Professional Documents
Culture Documents
of Electronics
D. J. Kim 1
Lecture on Communication Theory
Chapter 4. Random Processes
4.1 Introduction
1. Deterministic signals: the class of signals that may be
modeled as completely specified functions of time.
2. Random signals: it is not possible to predict its precise
value in advance. ex) thermal noise
3. Random variable: A function whose domain is a sample
space and whose range is some set of real numbers.
obtained by observing a random process at a fixed
instant of time.
4. Random process: ensemble (family) of sample
functions, ensemble of random variables.
4.2 Probability Theory
1. Random experiment
1) Repeatable under identical conditions
2) Outcome is unpredictable
3) For a large number of trials of the experiment, the outcomes
exhibit statistical regularity, i.e., a definite average pattern of
outcomes is observed for a large number of trials.
CNU Dept. of Electronics
D. J. Kim 2
Lecture on Communication Theory
2. Relative-Frequency Approach
1) Relative frequency
2) Statistical regularity Probability of event A.
3. Axioms of Probability.
1)
a) Sample points s
k
: kth outcome of experiment
b) Sample space S: totality of sample points
c) Sure event: entire sample space S
d) |: null or impossible event
e) Elementary event: a single sample point
2) Definition of probability
a) A sample space S of elementary events
b) A class c of events that are subsets of S.
c) A probability measure P() assigned to each event A in the class c,
which has the following properties:
1
n
(A) N
0
n
s s
|
.
|
\
|
=
n
(A) N
P(A)
n
n
lim
P(B) P(A) B) P(A
then , class the in events execlusive
mutually two of union the is B A If (iii)
1 P(A) 0 i) (i
1 P(s) ) i (
+ = +
+
s s
=
c
Axioms
of
Probability
CNU Dept. of Electronics
D. J. Kim 3
Lecture on Communication Theory
3) Property 1.
4) Property 2. If M mutually the exclusive events
have the exclusive property
then
5) Property 3.
4. Conditional Probability
1) Conditional Probability of given A
(given A means that event A has occurred)
2) Statistically independent
ex1) BSC (Binary Symmetric Channel)
Discrete memoryless channel
M 2 1
A , , A , A
S A A A
M 2 1
= + + +
P(A) 1 ) A P( =
1 ) P(A ) P(A ) P(A
M 2 1
= + + +
P(AB) - P(B) P(A) B) P(A + = +
rule Bayes' ;
P(A)
B)P(B) | P(A
A) | P(B
B)P(B) | P(A A)P(A) | P(B P(AB)
B & A of y probabilit joint P(AB) where
P(A)
P(AB)
A) | P(B
=
= =
=
=
P(A)P(B) P(AB) =
1-p
A
0
B
0
[0] [0]
1-p
p
p
A
1
B
1
[1]
[1]
CNU Dept. of Electronics
D. J. Kim 4
Lecture on Communication Theory
.
Priori prob.
Conditional prob. or likelihood
[0][1]
[0][0]
Output prob.
Posteriori prob.
[0][0]
[1][1]
4.3 Random variables
1.
1) Random variable: A function whose domain is a sample
space and whose range is some set of real numbers
2) Discrete r. v. : X(k), k sample ex) range {1,,6}
Continuous r. v. : X ex) 8~ 8 10
3) Cumulative distribution function (cdf) or distribution fct.
F
X
(x) = P(X s x)
a) 0 s F
X
(x) s1
b) if x
1
< x
2
, F
X
(x
1
) s F
X
(x
2
), monotone-nondecreasing fct.
1 p p , p ) P(A , p ) (A P
2 1 1 1 0 0
= + = =
p; ) A | P(B ) A | P(B
1 0 0 1
= =
p; 1 ) A | P(B ) A | P(B
1 1 0 0
= =
1 0 1
1 0 0
p)p (1 pp ) P(B
pp p)p (1 ) P(B
+ =
+ =
;
pp p)p (1
p)p (1
) P(B
) P(A ) A | P(B
) B | P(A
1 0
0
0
0 0 0
0 0
+
= =
;
p)p (1 pp
p)p (1
) P(B
) )P(A A | P(B
) B | P(A
1 0
1
1
1 1 1
1 1
+
= =
CNU Dept. of Electronics
D. J. Kim 5
Lecture on Communication Theory
4) pdf (probability density fct.)
pdf: nonnegative fct., total area = 1
ex2)
(x) F
dx
d
(x) f
X X
=
}
}
}
= s <
=
=
2
1
x
x
X 2 1
X
x
X X
(x)dx f ) x X P(x
1 (x)dx f
)d ( f (x) F
CNU Dept. of Electronics
D. J. Kim 6
Lecture on Communication Theory
2. Several random variables (2 random variables)
1) Joint distribution fct.
