Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 1

Curtin University of Technology, Australia

Random Processes


1 Definition

Formally
A random or stochastic process ( , ) x t is a family of random variables
indexed by the time parameter t and defined on some common probability
space E ( , , Pr), where is the sample space with outcomes , E is a
-algebra, Pr is a probability measure defined on , E and t if ( , ) x t
is a continuous-time random process, or ,
S
t nT = , n if ( , ) x t is a
discrete-time random process with sampling period
S
T


Remarks
1. Suppose = , 1, 2,
i
i is the set of all outcomes of To each
i
is
assigned a time function called a sample function which may or may not
be deterministic. Let ( )
i
x t be the sample function corresponding to
i
Then
= = ( , ) ( ), 1, 2,
i
x t x t i (1)
or simply ( ) ( )
i
x t x t = (2)
In other words, ( ) x t consists of a collection or ensemble of time functions and
( )
i
x t is a realisation of the random process ( ) x t

2. In general, the sample index i in (1) may not be countable, i.e., . i Rather,
i may belong to some interval I on the real line, i.e., i I

3. At each t, ( ) x t is a random variable. Accordingly, ( ) x t may be described by
the time-indexed probability density function (pdf)
( )
( )
x t
f . Take note that
( )
( )
x t
f is the pdf of the values assumed by the ensemble of sample functions
at the time instant t

4. ( ) x t may be real or complex


We denote a continuous-time random process by ( ) x t and a discrete-time
random process by ( ) x n

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 2
Curtin University of Technology, Australia

3
sample space

random variable x()

t
x
1
(t)
t
x
2
(t)
t
x
3
(t)
random process x(, t)
functions of t space
p
1
p
2
p
3
p
1
p
2
p
3
p
2
p
3
p
1
x
1
x
2
x
3
p
i
= Pr{
i
}

1



t
x(, t)

3
t
t
t
x
1
(t)
x
2
(t)
x
3
(t)

t
1
f
x(t1)
(x
1
)
x
1
t
2
f
x(t2)
(x
2
)
x
2
p
1
p
2
p
3



A random process is just a collection or ensemble of time functions, each with
a certain pre-assigned probability of occurrence
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 3
Curtin University of Technology, Australia
2 Probabilistic Description

2.1 Continuous-Time Random Processes

Joint behaviour of the continuous-time random process ( ) x t at N time instants,
1 2
, , , ,
N
t t t ,
i
t can be described by the Nth order probability distribution

1 2
( ) ( ) ( ) 1 2
( , , , )
N
x t x t x t N
F x x x

=
1 1 2 2
Pr : ( ) , ( ) , , ( )
i i i i N N
x t x x t x x t x (3)


If ( ) x t is complex, then

( )
i j j
x t x is interpreted as follows


( ) Re ( ) and Im ( )
i j j i j j i j j
x t x x t x t (4)
where
j j j
x j = (5)


Nth order probability density function (pdf) of ( ) x t is given by the partial
derivative

1 2 1 2
( ) ( ) ( ) 1 2 ( ) ( ) ( ) 1 2
1 2
( , , , ) ( , , , )
n N
N
x t x t x t N x t x t x t N
N
f x x x F x x x
x x x

(6)


If ( ) x t is complex, then Nth order pdf is given by

1 1
2
( ) ( ) 1 ( ) ( ) 1
1 1
( , , ) ( ,, , )
N N
N
x t x t N x t x t N
N N
f x x F x x

(7)


Most complete description of a random process is provided by the family of
Nth order densities for all N and for all possible choices of
1 2
, , ,
N
t t t


( ) x t is said to be a Gaussian random process if its Nth order pdf, for all
N and for all possible choices of
1 2
, , , ,
N
t t t is given by a 2N-dimensional
Gaussian pdf [see (26)]
1


1
N-dimensional if ( ) x t is real
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 4
Curtin University of Technology, Australia
2.2 Discrete-Time Random Processes

The discrete-time random process ( ) x n can be characterised similarly. Only
difference is observation time instants are restricted to the sampling time
instants ,
i i S
t n T =
i
n


Thus, Nth order probability distribution is given by
=

1
( ) ( ) 1 1 1
( , , ) Pr : ( ) , , ( )
N
x n x n N i i i N N
F x x x n x x n x (8)
and Nth order probability density function is given by

1 1
( ) ( ) 1 ( ) ( ) 1
1
( , , ) ( , , )
N N
N
x n x n N x n x n N
N
f x x F x x
x x

(9)
or

1 1
2
( ) ( ) 1 ( ) ( ) 1
1 1
( , , ) ( , , )
N N
N
x n x n N x n x n N
N N
f x x F x x

(10)
where
j j j
x j = (11)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 5
Curtin University of Technology, Australia
3 Ensemble Averages

Ensemble averages provide a simpler, though only partial, characterisation of
a random process


3.1 Continuous-Time Random Processes

Usual to consider only the mean and autocorrelation functions given,
respectively, by

