P5 Stochastic Processes 2024.05.29

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V. Stochastic processes
• Definitions
• Stationary processes
• Spectral density function
APPLIED STATISTICS AND • Ergodicity of stochastic processes
EXPERIMENTAL DESIGN • Stochastic Data Processing Systems
STOCHASTIC PROCESSES
TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG

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Definitions Definitions
X (t,  )
• Stochastic processes • The set of {k} and the time index t can be continuous
• Let  denote the random  or discrete (countably infinite or finite) as well.
X (t,  n )
outcome of an experiment.
 • For fixed i S (the set of all experimental outcomes),
To every such outcome X (t,  k )
X(t, i) is a specific time function.
suppose a waveform X(t, )
 • For fixed t, X1=X(t1, i) is a random variable. The
is assigned. X (t,  2 )
ensemble of all such realizations X(t, ) over time
• The collection of such X (t, 1 ) represents the stochastic process X(t).
waveforms form a t
0
stochastic process. t1 t2
TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG
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• Example • If X(t) is a stochastic process, then for fixed t, X(t)

• X(t)=Acos(0t+) represents a random variable.
• Where  is a uniformly distributed random variable in (0, 2) • Its distribution function is given by
represents a stochastic process.
• Some stochastic processes FX ( x, t ) = P{ X (t )  x}
• Brownian motion, • Notice that Fx(x, t) depends on t, since for a different t, we
• Stock market fluctuations, obtain a different random variable.
• Various queuing systems.
 dFX ( x, t )
f X ( x, t ) =
dx
• Derivative of Fx(x, t) represents the first-order probability
density function of the process X(t).
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• For t = t1 and t = t2, • Similarly fx(x1, ..., xn, t1, ..., tn) represents the nth order
• X(t) represents two different random variables X1 = X(t1) and density function of the process X(t).
X2 = X(t2) respectively. • Complete specification of the stochastic process X(t)
• Their joint distribution is given by requires the knowledge of fx(x1, ..., xn, t1, ..., tn) for all ti, i =
1, ..., n and for all n. (an almost impossible task in reality).
FX ( x1 , x2 , t1 , t2 ) = P{ X (t1 )  x1 , X (t2 )  x2 }
• Their joint density function is:
 2 FX ( x1 , x2 , t1 , t2 )
f X ( x1 , x2 , t1 , t2 ) =
x1 x2
• And represents the second-order density function of the
process X(t).
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• Characterisctics of stochastic processes • Properties of autocorrelation function

• Mean of a stochastic process
 + 1. RXX (t1 , t 2 ) = RXX* (t 2 , t1 ) = [ E{ X (t 2 ) X * (t1 )}]*
 (t ) = E{ X (t )} =  − x f ( x, t )dx
2. RXX (t , t ) = E{| X (t ) |2 }  0.
X
• (t) represents the mean value of a process X(t). In general, the mean (Average instantaneous power)
of a process can depend on the time index t.
• 3. Rxx(t1, t2) represents a nonnegative definite function, i.e., for
• Autocorrelation function of a process X(t) is defined as any set of constants {ai}ni=1

RXX (t1 , t2 ) = E{ X (t1 ) X (t2 )} =   x1 x2 f X ( x1 , x2 , t1 , t2 )dx1dx2
* * n n
  ai a*j R XX
(ti , t j )  0.
i =1 j =1
• It represents the interrelationship between the random variables X1 = • This equation follows by noticing that: E{|Y|2}0 and
X(t1) and X2 = X(t2) generated from the process X(t). n
Y =  ai X (ti ).
i =1
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Definitions Stationary processes

• The autocovariance function of the process X(t).
C XX (t1 , t 2 ) = RXX (t1 , t 2 ) −  X (t1 )  *X (t 2 )
• Strict sense and wide sense stationarity
• Consider process X(t) • Stationarity
X (t ) = a cos( 0 t +  ),  ~ U (0,2 ). • Stationary processes exhibit statistical properties that are
 (t ) = E{ X (t )} = aE{cos( 0 t +  )}
X
invariant to shift in the time index.
• Thus, for example, second-order stationarity implies that
= a cos  0 t E{cos } − a sin  0 t E{sin  } = 0, the statistical properties of the pairs {X(t1) , X(t2) } and
2
since E{cos } = 21 0 cos d = 0 = E{sin  }. {X(t1+c) , X(t2+c)} are the same for any c.
• Similarly first-order stationarity implies that the statistical
R XX (t1 , t2 ) = a 2 E{cos( 0 t1 +  ) cos( 0 t2 +  )} properties of X(ti) and X(ti+c) are the same for any c.
a2
= E{cos 0 (t1 − t2 ) + cos( 0 (t1 + t2 ) + 2 )}
2
2
a
= cos  0 (t1 − t2 ).
2
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Stationary processes Stationary processes
• Strict sense stationarity • First order strict sense stationary process

