Com Theory Ch2 PDF

COM
5120
Communications Theory
Chapter 2
Deterministic and Random
Signal Analysis
Jen-Ming Wu
Inst. Of Communications Engineering
Dept. of Electrical Engineering
National Tsing Hua University
Email: jmwu@ee.nthu.edu.tw
Fall, 2017
NTHU COM5120 -Communications Theory
Outline
l Deterministic Signal Analysis
Fourier and Hilbert analysis
Bandpass and lowpass signal representation
l Random Signal Analysis

Random variables
Bounds on tail probabilities
Random processes
Series expansion of random processes
2
Fourier Analysis
l Fourier Transform

2
For a non-periodic signal x(t), x(t ) dt <
-

X ( f ) = x(t ) exp ( - j 2p ft )dt
-

x(t ) = X ( f ) exp ( j 2p ft )df
-
l Fourier Series

2
For a periodic signal x(t) with period T0, x0 (t ) dt <
-

x (t ) = x (t - nT ) = c
n =-
0 0
n =-
n exp( j 2p nf ot )
1
where cn =
T0 -
x0 (t ) exp(- j 2p nf ot )dt , n = 0, 1, 2,...
l Please check the book for the F.T. pairs and properties.3
Fourier Transform of Periodic Signals

2
l Given a periodic signal x(t) with period T0, x0 (t ) dt <
-

x (t ) = x (t - nT ) = x (t ) * d ( t - nT )
n =-
0 0 0
n =-
0
l From Fourier transform pairs, it can be shown that

d ( t - nT ) f d ( f - nf )
n =-
0 0
n =-
0

then X ( f ) = X 0 ( f ) F d ( t - nT0 )
n=-
= X 0 ( f ) f 0 d ( f - nf 0 )
n =-

= f0 X ( nf ) d ( f - nf )
n =-
0 0 0

where X 0
( f ) = - x0 (t ) exp ( - j 2p ft )dt
4
Fourier Transform of Periodic Signals

2
l For the periodic signal x(t) with period T0, x0 (t ) dt <
-

x (t ) = x (t - nT ) = x (t ) * d (t - nT )
n =-
0 0 0
n =-
0

X ( f ) = X 0 ( f ) f0 d ( f - nf )
n =-
0
X( f ) is a
= f0 X
n =-
0 ( f 0 )d ( f - nf 0 ) discrete signal
x( t ) is a
periodic signal x(t ) X(f )
t f
-T0 T0
- f 0 f 0 2 f 0 3 f 0
5
Hilbert Transform
l Hilbert transform
1 x(t )
1
x ( t ) = dt = x(t ) *
p - t - t p t
l Inverse Hilbert transform
1 x (t )
1
x ( t ) = - dt = - x (t ) *
p - t - t p t
l F.T. versus H.T. in communication systems?
The F.T. is used for evaluating the frequency content that
provides the math basis for analyzing frequency response.
The H.T. shifts the phase of a signal so that the phase shift
between signals can be utilized to separate signal in
communication systems.
6
Hilbert Transform
l The Fourier Transform of H.T. pairs
x(t ) X ( f )
x ( t ) X ( f )
l What is the relation between X ( f ) , and X ( f ) ?

1
Since x ( t ) = x(t ) * X ( f ) = - j sgn( f ) X ( f )
p t
1 F .T .
Note from F.T. pair: - j sgn( f )
p t
l The Hilbert transform is called a quadrature filter that
shift the phase of x(t) by p/2 in time domain.
Ex : x(t ) = cos(2p f ct ) x (t ) = sin(2p f ct )
7
Hilbert Transform Pairs
x(t ) = cos(2p f ct ) x (t ) = sin(2p f ct )
1
\ X ( f ) = [d ( f - f c ) + d ( f + f c ) ] ,
2
1
X ( f ) = - j sgn( f ) X ( f ) = [d ( f - f c ) - d ( f + f c ) ]