1 ( ) 1 1
( ) ( ) ( )
x x t
m t x t x f x dx

= =

E (12)


1 2
1 2 1 2 1 2 ( ) ( ) 1 2 1 2
( , ) ( ) ( ) ( , )
xx x t x t
r t t x t x t x x f x x dx dx



= =

E (13)

Note ( )
x
m t can be time-varying, and
1 2
( , )
xx
r t t may depend on
1
t and
2
t


Mean and autocorrelation functions can also be interpreted in terms of the
ensemble of sample functions

=
= =

1
( ) ( ) lim ( )Pr
K
x i i
K
i
m t x t x t E (14)

=
= =
1 2 1 2 1 2
1
( , ) ( ) ( ) lim ( ) ( )Pr
K
xx i i i
K
i
r t t x t x t x t x t E (15)
where Pr
i
is (loosely) probability that outcome of the experiment is ,
i
i.e.
Pr
i
is probability of the sample function ( )
i
x t being observed


Auto-covariance function is defined by


1 2 1 1 2 2
( , ) ( ) ( ) ( ) ( )
xx x x
c t t x t m t x t m t

l l
=
l l
l l
E

2 1 2 1 2 1
( , ( ) ) ( ) ( , )
xx x x xx
c t t r t t m t m t

= (16)
and if
1 2
, t t t = = we have the variance function


2 2
( ) or Var ( ) ( , ) ( ) ( )
x xx x
t x t c t t x t m t = = E (17)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 6
Curtin University of Technology, Australia
Properties of
1 2
( , )
xx
r t t include:
(i)
2
( , ) ( )
xx x
r t t t = is real and non-negative for all t (18)
(ii)
1 2 2 1
( , ) ( , )
xx xx
r t t r t t

= (19)
(iii)
2

1 2 1 1 2 2 1 2
( , ) ( , ) ( , ) , ,
xx xx xx
r t t r t t r t t t t (20)
(iv)
1 2
( , )
xx
r t t is positive semi-definite, i.e.,

1 1
( , ) 0 , for any ,
k k
i j xx i j i j
i j
a a r t t a a

= =

(21)

If ( ) x t is real, then
(v)
1 2
( , )
xx
r t t is real for all
1
t and
2
, t and is non-negative if =
1 2
t t (22)
(vi)
1 2 2 1
( , ) ( , )
xx xx
r t t r t t = (23)
(vii)
1 2 1 1 2 2 1 2
( , ) ( , ) ( , ) , ,
xx xx xx
r t t r t t r t t t t (24)
(viii)
1 1
( , ) 0 , for any ,
k k
i j xx i j i j
i j
a a r t t a a
= =

(25)


Nth order pdf of the complex Gaussian random process ( ) x t is given by

1
1 2
( ) ( )
( ) ( ) ( ) 1 2
1
( , , , )
H
x xx x
N
x t x t x t N
N
xx
f x x x e
x m C x m
C
(26)
where [ [
1 2
T
N
x x x = x (27)
[ [
1 2
( ) ( ) ( )
T
x x x x N
m t m t m t = m (28)
[ [[ [

H
xx x x
= C x m x m E (29)
and
xx
C denotes the determinant of
xx
C


2
Proof follows from the Schwarz inequality

2
2 2
XY X Y E E E
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 7
Curtin University of Technology, Australia
If ( ) x t is a real Gaussian random process, its Nth order pdf is given by

1 1
2
1 2
( ) ( )
( ) ( ) ( ) 1 2
1 2 2
1
( , , , )
(2 )
T
x xx x
N
x t x t x t N
N
xx
f x x x e
x m C x m
C
(30)


As can be seen from (26) and (30), a Gaussian random process is fully
specified by its mean and auto-covariance functions



3.2 Discrete-Time Random Processes

Corresponding statements for ( ) x n are as follows

Definitions

=
= = =

1 ( ) 1 1
1
( ) ( ) ( ) lim ( )Pr
K
x x n i i
K
i
m n x n x f x dx x n E (31)

=
= =
=

1 2
1 2 1 2 1 2 ( ) ( ) 1 2 1 2
1 2
1
( , ) ( ) ( ) ( , )
lim ( ) ( )Pr
xx x n x n
K
i i i
K
i
r n n x n x n x x f x x dx dx
x n x n
E
(32)



1 2 1 1 2 2
( , ) ( ) ( ) ( ) ( )
xx x x
c n n x n m n x n m n

l l
=
l l
l l
E

2 1 2 1 2 1
( , ( ) ) ( ) ( , )
xx x x xx
c n n r n n m n m n

= (33)


2 2
( ) or Var ( ) ( , ) ( ) ( )
x xx x
n x n c n n x n m n = = E (34)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 8
Curtin University of Technology, Australia
Properties: ( ) x n complex
(i)
2
( , ) ( )
xx x
r n n n = is real and non-negative for all n (35)
(ii)
1 2 2 1
( , ) ( , )
xx xx
r n n r n n