• In strict terms, the statistical properties of a stochastic process are • For any c
governed by the joint probability density function. f X ( x, t )  f X ( x, t + c )
• A process is nth-order Strict-Sense Stationary (S.S.S) if • In particular, if c = -t, then
f X ( x1 , x2 , xn , t1 , t2 , tn )  f X ( x1 , x2 , xn , t1 + c, t2 + c , tn + c ) f X ( x, t ) = f X ( x )
for any c, where the left side represents the joint density function of • That means, the first-order density of X(t) is
the random variables X1=X(t1), ..., Xn=X(tn) and the right side
independent of t. In that case
corresponds to the joint density function of the random variables
X’1=X(t1+c), ..., X’n=X(tn+c). +
• A process X(t) is said to be strict-sense stationary if equation E [ X (t )] =  − x f ( x )dx =  , a constant. (1)
above is true for all ti, i=1, ..., n; n=1, 2, ... and any c.
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• Second order strict sense stochastic process • The autocorrelation function is given by
• From definition, we have:
RXX (t1 , t2 ) = E{ X (t1 ) X * (t2 )}
f X ( x1 , x2 , t1 , t 2 )  f X ( x1 , x2 , t1 + c, t 2 + c) =   x1 x2* f X ( x1 , x2 , = t1 − t2 )dx1dx2
• for any c. If c is choosen so as c = -t2, we get
= RXX (t1 − t2 ) = RXX ( ) = RXX ( − ), (2)
 *
f X ( x1 , x2 , t1 , t 2 )  f X ( x1 , x2 , t1 − t 2 )
• The autocorrelation function of a second order strict-
• The second order density function of a strict sense sense stationary process depends only on the difference
stationary process depends only on the difference of of the time indices t2-t1=
the time indices t1-t2=.
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IV. Stochastic processes

Stationary processes 4.2. Stationary processes
• Examples:
• Wide sense stationarity • Consider a time series {Yt} where
• A process X(t) is said to be Wide-Sense Stationary if: Yt=et
E{ X (t )} =  and E{ X (t1 ) X * (t2 )} = R XX (t1 − t2 ),
and eti.i.d.(0,2). Is the process stationary?
• Since these equations follow from (1) and (2), strict-sense
stationarity always implies wide-sense stationarity.
• In general, the converse is not true
• Exception: the Gaussian process (normal process).
• This follows, since if X(t) is a Gaussian process, then by definition
X1=X(t1), ..., Xn=X(tn) are jointly Gaussian random variables for any
t1,..., tn whose joint characteristic function is given by
n n
j   ( tk )k −  C XX
( ti , tk )i  k / 2
 (1 ,  2 , ,  n ) = e
X
k =1 l ,k
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• Examples: • Examples:
• MOVING AVERAGE: Suppose that {Yt} is • RANDOM WALK
constructed as e +e Yt = e1 + e2 +  + et
Yt = t t −1
2 where eti.i.d.(0,2). Is the process {Yt}
and eti.i.d.(0,2). Is the process {Yt} stationary? stationary?
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Stationary processes 4.2. Stationary processes
Examples: • Examples:
• Suppose that time series has the form
Yt = a + bt + et where eti.i.d.(0,2). Is thet process {Yt}
stationary?
Yt = (− 1) et
where a and b are constants and {et} is a weakly
stationary process with mean 0 and
autocovariance function k.
• Is {Yt} stationary?
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IV. Stochastic processes 4.3. Power spectrum
4.2. Stationary processes
• Examples • Power spectrum
• The process: • For a deterministic signal x(t)
X (t ) = a cos( 0 t +  ),  ~ U (0,2 ). • The spectrum is well defined: If X() represents its Fourier
transform, + − j t
• This process is wide sense stationary but not X ( ) =  − x(t )e dt ,
t2 strict sense stationary.
• then |X()|2 represents its energy spectrum. This follows from
• If the process X(t) has zero mean, Parseval’s theorem since the signal energy is given by
T
then 2z is reduced to: z=  −T X (t )dt.
 = t1 −t
+ +
 − x (t )dt = 21  − | X ( ) | d  = E.
2
2 2
−T T  T T
t1
 −T  = E{| z | } =  −T  −T R (t1 − t2 )dt1dt2 .
2
z
2
XX
• Thus |X()|2 represents the signal energy in the band (, +)
2T −  2
| X ( )|
• As t1 and t2 varies from –T to T, so =t2-t1 X (t )
Energy in ( , + )
varies from -2T to 2T.
• Rxx() is a constant over the shaded region in
the figure on the left.
0 t
0 
 + 
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IV. Stochastic processes IV. Stochastic processes

