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Lecture 14
EEE 352 Analog Communication Systems
Mansoor Khan
Electrical Engineering Dept.
CIIT Islamabad Campus
Random Variable
A random variable is a mapping function which assigns
outcomes of a random experiment to real numbers.
Occurrence of the outcome follows certain probability
distribution. Therefore, a random variable is completely
characterized by its probability density function (PDF).
Random Process
A random variable that is a function of
time is called a random or stochastic
process. Thus a random process is a
collection of infinite number of random
variables.
Examples of random processes
Daily stream flow
Hourly rainfall of storm events
Stock index
Stochastic process
Example: Let X(t) be the number of people in a particular railway
station from 8Am to t (>=8). Clearly, for each given t, X(t) is a random
variable. Table below lists some possible values that X(t) could take:
…
Oct. 13 1362 1490 1713 1641 1601 1845
…
Oct. 14 1289 1472 1739 1593 1614 1864
…
Oct. 15 1313 1453 1721 1631 1622 1871
• In general, the value Xt might depend on the quantity Xt-1 at time t-1,
or even the value Xs for other times s < t.
FX t1 ,...,X tk x1 ,..., xk P X t1 x1 ,..., X tk xk
for any t1 ,..., tk I and any real numbers x1, …, xk .
px ( x1 , t1 ) px ( x1 , t1 ) for all t1 ,
If x(t) is a first order stationary process
then
E{x(t )} E{x(t )} x constant
Second order stationary process
The Second order density function of a
second order stationary process satisfies
px ( x1 , x2 , t1 , t2 ) px ( x1 , x2 , t1 , t2 )
for all t1 , t2 ,
If x(t) is a second order stationary
process then
Rxx (t1 , t1 } E{x(t1 ) x(t1 )} Rxx ( )
Wide Sense Stationary
E{x(t ) } x constant
E{x(t1 ) x(t1 )} Rxx ( )
x(t) y t h t x t
X(f ) Linear Network Y f H f X f
Rx() h(t)
Px(f ) Ry ( ) h h Rx ( )
H(f )
Py ( f ) H ( f ) Px ( f )
2
Output of an LTI System
• Theorem: If a WSS random process x(t) is applied to a LTI
system with impulse response h(t), the output
autocorrelation is:
Ry y (t ) y (t ) h 1 x t 1 d 1 h 2 x t 2 d 2
h h R
1 2 x 2 1 d 1d 2
h h Rx
Px f