2j
sin(2p f c t ) - cos(2p f c t )
sin(t ) 1 - cos(t )

t t
1
d (t )
p t
1
-pd (t )
t
8
Hilbert Transform of Low Pass Signal
Given the low-pass signal x(t ) with H.T. x (t ),
1
then X ( f ) = sgn( f ) X ( f )
j
X(f ) sgn( f ) X ( f )
X (0)
X (0)
f
f
-W W -W W
- X (0)
9
Pre-envelopes
l Motivation
Q1: How to represent positive/negative frequency parts of a
signal in time domain?
Q2: How can we modify the frequency content of a real-valued
signal x(t) ? For example, elimination of the negative
frequency components of a signal in time domain?
lPre-envelope for positive frequency:
1 j
x+ (t ) = x(t ) + x (t )
2 2
1 1 X(f )
X + ( f ) = X ( f ) + sgn( f ) X ( f )
2 2 X (0)
X ( f ), f >0
1
f
= X (0), f =0
2
0, f <0 -W W
10
Pre-envelopes
lPre-envelope for negative frequency:
1 j
x- (t ) = x(t ) - x (t )
2 2
X(f )
1 1
X - ( f ) = X ( f ) - sgn( f ) X ( f ) X (0)
2 2
0, f >0
1 f

= X (0), f =0 -W W
2
X ( f ), f <0
l The pre-envelope signal represents the positive or negative
frequencies of a signal and is usually complex in time domain.
11
Pre-envelopes
lProperties of pre-envelope signal
(1) x+ (t ) X + ( f ) : positive frequency part of X ( f )
x- (t ) X - ( f ) : negative frequency part of X ( f )
(2) x(t ) = x+ (t ) + x- (t )
X ( f ) = X + ( f ) + X - ( f )
(3) The positive and negative pre-envelopes are conjugate

to each other,
x - (t ) = x + (t )
*
12
Complex Envelope and Band-pass Signal
l Given the real-valued symmetric band-pass signal
X ( f ) = X + ( f ) + X - ( f ) = X + ( f ) + X +* ( - f )
Define the low-pass signal of x(t ) be xl (t ) = xI (t ) +jxQ (t ) so that

X l ( f ) = 2 X + ( f + f0 )
xl (t ) = xI (t ) +jxQ (t ) is called
the complex envelope of x(t ).
Q: What is the physical meaning of
xI (t ) and xQ (t ) in the system?
The passband signal can be represented
1
by the lowpass signal X ( f ) = X l ( f - f 0 ) + X l* ( - f - f 0 )
2 13
Complex Envelope and Band-pass Signal
l The envelope of band-pass signal is
1 X ( f ), f > 0
x+ ( t ) = xl (t ) exp( j 2p f 0t ) i.e. X + ( f ) =
2 0, f 0
xl (t ) = 2 x+ ( t ) exp(- j 2p f 0t )
= ( x(t ) + jx (t ) ) exp(- j 2p f 0t )
xl (t ) exp ( j 2p f 0t ) = x(t ) +jx (t )
As result, x(t ) = Re { xl (t ) exp( j 2p f 0t )}
= xI ( t ) cos(2p f ot ) - xQ ( t ) sin(2p f ot )
{ {
In-phase Quadrature
component phase
of x ( t ) component
of x ( t )
14
Outline
l Deterministic Signal Analysis
Fourier and Hilbert analysis
Bandpass and lowpass signal representation
l Random Signal Analysis

Random variables
Bounds on tail probabilities
Random processes
Series expansion of random processes
15
Random Variable
l A random variable (r.v.) X is a mapping
from the sample space S to a real number
space R , i.e. X : S R
l A random variable can be defined by the

distribution functions
FX ( x ) = PX [X x ]
d Probability
or f X ( x ) = FX ( x ) density function
dx 16
Properties
1. For function g(), the expectation of g(X) is
E[g ( X )] = g ( X ) f X (x )dx

or g ( X )P (x )
X
X
When g (X )= X , then E
g (X ) = E [X ]= mX (mean)

