Statistical Signal processing

Lab. 2
I Exercise (Matlab exercise)

Generate 1000 samples of a zero mean stationary Gaussian random process [] with variance
equal to 1.
clear all; clc; close all;
L=3000; %Sample length for the random signal
mu=0;
sigma=1; % variance is sigma**2
X=sigma*randn(L,1)+mu;
figure();
subplot(4,1,1)
plot(X);
title(['White noise : \mu_x=',num2str(mu),' \sigma^2=',num2str(sigma^2)])
xlabel('Samples')
ylabel('Sample Values')
grid on;

Extract N samples of the process in the interval (0, 1) for N =1,2,...,1000 and estimate
the mean of the process [] for each value of N. Plot the estimated mean as a function
of N.

M=zeros(1,L);
for i= 1 :1: L
NP=[1:i];
for y= 1:1:i
XX(y)=X(y);
end
M(i)=mean(XX);
end
subplot(4,1,2)
plot(1:1:L, M);
title('Mean')
xlabel('N')
ylabel('Main Values')
grid on;

Fix = 1000 and repeat the experiment of estimating the mean several times (for
example, do 200 experiments) and draw the histogram of the results (use the Matlab
function hist)

subplot(4,1,3)
%plot(1:1:mean_experiment_constant, mean_experiment);
hist(mean_experiment);
title('Mean Experiment')
xlabel('N')
ylabel('Main Values')
grid on;

Sample Values
Main Values
Main Values

White noise : x =0 2=1

5
0
-5

500

1000

500

1000

1500
Samples
Mean

2000

2500

3000

1500
2000
N
Mean Experiment

2500

3000

2
0
-2

50

0
-0.06

-0.05

-0.04

-0.03

-0.02

-0.01
N

0.01

0.02

0.03

0.04

With = 1000 estimate the correlation using xcorr (compare the results obtained with
the two options biased and unbiased)

xcorr_biased=xcorr(X,X,'biased');
figure(2)
subplot(3,1,1)
plot(xcorr_biased);
title('XCORR BIASED')
xlabel('Samples')
ylabel('Sample Values')
grid on;

xcorr_unbiased=xcorr(X,X,'unbiased');
subplot(2,1,2)
plot(xcorr_unbiased);
title('XCORR UNBIASED')
xlabel('Samples')
ylabel('Sample Values')
grid on;

Sample Values

XCORR BIASED
1
0
-1

1000

2000

3000
Samples

4000

5000

6000

4000

5000

6000

XCORR UNBIASED

Sample Values

-2

1000

2000

3000
Samples

http://web.ntpu.edu.tw/~yshan/chapter6_han.pdf
http://web.stanford.edu/class/ee179/handouts/slide24.pdf
http://www.gaussianwaves.com/2013/11/simulation-and-analysis-of-white-noise-in-matlab/

II Exercise (Matlab exercise)

Generate N samples of a random process [] by using the Wold representation, where the
input process has a variance equal to 1 and the filter is a low pass filter of the Butterworth family.
Use the Matlab function buttord to evaluate the filter order and the 3dB bandwidth. Choose
different values of the following parameters:
Passband corner frequency
Stopband corner frequency
Passband ripple
Stopband attenuation
and estimate the correlation and the sample periodogram. Compare the sample periodogram with
the magnitude of the filter transfer function and interpret the obtained results for different values
of and the Butterworth filter parameters.