E X 2 (t )
The autocovariance function of X(t) is defined by:
C XX (t1 , t 2 ) Cov X (t1 ) , X (t 2 ) E X (t1 ) X (t1 ) X (t 2 ) X (t 2 )
R XX (t1 , t 2 ) X (t1 ) X (t 2 )
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Mean, Correlation, and Covariance Functions …...
It is clear that if the mean of X(t) is zero, then:
C XX (t1 , t 2 ) R XX (t1 , t 2 )
Note that the variance of X(t) is given by:
X 2 (t ) Var X (t ) E X (t ) X (t )2
If X(t) is a complex random process, then its autocorrelation function
RXX(t1, t2) and autocovariance function CXX(t1, t2) are defined, respectively,
by:
R XX (t1 , t 2 ) E X (t1 ) X * (t 2 ) and
C XX (t1 , t 2 ) E X (t1 ) X (t1 ) X (t 2 ) X (t 2 )
*
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Classification of Random Processes
i. Stationary Processes
A random process {X(t), tϵT} is said to be stationary or strict-sense
stationary (SSS) if, for all n and for every set of time instants (ti ϵT, i = 1,2,
. . . , n),
FX ( x1 ,........, x n , t1 , ....., t n ) FX ( x1 , ........, x n , t1 , ......, t n )
Hence, the distribution of a stationary process will be unaffected by a shift
in the time origin, and X(t) and X(t+τ) will have the same distributions for
any τ.
Nonstationary processes are characterized by distributions depending on
the points t1, t2, . . . , tn.
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Classification of Random Processes Cont’d……
ii. Wide-Sense Stationary Processes
A random process X(t) is wide-sense stationary (WSS) if:
1. E X (t ) X (constant )
2. R XX (t1 , t 2 ) E X (t1 ) X (t 2 ) R XX t 2 t1
Note that a strict-sense stationary process is also a WSS process,
but, in general, the converse is not true.
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Classification of Random Processes Cont’d……
Other types of random processes include:
Independent Processes
Markov Processes
Normal Processes
Ergodic Processes
Poisson Processes
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Power Spectral Densities of Random Processes
The autocorrelation function of a continuous-time WSS random
process X(t) is defined as:
R XX ( ) E X (t ) X (t )
Properties of RXX(τ):
1. R XX ( ) R XX ( )
2. R XX ( ) R XX (0)
3. R XX (0) E X 2 (t ) 0
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Power Spectral Densities of Random Processes……
In case of a discrete-time random process X(n), the
autocorrelation function of X(n) is defined by:
R XX (k ) E X (n) X (n k )
Properties of RX(k):
1. R XX ( k ) R XX (k )
2. R XX (k ) R XX (0)
3. R XX (0) E X 2 (n) 0
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Power Spectral Densities of Random Processes……
Two processes X(t) and Y(t) are called (mutually) orthogonal if:
R XY ( ) 0 , for all
Similarly, the cross-correlation function of two discrete-time jointly
WSS random processes X(n) and Y(n) is defined by:
R XY (k ) E X (n)Y (n k )
The various properties of RXY(k) similar to those of RXY(τ) can be
obtained by replacing τ by k in the above equations.
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Power Spectral Densities of Random Processes……
The power spectral density (or power spectrum) SXX(ω) of a continuous-
time random process X(t) is defined as the Fourier transform of RXX(τ),
i.e. ,
S XX R XX ( )e j d
Thus, taking the inverse Fourier transform of SX(ω), we obtain:
1
R XX S XX ( )e j d
2
The above equations are known as the Wiener-Khinchin relations.