= (36)
(iii)
1 2 1 1 2 2 1 2
( , ) ( , ) ( , ) , ,
xx xx xx
r n n r n n r n n n n (37)
(iv)
1 1
( , ) 0 , for any ,
k k
i j xx i j i j
i j
a a r n n a a

= =

(38)

Properties: ( ) x n real
(v)
1 2
( , )
xx
r n n is real for all
1
n and
2
, n and is non-negative if
1 2
n n = (39)
(vi)
1 2 2 1
( , ) ( , )
xx xx
r n n r n n = (40)
(vii)
1 2 1 1 2 2 1 2
( , ) ( , ) ( , ) , ,
xx xx xx
r n n r n n r n n n n (41)
(viii)
1 1
( , ) 0 , for any ,
k k
i j xx i j i j
i j
a a r n n a a
= =

(42)



3.3 Remark
Ensemble averages of higher order can be defined similarly, either in terms of
the corresponding Nth order pdf or in terms of the sample functions [see (12),
(13), (14) and (15), or (31) and (32)]

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 9
Curtin University of Technology, Australia
4 Stationarity

4.1 Continuous-Time Random Processes

( ) x t is Nth order stationary if its Nth order pdf
1
( ) ( ) 1
( , , )
N
x t x t N
f x x

is
independent of the time origin for all possible choices of
1
, , ,
N
t t i.e.

1 1
( ) ( ) 1 ( ) ( ) 1
( , , ) ( , , ),
N N
x t x t N x t x t N
f x x f x x



=

(43)


( ) x t is stationary in the strict sense, or strongly stationary, if (43) holds
for N


( ) x t is stationary in the wide sense, or weakly stationary, if only ( )
x
m t
and
1 2
( , )
xx
r t t are invariant to time shifts


If ( ) x t is weakly stationary, then
1 2
( , )
xx
r t t depends only on the time difference
1 2
t t = and we write autocorrelation function as


( ) ( ) ( )
xx
r x t x t

= E (44)
Also, ( )
x
m t is time-invariant and we can drop the t argument


Properties of ( )
xx
r include
(i)

2 2
( ) (0) 0
xx x
x t r = = E (45)
(ii) ( ) ( )
xx xx
r r

= (46)
(iii) ( ) (0) ,
xx xx
r r (47)
(iv)
1 1
( ) 0 , for any ,
k k
i j xx i j i j
i j
a a r t t a a

= =

(48)
(v) If
1
( ) (0)
xx xx
r r = for some
1
0, then
1
( ) ( ),
xx xx
r k r = . k
That is, ( )
xx
r is periodic in with period
1
, and we say ( ) x t is mean-
square periodic
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 10
Curtin University of Technology, Australia
(vi) If
1
(0), ( )
xx xx
r r = then ( )
xx
r has the form ( ) ( )
o
j
xx
r e w

= where
o
and
1
( ) ( ), w k w = k . Furthermore, ( ) ( )
o
j t
x t e y t

=
where ( ) y t is mean-square periodic with period
1

(vii) If
1 2
( ) ( ) (0)
xx xx xx
r r r = = for
1 2
0, and if
1
and
2
are non-
commensurate, i.e.,
1 2
is not rational, then ( ) constant
xx
r =

If ( ) x t is real, then all the above properties still hold except ( )
xx
r is now real
and so (46) and (48) now reads
(ii) ( ) ( )
xx xx
r r = (49)
(iv)
1 1
( ) 0 , for any ,
k k
i j xx i j i j
i j
a a r t t a a
= =

(50)
In addition, Property (vi) is no-longer relevant



4.2 Discrete-Time Random Processes

Corresponding statements for ( ) x n are as follows

( ) x n is Nth order stationary if its Nth order pdf
1
( ) ( ) 1
( , , )
N
x n x n N
f x x

is
independent of the time origin for all possible choices of
1
, , ,
N
n n i.e.

1 1
( ) ( ) 1 ( ) ( ) 1
( , , ) ( , , ),
N N
x n x n N x n m x n m N
f x x f x x m

=

(51)

( ) x n is stationary in the strict sense, or strongly stationary, if (51) holds
for N

( ) x n is stationary in the wide sense, or weakly stationary, if only ( )
x
m n
and
1 2
( , )
xx
r n n are invariant to time shifts


If ( ) x n is weakly stationary, then
1 2
( , )
xx
r n n depends only on the time
difference
1 2
m n n = and we write autocorrelation function as


( ) ( ) ( )
xx
r m x n m x n

= E (52)
Also, ( )
x
m n is time-invariant and we can drop the n argument

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 11
Curtin University of Technology, Australia
Properties of ( )
xx
r m include
(i)

2 2
( ) (0) 0
xx x
x n r = = E (53)
(ii) ( ) ( )
xx xx
r m r m

= (54)
(iii) ( ) (0) ,
xx xx
r m r m (55)
(iv)
1 1
( ) 0 , for any ,
k k
i j xx i j i j
i j
a a r n n a a

