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= =
n n n n x
dx n x p x x m
n
, c
( ) { } ( ) ( )
}
=
n n n n
dx n x p x g x g , c
{ } { } { }
m n m n
y x y x c c c =
Mean squared value
Variance
Mean Square Value and
Variance
( )
}
=
n n n n
dx n x p x x ,
2 2
} { c
{ }
)
`
=
2
n
x n n
m x x c var
Autocorrelation
Autocovariance
Autocorrelation and
Autocovariance
{ }
( )
} }
-
-
=
=
m n m n m n
m n xx
dx dx m x n x p x x
x x n,m
, , ,
c | } {
( )( ) { }
-
=
=
m n
m n
x x xx
x m x n xx
m m n,m
m x m x n,m
} {
} {
|
c
*
For a stationary process, the autocorrelation is
dependent on the time difference m n.
Thus, for stationary process, we can write
If we denote the time difference by k, we have
Stationary Process
{ }
( ) { }
2
2
x n x
n x x
m x
x m m
n
=
= =
c o
c
( ) ( ) { }
-
+
= = +
n k n xx xx
x x k n k n c | | ,
In many instances, we encounter random
processes that are not stationary in the strict
sense.
If the following equations hold, we call the
process wide-sense stationary (w. s. s.).
Wide-sense Stationary
{ }
( ) { }
2
2
x n x
n x x
m x
x m m
n
=
= =
c o
c
( ) ( ) { }
-
+
= = +
n k n xx xx
x x k n k n c | | ,
For any single sample sequence x[n], define their
time average to be
Similarly, time-average autocorrelation is
Time Averages
| | | |
=
+
=
L
L n
l
n x
L
n x
1 2
1
lim
| | | | | | | | n x m n x
L
n x m n x
L
L n
l
-
=
-
+
+
= +
1 2
1
lim
A stationary random process for which time
averages equal ensemble averages is called an
ergodic process:
Ergodic Process
| |
x
m n x =
| | | | | | m n x m n x
xx
| = +
-
It is common to assume that a given sequence is
a sample sequence of an ergodic random
process, so that averages can be computed from
a single sequence.
Ergodic Process (continue)
| |
| | ( )
| | | | | | | |
=
- -
=
+ = +
=
=
1
0
1
0
2
2
1
0
1
1
1
L
n
L
L
n
x x
L
n
x
n x m n x
L
n x m n x
m n x
L
n x
L
m
o
In practice, we cannot
compute with the limits, but
instead the quantities.
Similar quantities are often
computed as estimates of the
mean, variance, and
autocorrelation.
Property 1:
Properties of correlation and
covariance sequences
| | { }
| | ( )( ) { }
| | { }
| | ( )( ) { }
-
+
-
+
-
+
-
+
=
=
=
=
y n x m n xy
n m n xy
x n x m n xx
n m n xx
m y m x m
y x m
m x m x m
x x m
c
c |
c
c |
| | | |
| | | |
-
=
=
y x xy xy
x xx xx
m m m m
m m m
|
|
2
Property 2:
Property 3
Properties of correlation and
covariance sequences (continue)
| |
| | Variance 0
Value Squared Mean 0
2
2
= =
=
(
=
x xy
n xx
x E
o
|
| | | | | | | |
| | | | | | | | m m m m
m m m m
xy xy xx xx
xy xy xx xx
- -
- -
= =
= =
| | | |
Property 4:
Properties of correlation and
covariance sequences (continue)
| | | | | |
| | | | | | 0 0
0 0
2
2
yy xx xy
yy xx xy
m
m
| | |
s
s
| | | |
| | | | 0
0
xx xx
xx xx
m
m
| |
s
s
Property 5:
If
Properties of correlation and
covariance sequences (continue)
| | | |
| | | | m m
m m
xx yy
xx yy
| |
=
=
0
n n n
x y
=
Since autocorrelation and autocovariance
sequences are all (aperiodic) one-dimensional
sequences, there Fourier transform exist and are
bounded in |w|st.
Let the Fourier transform of the autocorrelation
and autocovariance sequences be
Fourier Transform Representation
of Random Signals
| | ( ) | | ( )
| | ( ) | | ( )
jw
xy xy
jw
xx xx
jw
xy xy
jw
xx xx
e m e m
e m e m
I I
u u
| |
Consider the inverse Fourier Transforms:
Fourier Transform Representation
of Random Signals (continue)
| | ( )
| | ( ) dw e e m
dw e e m
jwn jw
xx xx
jwn jw
xx xx
}
}
u =
I =
t
t
t
t
t
|
t
2
1
2
1
Consequently,
Denote
to be the power density spectrum (or power
spectrum) of the random process x.
Fourier Transform Representation
of Random Signals (continue)
| | { } | | ( )
| | ( ) dw e e
dw e n x
jwn jw
xx xx x
jw
xx xx
}
}
I = =
u = =
t
t
t
t
t
o
t
| c
2
1
0
2
1
0
2
2
( ) ( )
jw
xx xx
e w P u =
The total area under power density in [t,t] is the
total energy of the signal.
P
xx
(w) is always real-valued since |
xx
(n) is
conjugate symmetric
For real-valued random processes, P
xx
(w) = u
xx
(e
jw
)
is both real and even.
