UNIT III

Random Process
1.Introduction
2.Mathematical definition of a random
process.
3.Stationary processes.
4.Mean, Correlation and Covariance
Functions
5.Ergodic process
6.Transmission of a random process
through a LTI filter
7.Power spectral density
(PSD) 8.Gaussian process

Digital Communication Systems, by

Introduction
(Physical phenomenon)

Deterministic model :
-Re p re s e n t ed b y ex p lic i t m a t h e m a t ic a l
relation
-No uncertainty about its time-dependent
behavior at any instant of time.
Random model :
-Can not represent in explicit mathematical
relation
-The future value is subject to “change”
 Basic Concepts
• Why study random processes?
• Due to the uncertainty of
1. noise and
2.the unpredictable nature of information
itself.

• Information signal usually is randomlike

–We can not predict the exact value of the
signal
–Signal must be distributed by its statistical
properties.
Ex: mean, variance.....
 Random Process/ stochastic
process
• A random process is a time-varying function
that assigns the outcome of a random
experiment to each time instant: X(t).
• For a fixed (sample path): a random
process is a time varying function, e.g., a
signal.
--For fixed t: a random process is a random
variable.

Ra nd om Pr oce ss can be c o n t in u o u s or
discrete
 Random Processes
• A ra n d o m va r ia b l e h a s a s in g l e va lu e .
However, actual signals change with time
• Random variables model unknown events
• Random processes model unknown signals
• A random process is just a collection of
random variables
• A random process is a time-varying function
that assigns the outcome of a random
experiment to each time instant: X(t).
• If X(t) is a random process, then X(1),
X(1.5) and X(37.5) are all random
variables for any specific time t
 Difference between RV and RP
• RV: T h e o u t c o m e i s m a p p e d i n t o a
number
• RP: The outcome is mapped into a
function of time(w/f)
 STATIONARY
PROCESS
• Stationary Process :
The statistical characteristics of a process is independent
of the time at which observation of the process is initiated.
• Nonstationary Process:
N o t a st at io n ary p ro ce ss ( u n st ab le phenomenon )
Above equation indicates that the joint distribution function in independent of
time origin for a stationary process.
 First order PDF
(mean)

Second order
PDF
(correlation )
Autocorrelation function is the function of time difference t2-t1
Rx(t1,t2) = Rx(t2-t1)
 Mean, Correlation, & Covariance
Function of RP
• Let X(t) be a strictly stationary RP
• The mean of X(t) is

fX( t) (x) is first order probability density

function of process.
** Mean of SSP is constant for al t
 Observing the process X(t) at times t1 and t2.

fX(t1) ,x(t2)(x1,x2) is second order probability

density function of process.
** Autocorrelation of strictly stationary
process between t1, t2 depends on time
Properties of the autocorrelation
function of RP
Transmission of Random Process over LTI
Systems
Gaussian Random
Process
 Central Limit Theorem
When infinitely large number of identically &
independently distributed random variables
are added , the resultant is Gaussian
distributed.

Central limit theorem is used to check the

process is Gaussian or not.

Mean = 0 and variance =1