CHAPTER 6 © Correlation and Power Spectral Density Functions by Ensemble Averag Covyy(t.t + 1) [Covxx (tt) Covax(t + 5.1 a [anton amo , >| This las result is fr allt and, and tells us that the random process at time ¢ + +i linear predictable from the random process at tim t This is because all member functions have ides cally the same frequency and phase. They differ only in amplitude, 6.3 STATIONARY RANDOM PROCESSES From the few simple examples given above, we conclude that the mean function and tie autocorrelation function can provide information about the temporal structure of aa ddom process. We now examine this topic more fully for two special classes of contin ‘ous time stationary random processes, Definition 6.5. A continuous time random process, X(t), is stationary in the striet, or narrow, sense if forall positive n, the nth order probability density function does not depend on the time shift parameter, 7; that is, forall n = 1 prixtt), x(t), x)= pres +. xQ2+9,0xG +7] ea This implies that all moments are independent of time. One way of interpreting = strict sense stationary random process is that a time translation of a member of the == semble is still a member of the ensemble. If ths is true, then the process is stationary = the strict (narrow) sense. Such processes are independent of the choice of the time « gin and their statistics depend only upon time differences. This is because the joint pra ability density function is the same for all time instants, cheteby implying that at ‘moments are independent of time. Thus, the statistics do not depend upon the time ee gin, but only upon the time difference between observations. Example 6.7 ‘An independent, identically distributed random proces is stationary in the strict sense, since me have Pabst). x). 2... (Q)1 = px EXC] px Ex (ed -- pxbx(t] which is true forall n = 1, for allt), te Since palx(t)] are all the same for all. Sam xls] = pala + #)] for ally, Thus, [63.1] is satisied and therefore, an independent, ame cally distibuted random proces is strc sense stationary CConsider the sine wave random process X(0) = a sin(ot + @) for al , where w and a are stants, while @ is a random phase angle, uniformly distributed between O and 2m. It is eas shown thatthe mean function is zero and, thus, independent of time. Infact, this process sm onary in the str S also a member of the time origin ber functions of Rex Ths, this random on of only. Fu Random processes n 6. sense station that depends. ont =~ ing relations forall t and + All strict sens srovided the mean sey that if randor Figure 6.2 pr sed Y(), where Xi Acother example of Seber R isthe rand Shection that is nota Section ofthe shift