4.3. Power spectrum 4.3. Power spectrum
• For stochastic processes, • The average power distribution based on (– T, T ) is ensemble

average of power distribution for 
• A direct application of Fourier transform generates a sequence of
random variables for every   | X ( ) |2  1 T T − j ( t − t )
PT ( ) = E  T = −T −T E{ X (t1 ) X (t2 )}e 1 2 dt1dt2
*
• For a stochastic process, E{|X(t)|2} represents the ensemble average  2T  2T

power (instantaneous energy) at the instant t. 1 T T
RXX (t1 , t2 )e − j ( t1 − t2 ) dt1dt2
2T −T −T
• Partial Fourier transform of a process X(t) based on (– T, T ) is given =
by T − j t • We have this represents the power distribution of X(t) based on (–
X T ( ) =  −T X (t )e dt T, T ).
• The power distribution associated with that realization based on (– T, • If X(t) is assumed to be w.s.s, then
T ) is represented by RXX (t1 , t2 ) = RXX (t1 − t2 )
• and we have
| X T ( ) |2 1 T − j t
2
=  −T X (t )e dt 1 T T
2T 2T PT ( ) =  −T  −T R (t1 − t2 )e − j ( t1 − t2 ) dt1dt2 .
2T
XX
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• Let  = t2-t1, we obtain • Khinchin-Wiener theorem

1 2T
• The autocorrelation function and the power spectrum of a
PT ( ) =  − 2T R ( )e − j (2T − |  |)d
2T
XX
w.s.s process form a Fourier transform pair.
2T
=  − 2T RXX ( )e − j (1 − 2|T| )d  0 RXX ( ) ⎯→
FT
S XX ( )  0.
• This is the power distribution of the w.s.s. process X(t) based on (– +
T, T ). RXX ( ) = 21 − S XX
( )e j d 
• Leting T→, we obtain
+ + − j
S XX ( ) = lim PT ( ) = − RXX ( )e − j d  0 • For  = 0, S XX ( ) = Tlim
→
PT ( ) = − RXX ( )e d  0
T →
+
• Sxx() is the power spectral density of the w.s.s process X(t). 1 ( )d  = RXX (0) = E{| X (t ) | } = P,
− S
2
2 XX
the total power.
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• The area under Sxx() represents the total power of the process • If X(t) is a real w.s.s process, then
X(t), and hence Sxx() truly represents the power spectrum.
RXX ( ) = RXX ( − )
• So that +
S XX ( ) S XX ( ) represents the power S XX ( ) =  − RXX ( )e − j d
in the band ( ,  +  )
+
=  − RXX ( ) cos  d

  +   = 2  0 RXX ( ) cos  d = S XX ( − )  0
• The nonnegative-definiteness
0
property of the auto-correlation
function translates into the “nonnegative” property for its • The power spectrum is an even function, (in addition to
Fourier transform (power spectrum). being real and nonnegative).
RXX ( ) nonnegative - definite  S XX ( )  0.

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IV Stochastic Processes IV Stochastic Processes