2) Joint pdf
3) Total area
4) Conditional prob. density fct. (given that X = fixed x)
If X,Y are statistically independent
f
Y
(y|x) = f
Y
(y)
Statistically independent f
X,Y
(x,y) = f
X
(x)f
Y
(y)
4.4 Statistical Average
1. Mean or expected value
1) Continuous
ex)
y) Y x, P(X y) (x, F
X,Y
s s =
y x
y) (x, F
y) (x, f
X,Y
2
X,Y
=
; d ) (x, f (x) f
d d ) , ( f (x) F
1 d d ) , ( f
-
X,Y X
-
x
-
X,Y X
- -
X,Y
}
} }
} }
=
=
=
q
density marginal
}
=
> = >
1 x)dy | (y f
0
(x) f
y) (x, f
x) | (y f 0 (x) f If
Y
X
X,Y
Y X
}
= = (x)dx xf E[X]
X X
0
10
10
1
5 x
20
1
xdx
10
1
E[X]
10
0
2
= = =
}
CNU Dept. of Electronics
D. J. Kim 7
Lecture on Communication Theory
2) Discrete
2. Function of r. v.
Y=g(X) X, Y : r. v.
3. Moments
1) n-th moments
2) Central moments
where
is standard deviation
3
11
6) 5 4 3 2 (1
6
1
E[X] ex)
p(k) x
n
(k) N
x E[X]
k k
k
n
k
= + + + + + =
= =
= =
0 sinx
2
1
dx
2
1
cosx E[Y]
otherwise 0
x -
2
1
(x) f where
cos(X) g(X) Y ex)
X
= = =
< <
=
= =
}
] ) E[(X var[X] 2, n
(x)dx f ) (x ] ) E[(X
2
X
2
X
X
n
X
n
X
= = = -
=
}
s >
value square mean : ] E[X variance, :
] E[X 0, If
] E[X E(X) 2 ] E[X ] ) E[(X
2
2
X
2
2
X X
2
X
2
2
X X
2 2
X
2
X
= =
= + = =
v exp(-jvx)d (v)
2
1
(x) f
)dx (x)exp(jvx f ] E[exp(jvx) (v)
X X
X X
}
}
=
= =
( )
=
|
|
.
|
\
|
=
|
|
.
|
\
|
= =
|
.
|
\
|
=
< <
|
|
.
|
\
|
=
odd n for 0
even n for 1) (n 5 3 1
] ) E[(x
moments central
2
v
exp x
2
x
- exp
2
1
(x) f 0, If
v
2
1
jv exp (v)
x
2
) (x
exp
2
1
(x) f
n
X n
X
2
X
2
X
2
X
2
X
X X
2
X
2
X X
2
X
2
X
X
X
; Chebyshev inequality
CNU Dept. of Electronics
D. J. Kim 9
Lecture on Communication Theory
5. Joint moments
E[X] = 0 or E[Y] = 0
X, Y are orthogonal
X, Y are statistically independent uncorrelated
} }
} }
=
=
y)dxdy (x, xyf E[XY]
n Correlatio
y)dxdy (x, f y x ] Y E[X
moments Joint
X,Y
X,Y
j i j i
Y X
Y X
cov[XY]
t coefficien on Correlati
E[XY]
E[Y])] E[X])(Y E[(X cov[XY]
Covariance
=
=
=
=
=
-
0 E[XY] orthogonal are Y and X
0 [XY] cov ed uncorrelat are Y and X
O
X
uncorrelated
CNU Dept. of Electronics
D. J. Kim 10
Lecture on Communication Theory
4.5 Transformations of Random variables: Y=g(X)
1. Monotone transformations: one-to-one
2. Many-to-one transformations
where x
k
= solution of g(x) = y
Y
y
x
X
(y)
1
g x
dg/dx
(x) f
dy/dx
(x) f
(y) f
X X
Y
=
= =
(y)
1
g
k
x
dg/dx
(x) f
(y) f
k
k
Y
Y
=
=
),
,Y(t
k
.
