Probability and Random Processes 2023
Probability and Random Processes 2023
processes
Probability and Random processes Notation
•
Classification of random processes
•If T is discrete and S is continuous the random process is called a continuous random
•If T is continuous and S is discrete the random process is called a discrete random
process
•Eg X(t) represents the number of telephone calls received in an interval (0,t)
•If both S and T are continuous the random process is called a continuous random
X 2 3 4 5 6 7 8 9 10 11 12
P(X) 1/ 2/ 3/ 4/ 5/ 6/ 7/ 4/ 3/ 2/ 1/
36 36 36 36 36 36 36 36 36 36 36
Joint probability
•The joint CDF of X and Y is
•𝐹𝑋,𝑌 (x,y)=P[X≤x, Y≤ 𝑦]
•The covariance of X and Y is defined as:
∞
COV(X,Y)=E[(X-𝑢𝑋 )(Y-𝑢𝑌 )]= −∞
𝑥𝑦 𝑝𝑋,𝑌 (x,y) dxdy
•Two random variable X and Y are independent if
𝑝𝑋,𝑌 (x,y)=𝑝𝑋 (x).𝑝𝑌 (y) ∀x,y
Conditional Distribution
•For events A and B the conditional probability is defined
𝑃[𝐴,𝐵]
as: P[A|B]=
𝑃[𝐵]
𝑝𝑋,𝑌(x,y)
defined as p(x|Y=y)=
𝑝𝑌 (y)
Random Processes
•A random process can be seen as a function of two variables:
the event A and time t
•For a specific event Aj we have single time function
X(Aj,t) = Xj (t) i.e a sample function
•The totality of all sample functions is called an ensemble.
•For a specific event A= Aj and a specific time tk , X(Aj,tk) is .
is a number
for convenience random process is designated X(t)
Random Processes
Statistical Averages
•Value of random process is unknown
•The pdf is known
•Mean of a random process X(t)
∞
• E{X(tk)} = −∞
𝑥 𝑝𝑥𝑘 (x)dx = 𝜇x (tk)
∞
•E(X)= −∞ 𝑥 𝑝𝑋 (x)
∞
•VAR(X)= E [(X-𝝁)²] = −∞(𝑥 − 𝑢)2 𝑝𝑋 (x)
=E (X²) - 𝝁ₓ²
Stationarity
A random process X(t) is said to be stationary in the strict
sense if none of its statistics are affected by a shift in the
time origin.
A random process is said to be wide sense stationary (WSS)
if two of its statistics, mean and autocorrelation function, do
not vary with time.
A Random Process of WSS if
E{X(t)} = mx = a constant
and Rx (t₁, t₂) = Rx (t₁ - t₂)
Autocorrelation of a WSS process
average power
current signal
If x(t) is a periodic signal with period To the signal is classified as a power signal
Parseval’s theorem for a periodic signal
1 𝑇𝑜/2 2 ∞ 2
Px = 𝑇𝑜 −𝑇𝑜/2
𝑥 (t) dt = 𝑛=−∞ |𝑐𝑛 |
Where |𝑐𝑛 |2 terms are the complex Fourier series coefficients of the periodic signal
The power spectral density 𝐺𝑥 (f)= ∞ 𝑐𝑛 2 𝛿(𝑓 − 𝑛𝑓0 )
𝑛=−∞
1 2
For a non periodic signal 𝐺𝑥 (f)=𝑙𝑖𝑚𝑡→∞ 𝑇 |𝑋𝑇 𝑓 |
Power Spectral Density of a Random Process