Spectral representations Spectral representations
• Fourier Expansion
• A process x(t) is MS periodic with period T if • Karhunen-Loeve Expansion
E{lx{t + T) - x(t)|2} = 0 for all t. • In general case:
∞
• A WSS process is MS periodic if its autocorrelation
𝑥ො 𝑡 = ෍ 𝑐𝑛 𝜑𝑛 (𝑡) 0<𝑡<𝑇
R() is periodic with period T = 2/0.
• Expanding R() into Fourier series: 𝑛=1
• 𝑅 𝜏 = σ∞ 𝑛=−∞ 𝛾𝑛 𝑒
𝑗𝑛𝜔0 𝜏 𝛾𝑛 = 𝑇1 ‫׬‬0𝑇 𝑅 𝜏 𝑒 −𝑗𝑛𝜔0𝑑𝜏
• For WSS periodic process x(t) with period T, form the sum:
𝑥ො 𝑡 = σ∞𝑛=−∞ 𝑐𝑛 𝑒
𝑗𝑛𝜔0 𝑡
𝑐𝑛 = 𝑇1 ‫׬‬0𝑇 𝑥 𝑡 𝑒 −𝑗𝑛𝜔0𝑡𝑑𝑡
• This sum equal x(t) in the MS sense: E{lx{t) - 𝑥ො (t)|2} = 0 for all
t
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4.4. Ergodicity IV. Stochastic processes
4.4. Ergodicity
• Time averages • Ergodicity

• Given wide-sense stationary process X(t). • X(t) is ergodic if in the most general form if all its statistics
• Time averages T can be determined from a single function X(t, ) of the
1 process.
T → 2T 
• Mean n = lim x (t )dt
−T • X(t) is ergodic if time averages equal ensemble averages
• Autocorrelation T
(expected values)
1
R ( ) = lim
T → 2T  x(t +  )x (t )dt
−T
• These limits are random variables.
• Problems:
? ?
n = E{x (t )} R ( ) = E{x (t +  ) x (t )}
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IV. Stochastic processes 4.4. Ergodicity
4.4. Ergodicity
• Ergodicity of the mean X (t,  )
• Time average of a given process X(t)

• Ergodic theorem for E{X(t)}

T X (t,  n )
1
nT =  x (t )dt
 T
X (t,  k )
1
• nT is a random variable. −T
2T X (t,  2 ) 
lim
T → 2T  x (t )dt = E{x (t )} = 
−T
• Since E{X(t)} is a constant, we have
E{nT} = E{X(t)} = 
X (t, 1 )
t
iff
0 t1 t2
• The variance of nT is given by:
1
2T
  
 1 - 2T [ R( ) −  ]d = 0
2
lim
1   
2T T → T
n =  1 - [ R( ) −  ]d
2 2 0
T
T 0  2T 
• R() is the autocorrelation of X(t).
• If this variance tends to zero with T→, then nT tends to its
expected value.
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4.4. Ergodicity 4.4. Ergodicity
• Ergodicity of autocorrelation • Its autocorrelation

• We form the average: R()=E{x(t++)x(t+)x(t+)x(t)}
T
1 • Hence with w(t) = (t), we have
R T ( ) =
2T  x(t +  )x (t )dt
−T
• Ergodicity theorem for autocorrelation
• We have • For a given 
T
1
E{R T ( )} =
2T  E{x(t +  )x (t )}dt = R( )
−T
lim
1
T
 x(t +  ) x (t )dt = E{x(t +  ) x (t )} = R( )

• For a given , RT() is the time average of the process
T → 2T −T
(t)=x(t+)x(t) iff
• The mean of the process (t) is given by
1
2T
  
E{(t)}=E{x(t+)x(t)} = R() lim
T → T  1 - 2T [ R
0
 ( ) − R 2 ( )]d = 0
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4.4. Ergodicity 4.4. Ergodicity
• Ergodicity of the distribution function • We form the time average

• We determine first order distribution F(x) = E{X(t)x} of a given 1
T
process X(t) by a suitable time average. yT =

2T  y(t )dt
• Consider the process • We have −T
1 if x (t )  x
y(t ) =  E{yT} = E{y(t)} = F(x)
0 if x(t )  x • The variance of yT is given by
• Its mean is given by
1   
2T
• Its autocorrelation E{y(t )} = 1.P{x (t )  x} = F ( x)
T 0  2T 
[ R ( ) −  ]d = 0
2
1 -
• Where F(x,x;) is the second order distribution of x(t) • Where R() and  are replaced by F(x, x;) and F(x)
E{y(t +  ) y(t )} = 1.P{x (t +  )  x, x (t )  x} = F ( x, x; )

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4.4. Ergodicity
• Ergodic theorem for distribution function

• For a given x,
Stochastic Data Processing System
1
T Models
lim
T → 2T  y(t )dt = F ( x)
−T
iff
1   
2T
T → T 
[ F ( x, x; ) − F ( x)]d = 0
2
lim 1 -
0
2T 
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Stochastic Data Processing System Models LTI systems with stochastic input
• Deterministic system transformation

• Classification of Linear Systems
Y (t,  i )
• Systems without memory X (t,  i )
• Systems with memory

⎯⎯⎯→
X (t )
T [] ⎯Y⎯→
⎯
(t )
• Time Invariant systems t t
• Autocorrelation of output processes • Y(t) = T[X(t)].