= =

(56)
(v) If
1
( ) (0)
xx xx
r m r = for some
1
0, m then
1
( ) ( ),
xx xx
r m km r m = . k
That is, ( )
xx
r m is periodic in m with period
1
m , and we say ( ) x n is mean-
square periodic
(vi) If
1
(0), ( )
xx xx
r r m = then ( )
xx
r m has the form ( ) ( )
o
j m
xx
r m e w m

= where
o
and
1
( ) ( ), w m km w m = k . Furthermore, ( ) ( )
o
j n
x n e y n

=
where ( ) y n is mean-square periodic with period
1
m
(vii) ( ) x n does not have corresponding property since
1 2
m m is always
rational

If ( ) x n is real, then all the above properties still hold except ( )
xx
r m is now real
and so (54) and (56) now reads
(ii) ( ) ( )
xx xx
r m r m = (57)
(iv)
1 1
( ) 0 , for any ,
k k
i j xx i j i j
i j
a a r n n a a
= =

(58)
In addition, Property (vi) is no-longer relevant



4.3 Remark
In general: strong stationarity weak stationarity
But for Gaussian random processes: strong stationarity weak stationarity
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 12
Curtin University of Technology, Australia
5 Power Spectral Density

5.1 Continuous-Time Random Processes

Let ( )
i
x t be a sample function of the not necessarily stationary random process
( ). x t Finite Fourier transform of ( )
i
x t is given by

2
2
( , ) ( )
T
j t
i i
T
X j T x t e dt (59)


Accordingly, (ensemble) average energy of ( ) x t at frequency , for 2 T
2, t T < < given by

2
( , ) X j T E where

2
2
( , ) ( )
T
j t
T
X j T x t e dt (60)
and average power of ( ) x t at frequency is given by


2
1
lim ( , ) ( )
xx
T
X j T P j
T

= E (61)

( )
xx
P j is called the power spectral density function of ( ) x t


If ( ) x t is stationary, Wiener-Khinchine Theorem states that

( ) ( )
j
xx xx
P j r e d (62)
and

1
( ) ( )
2
j
xx xx
r P j e d (63)


Properties of ( )
xx
P j include
(i) ( )
xx
P j is real (64)
(ii)

= =

2
1
( ) (0)
2
xx xx x
P j d r (65)
(iii) ( ) 0
xx
P j (66)

If ( ) x t is real, then we have also
(iv) = ( ) ( )
xx xx
P j P j (67)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 13
Curtin University of Technology, Australia
5.2 Discrete-Time Random Processes

Average energy of ( ) x n for ( 1) 2 ( 1) 2, N n N at frequency
, is given by

2
( , )
j
X e N

E where

( 1) 2
( 1) 2
( , ) ( )
N
j j n
n N
X e N x n e

=
=

(68)
and power spectral density function of ( ) x n at frequency is given by


2
1
lim ( , ) ( )
j j
xx
N
X e N P e
N

= E (69)


Discrete-time Wiener-Khinchine Theorem is given by

=
=

( ) ( )
j j m
xx xx
m
P e r m e (70)
and

1
( ) ( )
2
j j m
xx xx
r m P e e d (71)


Alternatively, in terms of z-transforms

=
=

( ) ( )
m
xx xx
m
P z r m z (72)
Now, from (54) repeated below

= ( ) ( )
xx xx
r m r m (73)
Therefore

= ( ) (1 )
xx xx
P z P z (74)

If ( ) x n is real, then from (57) repeated below
= ( ) ( )
xx xx
r m r m (75)
it follows that


= ( ) ( )
xx xx
P z P z (76)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 14
Curtin University of Technology, Australia
Properties of ( )
j
xx
P e

include
(i) ( )
j
xx
P e

is real and periodic in with period 2 (77)
(ii)
2
1
( ) (0)
2
j
xx xx x
P e d r

= =

(78)
(iii) ( ) 0
j
xx
P e

(79)

If ( ) x n is real, then we have also
(iv) ( ) ( )
j j
xx xx
P e P e

= (80)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 15
Curtin University of Technology, Australia
6 Time Averages

6.1 Continuous-Time Random Processes

Let ( )
i
x t be a sample function of the not necessarily stationary random process
( ). x t A finite-interval time average of ( )
i
x t is given by

2
2
1
( ) ( )
T
i i
T
T
g x t g x t dt
T

=

(81)
where g is some arbitrary function, and the corresponding time average
is given by
( ) lim ( )
i i
T
T
g x t g x t

= (82)


In the case of the random process ( ), x t corresponding finite-interval time
average is given by

2
2
1
( ) ( )
T
T
T
g x t g x t dt
T

=

(83)
and corresponding time average is given by
( ) lim ( )
T
T
g x t g x t

= (84)


Note, ( )
T
g x t and ( ) g x t are random variables while ( )
i
T
g x t and
( )
i
g x t are not. ( )
i
T
g x t and ( )
i
g x t are simply values that depend on
( )
i
x t



