U-5

Kandam ocess Spectal haxactaist

xt) eTCt)=x -TEt4
TC 400

x(w=/xtt»e at

T
T

Eneaou3y RP w4)=e ) t (tst

T

P= t T Adt
Pouwes Spectam
PC)=
T
2

PCt)= L aT
-T
Totol Nesdge PRUe

PCE) Lt E(IxT(N7ds
D -T
L t EIXT(UI}P)do
T00 aT
O x (u) dus
E(IXT(
tT O O
5» (u)
=
whee T

Reaion bluw
ftuecs pectal densrty lsAutrcelortic
S x ) -t E(IXT(w)*)
T-0
T
 Relatiandn
Telatianship bton Pauer Spectal Density
Auto cooKe lartion unction
S( =tE(1xT()12
QT

XT ( -
X2 ( w )

E[x
700
(uSx,(U
T
Jxttdeitt,z
tt
Lt
- 700

vta-t
Lt dti de
t2=t +T T = t - t
Let t
t T t oT Fes t27-
TO t
T=-T-t to T-t
Fos T
Ex(4)xt+TEt dT
5 % ( ) -T-700 T
-T T-t
dt-dT
dt, =dt
XA) is wSS
Cnly if
T T
T
S ( )T Lt
T
RT)
T-T-

(Lt 2T R ( T ) t ) T
-T lie
| L Neoa
T-70 T
 5xx( =
Ra(T) juJT eines-khinchjing

Relationship
5xx (U) Rx(TDI
RT)Lsw do,
Papeaties e PsD
OSS Rardm Potcess is
PSD of a
w
The Le, Sx (u) 2 0
nan-naative

aluays
aluas
a l since IXT(Uw)l is veal
i
SxxCuD wsS
ws S
value PSD
T h e zeo
tsauercy t h e t o t o l azea
the total
pocess
eauals
Tandan autocobelaticn fo.
undez he qsoph e
5xo R T ) dT
-o0
a dandom
Valwe a
The man Square the
times the abca ndes
Potesequals

Pox(o) Sudw= E [¥(t)]) =

R
1s
The PSO a s c a l valwe sandam pwress

an
ven e foauer
Sxx(us)=Sx-) 5
of the RP eql
The PS50 the
deivative
R.P Ct)
R.P xCt)
wtime the
PSD
whese xt )=dXt)
Oxu- Sxy(ud
Paoof:-
T(t)= dxt) (t4T)-xTt
d X70
T
-TLtLT

T0

X7() Le fo
T7O T
ARPy LHospits PolL
XT(U t u LeiT
T7O

u XTCU)

T T QT

Cos Poues Spectsal density

The CPSD eTandam pCes
X(T 5 YCD
is dcfincd as
E[IxTC) Y,(L)
Sy =Lt T70

Relatirship btuon 5xy(u and Ray(

S()- Lt Et)ebh (y76)ERa
T00
T

Lut t+ , t2=t+T T-t2-t

 d dt dtr= dT
2-T 2t: T-t to
t-71t= --T
T to
to T
= T t2+T
+1
-+TJ
T-t
tT-

To 1-t
T-
R(T)EJOdT

oss
YTA) ae jointly
XTCt)
RCTT
R )t cP"T
T-700T
-T

RyCETAT

Sxyw Rxy(T)
beltions

Poupeatie5:
Ds pcs Spectoal density
Sy (
O Sxy(w) 5yx-
-

Syx(U) R ( TT
RTJDT
Rx 7)
O0
Sxy()

ReSy(w 5 RelSyx(uw ae even fr e

ae odd fns a u
Tm [Sxy( and TnlSnlw
Foool 5(W Rxy T)TJT

Rxy(T)cos wT-jsinwTJT
Sxy (wO =
5yx(uw) t xD and YCt) re
Odthogcral
Ry()=O5ro
xAand and y) aunCOTbelotd oo indepe
l w ) Syduw) =27 b(W)
Poof 3 d - R(T) EaT

2 ( u ) XY
Theosem:
Xet) and YA) ase tunRP,Let zt)-X(EN E)
Patve S2z(L =S ()+ S )
t5lu) + 5»Yly
SolZ() =XC),t YG)
Sz2 (o) Rz)ITT
ueko
that Rz2(T) RxxCD+ RryT)1 Ra(T)a Rx )
=

RrC) +R) Rxy(T)A RyxlD +

= RxTed+Rx(TEJT Ray(Tr
Ryx(auTar
Sx() Syy()i x(uaSyx(w
Bygenczal fpanal elhem
See ( u 1ELz'(w
Fos a RP hawing RxxT) = a find the
spectsal density f whee a b aze (anstns

Dol Sxx () = RxxC) juT

aEb ar
O

e
=
T(b-jT+ al(bj)ay

0e
e(b-jw) Qe(b+ju)

b bt
aN - ao- |
L-b+jo
a (b+juotbu

2)Consideo a R.P XCD - ACosubt+ B i n w t

R.P u
uhese A BOoc uo OncosTelad

ze a
m mon
n and equaloxoe ub ig alata
Ftd the Fo Rctal density.
) R ) - Elx).x(T
Bsinuwot|[ o t t T)
E1(ACOSo(t) 4
BSin (Wot+T
= EAOunt.COSU t+T), Bsint sio(Ld
(t
ABcaWot sinwotrTwd)48A snot
Cos(ut o T
Apply n e p e d vanc
ECosuudt cs(utrus) +ElBsinuo
Sin(Loot tub
E(AR)ceslwot sin(u t+uJOT) + E(A n l
coslugt )
6C t) Cos (Wob)+ sinuntsinlütu
Cos-0TD=6tSwoT
(w) =
Cos oT r-J j
TCO- oddT T
2 (2Rb(uo-ud 1 2S(AU
dT
2