• Problems formulation: goal: to study the output
• Power Spectrum and Khinchin-Wiener process statistics in term of the input process
Theorem statistics and the system function
• Is the output process stochastic ?
• How are statistics of the output process ?
• What is the relation between input and output processes ?
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LTI systems with stochastic input 4.1 Systems with stochastic inputs
• Scope: Response of the deterministics systems under an
actions of stochastic processes • Memoryless systems
Deterministic systems • Response of memoryless systems
• Y(t) = g[X(t)]
• First order distribution and density: FY(y,; t) và fY(y; t) in relation
Systems with memory with FX(x; t), fX(x; t):
Memoryless systems
Y (t ) = g [ X (t )] FY ( y ) = P (Y ( )  y ) = P (g ( X ( ))  y ) = P (X ( )  g −1 ( −, y ]).
Time varying systems Time Invariant Linear systems • Expectation:
systems
+
Y (t ) =  −  h (t −  ) X ( )d Y (t ) = L[ X (t )] 
+ Linear time-invariant systems

E{Y (t )} =  g ( x) f X ( x; t )dx
=  −  h ( ) X (t −  )d . −
X (t ) h (t ) Y (t )
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4.1 Systems with stochastic inputs 4.1 Systems with stochastic inputs
Memoryless Systems:
The output Y(t) in this case depends only on the present value of the
input X(t). i.e.,
• Second order ststistics: Y (t ) = g{ X (t )}
• Second order density fY(y1, y2; t1, t2 of Y(t) can be Strict-sense Strict-sense
determined in term of fX(x1, x2; t1, t2) stationary input Memoryless
stationary output.
system
• Autocorrelation: E{Y(t1)Y(t2)}:
 
E{Y (t1 )Y (t 2 )} =   g(x )g(x ) f
− − 
1 2 X ( x1 , x2 ; t1 , t 2 )dx1dx2
Need not be
Wide-sense Memoryless
• n order statistics: n order density function of Y(t) stationary input system
stationary in
any sense.
fY(y1, y2, …yn; t1, t2, …, tn)
Y(t) stationary,but
(t1) = g(X(t1)), …, Y(tn) = g(X(tn)). X(t) stationary
Memoryless not Gaussian with
Gaussian with
system R XY ( ) = R XX ( ).
RXX ( )
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Linear Systems: L[] represents a linear system if
L{a1 X (t1 ) + a 2 X (t2 )} = a1 L{ X (t1 )} + a 2 L{ X (t2 )}.
• COnsider the memoryless system
Let Y (t ) = L{ X (t )}
 1, x0
g ( x) =  represent the output of a linear system.
− 1, x0 Time-Invariant System: L[] represents a time-invariant system if
Y (t ) = L{ X (t )}  L{ X (t − t0 )} = Y (t − t0 )
i.e., shift in the input results in the same shift in the output also.
If L[] satisfies both equations, then it corresponds to
a linear time-invariant (LTI) system.
LTI systems can be uniquely represented in terms of their output
h (t ) to
Impulse
a delta function response of
 (t ) LTI h (t ) the system
t
Impulse Impulse
School of Information and Communication Technology School of Information and Communication Technology response
50
49 50
4.1 Systems with stochastic inputs Y (t )

4.1 Systems with stochastic inputs
X (t )
t
X (t ) Y (t )
t LTI
+ • Output statistics
Y (t ) =  −  h (t −  ) X ( )d
arbitrary • Mean of the output
+ +
input
=  −  h ( ) X (t −  )d  (t ) = E{Y (t )} =  −  E{ X ( )h(t −  )d }
Y
Eq. follows by expressing X(t) as
+ +
X (t ) =  −  X ( ) (t −  )d =  −   X ( )h (t −  )d =  X (t )  h (t ).
and we have
Y (t ) = L{ X (t )}. • Cross-correlation of input-output
+ R XY (t1 , t2 ) = E{ X (t1 )Y * (t2 )}
Y (t ) = L{ X (t )} = L{ −  X ( ) (t −  )d } +
= E{ X (t1 )  −  X * (t2 −  )h * ( )d }
+
=  −  L{ X ( ) (t −  )d } By Linearity +
=  −  E{ X (t1 ) X * (t2 −  )}h * ( )d
+
=  −  X ( ) L{ (t −  )}d +
By Time-invariance
=  −  R XX (t1 , t2 −  )h * ( )d
+ +
=  −  X ( )h (t −  )d =  −  h ( ) X (t −  )d .
= R XX (t1 , t2 )  h * (t2 ).
51
51 52
• If X(t) - wide sense stationary  (t ) = 
• Autocorrelation of output +
X X
 (t ) = 
Y X  − h( )d =  X
c, a constant.
RYY (t1 , t 2 ) = E{Y (t1 )Y (t 2 )} *
+ + RXX (t1 , t 2 ) = RXX (t1 − t 2 )