2
When g (X )= (X - mX ) ,

g (X ) = E
(
2
X)
2
then E X - m = s X (variance)

17
Properties
2. For two random variables X and Y , we say

X and Y are
(1) independent if f X ,Y (x, y )= f X (x ) fY (y )

(2) uncorrelated if E [XY ]= E [X ]E [Y ]
18
Properties
3. Moment generating function
g ( X ) = e sX , "s
E[g ( X )] = E e [ ] y
sX
X (s )
Moment generating function
d
y X (s ) = E [X ]= mX First moment
ds s= 0
2
d
2
y X (s ) = E
X

2
= s 2
X + m2
X Second moment
ds s= 0
19
Bounds on tail probability
(1) Markov Inequality
Given a non-negative r.v. X , and a > 0, a R +
E[X ]
P[X a ]
a
proof

E [ X ] = x f X ( x ) dx x f X ( x ) dx
- a

a f X ( x ) dx = a P [ X a ]
a
20
Bounds on tail probability
(2) Chernov Bound
P X a e y X (s ) , " a > E[X ]
[ ] - sa
Proof s>0
P [ X a ] = P e e
sX sa
By Markov inequality
E e sX
P e sX esa = e- say X ( s ) , "a > E [ X ] , "s > 0
e sa
Note:
The Chernov bound is a function of s.
There exists an optimal value of s that minimize the Chernov
bound which depends on the distribution function of X. 21
Some useful random variables
(1) Bernoulli random variable X
P[X = 1] = p , P[X = 0] = 1 - p
X = E[X ] = p
2
X [
= E ( X - X ) = p(1 - p )
2
]
(2) Binomial random variable X n
= Sum of n indep. Bernoulli r.v.s = X
i =1
i
n k
P[X = k ] = p (1 - p ) , k = 0,1,!, n
n -k
k
X = np ; X2 = np (1 - p )
22
(3) Gaussian random variable X
X is a Gaussian r.v. if
- ( X - X )2
1
f X (x ) = e 2 2X
,
2
2 X
denoted by X ~ N ( X , X2 )
completely defined by X and 2

X
(degree of freedom = 2)
23
Let X ~ N (0, 1) , define Q - function
Q (x) 1 FX (x ) P [X x]
- t2
1
= e dt , x > mX
2
x 2p
= The tail probability of a Gaussian function
Note 1 1 x
erfc ( x ) e dt Q ( x ) = erfc
-t 2

x p 2 2
Let X ~ N (0, s 2
X ) , then
-t 2
1 x
P[X x ] =

2s X2
e dt = Q
x 2p s X s X
24
Chernov bound of Gaussian random variable
- x 2
Q (x ) exp
proof 2
By Chernov bound
Q (x ) e- sxy X (s ) = e- sx E[esX ], "s
The tightest bound (i.e. min.) of the Chernov bound
occurs when
s
{ - sx
e E e }= 0

sX
- sx sX
e E Xe

- sx
xe E e
sX
0

E sX
Xe sX
xE e
25
where
- t 2
(i) E e [ ] sX
=
1

st 2
e e dt
2p -
s2 s2
1 s t 2 2
=
2p -
exp - - st + dt e = e
2 2
2 2
$!!!!! !#!!!!!! "

2
=1
[ ] [ ]
s
d
(ii) E Xe sX
= E e = se
sX 2
ds s2 s2
[
E Xe sX
]- xE[e ] = 0 se
sX 2
- xe 2
= 0 s = x
The Chernov bound at s = x is then
s2 x2 - x 2
Q (x ) e E[e - sx sX
]= e - sx 2
e =e e - x 2 2
=e 2
, Q.E.D26
Tighter than the Chernov bound?
1 - x 2
n It can be shown that Q (x ) exp
2 2
Proof: Given X N
~ ( )
0
, 1
, then
1 u 2

