LECTURE

NOTES ON

PROBABILITY THEORY AND

STOCHASTIC PROCESS

B.Tech III semester (AECB08)

Dr. M V Krishna Rao

(Professor)

Mrs. G.Ajitha
(Assistant professor)

Mr. G Mary swarna latha

(Assistant professor)

ELECRTONICS AND COMMUNICATION ENGINEERING

INSTITUTE OF AERONAUTICAL ENGINEERING

(Autonomous)
DUNDIGAL, HYDERABAD
500043
 UNIT WISE LECTURE NOTES

MODULE-I

PROBABILITY AND RANDOM VARIABLES AND OPERATIONS ON RANDOM

VARABLES

Introduction
It is remarkable that a science which began with the consideration of games of chance
should have become the most important object of human knowledge.

A brief history

Probability has an amazing history. A practical gambling problem faced by the French
nobleman Chevalier de Méré sparked the idea of probability in the mind of Blaise Pascal (1623-
1662), the famous French mathematician. Pascal's correspondence with Pierre de Fermat (1601-
1665), another French Mathematician in the form of seven letters in 1654 is regarded as the
genesis of probability. Early mathematicians like Jacob Bernoulli (1654-1705), Abraham de
Moivre (1667-1754), Thomas Bayes (1702-1761) and Pierre Simon De Laplace (1749-1827)
contributed to the development of probability. Laplace's Theory Analytique des Probabilities
gave comprehensive tools to calculate probabilities based on the principles of permutations and
combinations. Laplace also said, "Probability theory is nothing but common sense reduced to
calculation."

Later mathematicians like Chebyshev (1821-1894), Markov (1856-1922), von Mises (1883-
1953), Norbert Wiener (1894-1964) and Kolmogorov (1903-1987) contributed to new
developments. Over the last four centuries and a half, probability has grown to be one of the
most essential mathematical tools applied in diverse fields like economics, commerce, physical
sciences, biological sciences and engineering. It is particularly important for solving practical
electrical-engineering problems in communication, signal processing and computers.
Notwithstanding the above developments, a precise definition of probability eluded the
mathematicians for centuries. Kolmogorov in 1933 gave the axiomatic definition of probability
and resolved the problem.

Randomness arises because of

o random nature of the generation mechanism

o Limited understanding of the signal dynamics inherent imprecision in measurement,
observation, etc.

For example, thermal noise appearing in an electronic device is generated due to random
motion of electrons. We have deterministic model for weather prediction; it takes into account
of the factors affecting weather. We can locally predict the temperature or the rainfall of a place
on the basis of previous data. Probabilistic models are established from observation of a random
phenomenon. While probability is concerned with analysis of a random phenomenon, statistics
help in building such models from data.
Deterministic versus probabilistic models

A deterministic model can be used for a physical quantity and the process generating it
provided sufficient information is available about the initial state and the dynamics of the
process generating the physical quantity. For example,

 We can determine the position of a particle moving under a constant force if we know
the initial position of the particle and the magnitude and the direction of the force.

 We can determine the current in a circuit consisting of resistance, inductance and

capacitance for a known voltage source applying Kirchoff's laws.

Many of the physical quantities are random in the sense that these quantities cannot be
predicted with certainty and can be described in terms of probabilistic models only. For
example,

 The outcome of the tossing of a coin cannot be predicted with certainty. Thus the
outcome of tossing a coin is random.

 The number of ones and zeros in a packet of binary data arriving through a
communication channel cannot be precisely predicted is random.

 The ubiquitous noise corrupting the signal during acquisition, storage and transmission
can be modelled only through statistical analysis.

Probability in Electrical Engineering

A signal is a physical quantity that varyies with time. The physical quantity is
converted into the electrical form by means of some transducers . For example, the time-
varying electrical voltage that is generated when one speaks through a telephone is a
signal. More generally, a signal is a stream of information representing anything from
stock prices to the weather data from a remote-sensing satellite.

A sample of a speech signal

An analog signal is defined for a continuum of values of domain parameter
and it can take a continuous range of values.

A digital signal is defined at discrete points and also takes a discrete set of
values.

As an example, consider the case of an analog-to-digital (AD) converter. The input to the AD
converter is an analog signal while the output is a digital signal obtained by taking the samples
of the analog signal at periodic intervals of time and approximating the sampled values by a
discrete set of values.

Figure 3 Analog-to-digital (AD) converters

Random Signal
Many of the signals encountered in practice behave randomly in part or as a whole in the
sense that they cannot be explicitly described by deterministic mathematical functions such as a
sinusoid or an exponential function. Randomness arises because of the random nature of the
generation mechanism. Sometimes, limited understanding of the signal dynamics also
necessitates the randomness assumption. In electrical engineering we encounter many signals
that are random in nature. Some examples of random signals are:

i. Radar signal: Signals are sent out and get reflected by targets. The reflected signals
are received and used to locate the target and target distance from the receiver. The
received signals are highly noisy and demand statistical techniques for processing.

ii. Sonar signal: Sound signals are sent out and then the echoes generated by some
targets are received back. The goal of processing the signal is to estimate the location of
the target.
 iii. Speech signal: A time-varying voltage waveform is produced by the speaker speaking
over a microphone of a telephone. This signal can be modeled as a random signal.
A sample of the speech signal is shown in Figure 1.
iv. Biomedical signals: Signals produced by biomedical measuring devices like ECG,
EEG, etc., can display specific behavior of vital organs like heart and brain. Statistical
signal processing can predict changes in the waveform patterns of these signals to detect
abnormality. A sample of ECG signal is shown in Figure 2.
v. Communication signals: The signal received by a communication receiver is generally
corrupted by noise. The signal transmitted may the digital data like video or speech and
the channel may be electric conductors, optical fiber or the space itself. The signal is
modified by the channel and corrupted by unwanted disturbances in different stages,
collectively referred to as noise.

These signals can be described with the help of probability and other concepts in
statistics. Particularly the signal under observation is considered as a realization of a random
process or a stochastic process. The terms random processes, stochastic processes and random
signals are used synonymously.