ex6)
) x , (x F ) x , (x F
k 1 k 1
)
k
X(t )
1
X(t )
k
X(t , ),
1
X(t
=
+ +
) x , (x F ) x , (x F
2 1 2 1
)
1
t -
2
X(t X(0), )
2
X(t ),
1
X(t
=
CNU Dept. of Electronics
D. J. Kim 13
Lecture on Communication Theory
probability of the joint event
A={a
i
< X(t
i
) s b
i
} i=1, 2, 3
4.8 Mean, Correlation, and Covariance functions
1. Mean of r. p.
For stationary r. p. constant, for all t
2. Autocorrelation fct. of r. p. X(t)
For stationary r. p.
R
X
(t
1
,t
2
) = R
X
(t
2
-t
1
)
) a , a , (a F ) b , b , (b F P(A)
3 2 1 3 2 1
)
3
X(t ),
2
X(t ),
1
X(t )
3
X(t ),
2
X(t ),
1
X(t
=
}
= = v. r. : x (x)dx, xf E[X(t)] (t)
x(t)
X
= = (t)
X X
2 1 2 1 )
2
)X(t
1
X(t 2 1
2 1 2 1 X
dx )dx x , (x f x x
)] )X(t E[X(t ) t , (t R
} }
=
=
CNU Dept. of Electronics
D. J. Kim 14
Lecture on Communication Theory
3. Autocovariance fct. of stationary r. p. X(t)
C
X
(t
1
,t
2
)=E[(X(t
1
) -
X
)(X(t
2
) -
X
)]
=R
X
(t
2
- t
1
) -
X
2
4. Wide-sense stationary
strict-sense stationary wide sense stationary
5. Properties of the Autocorrelation Function
Autocorrelation fct. of stationary process X(t)
R
X
(t)=E[X(t+t)X(t)] for all t
Properties
a) Mean-square value by setting t = 0 R
X
(0) = E[X
2
(t)]
b) R
X
(t): even fct. R
X
(t) = R
X
(-t)
c) R
X
(t) has its maximum at t = 0, R
X
(t) s R
X
(0)
pf. of c)
=
= =
2 1 1 2 X 2 1 X
X X
t and t all for ) t (t R ) t , (t R
t all for , constant (t)
o
x
(0) R ) ( R (0) R
0 ) ( 2R (0) 2R
0 (t)] E[X )X(t)] 2E[X(t )] (t E[X
0 ] X(t)) ) E[(X(t
X X X
X X
2 2
2
s s
>
> + + +
> +
CNU Dept. of Electronics
D. J. Kim 15
Lecture on Communication Theory
Physical meaning of R
X
(t)
Interdependence of X(t) and X(t+t)
Decorrelation time t
0
: for t > t
0,
R
X
(t) < 0.01R
X
(0)
ex7) Sinusoidal wave with Random phase
) f cos(2
2
A
)] t f )cos(2 f 2 t f cos(2 E[A
)X(t)] E[X(t ) ( R
otherwise 0
2
1
) ( f where
) t f Acos(2 X(t)
c
2
c c c
2
X
c
=
+ + + =
+ =
s s
=
+ =
CNU Dept. of Electronics
D. J. Kim 16
Lecture on Communication Theory
ex8) Random Binary Wave
R
X
(0) = E[X(t)X(t)] = A
2
R
X
(T) = E[X(t)X(t+T)] = 0
s s
=
otherwise 0,
T t 0 ,
T
1
) (t f
d
d T
d
| | 0 X(t) E
2
1
P(-A) A) P(
=
= = +
CNU Dept. of Electronics
D. J. Kim 17
Lecture on Communication Theory
6. Cross-correlation Functions
r. p. X(t) with R
X
(t,u)
r. p. Y(t) with autocorrelation R
Y
(t,u)
Cross-correlation fct. of X(t) and Y(t)
R
XY
(t,u) = E[X(t)Y(u)]
R
YX
(t,u) = E[Y(t)X(u)]
Correlation Matrix of r. p. X(t) and Y(t)
If X(t) and Y(t) are each w. s. s. and jointly w. s. s.
where t = t-u
R
XY
(t) = R
XY
(-t) i.e. not even fct.
