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Chapt 10

This document provides an overview of stochastic processes. It defines a stochastic process as a random function of time and describes some common stochastic processes like Poisson, Brownian, and Gaussian processes. It also discusses key characteristics of stochastic processes such as being discrete or continuous, stationary or non-stationary, and defines related concepts like sample functions, ensembles, autocorrelation, and autocovariance. Examples are provided to illustrate stochastic processes in various applications.

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6 views

Chapt 10

This document provides an overview of stochastic processes. It defines a stochastic process as a random function of time and describes some common stochastic processes like Poisson, Brownian, and Gaussian processes. It also discusses key characteristics of stochastic processes such as being discrete or continuous, stationary or non-stationary, and defines related concepts like sample functions, ensembles, autocorrelation, and autocovariance. Examples are provided to illustrate stochastic processes in various applications.

Uploaded by

sahilislam.1578
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Random Signals and Processes

Chapter 10: Stochastic Processes

Dr. Mohammad Rakibul Islam


Professor, EEE Department,
Islamic University of Technology
• Introduction:
• Stochastic means random.
• Process in this context means function of
time.
• Stochastic processes means random functions
of time.
• we describe some families of stochastic
processes (Poisson, Brownian, Gaussian) that
arise in practical applications.
• autocorrelation function and autocovariance
function of a stochastic process.
• Stochastic Process:
– A stochastic process X(t) consists of an
experiment with a probability measure P[.]
defined on a sample space S and a function
that assigns a time function x(t, s) to each
outcomes in the sample space of the
experiment.
• Sample Function
– A sample function x(t, s) is the time function
associated with outcome s of an experiment.
• Sample Function (continued):
• Ensemble
– The ensemble of a stochastic process is the set of all
possible time functions that can result from an experiment.
• Example 10.1
• Starting at launch time t = 0, let X(t) denote the
temperature in degrees Kelvin on the surface of a
space shuttle. With each launch s, we record a
temperature sequence x(t, s). The ensemble of the
experiment can be viewed as a catalog of the possible
temperature sequences that we may record. For
example,

• indicates that in the 175th entry in the catalog of


possible temperature sequences, the temperature at t
= 8073.68 seconds after the launch is 207°K.
• Example 10.4
• Consider an experiment in which we record M(t),
the number of active calls at a telephone switch at
time t , at each second over an interval of 15
minutes. One trial of the experiment might yield
the sample function m(t, s) shown in Figure 10.2.
Each time we perform the experiment, we would
observe some other function m(t, s). The exact m(t,
s) that we do observe will depend on many
random variables including the number of calls at
the start of the observation period, the arrival
times of the new calls, and the duration of each
call. An ensemble average is the average number
of calls in progress at t = 403 seconds. A time
average is the average number of calls in progress
during a specific 15-minute interval.
• Example 10.4 (continued)
• Example 10.5:
• Types of Stochastic Processes:
• Discrete-Value and Continuous-Value Processes
– X(t) is a discrete-value process if the set of all
possible values of X(t) at all times t is a countable
set Sx; otherwise X(t) is a continuous-value
process.
• Discrete-Time and Continuous-Time Processes
– The stochastic process X(t) is a discrete-time
process if X(t) is dejned only for a set of time
instants, tn = nT, where T is a constant and n is an
integer; otherwise X(t) is a continuous-time
process.
• Random Sequence
– A random sequence Xn is an ordered sequence of
random variables X0, X1, . . ..
• Types of Stochastic Processes:
• Random Variables from Random
Processes:

• Example 10.8
• Solution:
• Quiz 10.3:
• Solution:
– Self study…
• Poisson Process:

• Counting Process:
• Counting Process:
• Counting Process:
• Counting Process:
• Poisson Process:
• Brownian Motion Process:
• Expected value of a process:

• Auto covariance:
• Auto correlation:
• Stationary Process:
• Stationary Process:

• Theorem 10.11
• Wide Sense Stationary Process:
• Wide Sense Stationary Process:
• Cross correlation of a Process:
• Jointly wide sense stationary Process:
End of Chapter 10

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