= E{ X (t1 −  )h(  )d Y * (t 2 )} =  E{ X (t1 −  )Y * (t 2 )}h(  )d
− −
+
• X(t), Y(t) are jointly w.s.s
=  RXY (t1 −  , t 2 )h(  )d = RXY (t1 , t 2 )  h(t1 ) +
− R XY (t1 , t2 ) =  −  R XX (t1 − t2 +  )h * ( )d
RYY (t1 , t2 ) = R XX (t1 , t2 )  h (t2 )  h (t1 ). *
= R XX ( )  h * ( − ) = R XY ( ),  = t1 − t2 .
• Y(t) is w.s.s.
 (t )
X h(t)  (t )
Y
+
RYY (t1 , t 2 ) =  − RXY (t1 −  − t 2 )h(  )d ,  = t1 − t 2
(a) = RXY ( )  h( ) = RYY ( ).
RYY ( ) = RXX ( )  h* (− )  h( ).
⎯→ h*(t2) ⎯R⎯
RXX (t1 , t 2 ) ⎯ ⎯⎯→
XY ( t1 ,t 2 )
h(t1) ⎯
⎯→ RYY (t1 , t 2 )
(b) TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG
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The output process is also wide-sense stationary.
X (t ) This gives rise to the following representation
Y (t )
wide-sense
LTI system wide-sense • Theorem:
stationary process
h(t) stationary process. • For linear systems:
E{L[X(t)]} = L[E{X(t)}]
(a)
X (t ) Y (t )
strict-sense LTI system strict-sense
stationary process h(t) stationary process
(b)
X (t ) Y (t )
Gaussian process
Gaussian
Linear system (also stationary)
process (also
stationary)
(c)
55
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LTI Colored noise
White noise
• White noise W(t) h(t) N (t ) = h (t ) W (t )
• W(t) is said to be a white noise process if
RWW (t1 , t 2 ) = q (t1 ) (t1 − t 2 ), • For w.s.s. white noise input W(t), we have
+
• E[W(t1) W*(t2)] = 0 unless t1 = t2 E [ N (t )] = W  − h( )d , a constant
• W(t) is said to be wide-sense stationary (w.s.s) white noise
if
Rnn ( ) = q ( )  h (− )  h( ) = qh* (− )  h( ) = q ( )
*
• E[W(t)] = constant, and • where

+
 ( ) = h( )  h* (− ) =  − h( )h* ( +  )d .
RWW (t1 , t 2 ) = q (t1 − t 2 ) = q ( ).
• If W(t) is also a Gaussian process (white Gaussian • Thus the output of a white noise process through an LTI
process), then all of its samples are independent random system represents a (colored) noise process.
variables • . White noise need not be Gaussian.
• “White” and “Gaussian” are two different concepts.
57 58
4.2 Discrete Time Stochastic Processes 4.2 Discrete Time Stochastic Processes
• Definition • Stationarity
• A discrete time stochastic process Xn = X(nT) is a • Strict sense stationarity and wide-sense stationarity
sequence of random variables. definitions apply here also.
• The mean, autocorrelation and auto-covariance • X(nT) is wide sense stationary if :
functions of a discrete-time process are: E{ X (nT )} =  , a constant
E [ X {( k + n )T } X * {( k )T }] = R( n ) = rn = r−*n
 n = E{ X (nT )} • R(n1, n2) = R(n1 – n2) = R*(n2 – n1)
R(n1 , n2 ) = E{ X (n1T ) X * (n2T )} • The positive-definite property of the autocorrelation

sequence  r r r  r 
0 1 2 n
 * 
C (n1 , n2 ) = R(n1 , n2 ) −  n1  n*2 •
 r r r  rn −1
Tn =  1 0 1