R
XY
(0) is not maximum
R
XY
(t) = R
YX
(-t)
(
=
u) (t, R u) (t, R
u) (t, R u) (t, R
u) R(t,
Y YX
XY X
(
=
) ( R ) ( R
) ( R ) ( R
) R(
Y YX
XY X
s <
=
0
2 0
2
1
) f )sin(2 ( R
2
1
C X
t t
=
T
T
X
x(t)dt
2T
1
(T)
CNU Dept. of Electronics
D. J. Kim 19
Lecture on Communication Theory
Mean of time average
X
(T)
1. w. s. s. r. p. X(t) is ergodic in the mean
2. w. s. s. r. p. X(t) is ergodic in the autocorrelation fct.
where R
X
(t,T) =
= time averaged autocorrelation fct.
of sample fct. x(t) from w. s. s. r. p. x(t)
4.10 Transmission of a r. p. through a linear filter
X X
X
T
T
X
T
T
X
mean averaged - ensemble of estimate unbiased (T)
x(t) p. r. of mean ;
dx
2T
1
E[x(t)]dt
2T
1
(T)] E[
=
=
=
=
}
}
=
=
0 (T)] var[ lim
(T) lim
If
X
T
X X
T
=
=
0 T)] , ( var[R lim
) ( R T) , ( R lim
If
X
T
X X
T
+
T
T
)x(t)dt x(t
2T
1
w.s.s r.p w.s.s r.p
) y (y F ) x (x F
k 1, ) Y(t ) Y(t k 1 ) X(t ) X(t
k 1 k 1
Thus
CNU Dept. of Electronics
D. J. Kim 20
Lecture on Communication Theory
1. Mean of Y(t)
2. Autocorrelation fct.
Mean square value E[Y
2
(t)]=R
Y
(0)
s. s. w. are Y(t) X(t), H(0)
X(t) s. s. w. d ) h(
)d (t ) h(
)]d E[X(t ) h(
] )d X(t ) h( E[ E[Y(t)] (t)
X Y
1 1 X
1 1 X 1
1 1 1
1 1 1 Y
=
=
=
=
= =
}
}
}
}
s. s. w. also is Y(t)
X(t) s. s. w. u t where
) ( )R h( d ) h( d
) u , (t )R h( d ) h( d
] )d )X(u h( )d )X(t h( E[
] E[Y(t)Y(u) u) (t, R
2 1 X 2 2 1 1
2 1 X 2 2 1 1
2 2 2 1 1 1
Y
=
+ =
=
=
=
} }
} }
} }
CNU Dept. of Electronics
D. J. Kim 21
Lecture on Communication Theory
4.11 Power Spectral density
1. Mean square value of Y(t) p. s. d.
h
1
(t
1
) H(f)
Power spectral density or power spectrum of w. s. s. r. v. X(t)
Mean square value of Y(t)
}
= [watt/Hz] )d f j2 )exp( ( R (f) S
X X
}
} } }
} } }
} } }
=
=
= =
=
-
X
2
X -
2 2 2
-
1 2 1 1 1 2
X -
2 2
-
2 1 1 2 X 2 1
2
(f)df S H(f)
)d f )exp(-j2 ( R ) f )exp(j2 h( d dfH(f)
) - (Let d ) f )exp(j2 - ( R ) h( d dfH(f)
d )d ( )R )df]h( f H(f)exp(j2 [ (t)] E[Y
X(t) p. r. in power average of density Freq.
) (f f)S (2 (t)] E[Y
C X
2
|
~
CNU Dept. of Electronics
D. J. Kim 22
Lecture on Communication Theory
2. Properties of the Power Spectral Density
1) Einstein - Wiener- Khintchine relations
2) Property 1.
