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Random Process-1

Uploaded by

yaswithakadiyala
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© © All Rights Reserved
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RANDOM PROCESS

A random process is conceptually an extension of a random variable. A random


variable is a function of time is called a random process.
New problems in various branches of Engineering and Science do not fit into the
frame work of the classical probability theory. Such problems arouse us to study
the processes, that is, phenomena that take place in time. It is necessary to develop
random processes which are a family of random variables that is indexed by a
parameter such as time. Many problems that arise in Physics, Chemistry and other
fields can be solved by using random processes. In this unit, we give a simple
solution to the mathematical problems which use random processes technique.

A comparison of Random variable and random process.

(a)Random process

A random process is a collection (or ensemble) of random variables {X(s, t)} that
are functions of a real variable, namely time 't' where s ε S (Sample space) and t ε
T (parameter set or index set)

Examples:

1. The daily stock price.


2. The wireless signal received by a cell phone over time.
3. The image intensity over 1 c.m2 regions.
State space: The set of possible values of any individual member of the random
process is called state space. Any individual member itself is called a sample
function or a realization of the processes.

Note
(i) If 's' and 't' are fixed, {X(s, t)} is a number,
(ii) If 't is fixed, {X(s, t)} is a random variable.
(iii) If 's' is fixed. {X(s, t)} is a single time function.
(iv) If 's' and t ' are variables, {X(s, t)} is a collection of random variables that are
time functions.
Notation: As the dependence of a random process on 's' is obvious, 's' will be
omitted in the notation of a random process. If the parameter set 'T' is discrete, the
random process will be noted by {X(n)} or X(n). If the parameter set 'T' is
continuous, the process will be denoted by {X(t)}.

(b) Classification of process It is convenient to classify random processes


according to the characteristics of t and the random variable X = X(t) at time t. We
shall consider only four cases based on t and X having values in the ranges -∞ < t <
∞ and - ∞ < x < ∞

1. Continuous random process


2. Continuous random sequence
3. Discrete random process
4. Discrete random sequence

We can classify random process in another way also. It can be classified as

1. Deterministic random process


2. Non-deterministic random process

(C) Statistical (Ensemble) Averages (i) Mean = E[X (t)] =

(ii) Auto correlation function of [X (t)]

(iii) Auto covariance of [X (t)]


(iv) Correlation coefficient of [X (t)]

(v) Cross correlation

(vi)Cross covariance

(vii) Cross correlation coefficient

EXERCISE

1. What is the difference between an R.V and a random process?


2. What is the difference between random sequence and random processes?
3. What is a discrete random sequence? Give an example.
4. What is a continuous random sequence? Give an example.
5. What is a continuous random process? Give an example.
6. What do you mean by the mean and variance of a random process?

STRICTLY STATIONARY PROCESSES

(a) Stationary process (or) strictly stationary process (or) strict sense stationary
process [SSS processes] [

"If a random process is stationary to all order then the random process is said to be
strict sense stationary process.

Note: 1. In general we consider upto second order density function or second order
characteristics to verify whether a process to be stationary or not in the respective
order.

2. If a random process fails to be atleast first order stationary then the random
process is not a stationary process.

(b) Jointly stationary in the strict sense.

Two real-valued random processes {X(t)} and {Y(t)} are said to be jointly
stationary in the strict sense, if the joint distribution of X(t) and Y(t) of all order are
invariant under translation of time.

c) First order stationary process

A random process is called stationary to order one, if its first-order density


function does not change with a shift in time origin.

In other words,

fx(x1:t1)= fx(x1:t1 + ∆) must be true for any t1 and any real number ∆ then X (t) is to
be a first order stationary process.

Theorem 1: A first order stationary random process has a constant mean. (OR)
The first order stationary random process X (t) has independent of t.

Let X (t) be a first order stationary random process

=> f (x, t + ε) = f(x, t) ............(1) where t, ε are arbitrary.


Proof:

Hence, E [X (t)] = constant.

Theorem 2: A first order stationary random process has a constant variance.

Let X (t) is a first order stationary random process.

→ f(x, t + ε) = f(x, t) ............(1) where t, ε are arbitrary.

