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X(t) is a random process defined as Acos(ωt + Θ) where A and ω are constants and Θ is a uniform random variable between [−π, π]. The mean of X(t) is 0 and the autocorrelation depends only on the time difference τ, therefore X(t) is wide-sense stationary (WSS). WSS processes have the property that their mean is constant and autocorrelation depends only on the time difference between two time points.

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593 views6 pages

Solved Problems

X(t) is a random process defined as Acos(ωt + Θ) where A and ω are constants and Θ is a uniform random variable between [−π, π]. The mean of X(t) is 0 and the autocorrelation depends only on the time difference τ, therefore X(t) is wide-sense stationary (WSS). WSS processes have the property that their mean is constant and autocorrelation depends only on the time difference between two time points.

Uploaded by

Hairul Anam S
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Solved Problems

Random Processses And Statistics Of Random Processes


7.1. Consider a random process X(t) given by
X ( t )=Acos (t +)
(7.74)
Where A and are constants and is a uniform random variable over [,.].Show that X(t) is WWS.
From Eq.(6.105) (Prob.6.23),we have
1
f ( )= 2 ,
0,otherwise

Thus,

x ( t )=E [ X ( t ) ]= Acos ( t + ) f ( ) d

cos ( t+ ) d=0
2
(7.75)
R xx ( t ,t + ) =E [ X (t ) X ( t+ ) ]

A2
cos (t +) cos [ (t + )+ ]d
2

cos
1 t +cos (2 t+ 2+ )
[
]d
2

A2

A
cos
2

(7.76)
Since the mean of X(t) is a constant and the autocorrelation of X(t) is a
function of time difference only,we conclude that X(t) is WSS.
Note that Rxx( ) is periodic with the period T0 = 2/. A WSS random
process is called periodic if its autocorrelation is periodic.
7.2.

Consider a random process X(t) given by


X ( t )=Acos (t +)

(7.77)
Where and are constants and A is a random variable.Determine
whether X(t) is WSS.
x ( t )=E [ X ( t ) ] =E [ Acos ( t + ) ]
cos ( t + ) E[ A]
(7.78)
Which indicates that the mean of X(t) is not constant unless E[A] = 0.
R xx ( t ,t + ) =E[ X (t )X (t+ )]
(t + )+
E[ A cos ( t + ) cos [ ] ]
2

1
[ cos +cos ( 2t +2 + ) ] E [ A 2]
2

(7.79)
Thus,we see that the autocorrelation of X(t) is not a function of the time
difference only,and the process X(t) is not WSS.
7.3. Consider a random process Y(t) defined by

Y ( t )= X ( ) d
0

(7.80)
Where X(t) is given by
X ( t )=Acos t
(7.81)
Where is constant and

A=N [ 0 ; 2 ] .

(a)
Determine the pdf of Y(t) at t = tk,
(b) Is Y(t) WSS ?
tk

(a)

Y ( t k ) = Acos d=
0

sin t k
A

(7.82)
Then from the result of Prob.6.32,we see that Y(tk) is a Gaussian random
variable with
E [ Y ( t k ) ]=

sin t k
E [ A ] =0

(7.83)
And,

2y =var [ Y ( t k ) ]=

sin t k 2

(7.84)
Hence,by Eq.(6.91),the pdf of Y(tk) is
1
f y ( y )=
e y /(2 )
2 y
2

2
y

(7.85)
(b) From Eqs.(7.83) and (7.84),the mean and variance of Y(t) depend on
time t(tk),so Y(t) is not WSS.
7.4. Consider a random process X(t) given by
X ( t )=Acos t+ Bsin t
(7.86)
Where is constant and A and B are random variables.
(a) Show that the condition

E [ A ] =E [ B ] =0
(7.87)
Is necessary for X(t) to be stationary.
(b) Show that X(t) is WSS if and only if them random variables A and B
are uncorrelated

with equal variance,that is,


E [ AB ] =0

(7.88)
E [ A 2 ]=E [ B2 ]= 2

And

(7.89)
(a) x ( t )=E [ X ( t ) ] =E [ A ] cos t + E [ B]sin t

must be independent of t for X(t)

to be stationary.This is possible only if

x ( t )=0, that is,

E [ A ] =E [ B ] =0
(b) If X(t) is WSS,then from Eq.(A7.17)

E [ X 2 ( 0 ) ]=E X 2
=R xx ( 0 ) = 2x
2

[ ( )]

( 2 )=B

But

X ( 0 )= AX

Thus,

E [ A 2 ]=E [ B2 ] = 2x = 2

Using the preceding result,we obtain


R xx ( t ,t + ) =E[ X (t )X (t+ )]
E[( Acos t + Bsin t )[ Acos ( t+ ) + Bsin ( t+ ) ]]

2 cos + E [ AB]sin ( 2 t+ )
(7.90)
Which will be a function of only if E[AB] = 0.
2
2
2
Coversely,if E[AB] = 0 and E [ A ]=E [ B ] = , then from the result of part
(a) and Eq.(7.90),we have
x ( t )=0
2

R xx ( t ,t + ) = cos =Rxx ( )
Hence,X(t) is WSS.

7.5. A random process X(t) is said to be covariance-stationary if the


covariance of X(t) depends only on the time difference

=t 2t 1 ,

C xx ( t , t+ )=C xx ( )
(7.91)
Let X(t) be given by
X ( t )=( A +1 ) cos t+ Bsint
Where A and B are independent random variables for which
E [ A ] =E [ B ] =0E [ A 2 ] =E [ B2 ] =1
Show that X(t) is not WSS,but it is covariance-stationary,
x ( t )=E [ X ( t ) ] =E
E [ A+ 1 ] cos t + E [ B ] sin t
cos t

Which depends on t. Thus,X(t) cannot be WSS.


R xx ( t 1 ,t 2 )=E [ X (t 1 ) X (t 2)]
t1
t2
t 2 +B sin
( A +1 ) cos

t 1+ B sin
( A +1 ) cos

( A+1 2 ] cos t 1 cos t 2+ E [ B2 ] sin t 1 sin t2

+ E[ ( A+1 ) B ](cos t 1 sin t 2+ sin t 1 cos t 2)


Now

( A+1 2 ]=E [ A2 +2 A+1 ]=E [ A 2 ]+2 E [ A ] + 1=2


E
E [ ( A +1 ) B ] = E [ AB ] + E [ B ] =E [ A ] E [ B ] + E [ B ] =0

that is,

E [ B 2 ] =1
Substituting these values into the expression of Rxx (t1,t2),we obtain
R xx ( t 1 ,t 2 )=2 cos t 1 cos t 2 +sin t 1 sin t 2
cos ( t 2t 1 )+ cos t 1 cos t 2
From Eq.(7.9),we have
C xx ( t 1 , t 2 ) =R xx ( t 1 , t 2 ) x (t 1 ) x (t 2 )
t 1 cos t 2 cos t 1 cos t 2
cos ( t 2t 1 ) +cos

cos ( t 2t 1 )
Thus,X(t) is covariance-stationary.

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