1 v 2
1 u 2 + v2
2 - - -
(Q (x)) =
e du 2
e dv =
2
e 2
dudv

2p x 2p x
2p x x
2 2 2 - 1 u
Let r = u + v , q = tan
v
r2
2 1 -
(Q (x)) e 2
rdrd q
2p r q
r2 p
1 -
2p re 2x
2
dr
0
2
dq
1
2
r x2
e- p 1 - x2 1 -
2
e , Q (x) e 2
2p

2 4 2
2x
27
(4) Complex random variable
X = X1+j X2
Let X1 and X2 be jointly Gaussian r.v. with joint prob
density f (X1, X2 ).
X = X + jX ; = E[( X - X )( X - X )
1 2
2
X
*
]
If X1 and X2 are i.i.d. (independent and identically distributed)
Gaussian r.v.s with X 1 = X 2 (e.g. N0/2)
2 2
X2 = X2 1 + X2 2
In this case, X is called circularly symmetric
complex Gaussian or X ~ CN (X , X2 )
28
(5) Rayleigh distributed random variable
If X
1 and
X
2 are i.i.d. Gaussian r.v.s with
X 1 , X 2 ~ N (0, ) , then X = 2
1 + X
X 2 2
2 is a
Rayleigh r.v. with PDF
- x 2
x
f X (x ) = 2 e , x > 0 2 2

p 2
X = ; X = 2 -
2
2 2
Example: Let Y= X 1 +j X 2 , which is a complex Gaussian random variable.
If X = Y , then X = X12 + X 22 is a Rayleigh distributed r.v.
29
(6) Rician distributed random variable
If X1 and X2 are i.i.d. Gaussian r.v.s with
X1 , X 2 ~ N ( , ), then X = X 12 +
2
X 22 is a Rician
r.v. x 2 + u X2
x u X x
f X ( x ) = 2 exp - I o ( 2 ), x > 0
s 2s 2
s
- K2 K K
X = e (1 + K ) I 0 ( 2 ) + KI1 ( 2 ) ;
2
2
E[X 2 ]=2 2 + 2 , where K =
2
Example: Let Y= X 1 +j X 2 , which is a complex random variable.
If X = Y , then X = X12 + X 22 is a Rician distributed r.v.
30
2
(7) Chi-square (c ) distributed random variable
If X i , i = 1,
2,
K , n are i.i.d. Gaussian r.v.
with X i ~ N ( 0 ), then X = X 1 + X 2 ! + X n
, 2 2 2 2
is a Chi-square r.v. with n-degrees of freedom

with PDF n - x
1 -1
f X (x ) = x e ,x>0
2 2 2
2
n n n
2 G
2

where G ( x ) = t x - 1 e - t dt
is the gamma function
0
Special casen = 2, X = X 12 + X 22 is the power of
complex Gaussian r.v. Y = X 1 + jX 2
31
Random Vector
X = [X 1 , X 2 ,!, X N ] is a finite collection
T
of r.v.s mapping from S to Rn
where Xi are real or complex random variables.

Q: Could you find an example of application scenario
using random vector in communication systems?
32
Gaussian random vector X
X is joint Gaussian and is characterized by
its joint distribution function with mean vector
X = [X1 , X 2 ,!, X N ] T
and covariance matrix

*T
C X = E[( X - X )( X - X ) ] C NN
1 1
f X (X ) = 1
T -1
exp- ( X - X ) C X ( X - X )
(2p ) 2 C X 2 2
N
where C X = determinant of C X
33
Random Process (r. p.)
A r.p. {X(t)} is an infinite collections of r.v.s
with mapping onto a functional space
34
For fixed t 0 , X ( t ) ( t 0 ) is a random variable
X
( t ) X i ( t ) is a sample function
For fixed s i , X
A r.p. X(t) is completely characterized by all

finite order distributions
FX (t1 ), X (t2 ),!, X (tn ) ( x1 , x2 ,!, xn ) , "t1 ,!tn , "n
35
Statistical Properties
(1) Mean X ( t ) = E X ( t ) a time function
(2) Autocorrelation RX (t1 , t2 ) = E X (t1 )X (t2 ) [ *