A deterministic signal is analyzed in the frequency-domain through Fourier series and

Fourier transforms. We have to know how random signals can be analyzed in the frequency
domain.

Random Signal Processing

Processing refers to performing any operations on the signal. The signal can be
amplified, integrated, differentiated and rectified. Any noise that corrupts the signal can also be
reduced by performing some operations. Signal processing thus involves

o Amplification

o Filtering

o Integration and differentiation

o
o Nonlinear operations like rectification, squaring, modulation, demodulation etc.

These operations are performed by passing the input signal to a system that performs the
processing. For example, filtering involves selectively emphasising certain frequency
components and attenuating others. In low-pass filtering illustrated in Fig.4, high-frequency
components are attenuated

Figure 4 Low-pass filtering

Signal estimation and detection

A problem frequently come across in signal processing is the estimation of the true value
of the signal from the received noisy data. Consider the received noisy signal given by

where is the desired transmitted signal buried in the noise .

Simple frequency selective filters cannot be applied here, because random noise cannot
be localized to any spectral band and does not have a specific spectral pattern. We have to do
this by dissociating the noise from the signal in the probabilistic sense. Optimal filters like the
Wiener filter, adaptive filters and Kalman filter deals with this problem.

In estimation, we try to find a value that is close enough to the transmitted signal. The
process is explained in Figure 6. Detection is a related process that decides the best choice out
of a finite number of possible values of the transmitted signal with minimum error probability.
In binary communication, for example, the receiver has to decide about 'zero' and 'one' on the
basis of the received waveform. Signal detection theory, also known as decision theory, is based
on hypothesis testing and other related techniques and widely applied in pattern classification,
target detection etc.

Figure 6 Signal estimation problem

Source and Channel Coding

One of the major areas of application of probability theory is Information theory and
coding. In 1948 Claude Shannon published the paper "A mathematical theory of
communication" which lays the foundation of modern digital communication. Following are
two remarkable results stated in simple languages :
  Digital data is efficiently represented with number of bits for a symbol decided by its
probability of occurrence.

 The data at a rate smaller than the channel capacity can be transmitted over a noisy
channel with arbitrarily small probability of error. The channel capacity again is
determined from the probabilistic descriptions of the signal and the noise.

Basic Concepts of Set Theory

The modern approach to probability based on axiomatically defining probability as

function of a set. A background on the set theory is essential for understanding probability.

Some of the basic concepts of set theory are:

Set

A set is a well defined collection of objects. These objects are called elements or
members of the set. Usually uppercase letters are used to denote sets.

Probability Concepts

Before we give a definition of probability, let us examine the following concepts:

1. Random Experiment: An experiment is a random experiment if its outcome cannot be

predicted precisely. One out of a number of outcomes is possible in a random
experiment. A single performance of the random experiment is called a trial.

2. Sample Space: The sample space is the collection of all possible outcomes of a
random experiment. The elements of are called sample points.

 A sample space may be finite, countably infinite or uncountable.

 A finite or countably infinite sample space is called a discrete sample space.

 An uncountable sample space is called a continuous sample space

3. Event: An event A is a subset of the sample space such that probability can be assigned
to it. Thus

 For a discrete sample space, all subsets are events.

 is the certain event (sure to occur) and is the impossible event.

Figure 1
Consider the following examples.

Example 1: tossing a fair coin

The possible outcomes are H (head) and T (tail). The associated sample space is It
is a finite sample space. The events associated with the sample space are: and .

Example 2: Throwing a fair die:

The possible 6 outcomes are:

. . .
The associated finite sample space is .Some events are

And so on.

Example 3: Tossing a fair coin until a head is obtained

We may have to toss the coin any number of times before a head is obtained. Thus the possible
outcomes are:
H, TH, TTH, TTTH,
How many outcomes are there? The outcomes are countable but infinite in number. The
countably infinite sample space is .

Example 4 : Picking a real number at random between -1 and +1

The associated sample space is

Clearly is a continuous sample space.

Definition of probability

Consider a random experiment with a finite number of outcomes If all the outcomes of the
experiment are equally likely , the probability of an event is defined by

where

Example 6 A fair die is rolled once. What is the probability of getting a „6‟ ?

Here and
Example 7 A fair coin is tossed twice. What is the probability of getting two „heads'?

Here and .
Total number of outcomes is 4 and all four outcomes are equally likely.

Only outcome favourable to is {HH}

Discussion

 The classical definition is limited to a random experiment which has only a finite
number of outcomes. In many experiments like that in the above examples, the sample
space is finite and each outcome may be assumed „equally likely.' In such cases, the
counting method can be used to compute probabilities of events.

 Consider the experiment of tossing a fair coin until a „head' appears.As we have
discussed earlier, there are countably infinite outcomes. Can you believe that all these
outcomes are equally likely?

 The notion of equally likely is important here. Equally likely means equally probable.
Thus this definition presupposes that all events occur with equal probability . Thus the
definition includes a concept to be defined

Relative-frequency based definition of probability

If an experiment is repeated times under similar conditions and the event occurs in times,

then

Example 8 Suppose a die is rolled 500 times. The following table shows the frequency each
face.

We see that the relative frequencies are close to . How do we ascertain that these relative

frequencies will approach to as we repeat the experiments infinite no of times?

Discussion This definition is also inadequate from the theoretical point of view.
  We cannot repeat an experiment infinite number of times.
 How do we ascertain that the above ratio will converge for all possible
sequences of outcomes of the experiment?

Axiomatic definition of probability

We have earlier defined an event as a subset of the sample space. Does each subset of the
sample space forms an event?
The answer is yes for a finite sample space. However, we may not be able to assign probability
meaningfully to all the subsets of a continuous sample space. We have to eliminate those
subsets. The concept of the sigma algebra is meaningful now.

Definition Let be a sample space and a sigma field defined over it. Let be a
mapping from the sigma-algebra into the real line such that for each , there exists a
unique . Clearly is a set function and is called probability, if it satisfies the
following three axioms.

Figure 2

Discussion

 The triplet is called the probability space.

 Any assignment of probability assignment must satisfy the above three axioms

 If ,

This is a special case of axiom 3 and for a discrete sample space , this simpler version
may be considered as the axiom 3. We shall give a proof of this result below.

