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Random Signals
1. Definitions
Random variables
Ω = {1, 2, 3, 4, 5, 6}
wX (xi ) = P {X = xi }
FX (xi ) = P {X ≤ xi }
FX (xi ) = P {X ≤ xi }
I Gaussian PDF
I Uniform PDF
I ...
Multiple random variables
FXY (xi , yj ) = P {X ≤ xi ∩ Y ≤ yi }
∂ 2 PXY (xi , yj )
wXY (xi , yj ) =
∂x ∂y
I The joint PDF gives the probability that the values of the two r.v. X
and Y are in a vicinity of xi and yi simultaneously
I Similar definitions extend to the case of discrete random variables
Random process
I A pair of random variables f (t1 ) and f (t2 ) sampled from the random
process f (t) have
I joint CDF F2 (xi , xj ; t1 , t2 )
∂ 2 F2 (xi ,xj ;t1 ,t2 )
I joint PDF w2 (xi , xj ; t1 , t2 ) = ∂xi ∂xj
I These functions specify how the pair of values is distributed (are
distributions of order 2)
I Marginal integration
Z ∞
w1 (xi ; t1 ) = w2 (xi , xj ; t1 , t2 )dxj
∞
I (integrate over one variable –> disappears –> only the other one
remains)
Distributions of order n
3. Variance (= dispersia)
Z ∞
2 2
σ (t1 ) = {f (t1 ) − µ(t1 )} = (x − µ(t1 )2 · w1 (x ; t1 )dx
−∞
σ 2 (t1 ) = {f (t1 ) − µ(t1 )}2 = f (t1 )2 − 2f (t1 )µ(t1 ) + µ(t1 )2 = f 2 (t1 )−µ(
Statistical averages - autocorrelation
I Note 1:
I all these values are calculated across all realizations, at a single time t1
I all these characterize only the r.v. at time t1
I at a different time t2 , the r. v. f (t2 ) is different so all average values
might be different
Temporal averages
3. Temporal variance
Z T /2
2 2 1
(f (k) (t) − µ(k) )2 dt
σ = f (k) (t) − µ(k) = lim
T →∞ T −T /2
1 (x −µ)2
f (x ) = √ e 2σ2
σ 2π
Rff (τ ) = f (t)f (t + τ )
Rff (τ ) = δ(τ )
1. Is even
Rff (τ ) = Rff (−τ )
3. Is maximum in 0
Rff (0) ≥ Rff (τ )
2
I Proof: Rff (0) = f (t)2 , Rff (∞) = f (t)