SCw-Wo).+ +TS(uO-o))
Sxx ( ) - oT Cw -wdt Sut wo)
Given ECAD= GCB8) = o
=E (R) E()
COz
t h u ave E
b LAI
- E[o)
vaanc
Sama
psD e5ystem Kesponse Syy(w)
S)7R(T) = 5y(w) =F[Ry(T
5 (w) Ry)EdT|(|haht)RulhtHd
e d

ht)edt he 2 Rtth-t+)Ea
xt) yCt)
H G . H() xx(uw) LTI

Sxx
5 Cu) = H(SlS«o(
the
PSD ethe Ssttm Respanc Gos5 PSD ¢
Sustem Raspone.

Rx(T LT.I R(T)

yt)fC.Ct))

hCt
htiet-tDdt
y+)= x (t)ht-L)dti
-

ht) Jt
ELyC -H(o
Rxt 4)t, dt2
ELy- |ht)hta)
Yy)= hG)hA,)Rxlt-ta+T)tidt

Roo(T)OhtT)
h® h-T)
-

Rx(

Ry() ht)exlt-4dt - KT)ORs()

 OD6S PsD
input ard atput Sxy(u)
Sxl)= F[R»y (T)= Ray(d
htDR(T-LDJtI EdT
h C t y u J t , R ( ) elT+dT

Oxy ( ) HC S*x(w)|
54y(= HGw) H(w Sxx(t
- H(-S»[)
CO

OA siqnal oit PSD given by Slo-An|&tu-)

ts applicd to the p
sw+d
e the LTI Systcm as oun
in fiq. belao. Ftnd the PSD e the astput
o 5yw) Sxz[w)|H(I
=
+Sx
AM

xt» Gay y)
X(| Yu
HCw)=Y(
Fon loop
Si+ =x)
- Xt I()+Ilu)°I
TY(u)- I() o I = jtw) Ylw)
j
X(=;w Y)|
H( Hjw
H( H)= IH =

14 -jw +
 5yy()= An[6(w-)+ >( 1).
AA6w-i)4%luo+D
havinq PsD ven y
A TOndom noise xU),
3 15 appluicd to
a netuuosk fa
5x(u 4+w
Output b aplid
whch Hi(S)j w
and te
+os which ht)=ult)
Et
o aa nctuoosk
to
*sponse noise denotd by y)
The Outpst
in X(t) zP x
wha is the aNemgepoe
)
bFind the PsD of yt)>syy lu)
c) Find the avesoge pawes at the avtput Pyy
Qo
H)jw
(5ao 3

aT du tan

HCus) - H (LD.Hu
=
4T ( 14

Y(w) - Y.[w Y(u

x() Xw)
2

Syylus) | H(w 5oxlu)

H(W) -H(W) Hzlu

(w)= Cjw3

2
H(w jwitw)s
3
Syls) 2j
 2w
(49+wD9
2

9Puy 5yy(w)do - ( 9 H o ) y d w

Asardom pocess XC is applied to aa

btJ»
nCtLwosk wth the impuse sespanse
whese b>o is a canotant, h
CE)t the cupUt
C3DSS cosseloton e xtt), uoith
Sare totm
JE) n knawn to hae the

R (T) = y(T) TEbT

+)
coselalicn
Find the auto
in Yt)
wha is the auesgc pours

bol Ryy CT) = R»(T) ® h-T-[he)RTH}

ut) + (T+ti)(THt)e
T T ,+ + ] e 2 g ,

T T b dt+ t i e

y 6 r

-2b
+ -t
dt
-b

-T H)J+,u)
ebt
T 5+taat
 R T ) EbT[ bT+

Too tdentical netuoobks ase Cascodad Eoch has

the impule
BCSpone ht)oCt) Jteut A
5 appid to the casca ded
wSs pocess xCt)
input
aFtnd he expocssion os the sesponse 6E) e
the caoCade
b) E(x(E))- =G, Find Ey#)
XC)
hlt ht)

L)dti
YE)= h4)xtt--
9)-h(th) yi(t-t) dt2
t
htt bt-+a) z(t-ty-t)dt
dta

y4) hthet) «(t-ti- tdtidt2

olt) 3t.eult) atae"x(t -t-t

- O0 dt dt
yt) = 9||ttc t-tit)a4,aH
 Eyt= x(H(6)= hct)dt
b)E
2

muHip liation ppery

t
)
LEfe
3X12
6 123
54 E
e
16 X6
Joon
uppoe input
thot the PoD to the Rlt
n iq belouw is a white noise given b "
Find the pawes spectsal denstty e Y)
Yct)
xt)=u

Amltipler t-Twt-7)
pe
ol5xx ( ) / 2
SYY() =?

+ ax(t-T
YCt)= xCt)
F. T to it
aFpy
FLYCt= X )
+ aX(o) jwT
Y = ax(t)eiwT
X(u) i

X(w)|1+aEiu
H(w Ylw) 1 4 a e J w T

x(w)
+ae")(I+aeu

H(w) H(w).H - =
+a +aiwT

WT
S(w) = +a +a[ t a
2