6.2 Discrete-Time Random Processes

The discrete-time expressions corresponding to (83) and (84) are given,
respectively, by

( 1) 2
( 1) 2
1
( ) ( )
N
N
n N
g x n g x n
N

=
=

(85)
and ( ) lim ( )
N
N
g x n g x n

= (86)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 16
Curtin University of Technology, Australia
7 Ergodicity

If a random process is ergodic, then, with probability 1, the time averages of
any one of its sample functions will equal the corresponding ensemble
averages. Indeed, it is this property that allows us to deduce the ensemble
statistical properties of a random process by examining the time averages of
just one of its sample functions


7.1 Continuous-Time Random Processes

The random process ( ) x t is said to be weakly ergodic or ergodic in the wide
sense if, with probability 1
( )
x
x t m = (87)
and ( ) ( ) ( ),
xx
x t x t r

= (88)


( ) x t is said to be strongly ergodic or ergodic in the strict sense if, for any
function g and with probability 1
( ) ( ) g x t g x t = E (89)


For ( ) x t to be weakly (strongly) ergodic, it is necessary that it is weakly
(strongly) stationary


In contrast, weakly (strongly) stationary random processes are not necessarily
weakly (strongly) ergodic


Ergodic theorems give conditions under which a finite-interval time average
converges as the observation interval T becomes large. For example
lim Var ( ) 0
T
T
g x t

= (90)
describes convergence in the mean-square sense

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 17
Curtin University of Technology, Australia
Note: ergodic theorems are not concerned with whether the finite-interval time
averages are unbiased, i.e. whether or not ( ) ( ) g x t g x t =E since, if they
are not so, then it is pointless to consider the corresponding ergodic theorems


A constant mean, but not necessarily stationary, random process ( ) x t is said to
be mean-ergodic if, in some sense
( ) ( ) x t x t = E (91)

Mean-Ergodic Theorem
(i) ( ) x t is mean-ergodic in the mean-square sense iff

2 2
1 2 1 2
2
2 2
1
lim ( , ) 0
T T
xx
T T T
c t t dt dt
T

=

(92)

(ii) If ( ) x t is weakly stationary, then (92) simplifies to

1
lim 1 ( ) 0
T
xx
T T
c d
T T

1

=

( )

(93)

(iii) It can be shown that (93) is equivalent to the following pair of conditions
(a) (0)
xx
r < (94)
and
(b) either lim ( ) 0
xx
c

= or lim ( ) cos
xx i i
i
c a

=

(95)


A weakly stationary random process ( ) x t is said to be correlation-ergodic if, in
some sense
( ) ( ) ( ),
xx
x t x t r

= (96)

Correlation-Ergodic Theorem
( ) x t is correlation-ergodic in the mean-square sense iff

2 2
1 2 1 2
2
2 2
1
lim ( , ) 0
T T
zz
T T T
c t t dt dt
T

=

(97)
where ( ) ( ) ( ) z t x t x t

= (98)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 18
Curtin University of Technology, Australia
7.2 Discrete-Time Random Processes

Corresponding ergodic theorems for ( ) x n are as follows

Mean-Ergodic Theorem
(i) ( ) x n is mean-ergodic in the mean-square sense iff

1 2
( 1) 2 ( 1) 2
1 2
2
( 1) 2 ( 1) 2
1
lim ( , ) 0
N N
xx
N
n N n N
c n n
N

= =
=

(99)

(ii) If ( ) x n is weakly stationary, then (99) simplifies to

1
( 1)
1
lim 1 ( ) 0
N
xx
N
m N
m
c m
N N

=
1

=

( )

(100)

(iii) It can be shown that (100) is equivalent to the following pair of conditions
(a) (0)
xx
r < (101)
and
(b) either lim ( ) 0
xx
m
c m

= or lim ( ) cos
xx i i
m
i
c m a m

=

(102)


Correlation-Ergodic Theorem
( ) x n is correlation-ergodic in the mean-square sense iff m

1 2
( 1) 2 ( 1) 2
1 2
2
( 1) 2 ( 1) 2
1
lim ( , ) 0
N N
zz
N
n N n N
c n n
N

= =
=

(103)
where ( ) ( ) ( ) z n x n m x n

= (104)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 19
Curtin University of Technology, Australia
8 Joint Random Processes

8.1 Continuous-Time Random Processes

Suppose ( ) x t and ( ) y t two random processes defined on E ( , , Pr )
x x x
and
E ( , , Pr )
y y y
respectively, each with outcomes =
,
( ), 1, 2,
x i i
x t i and
=
,
( ), 1, 2,
y j j
y t j respectively


(M, N)th order joint probability distribution of ( ) x t and ( ) y t is defined by

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x t x t y t y t M N
F x x y y

=
, ,
Pr ( , ) :
x i y j x y

1 1 1 1
( ) , , ( ) ; ( ) , , ( )
i i M M j M j M N N
x t x x t x y t y y t y

(105)