Proof:

Hence, Var [X (t)] = constant.


STATIONARY PROCESS

Formula: E[X (t)] = Constant and V[X (t)] = Constant

Note 1: First-order densities of a SSS process are independent of time. i.e., E [X


(t)] = a constant.

Note 2: A random process that is not stationary in any sense is called an


evolutionary process.

Note 3: The mean and variance of a first-order stationary process are constants.

E [X (t)] = constant, V[X (t)] = constant.

Note 4: A second order stationary process is also a first order stationary process.

"The converse need not be true, i.e., if E [X (t)] = constant, V[X (t)] = constant,
then X (t) need not be a SSS process."
I. Example for First Order Stationary Process

Example Show that the random process X (t) = A sin (ωt + φ) where A and ω are
constants, φ is a random variable uniformly distributed in (0, 2π) is first order
stationary.

Solution:
Given: X (t) = A sin (ωt + φ)
Where 'φ' is uniformly distributed in (0, 2π)

Proof :
Hence, X (t) is a first order stationary process.

II. Example for SSS Process

Consider the random process X(t) = cos (ω0t + θ), where θ is uniformly distributed
in the interval -л to л. Check whether X(t) is stationary or not? Find the first and
second moments of the process.

Solution:

Given: X (t) = cos (ω0t + θ), where 'θ' is uniformly distributed in (−л, л)

Proof:
(ii)
Hence, X (t) is a SSS process.

Example

If the random process X(t) takes the value -1 with probability 1/3 and takes the
value 1 with probability 2/3, find whether X(t) is a stationary process or not.
Solution:

Given:
Proof :

Example

Show that, if the process X(t) = a cos ωt + b sin ωt is SSS, where 'a' and 'b' are
independent random variables, then they are normal.

Solution:

Given: X(t) = a cos ωt + b sin ωt


Proof

Hence, X(t) is a SSS process.

III. Example for not SSS process

Example 3.2.5

Consider the random process X (t) = cos (t + φ), where is a φ random variable with
density function f(φ) = 1/π, -π/2 < φ < π/2, check whether the process is stationary
or not.

Solution:
Hence, X(t) is not a SSS process.

Example The process {X (t)} whose probability distribution under certain


conditions is given by,

Show that it is "not stationary" (or evolutionary).


Solution:
The probability distribution of X (t) is
Here, E [X (t)] = constant but Var [X (t)] ≠ constant.
.'. The given process is not a stationary process.

Example Show that the random process X(t) = A cos (ω ot + θ) is not stationary, if
A and ωo are constants and θ is uniformly distributed random variable in (0,л)

Given: X (t) = A cos (ωot + θ),


where 'θ' is uniformly distributed in (0, л).
Example

Verify whether the sine wave process X(t), where X(t) = Y cos ωt and Y is
uniformly distributed in (0, 1) is a strict sense stationary process.
Solution :
Given: X(t) = Y cos ωt, ..............(1)
where 'Y' is uniformly distributed in (0, 1).
Example A random process has sample functions of the form X (t) = A cos(ωt + θ)
in which A and ω are constants and θ is a random variable. Prove this process is
not stationary, if it is uniformly distributed over a range of 2л.

Solution: It is given that the random variable is not uniform distributed. Let the
distribution be ƒ(θ), it is not a constant.

This involves a time component and is not constant which indicates that the
process is not a stationary process.

EXERCISE 3.2

1. Define a strict-sense stationary process and give an example.


2. Define a kth order stationary process. When will it become a SSS process ?
3. What is the first order stationary process?
4. Show that the random process X(t) = 100 sin (ω t + θ) is first order stationary, if
it is assumed that ω is constant and θ is uniformly distributed in (0, 2 л).
5. Consider the random process X (t) = A cos (ωt + φ), where ω is a random
variable with density functions f(w) and φ a random variable uniform in the
interval (-л, л) and independent of ω, prove that X (t) is a first order stationary with
zero means.
6. Consider the process X(t) = 10 sin (200t + φ), where φ is uniformly distributed
in the interval (-л, л). Check whether the process is stationary or not.
7. Give an example of stationary random process and justify your claim

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