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Power Spectral Densities of Random Processes……
Properties of SXX(ω):
1. S XX ( ) is real and S XX ( ) 0
2. S XX ( ) S XX ( )
2
3. E X (t ) R XX (0)
1
2 S
XX ( )d
Similarly, the power spectral density SXX(Ω) of a discrete-time
random process X(n) is defined as the Fourier transform of RXX(k):
S XX R XX (k )e jk
k
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Power Spectral Densities of Random Processes……
Thus, taking the inverse Fourier transform of SXX(Ω), we obtain:
1
R XX (k )
2
S XX ()e jk d
Properties of SXX(Ω):
1. S XX ( 2 ) S XX ()
2. S XX () is real and S XX () 0
3. S XX ( ) S XX ()
2
3. E X (n) R XX (0)
1
2
S
XX ( ) d
Semester-I, 2015 By Habib M. 24
Power Spectral Densities of Random Processes……
The cross power spectral density (or cross power spectrum) SXY(ω)
of two continuous-time random processes X(t) and Y(t) is defined as
the Fourier transform of RXY(τ):
S XY R XY ( )e j d
Thus, taking the inverse Fourier transform of SXY(ω), we get:
1
R XY S XY ( )e j d
2
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Power Spectral Densities of Random Processes……
Properties of SXY(ω):
Unlike SXX(ω), which is a real-valued function of ω, SXY(ω), in general, is a complex-
valued function.
1. S XY ( ) S YX ( )
*
2. cross
Similarly, the ( spectral
S XYpower ( )SXY(Ω) of two discrete-time random
) S XYdensity
processes X(n) and Y(n) is defined:
S XY () R XY (k )e jk
k
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Power Spectral Densities of Random Processes……
Taking the inverse Fourier transform of SXY(Ω), we get:
1
R XY (k )
2
S XY ()e jk d
Properties of S (ω):
XY
Unlike SXX(Ω), which is a real-valued function of Ω, SXY(Ω), in general, is a complex-
valued function.
1. S XY ( 2 ) S XY ()
2. S XY () S YX ( )
*
3. S XY ( ) S XY ()
Semester-I, 2015 By Habib M. 27
Example on Random Processes
Example:
Consider a random process X(t) defined by
X (t ) A cos( 0 t )
where 0 and A are constants and is a uniform
random variable over the interval (0, 2 )
a. Find the mean X (t ).
b. Find the autocorrelation function R XX (t1 , t 2 ).
c. Find the autocovariance function C XX (t1 , t 2 ).
d . Determine whether X (t ) is WSS random process or not.
e. Find the power spectral density of X (t ).
Semester-I, 2015 By Habib M. 28
Example on Random Processes Cont’d……
Solution:
a. X (t ) E X (t ) E A cos( 0 t ) AE cos( 0 t )
But , cos( 0 t ) cos( 0 t)cos - sin( 0 t)sin
X (t ) E X (t ) AE cos( 0 t)cos - sin( 0 t)sin
A cos( 0 t) E cos A sin( 0 t) E sin
1 2
E cos cos d 0
2 0
1 2
Similarly , E sin sin d 0
2 0
X (t ) E X (t ) 0
Semester-I, 2015 By Habib M. 29
Example on Random Processes Cont’d……
Solution:
b. R XX (t1 , t 2 ) E X (t1 ) X (t 2 )
E A cos( 0 t1 ) A cos( 0 t 2 )
A 2 E cos( 0 t1 ) cos( 0 t 2 )
A2
E cos 0 (t 2 t1 ) cos( 0 (t1 t 2 ) 2 )
2
But , E cos 0 (t 2 t1 ) cos 0 (t 2 t1 ) and
E cos( 0 (t1 t 2 ) 2 ) 0
A2
R XX (t1 , t 2 ) cos 0 (t 2 t1 )
2
Semester-I, 2015 By Habib M. 30
Example on Random Processes Cont’d……
Solution:
c. C XX (t1 , t 2 ) R XX (t1 , t 2 ) X (t1 ) X (t 2 )
A2
cos 0 (t 2 t1 ) 0
2
A2
C XX (t1 , t 2 ) cos 0 (t 2 t1 )
2
d . Since the mean is constant and the autocorrelation function
depends on time difference only, X (t ) is a WSS random process.
Semester-I, 2015 By Habib M. 31
Example on Random Processes Cont’d……
Solution:
e. Since X (t ) is a WSS random process, the autocorrelation
function can be simply written as :
A2
R XX ( ) cos( 0 )
2
The power spectral density of X (t ) is given by :
S XX ( ) R XX ( )e j d
But from Fourier transform pair table, we have :
FT cos( 0 t ) ( 0 ) ( 0 )
A 2 A 2
S XX ( ) ( 0 ) ( 0 )
2 2
Semester-I, 2015 By Habib M. 32
Response of Linear Systems to Random Inputs
If a WSS random process X(t) with autocorrelation function RXX(τ) is applied to a linear
system with impulse response h(t), then the cross correlation function RXY(τ) and the output
autocorrelation function RYY(τ) are given as follows.
