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Stationary Stochastic Process
Stationary Stochastic Process
Gonzalo Mateos
Dept. of ECE and Goergen Institute for Data Science
University of Rochester
gmateosb@ece.rochester.edu
http://www.ece.rochester.edu/~gmateosb/
Gaussian processes
I For all t > s and arbitrary values x(t), x(s) and x(u) for all u < s
P X (t) ≤ x(t) X (s) ≤ x(s), X (u) ≤ x(u), u < s
= P X (t) ≤ x(t) X (s) ≤ x(s)
Gaussian processes
Y = a1 X1 + a2 X2 + . . . + an Xn = aT X is Gaussian distributed
R(t1 , t2 ) = R(t2 , t1 )
X (t)−µ(t)
I Notice that p is a standard Gaussian random variable
R(t,t)−µ2 (t)
a−µ(t)
⇒ P (X (t) > a) = Φ pR(t,t)−µ 2 (t)
, where
Z ∞ 2
1 x
Φ(x) = √ exp − dx
x 2π 2
Gaussian processes
Time interval = h
x(t)
⇒ X (T ) ∼ N 0, (σ 2 h) × (T /h) = N 0, σ 2 T
√ N+M
X
X (T + S) = x(T ) + σ h Yn
n=N+1
X (t) ∼ N 0, σ 2 t
I Mean function µ(t) = E [X (t)] is null for all times (by definition)
µ(t) = E [X (t)] = 0
⇒ Innermost expectation is EX (t2 ) X (t2 ) X (t1 ) = X (t1 )
I Expected value of Yn is
E [Yn ] = 1 × P (Yn = 1) + (−1) × P (Yn = −1)
1 µ√ 1 µ√ µ√
= 1+ h − 1− h = h
2 σ 2 σ σ
I Second moment of Yn is
h i
E Yn2 = (1)2 × P (Yn = 1) + (−1)2 × P (Yn = −1) = 1
h i µ2
I Variance of Yn is ⇒ var [Yn ] = E Yn2 − E2 [Yn ] = 1 − h
σ2
PN
I As h → 0 we have N → ∞ and n=1 Yn normally distributed
I As h → 0, X (T ) tends to be normally distributed by CLT
I Need to determine mean and variance (and only mean and variance)
I Define X (nh) = log Z (nh) , thus recursion for X (nh) is
√
X (nh) = X ((n − 1)h) + σ h Yn
I Def: Given a BMD X (t) with parameters µ and σ 2 , the process Z (t)
Z (t) = e X (t)
Gaussian processes
⇒ Integral is 1 independently of h
I Def: The generalized function δ(t) is the entity having the property
Z b
f (0) if a < 0 < b
f (t)δ(t) dt =
a 0 else
∂H(t)
= δ(t)
∂t
⇒ Maintains consistency of fundamental theorem of calculus
H(t) δ(t)
Z t
I Consider integral of a WGN process W (t) ⇒ X (t) = W (u) du
0
∂X (t)
= aX (t) + W (t)
∂t
R (n+1)h
I Defining X (n) := X (nh) and W (n) := nh
W (t) dt may write
∂X(t)
= AX(t) + W(t)
∂t
R (n+1)h
I Defining X(n) := X(nh) and W(n) := nh
W(t) dt may write