]
(3) Cross-correlation RXY (t1, t2 ) = E X (t1 )Y * (t2 ) [ ]
36
Remarks
We say two random processes X(t) and Y(t) are
(1) Uncorrelated if
E X ( t1 ) Y ( t2 ) = E X ( t1 ) E Y ( t2 )
= X ( t1 ) Y ( t2 ) , "t1 , t2
(2) Orthogonal if E X (t1 )Y (t2 ) = 0, " t1 , t2
(3) Independent if
FXY (x1 K xn , y1 K yn )= FX (x1 K xn )FY (y1 K yn )
or f XY (x1 K xn , y1 K yn )= f X (x1 K xn ) fY (y1 K yn ), " n
37
Stationary random process
(1) Strict Sense Stationary (SSS)
n , the r.v.s {X (t1 ),!, X (tn )} and
For "
{X (t1 + t ),!, X (tn + t )} are identically
distributed, i.e.
f X (t1 )K X (tn ) (x1 K xn )= f X (t1 + t )K X (tn + t ) (x1 K xn ), " n
Q: What is the physical meaning of stationary?
A: A stationary process means that the observation of
X(t) statistics is shift-invariant.
SSS concerns any high order of statistics and is
generally difficult to prove.
38
(2) Wide Sense Stationary (WSS)
A r.p. is said to be WSS if
(i) Mean: X (t ) = Const.
(ii) Autocorrelation: a function of time difference t1 t2 only.
RX ( t1 , t2 ) = E X ( t1 ) X * ( t2 )
= E X ( t1 + t ) X ( t2 + t )
*
= RX ( t1 - t2 )
WSS concerns only the 1st and the 2nd orders of statistics.
Q: Why should we care about WSS?
A: The signal amplitude and power are what we can observe
typically. 39
(3) Cyclo-Stationary (Cyclo-S)
X (t ) is cyclo-stationary with period T if
f X (t1 )!X (tn ) ( x1 ! xn ) = f X (t1 +T )!X (tn +T ) ( x1 ! xn ) ,
"n, "(t1,!, tn )
The statistical properties are periodic.
(4) Wide-Sense Cyclo-Stationary (WSCS)
A r.p. X(t) is WSCS if the mean and autocorrelation
functions are periodic.
(i) E X
(t ) E X (t kT ) , k Z
(ii) RX (t1,t2 ) = RX (t1 + kT,t2 + kT ) , "k Z, "t1, t2
40
Ex. Let s(t) be a finite energy signal pulse and the
discrete r.p. bk be WSS with mean
b and the
autocorrelation depends on n only, Rb (n ) = E bk + n bk* [ ]
Then the transmitted waveform

X (t ) = b s(t - kT )
k is WS cyclo-stationary
k = -
proof
(i) The 1st order statistics
X (t )= E
X
(t ) = E [bk ] s (t - kT )
k
= b s (t - kT )= b s (t + T - kT )
k k
= mX (t + T )
41
proof
(ii) The 2nd order statistics

RX (t1 , t2 )= E
X (t ) X *
(t )
1 2
= E
b
b
k l
*
s (t - kT )s *
(t - lT )
k l
=
k l
Rb (k - l ) s (t - kT )s (t - lT ) *
=
k l
Rb
( ) ( ) (
k - 1 - l - 1 s t + T - kT ) (t + T - lT )
s *
= RX (t1 + T , t2 + T )
From (i) and (ii), X(t) is wide sense cyclo-stationary.