(M, N)th order joint probability density function is given by

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x t x t y t y t M N
f x x y y




1 1
( ) ( ) ( ) ( ) 1 1
1 1
( , , ; , , )
M M M N
M N
x t x t y t y t M N
M N
F x x y y
x x y y

=



(106)


( ) x t and ( ) y t are jointly Gaussian if their ( , ) M N th order joint pdf, for all
M and N and for all possible choices of
1 1
, , , , , ,
M M M N
t t t t

is given
by a 2( ) M N -dimensional Gaussian pdf [ ( ) M N -dimensional if ( ) x t and
( ) y t are real]


( ) x t and ( ) y t are independent if

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x t x t y t y t M N
f x x y y




1 1
( ) ( ) 1 ( ) ( ) 1
( , , ) ( , , )
M M M N
x t x t M y t y t N
f x x f y y

=

(107)
for all M and N and for all possible choices of
1 1
, , , , ,
M M M N
t t t t



Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 20
Curtin University of Technology, Australia
( ) x t and ( ) y t are jointly stationary to the (M, N)th order if

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x t x t y t y t M N
f x x y y




1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x t x t y t y t M N
f x x y y



=

(108)
for all and for all possible choices of
1 1
, , , , ,
M M M N
t t t t




( ) x t and ( ) y t are jointly stationary in the strict sense if (108) holds for
M and N


Cross-correlation function of ( ) x t and ( ) y t is defined by


1 2
1 2 1 2 ( ) ( )
( , ) ( ) ( ) ( , )
xy x t y t
r t t x t y t xy f x y dxdy



= =

E (109)
or alternatively, in terms of the sample functions

= =
=

1 2
1 2
1 2 1 2 , ,
,
1 1
( , ) lim ( ) ( )Pr
K K
xy i j x i y j
K K
i j
r t t x t y t (110)
where


, ,
Pr
x i y j
is the probability that ( ) x t is realized by ( )
i
x t and,
simultaneously, ( ) y t is realized by ( )
j
y t


Cross-covariance function of ( ) x t and ( ) y t is defined by


1 2 1 1 2 2
1 2 1 2
( , ) ( ) ( ) ( ) ( )
( , ) ( ) ( )
xy x y
xy x y
c t t x t m t y t m t
r t t m t m t

l l
=
l l
l l
=
E
(111)


If ( ) x t and ( ) y t are independent, then


1 2 2 1 2 1 2
.
1
( , ) ( ) ( ) ( ) ( ) ( ) ( )
xy x y
r t t x t y t x t y t m t m t

= = = E E E (112)
or
1 2
( , ) 0
xy
c t t = (113)


If ( ) x t and ( ) y t satisfy (112) or (113), they are uncorrelated
Note, if ( ) x t and ( ) y t are uncorrelated, they are not necessarily independent.
Only instance where they are independent is when they are jointly Gaussian
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 21
Curtin University of Technology, Australia
( ) x t and ( ) y t are orthogonal if they satisfy

1 2
( , ) 0
xy
r t t = (114)


( ) x t and ( ) y t are jointly stationary in the weak sense if ( ),
x
m t ( ),
y
m t
1 2
( , ),
xx
r t t
1 2
( , ),
yy
r t t and
1 2
( , )
xy
r t t are independent of time origin


If ( ) x t and ( ) y t are jointly stationary, then
1 2
( , )
xy
r t t depends only on the time
difference
1 2
t t = and we write


( ) ( ) ( )
xy
r x t y t

= E (115)

If, in addition, ( ) x t and ( ) y t are jointly ergodic, then

2
2
1
( ) ( ) ( ) lim ( ) ( )
T
xy
T T
r x t y t x t y t dt
T



= =

(116)


Properties of ( )
xy
r include
(i) ( ) ( )
xy yx
r r

= (117)
(ii)
2
( ) (0) (0)
xy xx yy
r r r (118)
(iii)
1
( ) (0) (0)
2
xy xx yy
r r r
l

l
(119)

If ( ) x t and ( ) y t are real, then all the above properties still hold except (117)
now reads
(i) ( ) ( )
xy yx
r r = (120)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 22
Curtin University of Technology, Australia
Cross-spectral density function of two not necessarily jointly stationary
random processes ( ) x t and ( ) y t is defined by


1
( ) lim ( , ) ( , )
xy
T
P j X j T Y j T
T

= E (121)
where ( , ) X j T and ( , ) Y j T are finite Fourier transforms of ( ) x t and ( ) y t
respectively


If ( ) x t and ( ) y t are jointly stationary, then similar to the Wiener-Khinchine
Theorem (62) and (63), we have

( ) ( )
j
xy xy
P j r e d (122)
and

1
( ) ( )
2
j
xy xy
r P j e d (123)


Note that since ( )
xy
r is in general not even, so ( )
xy
P j is complex-valued


Properties of ( )
xy
P j include
(i)

= ( ) ( )
xy yx
P j P j (124)
(ii)
2
( ) ( ) ( )
xy xx yy
P j P j P j (125)

