Random Processes

Saravanan Vijayakumaran
[email protected]

Department of Electrical Engineering

Indian Institute of Technology Bombay

April 10, 2015

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 Random Process
Definition
An indexed collection of random variables {Xt : t ∈ T }.

Discrete-time Random Process

A random process where the index set T = Z or {0, 1, 2, 3, . . .}.

Example: Random walk

T = {0, 1, 2, 3, . . .}, X0 = 0, Xn independent and equally likely to be ±1 for
n≥1
n
X
Sn = Xi
i=0

Continuous-time Random Process

A random process where the index set T = R or [0, ∞). The notation X (t) is
used to represent continuous-time random processes.

Example: Thermal Noise

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 Realization of a Random Process
• The outcome of an experiment is specified by a sample point ω in the
sample space Ω
• A realization of a random variable X is its value X (ω)
• A realization of a random process Xt is the function Xt (ω) of t
• A realization is also called a sample function of the random process.

Example
Consider Ω = [0, 1]. For each ω ∈ Ω, consider its dyadic expansion
∞
X dn (ω)
ω= = 0.d1 (ω)d2 (ω)d3 (ω) · · ·
2n
n=1

where each dn (ω) is either 0 or 1.

An infinite number of coin tosses with Heads being 0 and Tails being 1 can be
associated with each ω as
Xn (ω) = dn (ω)
For each ω ∈ Ω, we get a realization of this random process.

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 Specification of a Random Process
• A random process is specified by the joint cumulative distribution of the
random variables
X (t1 ), X (t2 ), . . . , X (tn )
for any set of sample times {t1 , t2 , . . . , tn } and any n ∈ N

FX (t1 ),X (t2 ),...,X (tn ) (x1 , x2 , . . . , xn ) = Pr [X (t1 ) ≤ x1 , X (t2 ) ≤ x2 , . . . , X (tn ) ≤ xn ]

• For continuous-time random processes, the joint probability density is

sufficient
• For discrete-time random processes, the joint probability mass function
is sufficient
• Without additional restrictions, this requires specifying a lot of joint
distributions
• One restriction which simplifies process specification is stationarity

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 Stationary Random Process
Definition
A random process X (t) is said to be stationary in the strict sense or strictly
stationary if the joint distribution of X (t1 ), X (t2 ), . . . , X (tk ) is the same as the
joint distribution of X (t1 + τ ), X (t2 + τ ), . . . , X (tk + τ ) for all time shifts τ , all k ,
and all observation instants t1 , . . . , tk .

FX (t1 ),...,X (tk ) (x1 , . . . , xk ) = FX (t1 +τ ),...,X (tk +τ ) (x1 , . . . , xk )

Properties
• A stationary random process is statistically indistinguishable from a
delayed version of itself.
• For k = 1, we have
FX (t) (x) = FX (t+τ ) (x)
for all t and τ . The first order distribution is independent of time.
• For k = 2 and τ = −t1 , we have
FX (t1 ),X (t2 ) (x1 , x2 ) = FX (0),X (t2 −t1 ) (x1 , x2 )

for all t1 and t2 . The second order distribution depends only on t2 − t1 .

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 Mean Function
• The mean of a random process X (t) is the expectation of the random
variable obtained by observing the process at time t
Z ∞
µX (t) = E [X (t)] = xfX (t) (x) dx
−∞

• For a strictly stationary random process X (t), the mean is a constant

µX (t) = µ for all t

Example
X (t) = cos (2πft + Θ), Θ ∼ U[−π, π]. µX (t) =?

Example
Xn = Z1 + · · · + Zn , n = 1, 2, . . .
where Zi are i.i.d. with zero mean and variance σ 2 . µX (n) =?

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 Autocorrelation Function
• The autocorrelation function of a random process X (t) is defined as
Z ∞ Z ∞
RX (t1 , t2 ) = E [X (t1 )X (t2 )] = x1 x2 fX (t1 ),X (t2 ) (x1 , x2 ) dx1 dx2
−∞ −∞

• For a strictly stationary random process X (t), the autocorrelation

function depends only on the time difference t2 − t1

RX (t1 , t2 ) = RX (0, t2 − t1 ) for all t1 , t2

In this case, RX (0, t2 − t1 ) is simply written as RX (t2 − t1 )

Example
X (t) = cos (2πft + Θ), Θ ∼ U[−π, π]. RX (t1 , t2 ) =?

Example
Xn = Z1 + · · · + Zn , n = 1, 2, . . .
where Zi are i.i.d. with zero mean and variance σ 2 . RX (n1 , n2 ) =?

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 Wide-Sense Stationary Random Process
Definition
A random process X (t) is said to be wide-sense stationary or weakly
stationary or second-order stationary if

µX (t) = µX (0) for all t and

RX (t1 , t2 ) = RX (t1 − t2 , 0) for all t1 , t2 .

Remarks
• A strictly stationary random process is also wide-sense stationary if the
first and second order moments exist.
• A wide-sense stationary random process need not be strictly stationary.

Example
Is the following random process wide-sense stationary?

X (t) = A cos (2πfc t + Θ)

where A and fc are constants and Θ is uniformly distributed on [−π, π].

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 Properties of the Autocorrelation Function
• Consider the autocorrelation function of a wide-sense stationary
random process X (t)

RX (τ ) = E [X (t + τ )X (t)]

• RX (τ ) is an even function of τ
RX (τ ) = RX (−τ )

• RX (τ ) has maximum magnitude at τ = 0

|RX (τ )| ≤ RX (0)

• The autocorrelation function measures the interdependence of two

random variables obtained by measuring X (t) at times τ apart

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 Ergodic Processes
• Let X (t) be a wide-sense stationary random process with mean µX and
autocorrelation function RX (τ ) (also called the ensemble averages)
• Let x(t) be a realization of X (t)
• For an observation interval [−T , T ], the time average of x(t) is given by
Z T
1
µx (T ) = x(t) dt
2T −T

• The process X (t) is said to be ergodic in the mean if µx (T ) converges

to µX in the squared mean as T → ∞
• For an observation interval [−T , T ], the time-averaged autocorrelation
function is given by
Z T
1
Rx (τ, T ) = x(t + τ )x(t) dt
2T −T

• The process X (t) is said to be ergodic in the autocorrelation function if

Rx (τ, T ) converges to RX (τ ) in the squared mean as T → ∞

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Passing a Random Process through an LTI System

X (t) LTI System Y (t)

• Consider a linear time-invariant (LTI) system h(t) which has random

processes X (t) and Y (t) as input and output
Z ∞
Y (t) = h(τ )X (t − τ ) dτ
−∞

• In general, it is difficult to characterize Y (t) in terms of X (t)

• If X (t) is a wide-sense stationary random process, then Y (t) is also
wide-sense stationary
Z ∞
µY (t) = µX h(τ ) dτ
−∞
Z ∞ Z ∞
RY (τ ) = h(τ1 )h(τ2 )RX (τ − τ1 + τ2 ) dτ1 dτ2
−∞ −∞

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 Reference
• Chapter 1, Communication Systems, Simon Haykin,
Fourth Edition, Wiley-India, 2001.

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