X(t h(t) Y(t)
)
R XY ( ) R XX ( ) * h * ( )
And ,
RYY ( ) R XY ( ) * h( )
R XX ( ) * h * ( ) * h( )
Semester-I, 2015 By Habib M. 33
Response of Linear Systems to Random Inputs…..
Using properties of Fourier transform, we get:
FT
f (t ) F ( ) FT
and g (t ) G ( )
Then using the above
property,
f (t ) * gthe(t )crossFT
F ( power
output
and )G (spectral
) densities can be
evaluated as:
S XY ( ) FT R XX ( ) * h * ( ) S XX ( ) H * ( )
And ,
S YY ( ) FT RYY ( ) FT R XY ( ) * h( )
2
S XY ( ) H ( ) S XX ( ) H ( )
Semester-I, 2015 By Habib M. 34
Example on Response of Linear Systems
Example:
Consider a WSS random process X(t) with autocorrelation
function given by:
a
R XX ( ) e , where a is a real positive constant
Let the random process X(t) be applied to the input of an LTI
system with impulse response given by:
h(t ) e bt u (t ) , where b is a real positive constant
Find the autocorrelation function of the output Y(t) of the
system.
Semester-I, 2015 By Habib M. 35
Example on Response of Linear Systems Cont’d……
Solution:
The frequency response H ( ) of the system is :
1
H ( ) FT h(t )
j b
The power spectral density of X (t ) is :
2a
S XX ( ) FT R XX ( ) 2
a2
Then, the power spectral density of Y (t ) is given by :
2 1 2a
S YY ( ) S XX ( ) H ( ) 2 2 2
b a
2
Semester-I, 2015 By Habib M. 36
Example on Response of Linear Systems Cont’d……
Solution:
a 2b b 2a
S YY ( ) 2 2 2
2 2 2
a b b b a b b b
2 2
Taking the inverse Fourier transform of both sides of the above
equation, we obtain :
RYY ( ) 2
1
a b 2 b
ae
b
be
a
Semester-I, 2015 By Habib M. 37
Exercise on Random Processes
1. Consider a random process X(t) defined by
X (t ) A cos(0t )
where 0 and are constants and A is a uniform
random variable over the interval (0, 2)
a. Find the mean X (t ).
b. Find the autocorrelation function RXX (t1 , t 2 ).
c. Find the autocovariance function C XX (t1 , t 2 ).
d . Determine whether X (t ) is WSS random process or not.
e. Find the power spectral density of X (t ).
Semester-I, 2015 By Habib M. 38
Exercise on Random Processes
2. Consider a random process X(t) defined by:
X (t ) A sin( 0 t )
where A and are independent random variables which are
uniformly distributed over the intervals [0, 1] and ,
2 2
respectively and 0 is a constant.
a. Find the mean X (t ).
b. Find the autocorrelation function R XX (t1 , t 2 ).
c. Find the autocovariance function C XX (t1 , t 2 ).
d . Determine whether X (t ) is WSS random process or not.
e. Find the power spectral density of X (t ).
Semester-I, 2015 By Habib M. 39
Exercise on Random Processes Cont’d……
3. Two random processes X(t) and Y(t) are given by:
X (t ) A cos(0t ) and Y (t ) A sin(0t )
where A and 0 are constants and is a uniform random
variable over the interval (0, 2 ).
a. Find the cross correlation function of X (t ) and Y (t ).
b. Verify tha t RXY (- ) RXY ( )
Semester-I, 2015 By Habib M. 40
Exercise on Random Processes Cont’d……
4. Consider a discrete-time WSS random process X(n) with
autocorrelation function given by:
RXX (k ) 2e |k |
Find the power spectral density of X(n).
Semester-I, 2015 By Habib M. 41