, n = 0, 1, 2, …, 
 = Tn
*

 
 r* r*  r* r 
 n n −1 1 0 
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4.2 Discrete Time Stochastic Processes 4.3. Auto

Regressive Moving
Average (ARMA) Processes
• Output of the LTI systems • Consider an input
p
– output representation
q
of LTIs
• X(nT) - W.S.S, LTI system h(nT), Y(nT) - response. X ( n ) = −  a k X ( n − k ) +  bkW ( n − k ),
• Cross-correlation of input-output are: k =1
• where X(n) may be considered as the output of a system
k =0
R XY ( n ) = R XX ( n )  h * ( − n ) {h(n)} driven by the input W(n)

• The transfer function
RYY ( n ) = R XY ( n )  h( n )
W(n) h(n) X(n)
RYY ( n ) = R XX ( n )  h * ( − n )  h ( n ). p q
X ( z )  ak z −k
= W ( z )  bk z , −k
a0  1
k =0 k =0
• Thus wide-sense stationarity from input to output is −1 −2 −q
preserved for discrete-time systems also

X ( z ) b0 + b1 z + b2 z + + bq z B( z )
H ( z ) =  h(k ) z − k = = =
k =0 W ( z ) 1 + a1 z −1 + a2 z −2 + + a p z − p A( z )

TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG X ( n ) =  h ( n − k )W ( k ).
k =0
61 62
4.3. Auto
Regressive Moving 4.3. Auto
Regressive Moving
Average (ARMA) Processes Average (ARMA) Processes
• Transfer function has p poles and q zeros
• The output undergoes regression over p of its previous • Autoregressive process AR(1)
values and at the same time a moving average based on • An AR(1) process has the form:
W(n), W(n-1) ..., W(n-q) of the input over (q + 1) values is X ( n ) = aX ( n − 1) + W ( n )
added to it (ARMA(p, q)) • The corresponding system transfer 
:
1
• The input {W(n)} represents a sequence of uncorrelated H ( z) = −1
=  a n z −n
random variables of zero mean  = 0 and constant 1 − az n =0
variance 2w so that RWW (n) =  W2 (n). • if |a| < 1 - stable system.
◼ If {W(n)} )} is normally distributed then the output {X(n also • System impulse response: h(n ) = a n , | a | 1
represents a strict-sense stationary normal process. • Output autocorrelation:

If q = 0, AR(p) – all-pole process. a |n|
RXX (n) =  W2 (n)  {a − n }  {a n } =  W2  a |n|+ k a k =  W2
◼
◼ if p = 0, represent MA(q) process k =0 1− a2
63 64
4.3. Auto
Regressive Moving
• Tự tương quan chuẩn hóa của đầu ra: • the effect of superimposing an error sequence on
R XX ( n )
 (n) =
= a |n| , | n |  0. an AR(1) model AR(1)
R XX (0)
X
 X (0) =  Y (0) = 1
• Trường hợp quá trình X(t) kết hợp với nhiễu V(t):
• V(t) là chuỗi ngẫu nhiên không tương quan với giá trị trung  X (k )  Y (k )
bình 0 và tự tương quan V2.
• Y(t) = X(t) + V(t)
n
a | n| 0 k
RYY (n) = RXX (n) + RVV (n) = RXX (n) +  V2 (n) =  W2 +  V2 (n)
1− a2
RYY ( n ) 1 n=0 2
 (n) = = c= 2 W
 1.
Y
RYY (0) c a |n| n = 1,  2,  +  2 (1 − a 2 )
W V
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4.3. Auto
Regressive Moving
4.3. Auto
Regressive Moving
• Autoregressive AR(2) • Autocorrelation of output process
X (n) = a1 X (n − 1) + a2 X (n − 2) + W (n) • Autocorrelation:
• Transfer function RXX (n) = E{ X (n + m) X * (m)}