 The events A and B are called mutually exclusive .

Basic results of probability

From the above axioms we established the following basic results:

1.
Suppose,
Then

Therefore

Thus which is possible only if

2. If
We have ,

3. where where

We have,
4. If

We have,

We can similarly show that ,

 5. If
We have ,

6. We can apply the properties of sets to establish the following result for
,

The following generalization is known as the principle inclusion-exclusion.

Probability assignment in a discrete sample space

Consider a finite sample space . Then the sigma algebra is defined by the power set
of S. For any elementary event , we can assign a probability P( si ) such that,

For any event , we can define the probability

In a special case, when the outcomes are equi-probable, we can assign equal probability
p to each elementary event.

Example 9 Consider the experiment of rolling a fair die considered in example 2.

Suppose represent the elementary events. Thus is the event of getting „1',
is the event of getting '2' and so on.
 Since all six disjoint events are equiprobable and we get ,

Suppose is the event of getting an odd face. Then

Example 10 Consider the experiment of tossing a fair coin until a head is obtained discussed in
Example 3. Here . Let us call

and so on. If we assign, then Let is the event

of obtaining the head before the 4 th toss. Then

Probability assignment in a continuous space

Suppose the sample space S is continuous and un-countable. Such a sample space arises
when the outcomes of an experiment are numbers. For example, such sample space occurs
when the experiment consists in measuring the voltage, the current or the resistance. In such a
case, the sigma algebra consists of the Borel sets on the real line.

Suppose and is a non-negative integrable function such that,

For any Borel set ,

defines the probability on the Borel sigma-algebra B .

We can similarly define probability on the continuous space of etc.
 Example 11 Suppose

Then for

Probability Using Counting Method

In many applications we have to deal with a finite sample space and the elementary
events formed by single elements of the set may be assumed equiprobable. In this case, we can
define the probability of the event A according to the classical definition discussed earlier:

where = number of elements favorable to A and n is the total number of elements in the
sample space .

Thus calculation of probability involves finding the number of elements in the sample
space and the event A. Combinatorial rules give us quick algebraic formulae to find the
elements in .We briefly outline some of these rules:

1. Product rule Suppose we have a set A with m distinct elements and the set B with n

distinct elements and . Then contains mn ordered

pair of elements. This is illustrated in Fig for m=5 and n=4 n other words if we can
choose element a in m possible ways and the element b in n possible ways then the
ordered pair (a, b) can be chosen in mn possible ways.

Figure 1 Illustration of the product rule

The above result can be generalized as follows:

The number of distinct k -tupples in
is where
represents the number of distinct elements in .

Example 1 A fair die is thrown twice. What is the probability that a 3 will appear at least
once.

Solution: The sample space corresponding to two throws of the die is illustrated in the
following table. Clearly, the sample space has elements by the product rule. The
event corresponding to getting at least one 3 is highlighted and contains 11 elements. Therefore,

the required probability is .

Example 2 Birthday problem - Given a class of students, what is the probability of two
students in the class having the same birthday? Plot this probability vs. number of students and
be surprised!.

Let be the number of students in the class.

 The plot of probability vs number of students is shown in above table. Observe the
steep rise in the probability in the beginning. In fact this probability for a group of 25 students is
greater than 0.5 and that for 60 students onward is closed to 1. This probability for 366 or more
number of students is exactly one.

Example 3 An urn contains 6 red balls, 5 green balls and 4 blue balls. 9 balls were picked at
random from the urn without replacement. What is the probability that out of the balls 4 are red,
3 are green and 2 are blue?

Solution :

9 balls can be picked from a population of 15 balls in .

Therefore the required probability is

Example 4 What is the probability that in a throw of 12 dice each face occurs twice.

Solution: The total number of elements in the sample space of the outcomes of a single
throw of 12 dice is

The number of favourable outcomes is the number of ways in which 12 dice can be
arranged in six groups of size 2 each – group 1 consisting of two dice each showing 1, group 2
consisting of two dice each showing 2 and so on.
Therefore, the total number distinct groups

Hence the required probability is

Conditional probability

Consider the probability space . Let A and B two events in . We ask the
following question –
Given that A has occurred, what is the probability of B?

The answer is the conditional probability of B given A denoted by . We shall

develop the concept of the conditional probability and explain under what condition this
conditional probability is same as .

Let us consider the case of equiprobable events discussed earlier. Let sample points
be favourable for the joint event .

Figure 1

Clearly ,

This concept suggests us to define conditional probability. The probability of an event B under
the condition that another event A has occurred is called the conditional probability of B given
A and defined by
 We can similarly define the conditional probability of A given B , denoted by .

From the definition of conditional probability, we have the joint probability of

two events A and B as follows

Example 1 Consider the example tossing the fair die. Suppose

Example 2 A family has two children. It is known that at least one of the children is a girl.
What is the
probability that both the children are girls?

A = event of at least one girl

B = event of two girls

Clearly,

Conditional probability and the axioms of probability

In the following we show that the conditional probability satisfies the axioms of
probability.
By definition

Axiom 1:

Axiom 2 :

We have ,

Axiom 3 :

Consider a sequence of disjoint events .

We have ,

Figure 2

Note that the sequence is also sequence of disjoint events.

Properties of Conditional Probabilities

If , then

We have ,

Chain Rule of Probability

We have ,

We can generalize the above to get the chain rule of probability

 Joint Probability
Joint probability is defined as the probability of both A and B taking place, and is
denoted by P(AB).

Joint probability is not the same as conditional probability, though the two concepts are
often confused. Conditional probability assumes that one event has taken place or will take
place, and then asks for the probability of the other (A, given B). Joint probability does not have
such conditions; it simply asks for the chances of both happening (A and B). In a problem, to
help distinguish between the two, look for qualifiers that one event is conditional on the other
(conditional) or whether they will happen concurrently (joint).

