Dr.

Anh Viet-Nhat Che

Department of Telecommunications Engineering
Faculty of Electrical and Electronics Engineering
Ho Chi Minh City, University of Technology
Email: nhat-anh.che@{hcmut.edu.vn, hotmail.com}
Stochastic Signal Representation
Chapter 1:
Stochastic processes and Model
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Outline

Definitions

Mean, Autocorrelation

Stationarity

Deterministic Systems

Discrete Time Stochastic Process

Stochastic Models

2
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Outline

Definitions

Mean, Autocorrelation

Stationarity

Deterministic Systems

Discrete Time Stochastic Process

Stochastic Models

3
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Definitions

Let denote the random outcome of an experiment. To every

such outcome suppose a waveform is assigned. The
collection of such waveforms form a stochastic process.

The set of and the time index t can be continuous or discrete

(countably infinite or finite) as well.

For fixed

(the set of all experimental outcomes), is a
specific time function or a sample path or a sample function or a
realization. t is a variable.

For fixed t=t

1
, is a random variable.

For fixed t=t

1
, and , is a number.

The ensemble of all such realizations over time represents the

stochastic process (or random process)

Ex:
4
(, )
(, )

(,

)
(

, )

)
(, )
() = (sin +)
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Definitions
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Definitions
6
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Definitions

Equality:

Two processes X(t) and Y(t) are equal (every where) if their respective
sample are identical for every .

The equality means that

for every .

Derivative, integrals, or any other operation involving stochastic

processes are defined similarly in terms of the corresponding
operations for each sample.

Two processes X(t) and Y(t) are equal in the Mean Square sense iff
7
(, ) (, )
() = () + () (, )(, )(, )

|() ()|
2
= 0 Ior every .
Friday, February 22, 13
Dr. CVNA, DTE - FEEE - HCMUT SSR - SS 2012-2013
Statistics of Stochastic Processes

A stochastic process is a non-countable infinity of random variables,

one for each t.

If X(t) is a stochastic process, then for specific t, X(t) represents a

random variable (RV). Its distribution function is given by

Notice that F
X
(x, t) depends on t, since for a different t, we obtain a
different random variable. Further

represents the first-order probability density function (pdf) of the

process X(t).
For t = t
1
and t = t
2
, X(t) represents two different random variables X
1
=
X(t
1
) and X
2
= X(t
2
), respectively. Their joint distribution is given by
8

(, ) = {() }

(, ) =

(,)

) =

) =

{(

, (

}
Friday, February 22, 13