42
Gaussian Random Process
( t ) is a real Gaussian r.p. if "n, "(t1,!, tn )
Def. X
X (t1 ), X (t2 ),!, X (tn ) are jointly Gaussian random
variables with joint PDF
1 1
f X ( x1 ,K xn ) = n 1
T -1
exp - ( X - X ) ( X - X )
( 2p ) 2
L 2 2
where X = E[X ] ,

( )(
R N N
)
T
= E X - X -
X X
X 1 - X
1

( )

= E

M
(
X 1 - X1 ,K , X N - X N ) ( )

(
X N - X N )
f X (x1,! xn ) is characterized by X (t ) and RX (t1, t2 ) , "t1,t 2
43
Gaussian Random Process
( t ) is a complex Gaussian r.p. if "n,
Def. X
"t1,!, tn , X (t1 ),!, X (tn ) are jointly Gaussian
complex random variables with joint PDF
1 1
f X (x1 ,! xn ) = n -1
exp- ( X - X ) ( X - X )
H
p L 2
f X (x1,! xn ) is characterized by
[
X (t ) and RXX * (t1, t2 ) = E X (t1 )X * (t2 ) ]
NoteA WSS real Gaussian r.p. X (t )
i.e. X (t ) = Const. and RX (t1,t2 ) = RX (t1 - t2 )
( t ) is also a SSS
then X 44
Ergodicity
( t ) is ergodic in the mean if
Def. X
1 T2
E[X (t )] = lim T X (t )dt = X
T T - 2

statistical average time average
( t ) is ergodic in the autocorrelation if

Def. X
[ ] 1 T
E X t + t X t = lim T X t + t X (t )dt
( ) *
( ) 2
( ) *
T T - 2

time-average autocorrelation
NoteWith the assumption of ergodic r.p. , we can
X ( t 1 ,t 2 ) and hence the PDF of
X ( t ) and R
obtain the
a Gaussian r.p. 45
Transmission of a r.p. through a
Linear Time-Invariant (LTI) system
l Passing a deterministic signal x(t) through a LTI system h(t)
l Passing a r.p. X(t) through a LTI system h(t)
Y ( t ) = h (t -t ) X (t ) dt
The convolution relationship still holds.

46
Passing a WSS r.p. X(t) through a LTI system h(t)
Mean Y ( t ) = E Y ( t ) = E[ h (t ) X ( t - t ) dt ]
= h (t ) E X ( t - t ) dt
= X h (t ) dt = X H ( 0 ) = const
Autocorrelation
[
RY (t1,t2 ) = E Y (t1 )Y * (t2 ) ]
= E[ h (t 1 )X (t1 - t 1 ) dt 1 h* (t 2 )X * (t2 - t 2 ) dt 2 ]

[
= dt 1h (t 1 ) dt 2h (t 2 ) E X (t1 - t 1 )X (t2 - t 2 )
- -
* *
]

= dt 1h (t 1 ) dt 2h (t 2 )RX (t1 - t2 - t 1 + t 2 )
*
- -
47
Passing a WSS r.p. X(t) through a LTI system h(t)
Let t = t1 - t2

RY (t1 ,t2 )= dt 1 h (t 1 ) d t 2 h (t 2 )RX (t - t 1 + t 2 )
*
= RX (t )* h (t )* h (- t ) *
RY (t1 ,t2 ) is f X of

= RY (t ) H(f) H*(f)
The LTI output Y(t) is still WSS !
Note If we define S X ( f )= F {RX ( )}
SY ( f )= F {RY ( )}
2
then SY ( f )= S X ( f ) H ( f )
S X ( f ) is called the power spectral density of X (t ).
48
Spectral Analysis
DefineThe power spectral density of X (t )

is S ( f ) = RX (t ) e - j 2pft dt
-
Properties of S ( f )

(1) S X ( 0 ) = RX ( )d d.c. power of X (t )
power = E[X (t )] = RX (0 )
-
(2) Average
2

= S X ( f ) df Area of PSD
-

where RX ( ) = S X ( f ) e j 2 f
df
-
49
Properties of S ( f )
(3) Non-negative S X ( f ) 0, "f