Probability definitions can find their way into CFA exam questions. Naturally, there may also
be questions that test the ability to calculate joint probabilities. Such computations require use
of the multiplication rule, which states that the joint probability of A and B is the product of the
conditional probability of A given B, times the probability of B. In probability notation:

P(AB) = P(A | B) * P(B)

Given a conditional probability P(A | B) = 40%, and a probability of B = 60%, the joint
probability P(AB) = 0.6*0.4 or 24%, found by applying the multiplication rule.

P(AUB)=P(A)+P(B)-P(A‫ח‬B)

For independent events: P(AB) = P(A) * P(B)

Moreover, the rule generalizes for more than two events provided they are all independent of
one another, so the joint probability of three events P(ABC) = P(A) * (P(B) * P(C), again
assuming independence.

Total Probability

Let be n events such that

Then for any event B,

Proof : We have and the sequence is disjoint.

 Figure 3

Remark

(1) A decomposition of a set S into 2 or more disjoint nonempty subsets is called a partition
of S.The subsets form a partition of S if

(2) The theorem of total probability can be used to determine the probability of a complex
event in terms of related simpler events. This result will be used in Bays' theorem to be
discussed to the end of the lecture.

Example 3 Suppose a box contains 2 white and 3 black balls. Two balls are picked at
random without replacement.

Let = event that the first ball is white and

Let = event that the first ball is black.

Clearly and form a partition of the sample space corresponding to picking two
balls from the box.

Let B = the event that the second ball is white. Then .

 Bayes' Theorem

This result is known as the Baye's theorem. The probability is called the a priori
probability and is called the a posteriori probability. Thus the Bays' theorem enables
us to determine the a posteriori probability from the observation that B has occurred.
This result is of practical importance and is the heart of Baysean classification, Baysean
estimation etc.

Example 6

In a binary communication system a zero and a one is transmitted with probability 0.6
and 0.4 respectively. Due to error in the communication system a zero becomes a one with a
probability 0.1 and a one becomes a zero with a probability 0.08. Determine the probability (i)
of receiving a one and (ii) that a one was transmitted when the received message is one.

Let S be the sample space corresponding to binary communication. Suppose be event

of transmitting 0 and be the event of transmitting 1 and and be corresponding events of
receiving 0 and 1 respectively.

Given and
Example 7: In an electronics laboratory, there are identically looking capacitors of three makes
in the ratio 2:3:4. It is known that 1% of , 1.5% of are
defective. What percentages of capacitors in the laboratory are defective? If a capacitor picked
at defective is found to be defective, what is the probability it is of make ?

Let D be the event that the item is defective. Here we have to find .

Here

The conditional probabilities are

Independent events
Two events are called independent if the probability of occurrence of one event does not
affect the probability of occurrence of the other. Thus the events A and B are independent if

and
 where and are assumed to be non-zero.

Equivalently if A and B are independent, we have

or --------------------

Two events A and B are called statistically dependent if they are not independent. Similarly, we
can define the independence of n events. The events are called independent if
and only if

Example 4 Consider the example of tossing a fair coin twice. The resulting sample space is
given by and all the outcomes are equiprobable.

Let be the event of getting „tail' in the first toss and be the
event of getting „head' in the second toss. Then

and

Again, so that

Hence the events A and B are independent.

Example 5 Consider the experiment of picking two balls at random discussed in above
example
 In this case, and .
Therefore, and and B are dependent.

RANDOM VARIABLE
INTRODUCTION
In application of probabilities, we are often concerned with numerical values which are
random in nature. For example, we may consider the number of customers arriving at a service
station at a particular interval of time or the transmission time of a message in a communication
system. These random quantities may be considered as real-valued function on the sample
space. Such a real-valued function is called real random variable and plays an important role in
describing random data. We shall introduce the concept of random variables in the following
sections.

Random variable
A random variable associates the points in the sample space with real numbers.

Consider the probability space and function mapping the sample space

into the real line. Let us define the probability of a subset by

Such a definition will be valid if is a valid event. If is a discrete sample

space, is always a valid event, but the same may not be true if is infinite. The
concept of sigma algebra is again necessary to overcome this difficulty. We also need the Borel
sigma algebra -the sigma algebra defined on the real line.

The function is called a random variable if the inverse image of all Borel sets
under is an event. Thus, if is a random variable, then
 Figure: Random Variable

Observations:

 is the domain of .
 The range of denoted by ,is given by

Clearly .

• The above definition of the random variable requires that the mapping is such that
is a valid event in . If is a discrete sample space, this requirement is met
by any mapping . Thus any mapping defined on the discrete sample space is
a random variable.

Example 2 Consider the example of tossing a fair coin twice. The sample space is S={
HH,HT,TH,TT} and all four outcomes are equally likely. Then we can define a random variable
as follows

Here .

Example 3 Consider the sample space associated with the single toss of a fair die. The
sample space is given by .
 If we define the random variable that associates a real number equal to the number on
the face of the die, then .

.
Discrete, Continuous and Mixed-type Random Variables

• A random variable is called a discrete random variable if is piece-wise

constant. Thus is flat except at the points of jump discontinuity. If the sample space is
discrete the random variable defined on it is always discrete.

• X is called a continuous random variable if is an absolutely continuous

function of x . Thus is continuous everywhere on and exists everywhere except

at finite or countably infinite points .

• X is called a mixed random variable if has jump discontinuity at countable

number of points and increases continuously at least in one interval of X. For a such type RV X,

where is the distribution function of a discrete RV, is the distribution function of

a continuous RV and o< p <1.
Typical plots of for discrete, continuous and mixed-random variables are shown in
Figure 1, Figure 2 and Figure 3 respectively.

The interpretation of and will be given later.

Figure 1 Plot of vs. for a discrete random variable

Probability Distribution Function

We have seen that the event and are equivalent and

.The underlying sample space is omitted in notation and we simply
write and instead of and respectively.

Consider the Borel set , where represents any real number. The equivalent
event is denoted as .The event can be taken
as a representative event in studying the probability description of a random variable . Any
other event can be represented in terms of this event. For example,

and so on.

