Example 7.1
CHAPTER? © Exgodicity, Statistics, Estimation, and Simulation
Definition 7.1. A wide sense stationary independent, identically distributed ran:
dom sequence is said to be ergodic in the mean if it satisfies,
nie.
maby 5 3X0) = wa] rae
While for a continuous random process we have
Pitino (0 = a] 3
{In Chapter 6, Example 6.11, we considered a discret time random process or random sequemse
created by the successive tosses of a biased coin, The member functions of the ensemble ar
crated by repeating the process using a largo number of identically biased coins that are indepe
dently and repeatedly tossed. Let the occurrence of ahead be denoted by 1, which occurs wit
probability p, and that of atl by -1, which occurs with probability q=1—p. To make the random
sequence a function of time, le us assume that each fp of the coin occurs every T seconds, Whee
for convenience we will le T=1. One member function ofthis random process is shown in
ture 7.1 In Chapter 6, Quiz 66, it was established that this random process was stationary in Se
strict sense, This process is also ergodic inthe mean because the mean ofthe process is the same
‘Whether itis calculated by ensemble or time averaging
The ensemble mean is
axial = [”xG (pe —1) + 86+ D}ee
“14+ ()p=p-a Bx
zadent of n, but a function ofp. I p=q=1/2, then jix=0, which is reasonable, same
in this ease 1 and ~1 occur equally likely. Irp > q, then jax > 0, and if p < 9, thea px <
Te mean estimated by time averaging must be caleulated using a particular member funn
the ensemble. Each member function is considered tobe representative of the process. Consequey
the time average of a member function is the same asthe ensemble average with probability on
‘We now show by example that time averages do notin general converge to ense=iie
ln Chapter 6,»
ability density
ihe mean was
member Funct
snay not be 2
the ensemble.
semble averag
An alter
Definitio
if and onl
Recall fro
two integ
Definition
Jar to that:
From Defi
Definition
correlatio
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