Unit 4 Random Process

1.1 Introduction (Physical phenomenon)

Deterministic model : No uncertainty about its time-
dependent behavior at any instant of time .
Random model :The future value is subject to
“chance”(probability)
Example: Thermal noise , Random data stream
1.2 Mathematical Definition of a Random Process (RP)
The properties of RP
a. Function of time.
b. Random in the sense that before conducting an
experiment, not possible to define the waveform.
Sample space S function of time, X(t,s)
mapping 1
Figure 1 An ensemble of sample functions:
{x j (t ) | j  1,2, , n}
2
S  X (t,s) -T  t  T (1.1)
2T:The total observation interval
s j  X (t , s j )  x j (t ) (1.2)
x j (t )= sample function
At t = tk, xj (tk) is a random variable (RV).
To simplify the notation , let X(t,s) = X(t)
X(t):Random process, an ensemble of time function
together with a probability rule.
Difference between RV and RP
RV: The outcome is mapped into a number
RP: The outcome is mapped into a function of time
3
 Random processes - basic concepts

• random processes :
fX(x)
x(t)

time, t

• The probability density function describes the general distribution of the

magnitude of the random process, but it gives no information on the time
or frequency content of the process
 Random processes - basic concepts
• Mean value :

x(t)

x

time, t T
1 T
x  Lim  x(t)dt
T  T 0

• The mean value,x , is the height of the rectangular area having the same
area as that under the function x(t)
 Random processes - basic concepts
• Mean square value, variance, standard deviation :

x
x(t)

x

time, t T
1 T 2
mean square value, x  Lim  x (t)dt
2
T  T 0

variance, 
σ  x(t)  x
2
x

2
 Lim  x(t) - x  dt
1 T
T  T 0
2

(average of the square of the deviation of x(t) from the mean value,x)

standard deviation, x, is the square root of the variance

Covariance Functions
Prob: Let X(t) = cos(ωt + θ), where is uniformly distributed in the
interval (-π, π ). The mean of X(t) is 0.
Find the auto-correlation and auto-covariance of X(t)