The probability is called the probability distribution

function ( also called the cumulative distribution function , abbreviated as CDF ) of and
denoted by . Thus
 Figure 4

Example 4: Consider the random variable in the above example. We have

Figure 5 shows the plot of FX(x)

Figure 5

Properties of the Distribution Function


This follows from the fact that is a probability and its value should lie between 0
and 1.
  is a non-decreasing function of . Thus, if

 Is right continuous.


.

We have ,

We can further establish the following results on probability of events on the real line:
 Thus we have seen that given , we can determine the probability of any
event involving values of the random variable .Thus is a complete description
of the random variable .

Example 5 Consider the random variable defined by

Find a) .

b) .

c) .

d) .

Solution:
Figure 6 shows the plot of FX(x).

Figure 6

Discrete Random Variables and Probability DENSITY functions

A random variable is said to be discrete if the number of elements in the range is

finite or countably infinite.

First assume to be countably finite. Let be the elements of . Here the

mapping partitions into subsets .

The discrete random variable in this case is completely specified by the probability mass
function (pmf) .

Clearly,

• Suppose .Then

Figure 6 illustrates a discrete random variable.

 Figure 6 Discrete Random Variable

Example 1

Consider the random variable with the distribution function

The plot of the is shown in Figure 7 on next page.

 The probability mass function of the random variable is given by

Value of the random

pX(x)
variable X =x
0

Continous Random Variables and Probability Density Functions

For a continuous random variable , is continuous everywhere. Therefore,

This implies that for

Therefore, the probability mass function of a continuous RV is zero for all .A

continuous random variable cannot be characterized by the probability mass function. A
continuous random variable has a very important chacterisation in terms of a function called the
probability density function.
 If is differentiable, the probability density function ( pdf) of denoted by
is defined as

Interpretation of

so that

Thus the probability of lying in some interval is determined by . In

that sense, represents the concentration of probability just as the density represents the
concentration of mass.

Properties of the Probability Density Function

 .
This follows from the fact that is a non-decreasing function

Figure 8 below illustrates the probability of an elementary interval in terms of the pdf.
 Example 2 Consider the random variable with the distribution function

The pdf of the RV is given by

Remark: Using the Dirac delta function we can define the density function for a discrete
random variables.

Consider the random variable defined by the probability mass function (pmf)

The distribution function can be written as

where is the shifted unit-step function given by

Then the density function can be written in terms of the Dirac delta function as
 Example 3
Consider the random variable defined with the distribution function given by,

Probability Density Function of Mixed Random Variable

Suppose is a mixed random variable with having jump discontinuity at

. As already stated, the CDF of a mixed random variable is given by

where is a discrete distribution function of and is a continuous distribution

function of .
The corresponding pdf is given by

where

and is a continuous pdf. We can establish the above relations as follows.

Suppose denotes the countable subset of points on such that the random
variable is characterized by the probability mass function . Similarly, let
be a continuous subset of points on such that RV is characterized by the
probability density function .
Clearly the subsets and partition the set If , then .
Thus the probability of the event can be expressed as
 Taking the derivative with respect to x , we get

Example 4 Consider the random variable with the distribution function

The plot of is shown in Figure 9 on next page

where

Figure 10
The pdf is given by

where

and

Example 5

X is the random variable representing the life time of a device with the PDF for .
Define the following random variable

Find FY(y).

Solution:
Other distribution and density rvs
In the following, we shall discuss a few commonly-used discrete random variabes. The
importance of these random variables will be highlighted.

Bernoulli random variable

Suppose X is a random variable that takes two values 0 and 1, with probability mass
functions

And

Such a random variable X is called a Bernoulli random variable, because it describes the
outcomes of a Bernoulli trial.

The typical CDF of the Bernoulli RV is as shown in Figure 2

Figure 2

Remark
We can define the pdf of with the help of Dirac delta function. Thus

Example 2 Consider the experiment of tossing a biased coin. Suppose

and .
If we define the random variable and then is a Bernoulli random
variable.

Mean and variance of the Bernoulli random variable

Remark

 The Bernoulli RV is the simplest discrete RV. It can be used as the building block for
many discrete RVs.
 For the Bernoulli RV,

Thus all the moments of the Bernoulli RV have the same value of

Binomial random variable

Suppose X is a discrete random variable taking values from the set . is called a
binomial random variable with parameters n and if

where

As we have seen, the probability of k successes in n independent repetitions of the

Bernoulli trial is given by the binomial law. If X is a discrete random variable representing the
number of successes in this case, then X is a binomial random variable. For example, the
number of heads in „n ' independent tossing of a fair coin is a binomial random variable.

 The notation is used to represent a binomial RV with the parameters and

.


 The sum of n independent identically distributed Bernoulli random variables is a
binomial random variable.
 The binomial distribution is useful when there are two types of objects - good, bad;
correct, erroneous; healthy, diseased etc.

Example 3 In a binary communication system, the probability of bit error is 0.01. If a block of
8 bits are transmitted, find the probability that

(a) Exactly 2 bit errors will occur

 (b) At least 2 bit errors will occur

(c) More than 2 bit errors will occur

(d) All the bits will be erroneous

Suppose is the random variable representing the number of bit errors in a block of 8
bits. Then

Therefore,

The probability mass function for a binomial random variable with n = 6 and p =0.8 is
shown in the Figure 3 below.
 Figure 3

Mean and Variance of the Binomial Random Variable

Where
 .

Poisson Random Variable

A discrete random variable X is called a Poisson random variable with the parameter if
and

The plot of the pmf of the Poisson RV is shown in Figure 2

Figure 2

Mean and Variance of the Poisson RV

The mean of the Poisson RV X is given by

 Example 3 The number of calls received in a telephone exchange follows a Poisson
distribution with an average of 10 calls per minute. What is the probability that in one-minute
duration?

i. no call is received
ii. exactly 5 calls are received
iii. More than 3 calls are received.

Solution: Let X be the random variable representing the number of calls received. Given

Where Therefore,

i. probability that no call is received 0.000095

ii. probability that exactly 5 calls are received 0.0378

 iii. probability that more the 3 calls are received

0.9897

Poisson Approximation of the Binomial Random Variable

The Poisson distribution is also used to approximate the binomial distribution when n is
very large and p is small.

