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Probability and Random Processes

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37 views42 pages

Probability and Random Processes

Uploaded by

fahim0110ahmed
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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PROBABILITY AND RANDOM

PROCESSES
Probability
• Experiment, Event, Outcome, Sample space
Bayes rule
Total probability theorem
Random variables
• Random variables map sample space into real
numbers.
• Continuous and discrete
• Probability density function and cumulative
distribution function
Examples
• Uniform, Exponential, Rayleigh, Gaussian
Gaussian
CDF of Gaussian
PDF and CDF for normal or standard
Gaussian
• Observation/experiment tells

• And
Problem –Example 8.16
Different approximations for Q(.)
RANDOM PROCESSES

• The notion of a random process is a natural extension of the random


variable (RV). Consider, for example, the temperature x of a certain city
at noon. The temperature x is an RV and takes on different values
every day. To get the complete statistics of x, we need to record values
of x at noon over many days (a large number of trials). From this data,
we can determine Px(x), the PDF of the RV x (the temperature at
noon).

• But the temperature is also a function of time at I p.m., for example,


the temperature may have an entirely different distribution from
that of the temperature at noon.

• Still, the two temperatures may be related, via a joint probability.


density function. Thus, this random temperature x is a function of time
and can be expressed as x(t).
RANDOM PROCESSES

• If the random variable is defined for a time interval t E Ua, fb],


then x(t) is a function of time and is random for every instant I
E [ta. It,]. An RV that is a function of time is called a random
process, or stochastic process.
RANDOM PROCESSES

• A random process is a collection of an infinite


number of RVs.

• Communication signals as well as noises,


typically random and varying with time, are
well characterized by random processes.
RANDOM PROCESSES
• The collection of all possible waveforms is
known as the ensemble (corresponding to the
sample space) of the random process x(t).
• A waveform in this collection is a sample
function (rather than a sample point) of the
random process (Fig. 9.1).
Characterization of a Random Process
CLASSIFICATION OF RANDOM PROCESSES

• Stationary and Nonstationary Random


Processes-

• For stationary process-


CLASSIFICATION OF RANDOM PROCESSES

• The random process x (t ) representing the


temperature of a city is an example of a nonstationary
random process because the temperature statistics
(mean value. for example) depend on the time of the
day.
• On the other band, we can say that the noise process is
stationary because its statistics (the mean and the
mean square values for example do not change with
time. In general, it is not easy to determine whether or
not a process is stationary because the nth-order (n = I,
2, ... , ) statistics must be investigated. In practice, we
can ascertain stationarity if there is no change in the
signal-generating mechanism. Such is the case for the
noise process in Fig. 9.3.
Wide-Sense (or Weakly) Stationary Processes
• A process that is not stationary in the strict sense, as
discussed in the last subsection, may yet have a mean value
and an autocorrelation function that are independent of the
shift of time origin. This means

• Such a process is known as a wide-sense stationary, or


weakly stationary, process.
Stationary process
• Just as no sinusoidal signal exists in actual practice, no
truly stationary process can occur in real life.
• All processes in practice are nonstationary because
they must begin at some finite time and terminate at
some finite time. A truly stationary process must start
at t = -infinity and go on forever. Many processes can
be considered stationary for the time interval of
interest, however, and the stationarity assumption
allows a manageable mathematical model.
• The use of a stationary model is analogous to the use
of a sinusoidal model in deterministic analysis.
Problem
Ergodic Wide-Sense Stationary Processes

• We have studied the mean and the


autocorrelation function of a random process.
These are ensemble averages.
Ergodic Wide-Sense Stationary
Processes
Ergodic Wide-Sense Stationary
Processes
POWER SPECTRAL DENSITY OF A RANDOM
PROCESS

• In the first place. we may not be able to describe a sample


function analytically.

• Second, for a given process, every sample function may be


different from another one. Hence, even if a PSD does exist
for each sample function, it may be different for different
sample functions.

• Fortunately, both problems can be neatly resolved, and it is


possible to define a meaningful PSD for a stationary (at least
in the wide sense) random process. For nonstationary
processes, the PSD may not exist.
POWER SPECTRAL DENSITY OF A RANDOM PROCESS

• We are therefore justified in defining the PSD Sx(f) of a


random process x(t) as the ensemble average of the PSDs of
all sample functions.
Power of a Random Process
Problem
Problem
TRANSMISSION OF RANDOM PROCESSES
THROUGH LINEAR SYSTEMS
Exercise problems- ??

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