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Illustrative Problem 2.5 Compute The Autocorrelation
Illustrative Problem 2.5 Compute The Autocorrelation
()
.
/ ()
Figure 2.12 illustrates
()
MATLAB may be used to compute
( ) from
( ), because we sampled
( ). Figure 2.14 illustrated the result of computing the inverse FFT with
256
samples, of wich N = 32 are unity.
Figure 2.12: Plot of autocorrelation Function
Figure 2.13: Inverse FFT of the power spectrum of the bandlimited random process in illustrative
problem 2.5 with 32 samples.
Figure 2.14: Inverse FFT of the power spectrum of the bandlimited random process in illustrative
Problem 2.5 with 256 samples.
2.5 Linier Filtering of Random Processes
Suppose that a stationary random process ()is passed through a linier time-invariant filter that
is characterized in the time domain by its impulse response() and in the frequency domain by
its frequency response
() ()
(2.5.1)
It follows that output of the linier filter is the random process
() ()( )
(2.5.2)
The mean value of () is
(*+|
(()|( ))
( )
()
() (2.5.3)
Where H(0) is the frequency response H(f) of the filter evaluated at .
The autocorrelation function of () is
() ,()( )-
,()()-( )( )
( )( )( )
In the frequency domain, the power spectrum of the output process Y(t) is related to the power
spectrum of the input process X(t) and the frequency response of the linier filter by the
expression
()
()|()|
(2.5.5)
This is easily shown by taking the Fourier transform of (2.5.4).
Illustrative Problem 2.6 Suppose that a white random process X(t) with power spectrum
(2.5.6)