If ( ) x t and ( ) y t are real, then both of the above properties still hold except
(124) has the further result
(iii)

= = ( ) ( ) ( )
xy xy yx
P j P j P j (126)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 23
Curtin University of Technology, Australia
8.2 Discrete-Time Random Processes

Corresponding statements for ( ) x n and ( ) y n are as follows

(M, N)th order joint probability distribution of ( ) x n and ( ) y n is defined by

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x n x n y n y n M N
F x x y y

=
, ,
Pr ( , ) :
x i y j x y

1 1 1 1
( ) , , ( ) ; ( ) , , ( )
i i M M j M j M N N
x n x x n x y n y y n y

(127)

(M, N)th order joint probability density function is given by

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x n x n y n y n M N
f x x y y




1 1
( ) ( ) ( ) ( ) 1 1
1 1
( , , ; , , )
M M M N
M N
x n x n y n y n M N
M N
F x x y y
x x y y

=



(128)


( ) x n and ( ) y n are independent if

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x n x n y n y n M N
f x x y y




1 1
( ) ( ) 1 ( ) ( ) 1
( , , ) ( , , )
M M M N
x n x n M y n y n N
f x x f y y

=

(129)
for all M and N and for all possible choices of
1 1
, , , , ,
M M M N
n n n n



They are jointly stationary to the (M, N)th order if

1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x n x n y n y n M N
f x x y y




1 1
( ) ( ) ( ) ( ) 1 1
( , , ; , , )
M M M N
x n m x n m y n m y n m M N
f x x y y


=

(130)
for all m and for all possible choices of
1 1
, , , , ,
M M M N
n n n n



They are jointly stationary in the strict sense if (130) holds for M and
N

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 24
Curtin University of Technology, Australia
Cross-correlation function of ( ) x n and ( ) y n is defined by

= =
= =
=


1 2
1 2
1 2
1 2 1 2 ( ) ( )
1 2 , ,
,
1 1
( , ) ( ) ( ) ( , )
lim ( ) ( )Pr
xy x n y n
K K
i j x i y j
K K
i j
r n n x n y n xy f x y dx dy
x n y n
E
(131)

Their cross-covariance function is defined by


1 2 1 1 2 2
1 2 1 2
( , ) ( ) ( ) ( ) ( )
( , ) ( ) ( )
xy x y
xy x y
c n n x n m n y n m n
r n n m n m n

l l
=
l l
l l
=
E
(132)


If ( ) x n and ( ) y n are independent, then


1 2 2 1 2 1 2
.
1
( , ) ( ) ( ) ( ) ( ) ( ) ( )
xy x y
r n n x n y n x n y n m n m n

= = = E E E (133)
or
1 2
( , ) 0
xy
c n n = (134)


If ( ) x n and ( ) y n satisfy (133) or (134), they are uncorrelated

They are orthogonal if they satisfy

1 2
( , ) 0
xy
r n n = (135)


( ) x n and ( ) y n are jointly stationary in the weak sense if ( ),
x
m n ( ),
y
m n
1 2
( , ),
xx
r n n
1 2
( , ),
yy
r n n and
1 2
( , )
xy
r n n are independent of time origin

If ( ) x n and ( ) y n are jointly stationary, then
1 2
( , )
xy
r n n depends only on the
time difference
1 2
m n n = and we write


( ) ( ) ( )
xy
r m x n m y n

= E (136)

If, in addition, ( ) x n and ( ) y n are jointly ergodic, then

( 1) 2
( 1) 2
1
( ) ( ) ( ) lim ( ) ( )
N
xy
N
n N
r m x n m y n x n m y n
N

=
= =

(137)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 25
Curtin University of Technology, Australia
Properties of ( )
xy
r m include
(i) ( ) ( )
xy yx
r m r m

= (138)
(ii)
2
( ) (0) (0)
xy xx yy
r m r r (139)
(iii)
1
( ) (0) (0)
2
xy xx yy
r m r r
l

l
(140)

If ( ) x n and ( ) y n are real, then all the above properties still hold except (138)
now reads
(i) ( ) ( )
xy yx
r m r m = (141)


Cross-spectral density function of two not necessarily jointly stationary
random processes ( ) x n and ( ) y n is defined by


1
( ) lim ( , ) ( , )
j j j
xy
N
P e X e N Y e N
N

= E (142)
where ( , )
j
X e N

and ( , )
j
Y e N

are finite Fourier transforms of ( ) x n and ( ) y n

respectively


If ( ) x n and ( ) y n are jointly stationary, then similar to the discrete-time
Wiener-Khinchine Theorem (70) and (71), we have
( ) ( )
j j m
xy xy
m
P e r m e

=
=

(143)
and
1
( ) ( )
2
j j m
xy xy
r m P e e d

(144)