Consider binomial RV with with

Then
Thus the Poisson approximation can be used to compute binomial probabilities for large n. It
also makes the analysis of such probabilities easier. Typical examples are:

 number of bit errors in a received binary data file

 number of typographical errors in a printed page

Example 4 Suppose there is an error probability of 0.01 per word in typing. What is the
probability that there will be more than 1 error in a page of 120 words?

Solution: Suppose X is the RV representing the number of errors per page of 120 words.

Where Therefore,

In the following we shall discuss some important continuous random variables.

Uniform Random Variable

A continuous random variable X is called uniformly distributed over the interval [a, b],
, if its probability density function is given by

Figure 1

We use the notation to denote a random variable X uniformly distributed over the
interval

[a,b]. Also note that

 Distribution function

Figure 2 illustrates the CDF of a uniform random variable.

Figure 2

Mean and Variance of a Uniform Random Variable

The characteristic function of the random variable is given by

Example 1

Suppose a random noise voltage X across an electronic circuit is uniformly distributed

between -4 V and 5 V. What is the probability that the noise voltage will lie between 2 V and 3
V? What is the variance of the voltage?

Normal or Gaussian Random Variable

The normal distribution is the most important distribution used to model natural and man
made phenomena. Particularly, when the random variable is the result of the addition of large
number of independent random variables, it can be modelled as a normal random variable.

A continuous random variable X is called a normal or a Gaussian random variable with

parameters and if its probability density function is given by,
Where and are real numbers.

We write that X is distributed.

If and ,

and the random variable X is called the standard normal variable.

Figure 3 illustrates two normal variables with the same mean but different variances.

Figure 3

 Is a bell-shaped function, symmetrical about .

 Determines the spread of the random variable X . If is small X is more
concentrated around the mean .
 Distribution function of a Gaussian random variable

Substituting , we get
 where is the distribution function of the standard normal variable.

Thus can be computed from tabulated values of . The table was very useful
in the pre-computer days.

In communication engineering, it is customary to work with the Q function defined by,

Note that and

These results follow from the symmetry of the Gaussian pdf. The function is tabulated and
the tabulated results are used to compute probability involving the Gaussian random variable.

Using the Error Function to compute Probabilities for Gaussian Random Variables

The function is closely related to the error function and the complementary error
function .

Note that,

And the complementary error function is given by

Mean and Variance of a Gaussian Random Variable

If X is distributed, then

Proof:
Exponential Random Variable

A continuous random variable is called exponentially distributed with the parameter

if the probability density function is of the form

Figure 1 shows the typical pdf of an exponential RV.

Figure 1

Example 1

Suppose the waiting time of packets in in a computer network is an exponential RV with

Rayleigh Random Variable

A Rayleigh random variable X is characterized by the PDF

where is the parameter of the random variable.

The probability density functions for the Rayleigh RVs are illustrated in Figure 6.

Figure 6

Mean and Variance of the Rayleigh Distribution

Similarly,
Relation between the Rayleigh Distribution and the Gaussian Distribution

A Rayleigh RV is related to Gaussian RVs as follow: If and

are independent, then the envelope has the Rayleigh distribution

with the parameter .
We shall prove this result in a later lecture. This important result also suggests the cases
where the Rayleigh RV can be used.

Application of the Rayleigh RV

 Modeling the root mean square error-

 Modeling the envelope of a signal with two orthogonal components as in the case of a
signal of the following form:

Conditional Distribution and Density functions

We discussed conditional probability in an earlier lecture. For two events A and B with
, the conditional probability was defined as

Clearly, the conditional probability can be defined on events involving a random variable
X.

Conditional distribution function

Consider the event and any event B involving the random variable X . The
conditional distribution function of X given B is defined as
 We can verify that satisfies all the properties of the distribution function.
Particularly.

 And .
 .
 Is a non-decreasing function of .

Conditional Probability Density Function

In a similar manner, we can define the conditional density function of the

random variable X given the event B as

All the properties of the pdf applies to the conditional pdf and we can easily show that

Example 1 Suppose X is a random variable with the distribution function . Define

 Case 1:

Then

And

Case 2:

and
 and are plotted in the following figures.

Figure 1

Example 2 Suppose is a random variable with the distribution function and

.
 Then

For , .Therefore,

For , .Therefore,

Thus,

the corresponding pdf is given by

Example 3 Suppose X is a random variable with the probability density function

and . Then
 where and
Remark

is the standard Gaussian distribution.

is called the truncated Gaussian and plotted in Figure 3 on next page.

Expected Value of a Random Variable

  The expectation operation extracts a few parameters of a random variable and provides a
summary description of the random variable in terms of these parameters.
 It is far easier to estimate these parameters from data than to estimate the distribution or
density function of the random variable.
 Moments are some important parameters obtained through the expection operation.

Expected value or mean of a random variable

The expected value of a random variable is defined by

Provided exists.

Is also called the mean or statistical average of the random variable and is denoted
by

Note that, for a discrete RV with the probability mass function (pmf)
the pdf is given by

Thus for a discrete random variable with

 Figure1 Mean of a random variable

Example 1

Suppose is a random variable defined by the pdf

Then

Example 2

Consider the random variable with the pmf as tabulated below

Value of the random

0 1 2 3
variable x
pX(x)

Then
Example 3 Let X be a continuous random variable with

Then

=
Hence EX does not exist. This density function is known as the Cauchy density function.

Expected value of a function of a random variable

Suppose is a real-valued function of a random variable as discussed in the last

class.
Then,

We shall illustrate the above result in the special case when is one-to-one
and monotonically increasing function of x In this case,

Figure 2
The following important properties of the expectation operation can be immediately derived:

(a) If is a constant,

Clearly

(b) If are two functions of the random variable and are

constants,

The above property means that is a linear operator.

MOMENTS ABOUT THE ORIGIN:

Mean-square value

MOMENTS ABOUT THE MEAN

Variance
Second central moment is called as variance

For a random variable with the pdf and mean the variance of is denoted by
and

defined as

Thus for a discrete random variable with

The standard deviation of is defined as

Example 4

Find the variance of the random variable in the above example

Example 5

Find the variance of the random variable discussed in above example. As already computed
 For example, consider two random variables with pmf as shown below. Note that

each of has zero mean.The variances are given by and implying that
has more spread about the mean.