For w. s. s. r. p.,
3) Property 2.
Mean square value of w. s. s. r. p.
4) Property 3.
For w. s. s. r. p., S
X
(f) > 0 for all f.
5) Property 4.
S
X
(-f) = S
X
(f): even fct.
R
X
(-t) = R
X
(t)
6) Property 5.
The p. s. d., appropriately normalized, has the properties
usually associated with a probability density fct.
7) rms bandwidth of w. s. s. r. p. X(t)
p. r. s. s. w. : X(t) here, w
)df f (f)exp(j2 S ) ( R
)d f j2 )exp( ( R (f) S
X X
X X
}
}
=
|+
=
)d ( R (0) S
X X }
=
}
= = (f)df S (0) R (t)] E[X
X X
2
}
=
(f)df S
(f) S
(f) P
X
X
X
2
1
X
2
rms
) (f)df p f ( W
}
=
CNU Dept. of Electronics
D. J. Kim 23
Lecture on Communication Theory
ex10) Sinusoidal wave with Random Phase
R. p. X(t) = A cos (2tf
C
(t) + O)
where O is uniform r. v. over [-t, t]
ex11) Random Binary wave with +A & -A
)] f (f ) f (f [
4
A
(f) S
t) f cos(2
2
A
) ( R
C C
2
X
C
2
X
+ + =
=
(fT) Tsinc A
)d f )exp(-j2
T
(1 A (f) S
T 0
T )
T
(1 A
) ( R
2 2
T
T
2
X
2
X
=
=
>
<
=
}
} } }
}
CNU Dept. of Electronics
D. J. Kim 25
Lecture on Communication Theory
ex13) Comb filter
differentiator
| |
| |
(f) S T f 4 (f) S
fT fT) sin( , 1 fT e., i. , f small For
(f) fT)S ( 4sin (f) S
fT) ( 4sin
fT) cos(2 - 1 2
fT) (2 sin fT) cos(2 - 1 H(f)
fT) jsin(2 fT) (2 cos - 1
fT) exp(-j2 - 1 H(f)
X
2 2 2
Y
X
2
Y
2
2
2
2
~
= <<
=
=
=
+ =
+ =
=
CNU Dept. of Electronics
D. J. Kim 26
Lecture on Communication Theory
4. Relation among the Power Spectral Density and the
Amplitude Spectrum of a Sample Function
Sample fct. x(t) of w. s. s. & ergodic r. p. X(t) with S
X
(f)
X(f,T): FT of truncated sample fct. x(t)
Conclusion) Sample function S
X
(f) .
5. Cross Spectral Density
A measure of the freq. interrelationship between 2 random
process
| |
ft)dt j2 x(t)exp( E
2T
1
T) X(f, E
2T
1
(f) S
2
T
T
T
2
T
X
lim
lim
(
=
=
}
(f) S f) ( S (f) S ) ( R ) ( R
) ( S ) ( R
) ( S ) ( R
YX YX XY YX XY
YX YX
XY XY
-
= = =
+ =
T
T
T
X
)x(t)dt x(t
2T
1
) ( R
lim
formula average - time using ) ( R obtain
X
}
=
T
T -
ft)dt 2 x(t)exp(-j t) X(f,
CNU Dept. of Electronics
D. J. Kim 27
Lecture on Communication Theory
ex14)
X(t) and Y(t) has zero mean, w. s. s. r. p.
Consider Z(t) = X(t)+Y(t)
Auto correlation of Z(t)
ex15)
X(t), Y(t); Jointly w. s. s. r. p.
where h
1
, h
2
are stable, linear, time-invariant filter
Cross correlation fct. of V(t) and Z(t)
(f) S (f) S (f) S
ed uncorrelat are Y(t) and X(t) when
(f) S (f) S (f) S (f) S (f) S
) ( R ) ( R ) ( R ) ( R ) ( R
u) - t (let
u) (t, R u) (t, R u) (t, R u) (t, R
] E[Z(t)Z(u) u) (t, R
Y X Z
Y YX XY X Z
Y YX XY X Z
Y YX XY X
Z
+ =
+ + + =
+ + + =
=
+ + + =
=
=
+ =
}
X(t)
Y(t)
V(t)
Z(t)
h
1
(t)
h
2
(t)
CNU Dept. of Electronics
D. J. Kim 28
Lecture on Communication Theory
CNU Dept. of Electronics
D. J. Kim 29
Lecture on Communication Theory
4.12 Gaussian Process
1. Definition
Process X(t) is a Gaussian process if every linear functional
of X(t) is a Gaussian r. v.
