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ensemble average
time average: mean: mean-square: variance: auto-correlation:
variance:
covariance :
first-order probability density function second-order probability density function If time average = ensemble average ergodic ensemble
If and if
and
, i.e. constants, ,
wide-sense stationary (weakly stationary) If If ergodic in the mean ergodic in the autocorrelation
example 1: example 2:
z-transform:
2 x = p, s x = p ( - p ) 1
B. Binomial distribution
A series of independent Bernouilli trials with the same probability of success produces k0 successes. z-transform:
no success
PMF:
definition of z-transform
k = np, s = np( - p ) 1
2 k
C. Geometric distribution
Number of Bernoulli trials after any one success and before the first next success, including this events. PMF:
first success
l1 =
1 1- p , s l21 = 2 p p
(continuous limit)
k = m , s k2 = m
B. Erlang distribution
Time interval between any one success and the r-th success after that.
l1 =
1 1 , s l21 = 2 l l
lr =
r r , s l2r = 2 l l
e e
x y
(z -1) (z -1)
(x
w
+ y
)(z -1)
w0
- w
w0 !
(w
= x + y
)
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Mn = y
ii)
binomial distribution
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Poisson distribution A sequence of single Bernoulli trials with a constant and small probability of success produces a Poisson distribution. independent Bernoulli trials with the probability of success ( : constant, ) = definition of Poisson process Physically, it corresponds to a memoryless system with a very fast internal relaxation.
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about k0 :
binomial PMF:
pn
Gaussian distribution cf. The central limit theorem Regardless of the individual random variable PDF, the sum of n independent identically distributed random variables converges to the Gaussian PDF as . s-transform:
1 4 0 0 0.5 1 p
n-constant
binomial distribution If the number of incident particles fluctuates, the final particle number does not obey a simple binomial distribution.
initial distribution
binomial distribution
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A statistically stationary process is not absolutely integrable, so strictly speaking, its Fourier transform does not exist.
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gated function:
absolutely integrable
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: energy theorem
component of
ensemble average
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ensemble average
: non-stationary process
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: mean square
: Lorentzian If (infinitesimally short memory time), the power spectrum becomes white. Example 2 Wiener-Levy process
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x(t) t=0
t=0
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covariance
(Wiener-Khintchine theorem)
If
(white noise)
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: no correlation
x(t) frequency w(t) velocity v(t) current i(t) phase f(t) position x(t) charge q(t)
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Autocorrelation Function
1 0.5
-1
10-1
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The autocorrelation function and unilateral power spectrum of a stationary noisy waveform.
Autocorrelation Function
-1
10-1
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The autocorrelation function and unilateral power spectrum of a nonstationary noisy waveform y(t).
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1.5.4 Cross-correlation
x(t), y(t): statistically stationary process cross-correlation function
cross-spectral density
1 -1 0
t3 tk
i) k = m
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ii)
e i wt m
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Carson theorem
Parseval theorem
1/2
: mean-square
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Campbells theorem of mean 1.6.3 Shot noise in a vacuum diode cathode QC = -CV - + -q - + electron + + + + + + + + + + surface charge QA = CV anode
V When an electron is thermionically emitted, this event creates an additional surface charge of +q on the cathode. This surface charge shields the electric field created by the electron and realizes charge neutrality inside the cathode conductor.
As the electron travels from the cathode to the anode, the surface charge on the cathode decreases and the surface charge on the anode increases. This change in the surface charge is achieved by an external circuit current.
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Ramo Theorem
If an external circuit has a negligible resistance, the voltage between the two electrodes is kept constant. constant voltage operation energy gain by an electron circuit relaxation current electron velocity energy supply by a current transit time
If each electron emission is independent, such a memoryless system obeys Carsons theorem. If the electron transit time is much shorter than any relevant time constants, we can assume the relaxation current pulse is an impulse with a constant area q. infinite noise power Carsons theorem
Si (w ) = 2v a 2
a2 = q2
white
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If the electron transit time is not negligible, the Fourier transform of i(t) provides the information about the cut-off of shot noise component. finite noise power If an external circuit has a finite resistance and thus a finite circuit relaxation time , the voltage between the two electrodes is no more constant. However, if the average inter-emission time of electrons is much longer than the circuit relaxation time , each electron emission process is still considered as an independent process. constant voltage = memory-less
t If the average inter-emission time of electrons becomes shorter then the circuit relaxation time, electron emission process becomes self-regulated sub-Poissonian process. constant current operation
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i (t ) d (w )
0 cut-off frequency
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