Properties of variance

(1)

(2) If then

(3) If is a constant,

nth moment of a random variable

We can define the nth moment and the nth central- moment of a random variable X by the
following relations

Note that

 The mean is the first moment and the mean-square value is the second
moment
 The first central moment is 0 and the variance is the second central
moment
SKEWNESS

 The third central moment measures lack of symmetry of the pdf of a random variable

is called the coefficient of skewness and if the pdf is symmetric this

coefficient will be zero.
 The fourth central moment measures flatness or peakedness of the pdf of a random

variable. Is called kurtosis. If the peak of the pdf is sharper, then the
random variable has a higher kurtosis.

Inequalities based on expectations

The mean and variance also give some quantitative information about the bounds of RVs.
Following inequalities are extremely useful in many practical problems.

Chebychev Inequality

Suppose a parameter of a manufactured item with known mean The

quality control department rejects the item if the absolute deviation of from is greater
than

The standard deviation gives us an intuitive idea how the random variable is distributed
about the mean. This idea is more precisely expressed in the remarkable Chebysev Inequality
stated below. For a random variable with mean

Proof:
 MODULE-II

SINGLE RANDOM VARIABLE TRANSFORMATIONS AND MULTIPLE

RANDOM VARIABLES

Characteristic function

Consider a random variable with probability density function The characteristic

function of denoted by is defined as

Note the following:

 is a complex quantity, representing the Fourier transform of and

traditionally using instead of This implies that the properties of the Fourier
transform applies to the characteristic function.
 The interpretation that is the expectation of helps in calculating moments
with the help of the characteristics function. In a simple case ,

 As always non-negative and , always exists. We can get

from by the inverse transform

Example 1

Consider the random variable X with pdf given by

= 0 otherwise. The characteristics function is given by

Solution:

Example 2

The characteristic function of the random variable with

Characteristic function of a discrete random variable

Suppose X is a random variable taking values from the discrete set with
corresponding probability mass function for the value

Then,

If Rx is the set of integers, we can write

In this case can be interpreted as the discrete-time Fourier transform with

substituting in the original discrete-time Fourier transform. The inverse relation is
Moments and the characteristic function

Given the characteristics function the nth moment is given by

To prove this consider the power series expansion of

Taking expectation of both sides and assuming to exist, we get

Taking the first derivative of with respect to at we get

Similarly, taking the derivative of with respect to at we get

Thus ,
TRANSFORMATION OF A RANDOM VARIABLE

Description:

Suppose we are given a random variable X with density fX(x). We apply a function g
to produce a random variable Y = g(X). We can think of X as the input to a black
box,and Y the output.

Multiple Random Variables

In many applications we have to deal with more than two random variables. For
example, in the navigation problem, the position of a space craft is represented by three random
variables denoting the x, y and z coordinates. The noise affecting the R, G, B channels of colour
video may be represented by three random variables. In such situations, it is convenient to
define the vector-valued random variables where each component of the vector is a random
variable.

In this lecture, we extend the concepts of joint random variables to the case of multiple
random variables. A generalized analysis will be presented for random variables defined on
the same sample space.

Jointly Distributed Random Variables

We may define two or more random variables on the same sample space. Let and be
two real random variables defined on the same probability space The mapping
such that for is called a joint random variable.

Figure 1

Joint Probability Distribution Function

Recall the definition of the distribution of a single random variable. The event was
used to define the probability distribution function . Given , we can find the
probability of any event involving the random variable. Similarly, for two random variables
and , the event is considered as the representative event.
 The probability is called the joint distribution function or the
joint cumulative distribution function (CDF) of the random variables and and denoted by
.

Figure 2

Properties of JPDF

satisfies the following properties:

1)

2)

3)

Note that

4)

5) is right continuous in both the variables.

6)

Given ,we have a complete description

of the random variables and .

7)

To prove this
 Similarly .

Given , each of is called a

marginal

Distribution function or marginal cumulative distribution function (CDF).

Jointly Distributed Discrete Random Variables

If and are two discrete random variables defined on the same probability space
such that takes values from the countable subset and takes values from the
countable subset .Then the joint random variable can take values from the countable
subset in . The joint random variable is completely specified by their joint
probability mass function

Given , we can determine other probabilities involving the random variables and

Remark

This is because

• Marginal Probability Mass Functions: The probability mass functions and

are obtained from the joint probability mass function as follows

and similarly
 These probability mass functions and obtained from the joint probability
mass functions are called marginal probability mass functions .

Example 4 Consider the random variables and with the joint probability mass function as
tabulated in Table 1. The marginal probabilities and are as shown in the last
column and the last row respectively.

Table 1

Joint Probability Density Function

If and are two continuous random variables and their joint distribution function is
continuous in both and , then we can define joint probability density function by

provided it exists.

Clearly

Properties of Joint Probability Density Function

• is always a non-negative quantity. That is,

• The probability of any Borel set can be obtained by

Marginal density functions

The marginal density functions and of two joint RVs and are given by
the derivatives of the corresponding marginal distribution functions. Thus
Example 5 The joint density function of the random variables in Example 3 is

Example 6 The joint pdf of two random variables and are given by

• Find .
• Find .
• Find and .
• What is the probability ?
Conditional Distributions

We discussed the conditional CDF and conditional PDF of a random variable conditioned on
some events defined in terms of the same random variable. We observed that

and

We can define these quantities for two random variables. We start with the conditional
probability mass functions for two random variables.
Conditional Probability Density Functions

Suppose and are two discrete jointly random variable with the joint PMF The
conditional PMF of given is denoted by and defined as

Similarly we can define the conditional probability mass function

Conditional Probability Distribution Function

Consider two continuous jointly random variables and with the joint probability
distribution function We are interested to find the conditional distribution function of
one of the random variables on the condition of a particular value of the other random variable.

We cannot define the conditional distribution function of the random variable on the
condition of the event by the relation

as in the above expression. The conditional distribution function is defined in the

limiting sense as follows:
Conditional Probability Density Function

is called the conditional probability density function of

given

Let us define the conditional distribution function .

