2.2.

Wide-Sense Stationary (WSS)

Processes

Ø Mean of the random process Ø Autocorrelation function of X(t) is

X(t) is the mean of random a function of two variables t1 = t
variable X(t) at time instant t. and t2 = t + τ,
E[ X (t )] = µ X (t ) R X (t, t + τ ) = E[ X (t ) X (t + τ )]

Let fX(t)(x) be the pdf of X(t)

at time instant t. This is a measure of the degree to
which two time samples of the same
+∞
random process are related
E[ X (t )] =
∫
−∞
xf X (t ) ( x)dx
Ø Autocorrelation function of X(t) is a function of two variables t1 = t
and t2 = t + τ,

R X (t , t + τ ) = E[ X (t ) X (t + τ )]

This is a measure of the degree to which two time samples of the

same random process are related
 What is a WSS Process?

A random process X(t) is WSS if

(i ) µ X (t ) = E[ X (t )] = constant
(ii ) R X (t , t − τ ) = E[ X (t ) X (t − τ )] = R X (τ )

In other words, a random process X(t) is WSS if its two

statistics, its mean and autocorrelation, do not vary with a shift
in the time origin.
 Example 2.3. Find the mean and
autocorrelation function of the RX (t, t + τ )
random process X(t) ( in E.g. 2.2), = E [ A cos( 2πf t + Θ) A cos( 2πf (t + τ ) + Θ)]
c c
X (t ) = A cos( 2πf c t + Θ) 1 1 
= A 2 E  cos(2πf cτ ) + cos(2πf c (2t + τ ) + 2Θ )
2 2 
where Θ is uniformly
distributed over [0, 2 π]. A2
= cos(2πf cτ )
1 /(2π ), 0 ≤ θ ≤ 2π 2
pdf : fΘ (θ ) = 
0, otherwise

Is X(t) a WSS? Since the mean and autocorrelation

of X(t) do not depend on time t, then
Solution. X(t) is a WSS process.
According to the definitions,
2π
1
E[ X (t )] = ∫ A cos( 2πf ct + θ )
0 2π
dθ

=0
 Properties of Autocorrelation Function
of a WSS process X(t)

1. R X (τ ) = RX (−τ ) Symmetric in τ about zero

2. R X (τ ) ≤ RX (0) for all τ, Maximum value occurred at the

origin

3 . R X (τ ) ↔ S X ( f ) Autocorrleation and psd form a

pair of the Fourier transform

4. R X (0) = E[ X (t ) 2 ] The value at origin is equal to the

average power of the signal
 Power Spectral Density (PSD) of a
WSS Random Process

For a given WSS process X(t), the psd of X(t) is the

Fourier transform of its autocorrelation, i.e.,

+∞
S X ( f ) = F ( R X (τ )) = ∫−∞
R X (τ ) e − j 2 π fτ d τ

+∞
∫
−1
R X (τ ) = F ( S X ( f )) = S X ( f ) e j 2π f τ df
−∞
For the random process in Example 2.3, we have
A2
R X (τ ) = cos( 2πf cτ )
2
Hence, the psd of X(t) is the Fourier transform of the
autocorrelation of X(t), given by

A2
SX ( f ) = [δ ( f − f c ) + δ ( f + f c )]
4

A2/4 SX(f)
A2/4

- fc fc f
 Solution.
First we need to show that Y(t) is WSS.
Mean:

mY (t ) = E[Y (t )]
Example 2. 4 Let
= E[ X (t ) cos( 2πf ct + Θ)]
Y (t ) = X (t ) cos( 2πf ct + Θ )
where X(t) is a WSS process with = E[ X (t )]E[cos( 2πf c t + Θ)]
psd SX(f), Θ is uniformly
distributed over [0, 2 π], and X(t) (by independence )
is independent of Θ and
cos(2πf ct + Θ) = m X (t ) ⋅ 0 = 0
Find the psd of Y(t). (by Example 2.3)
 Autocorrelation of Y(t):

RY (t , t + τ ) = E[Y (t )Y (t + τ )]
= E[ X (t ) cos( 2πf ct + Θ) X (t + τ ) cos( 2πf c (t + τ ) + Θ)]

= E[ X (t ) X (t + τ )] E[cos( 2πf c t + Θ) cos( 2πf c (t + τ ) + Θ)]

By Example 2.3.
1
= R X (τ ) cos(2πf cτ ) = RY (τ )
2
Hence, Y(t) is WSS. Therefore
1 j 2πf cτ − j 2πf cτ
SY (t ) = F [ RY (τ )] = F [ RX (τ )(e +e )]
4
= [S X ( f − f c ) + S X ( f + f c )]
1
4
 Properties of PSD

1. S X ( f ) ≥ 0 always real valued

2. S X ( f ) = S X (− f ) for X(t) real-valued

3. S X ( f ) ↔ R X (τ ) a pair of Fourier transform

+∞
4. P = R X (0) = ∫ S X ( f )df Relationship between
−∞
average power and psd
 Transmission over LTI Systems

n Response of LTI system to a Properties of the output:

random input X(t):
1) If X(t) is WSS, so does Y(t).

X(t) Y(t) 2) Mean:

h(t) µY = µX H(0)

3) Autocorrelation:
Y (t ) = X (t ) ∗ h(t ) RY (τ ) = R X (τ ) ∗ h(τ ) ∗ h (−τ )
∞
= ∫ x(t − τ )h(τ )dτ
−∞
4) PSD:

S Y ( f ) = S X ( f ) | H ( f ) |2
 X(t) Y(t)
RX(τ) h(t) Ry(τ)

F F-1

SX(f) |H(f)|2 SY(f)