1 b1 b2
H ( z ) =  h( n) z − n = = + = E{[ a1 X (n + m − 1) + a2 X (n + m − 2)] X * (m)}
n =0 1 − a1 z −1 − a2 z − 2 1 − 1 z −1 1 − 2 z −1
h(0) = 1, h(1) = a1 , h(n) = a1h(n − 1) + a2 h(n − 2), n  2 + E{W (n + m) X * (m)}
• with 1, 2 - poles of the system, the impulse response:
= a1 RXX (n − 1) + a2 RXX (n − 2)
• Và các hệ thức: h(n) = b11n + b2 n2 , n  0
• Correlation coefficient:
b1 + b2 = 1, b11 + b2 2 = a1. 1 + 2 = a1 , 12 = −a 2 , RXX ( n )
 (n) =
X
= a1  X ( n − 1) + a2  X ( n − 2).
• H(z) stable follows | 1 | 1, | 2 | 1. RXX (0)
67 68
4.3. Auto
Regressive Moving
• Autocorrelation • Moving average process
q
RXX (n) = RWW (n)  h* (− n)  h(n) =  W2 h* (− n)  h(n) X(n) = å bkW (n - k),
 k=0
=  W2  h* (n + k )  h(k )
k =0 • q zeros; without poles;
 | b |2 (1* ) n b1*b2 (1* ) n b1b2* (*2 ) n | b2 |2 (*2 ) n  • Non-regressive systems;
=  W2  1 + + + 
 1− | 1 |
2
1 − 1*2 1 − 1*2 1− | 2 |2  • Impulse response and transfer function:
¥
R ( n) n n H ( z ) = å h ( k ) z - k =b0 + b1 z -1 + b2 z -2 + + bq z -q
 X (n) = XX = c11* + c2 *2 k =0
RXX (0)
69 70
4.3. Auto
Regressive Moving
Average (ARMA) Processes
• ARIMA processes (Autoregressive Integrated moving
average)
• For modeling time series
• To convert non-stationary series into stationary series.
• Consider ARMA processes: W – white noise Thank you for
p q
X ( n𝑝) = −  a k X ( n − k ) +  your attentions!
𝑞 bkW ( n − k ),
k =1 k =0
(1 + ෍ 𝐷 𝑖 ) 𝑋 𝑛 = (𝑏0 + ෍ 𝐷 𝑘 )𝑊(𝑛)
𝑖=1 𝑘=1
• Di – delay operator, or lag operator
• An ARIMA(p’,d,q) process is a particular case of an ARMA(p,q)
process having the autoregressive polynomial with d unit roots
and p’ = p-d .
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6/7/2024

TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG

• Example • If X(t) is a stochastic process, then for fixed t, X(t)

• Characterisctics of stochastic processes • Properties of autocorrelation function

Definitions Stationary processes

Stationary processes Stationary processes

• Strict sense stationarity • First order strict sense stationary process

Stationary processes Stationary processes

IV. Stochastic processes

Stationary processes Stationary processes

IV. Stochastic processes

IV. Stochastic processes

IV. Stochastic processes IV. Stochastic processes

• For stochastic processes, • The average power distribution based on (– T, T ) is ensemble

• For a stochastic process, E{|X(t)|2} represents the ensemble average  2T  2T

IV. Stochastic processes IV. Stochastic processes

• Let  = t2-t1, we obtain • Khinchin-Wiener theorem

IV. Stochastic processes IV. Stochastic processes

RXX ( ) nonnegative - definite  S XX ( )  0.

IV Stochastic Processes IV Stochastic Processes

IV. Stochastic processes

• Time averages • Ergodicity

IV. Stochastic processes

• Time average of a given process X(t)

IV. Stochastic processes IV. Stochastic processes

• Ergodicity of autocorrelation • Its autocorrelation

 x(t +  ) x (t )dt = E{x(t +  ) x (t )} = R( )

IV. Stochastic processes IV. Stochastic processes

• Ergodicity of the distribution function • We form the time average

process X(t) by a suitable time average. yT =

E{y(t +  ) y(t )} = 1.P{x (t +  )  x, x (t )  x} = F ( x, x; )

IV. Stochastic processes

• Ergodic theorem for distribution function

• Deterministic system transformation

• Systems with memory

• Time Invariant systems t t

• Autocorrelation of output processes • Y(t) = T[X(t)].

+ Linear time-invariant systems

4.1 Systems with stochastic inputs Y (t )

+ + RXX (t1 , t 2 ) = RXX (t1 − t 2 )

• E[W(t)] = constant, and • where

R(n1 , n2 ) = E{ X (n1T ) X * (n2T )} • The positive-definite property of the autocorrelation

4.2 Discrete Time Stochastic Processes 4.3. Auto

R XY ( n ) = R XX ( n )  h * ( − n ) {h(n)} driven by the input W(n)

TRƯỜNG CÔNG NGHỆ THÔNG TIN VÀ TRUYỀN THÔNG

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