If the r. v. Y is a Gaussian distributed r. v. for every g(t), then
X(t) is a Gaussian process
v. r. : Y fct., some : g(t)
g(t)X(t)dt Y
T
0
}
=
|
.
|
\
|
=
= =
(
=
2
y
exp
2
1
(y) f
N(0,1) : on distributi Gaussian 1) 0, ( normalized
2
) (y
exp
2
1
(y) f
2
Y
2
Y Y
2
Y
2
Y
Y
Y
CNU Dept. of Electronics
D. J. Kim 30
Lecture on Communication Theory
2. Virtues of Gaussian process
1) Gaussian process has many properties that make analytic
results possible
2) Random processes produced by physical phenomena are
often such that a Gaussian model is appropriate.
3. Central Limit Theorem
1) Let X
i
, I = 1, 2, , N be a set of r. v. that satisfies
a) The X
i
are statistically independent
b) The X
i
have the same p. d. f. with mean
X
and variance o
X
2
X
i
: set of independently and identically distributed (i. i. d.) r. vs.
Now Normalized r. v.
< Central limit theorem >
The probability distribution of V
N
approaches a normalized
Gaussian distribution N(0,1) in the limit as N approaches
infinity. Normalized r. v. r. v.
N(0,1) .
=
=
=
=
= =
N
1 i
i N
i
i
X i
X
i
Y
N
1
V v. r. define
1 ] var[Y
0 ] E[Y
N. , 1,2, i , ) (X
1
Y
CNU Dept. of Electronics
D. J. Kim 31
Lecture on Communication Theory
4. Properties of Gaussian Process
1) Property 1.
X(t) h(t) Y(t)
If a Gaussian process X(t) is applied to a stable linear filter,
then the random process Y(t) developed at the output of the
filter is also Gaussian.
2) Property 2.
Consider the set of r. v. or samples X(t
1
), X(t
2
), , X(t
n
)
obtained by observing a r. p. X(t) at times t
1
, t
2
,
, t
n
.
If the process X(t) is Gaussian, then this set of r. vs. are
jointly Gaussian for any n, with their n-fold joint p. d. f. being
completely determined by specifying the set of means
and the set of auto covariance functions
3) Property 3.
If random variables X(t
1
), X(t
2
), , X(t
n
) from Gaussian
process X(t) are uncorrelated, i. e.
then these random variables are statistically independent
4.13 Noise
External: e. g. atmospheric, galactic, man-made noise
Internal: e. g. spontaneous fluctuation of I or V in electric
circuits shot, themal noise
Gaussian P.
Gaussian P.
stable, linear
k i 0, )] ) )(X(t ) E[(X(t
) X(t i ) X(t k
i k
= =
n , 1,2, i , )] E[X(t
i ) X(t
i
= =
) ) )(X(t ) E[(X(t ) t , (t C
) X(t i ) X(t k i k X
i k
=
CNU Dept. of Electronics
D. J. Kim 32
Lecture on Communication Theory
Channel Test Model
Multipath
Hum
Amplitude
Mod.
120Hz+
Harmonics
Micro-Reflections
h
1
(t)
H
1
(f)
Ingress
(Shortwave
rad.or
CB,ham)
Common
Path
Distortion
Products
(Nonlinear
device)
Thermal
Noise
Impulse
Noise
on/off
H
2
(f) f(x)
Phase
Noise and
Freq.
Offset
Burst
Noise
Co-channel
Interference
Adjacent
Channel
Interference
Plant
Response
(Group delay)
Non Linearity
(Amp
clipping
laser)
Demod
White Noise Impulse Noise
Attenuation
Multipath
E
Modulation
Modulation
< H. W > Chap 4, 4.6, 4.15, 4.23