Power Density Spectrum
| | { } ( )dw w P n x
xx
}
=
t
t
t
c
2
1
2
Consider a linear system with frequency response
h[n]. If x[n] is a stationary random signal with
mean m
x
, then the output y[n] is also a stationary
random signal with mean m
x
equaling to
Since the input is stationary, m
x
[nk] = m
x
, and
consequently,
Mean and Linear System
| | | | { } | | | | { } | | | | k n m k h k n x k h n y n m
x
k k
y
= = =
=
=
c c
| | ( )
x
j
k
x y
m e H k h m m
0
= =
=
If x[n] is a real and stationary random signal, the
autocorrelation function of the output process is
Since x[n] is stationary , c{x[nk]x[n+mr] }
depends only on the time difference m+kr.
Stationary and Linear System
| | | | | | { }
| | | | | | | |
| | | | | | | | { }
=
+ =
+ =
+ = +
k r
k r
yy
r m n x k n x r h k h
r m n x k n x r h k h
m n y n y m n n
c
c
c | ,
Therefore,
The output power density is also stationary.
Generally, for a LTI system having a wide-sense
stationary input, the output is also wide-sense
stationary.
Stationary and Linear System
(continue)
| |
| | | | | |
| | m
r k m r h k h
m n n
yy
k r
xx
yy
|
|
|
=
+ =
+
=
,
By substituting l = rk,
where
A sequence of the form of c
hh
[l] is called a
deterministic autocorrelation sequence.
Power Density Spectrum and
Linear System
| | | | | | | | | |
| | ( )
=
=
+ =
l
hh xx
l k
xx yy
l c l m
k l h k h k h l m m
|
| |
| | | | | |
=
+ =
k
hh
k l h k h l c
A sequence of the form of C
hh
[l] l = rk,
where C
hh
(e
jw
) is the Fourier transform of c
hh
[l].
For real h,
Thus
Power Density Spectrum and
Linear System (continue)
( ) ( ) ( )
jw
xx
jw
hh
jw
yy
e e C e u = u
| | | | | |
( ) ( ) ( )
jw jw jw
hh
hh
e H e H e C
l h l h l c
-
=
- =
( ) ( )
2
jw jw
hh
e H e C =
We have the relation of the input and the output
power spectrums to be the following:
Power Density Spectrum and
Linear System (continue)
( ) ( ) ( )
jw
xx
jw jw
yy
e e H e u = u
2
| | { } | | ( )
| | { } | | ( ) ( )
output the of power average total
2
1
0
input the of power average total
2
1
0
2
2
2
=
u = =
= u = =
}
}
dw e e H n y
dw e n x
jw
xx
jw
yy
jw
xx xx
t
t
t
t
t
| c
t
| c
Key property: The area over a band of
frequencies, w
a
<|w|<w
b
, is proportional to the
power in the signal in that band.
To show this, consider an ideal band-pass filter.
Let H(e
jw
) be the frequency of the ideal band
pass filter for the band w
a
<|w|<w
b
.
Note that |H(e
jw
)|
2
and u
xx
(e
jw
) are both even
functions. Hence,
Power Density Property
( ) ( ) ( ) ( )dw e e H dw e e H
b
a
a
b
w
w
jw
xx
jw
w
w
jw
xx
jw
} }
u + u =
2 2
2
1
2
1
t t
| | output in power average 0 =
yy
|
A white noise signal is a signal for which
Hence, its samples at different instants of time are
uncorrelated.
The power spectrum of a white noise signal is a
constant
The concept of white noise is very useful in
quantization error analysis.
White Noise (or White
Gaussian Noise)
( )
2
x
jw
xx
e o = u
| | | | m m
x xx
o o |
2
=
The average power of a white-noise is therefore
White noise is also useful in the representation
of random signals whose power spectra are not
constant with frequency.
A random signal y[n] with power spectrum u
yy
(e
jw
) can
be assumed to be the output of a linear time-invariant
system with a white-noise input.
White Noise (continue)
| | ( )
2 2
2
1
2
1
0
x x
jw
xx xx
dw dw e o o
t t
|
t
t
t
t
} }
= = u =
( ) ( )
2
2
x
jw jw
yy
e H e o = u
The cross-correlation between input and output of
a LTI system:
That is, the cross-correlation between the input
output is the convolution of the impulse response
with the input autocorrelation sequence.
Cross-correlation
| | | | | | { }
| | | | | |
| | | |
=
=
+ =
+ =
k
xx
k
xy
k m k h
k m n x k h n x
m n y n x m
|
c
c |
By further taking the Fourier transform on both sides
of the above equation, we have
This result has a useful application when the input is
white noise with variance o
x
2
.
These equations serve as the bases for estimating the
impulse or frequency response of a LTI system if it is
possible to observe the output of the system in response to
a white-noise input.
Cross-correlation (continue)
( ) ( ) ( )
jw
xx
jw jw
xy
e e H e u = u
| | | | ( ) ( )
jw
x
jw
xy x xy
e H e m h m
2 2
o o | = u = ,
Remained Materials Not Included
From Chap. 4, the materials will be
taught in the class without using
slides