(4) If X (t ) is real valued r.p., then S ( f )= S (- f )
proof
Since RX (t ) = E X ( t1 ) X ( t2 ) (t1 - t2 = )
RX ( -t ) = E X ( t2 ) X ( t1 ) (t2 - t1 = - )
RX (t ) = RX ( -t ) ,

so S X ( - f ) = RX (t ) e j 2p f t
dt = RX ( -t ) e j 2p f t dt
- -

Let t = -t S X ( - f ) = RX (t ) e - j 2p f t dt = S X ( f )
-
50
Serial Expansion of Random Process
(1) Sampling Theorem (for deterministic signals)
Let the deterministic real signal x(t) be bandlimited
with bandwidth W then x(t) can be represented by the
discrete samples x[n] = x(nT )
at Nyquist rate 1 2W , i.e.
T
x (t ) =

x (nT
n = -
) sinc {
(t - nT )
T
}
n n
= x sinc t - 2W
n 2W 2W
= x[n ]fn (t )
n
51
QDo we have an equivalent sampling theorem
for the random process?
Can we represent the r.p with a set of random
variables?
For a bandlimited r.p. X(t) with S X ( f ) 0, f W
n
X (t )= X (nT ) sinc 2W t -
1442 443 2W
Seq. of r.v. 14444444
42 444444443
n

f n (t )
r.p.
= X nf n (t )
n
There are different ways to expand X (t )

52
Serial Expansion of Random Process
(2) Karhunen-Love (K-L) Expansion (1955)
If { f n ( t ) } are the eigen functions of COV
function of X ( t ) , then we have { X
n } to be
mutually uncorrelated
Use the least number of r.v. { X n } to represent X ( t )

K - L expansion : X (t ) = X nfn (t ) , a < t < b
n =1
b
where X n = X ( t ) , jn ( t ) = X (t)j ( t ) dt *
n
a
b b 1 , n = m
jn ( t ) dt = 1 , jn ( t ) j ( t ) dt =
2

*
m
a a
0, n m 53
The basis jn ( t ) are eigen functions of the cov function,
b
C X ( t1 ,t2 ) jn ( t2 ) dt2 = lnj n ( t ) , a < t < b
a
{
and CX ( t1 ,t2 ) = E X ( t1 ) - X ( t1 ) X ( t2 ) - X ( t2 )
*
}
= RX ( t1 ,t2 ) - X ( t1 ) X * ( t2 )
It can be shown that {Xn} are uncorrelated,

[(
i.e. COV[X n ,X m ] = E X n - X n X m - X m )( )]
* ln , if n = m
=
0 , if n m
It can be also shown that the C d , e can be decomposed as

C X (t1,t2 ) = lnfn (t1 )fn* (t2 ) , a < t1 , t2 < b
n =1
This is called Mercers Theorem
54

Com Theory Ch2 PDF

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l Random Signal Analysis

l From Fourier transform pairs, it can be shown that

l What is the relation between X ( f ) , and X ( f ) ?

(3) The positive and negative pre-envelopes are conjugate

Define the low-pass signal of x(t ) be xl (t ) = xI (t ) +jxQ (t ) so that

l Random Signal Analysis

l A random variable can be defined by the

2. For two random variables X and Y , we say

(1) independent if f X ,Y (x, y )= f X (x ) fY (y )

completely defined by X and 2

$!!!!! !#!!!!!! "

is a Chi-square r.v. with n-degrees of freedom

of r.v.s mapping from S to Rn

where Xi are real or complex random variables.

and covariance matrix

A r.p. X(t) is completely characterized by all

FX (t1 ), X (t2 ),!, X (tn ) ( x1 , x2 ,!, xn ) , "t1 ,!tn , "n

(1) Mean X ( t ) = E X ( t ) a time function

(2) Autocorrelation RX (t1 , t2 ) = E X (t1 )X (t2 ) [ *

From (i) and (ii), X(t) is wide sense cyclo-stationary.

( t ) is ergodic in the autocorrelation if

l Passing a r.p. X(t) through a LTI system h(t)

The convolution relationship still holds.

(3) Non-negative S X ( f ) 0, "f

There are different ways to expand X (t )

It can be shown that {Xn} are uncorrelated,

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