Note that since ( )
xy
r m is in general not even, so ( )
j
xy
P e

is complex-valued

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 26
Curtin University of Technology, Australia
Properties of ( )
j
xy
P e

include
(i) ( ) ( )
j j
xy yx
P e P e

= (145)
(ii)
2
( ) ( ) ( )
j j j
xy xx yy
P e P e P e

(146)

If ( ) x n and ( ) y n are real, then both of the above properties still hold except
(145) has the further result
(iii) ( ) ( ) ( )
j j j
xy xy yx
P e P e P e

= = (147)

Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 27
Curtin University of Technology, Australia
9 Linear Filtering

9.1 Continuous-Time Random Processes

Let L be a continuous-time linear time-invariant system with impulse response
( ) ( ) h t t = L (148)


Suppose L is excited by a not necessarily stationary random process ( ). x t
Clearly, output of L is also a random process and is given, formally, by

0
( ) ( ) ( ) ( ) x t y t h x t d

= =

L (149)


It can be shown that
(i)
0
( ) ( ) ( )
y x
m t h m t d

(150)
(ii)
1 2 1 2
0
( , ) ( ) ( , )
xy xx
r t t h r t t d

(151)
(iii)
1 2 1 2
0
( , ) ( ) ( , )
yx xx
r t t h r t t d

(152)
(iv)

=
1 2 1 2
0
( , ) ( ) ( , )
yy xy
r t t h r t t d

=
1 2 1 2
0
( ( , ) ) ( , )
x y y y
h r t t d r t t

1 2 1 2
0 0
( , ) ( ) ( ) ( , )
xx yy
r t t h h r t t d d

=

(153)


If ( ) x t is now strictly (weakly) stationary, then ( ) y t is also strictly (weakly)
stationary, and
(i)
0
( ) ( 0)
y x x
m m h d m H j

= =

(154)
(ii)

0
( ) ( ) ( )
xy xx
r h r d

0
( ) ( ) ( )
x xx y
h r d r (155)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 28
Curtin University of Technology, Australia
(iii)
0
( ) ( ) ( )
yx xx
r h r d

(156)
(iv)

0
( ) ( ) ( )
yy xy
r h r d

0
( ) ( ) ( )
y y x y
h r d r

0 0
( ) ( ) ( ) ( )
xx yy
h h r d d r

=

(157)
(v)

= ( ) ( ) ( )
xy xx
P j H j P j (158)
(vi) = ( ) ( ) ( )
yx xx
P j H j P j (159)
(vii)

= = =
2
( ) ( ) ( ) ( ) ( ) ( ) ( )
yy xy yx xx
P j H j P j H j P j H j P j (160)


If ( ) x t and ( ) h t are real, then, clearly, ( ) y t is also real and all the above results
(150)(160) still hold, except wherever ( ) h

appears, it is replaced by ( ) h



9.2 Discrete-Time Random Processes

Corresponding results for a discrete-time system with stationary input ( ) x n and
stationary output ( ) y n are as follows

=
=

( ) ( ) ( )
k
y n h k x n k (161)
(i)
0
( )
j
y x
m m H e = (162)
(ii)


= =
= =


( ) ( ) ( ) ( ) ( )
xy xx xx
r m h r m h r m (163)
(iii)

=
=

( ) ( ) ( )
yx xx
r m h r m (164)
(iv) ( ) ( ) ( ) ( )
yy xx
r m h m h m r m

=

1 2
2 1 2 1
( ) ( ) ( ) ( )
y x y x
h h r m r m

= =
=


(165)
Y H Leung (1987, 1988, 1989, 1995, 2006, 2007, 2008) 29
Curtin University of Technology, Australia
(v)

= ( ) ( ) ( )
j j j
xy xx
P e H e P e (166)
(vi)

= ( ) ( ) ( )
j j j
yx xx
P e H e P e (167)
(vii)
2
( ) ( ) ( )
j j j
yy xx
P e H e P e

= (168)
(viii)

= ( ) (1 ) ( )
xy xx
P z H z P z (169)
= or ( ) (1 ) ( ) for ( ) real
xy xx
P z H z P z h n (170)
(ix) = ( ) ( ) ( )
yx xx
P z H z P z (171)
(x)

= ( ) ( ) (1 ) ( )
yy xx
P z H z H z P z (172)
= or ( ) ( ) (1 ) ( ) for ( ) real
yy xx
P z H z H z P z h n (173)



9.3 Remark

In the sequel, following less cumbersome notation will be adopted when
considering the random process ( ) x t only:

1 2
( , )
xx
r t t
1 2
( , )
x
r t t
( )
xx
r ( )
x
r

1 2
( , )
xx
c t t
1 2
( , )
x
c t t
( )
xx
c ( )
x
c
( )
xx
P j ( )
x
P j

Similarly for the discrete-time random process ( ) x n :

1 2
( , )
xx
r n n
1 2
( , )
x
r n n
( )
xx
r m ( )
x
r m

1 2
( , )
xx
c n n
1 2
( , )
x
c n n
( )
xx
c m ( )
x
c m

( )
j
xx
P e

( )
j
x
P e