The conditional density is defined in the limiting sense as follows

Because,

The right hand side of the highlighted equation is

Similarly we have

Two random variables are statistically independent if for all

Example 2 X and Y are two jointly random variables with the joint pdf given by

find,
(a)
(b)
(c)

Solution:

Since

We get

Independent Random Variables (or) Statistical Independence

Let and be two random variables characterized by the joint distribution function

and the corresponding joint density function

Then and are independent if and are independent events.
Thus,
 and equivalently

Sum of Two Random Variables

We are often interested in finding out the probability density function of a function of two or
more RVs. Following are a few examples.

• The received signal by a communication receiver is given by

where is received signal which is the superposition of the message signal and the noise
.

• The frequently applied operations on communication signals like modulation, demodulation,

correlation etc. involve multiplication of two signals in the form Z = XY.

We have to know about the probability distribution of in any analysis of . More

formally, given two random variables X and Y with joint probability density function
and a function we have to find .

In this lecture, we shall address this problem.

Probability Density of the Function of Two Random Variables

We consider the transformation

 Consider the event corresponding to each z. We can find a variable subset
such that .

Figure 1

Probability density function of Z = X + Y .

Consider Figure 2
 Figure 2

We have

Therefore, is the colored region in the Figure 2.

If X and Y are independent

Where * is the convolution operation.

Example 1

Suppose X and Y are independent random variables and each uniformly distributed over (a, b).
And are as shown in the figure below.
The PDF of is a triangular probability density function as shown in the figure.

Central Limit Theorem

Consider independent random variables .The mean and variance of
each of the random variables are assumed to be known. Suppose and
. Form a random variable

The mean and variance of are given by

and
Thus we can determine the mean and the variance of .
Can we guess about the probability distribution of ?
The central limit theorem (CLT) provides an answer to this question.

The CLT states that under very general conditions converges in distribution to
as . The conditions are:

1. The random variables are independent and identically distributed.

2. The random variables are independent with same mean and variance, but
not identically distributed.
 3. The random variables are independent with different means and same
variance and not identically distributed.
4. The random variables are independent with different means and each
variance being neither too small nor too large.

We shall consider the first condition only. In this case, the central-limit theorem can be stated as
follows:

Proof of the Central Limit Theorem:

We give a less rigorous proof of the theorem with the help of the characteristic function.
Further we consider each of to have zero mean. Thus,

Clearly,
The characteristic function of is given by

We will show that as the characteristic function is of the form of the characteristic
function of a Gaussian random variable.
Expanding in power series

Assume all the moments of to be finite. Then

Substituting

where is the average of terms involving and higher powers of .

Note also that each term in involves a ratio of a higher moment and a power of and
therefore,

which is the characteristic function of a Gaussian random variable with 0 mean and
variance .
 MODULE III

OPERATIONS ON MULTIPLE RANDOM VARIBLES-

EXPECTATIONS

Operations on multiple random variables

Expected values of functions of random variables

If is a function of a continuous random variable then

If is a function of a discrete random variable then

Suppose is a function of continuous random variables then the

expected value of is given by

Thus can be computed without explicitly determining .

We can establish the above result as follows.

Suppose has roots at . Then

Where

Is the differential region containing The mapping is illustrated in Figure 1

for .
 Figure 1

Note that

As is varied over the entire axis, the corresponding (non-overlapping) differential regions
in plane cover the entire plane.

Thus,

If is a function of discrete random variables , we can similarly show that

Example 1 The joint pdf of two random variables is given by

Find the joint expectation of

 Example 2 If

Proof:

Thus, expectation is a linear operator.

Example 3

Consider the discrete random variables discussed in Example 4 in lecture 18.The

joint probability mass function of the random variables are tabulated in Table . Find the joint
expectation of .

Remark

(1) We have earlier shown that expectation is a linear operator. We can generally write

Thus
(2) If are independent random variables and ,then
Joint Moments of Random Variables
Just like the moments of a random variable provide a summary description of the random
variable, so also the joint moments provide summary description of two random variables. For
two continuous random variables , the joint moment of order is defined as

And the joint central moment of order is defined as

where and

Remark
(1) If are discrete random variables, the joint expectation of order and is
defined as

(2) If and , we have the second-order moment of the random variables

given by

(3) If are independent,

Covariance of two random variables

The covariance of two random variables is defined as

Cov(X, Y) is also denoted as .

Expanding the right-hand side, we get

The ratio is called the correlation coefficient.

If then are called positively correlated.

If then are called negatively correlated

If then are uncorrelated.

We will also show that To establish the relation, we prove the following result:

For two random variables

Proof:

Consider the random variable

Non-negativity of the left-hand side implies that its minimum also must be nonnegative.

For the minimum value,

so the corresponding minimum is

Since the minimum is nonnegative,

 Now

Thus

Uncorrelated random variables

Two random variables are called uncorrelated if

Recall that if are independent random variables, then

then

Thus two independent random variables are always uncorrelated.

Note that independence implies uncorrelated. But uncorrelated generally does not imply
independence (except for jointly Gaussian random variables).

Joint Characteristic Functions of Two Random Variables

The joint characteristic function of two random variables X and Y is defined by

 If and are jointly continuous random variables, then

Note that is same as the two-dimensional Fourier transform with the basis

function instead of

is related to the joint characteristic function by the Fourier inversion formula

If and are discrete random variables, we can define the joint characteristic function in
terms of the joint probability mass function as follows:

Properties of the Joint Characteristic Function

The joint characteristic function has properties similar to the properties of the chacteristic
function of a single random variable. We can easily establish the following properties:

1.
2.
3. If and are independent random variables, then

4. We have,
 Hence,

In general, the order joint moment is given by

Example 2 The joint characteristic function of the jointly Gaussian random variables and
with the joint pdf

Let us recall the characteristic function of a Gaussian random variable

If and is jointly Gaussian,

 we can similarly show that

We can use the joint characteristic functions to simplify the probabilistic analysis as
illustrated on next page:

Jointly Gaussian Random Variables

Many practically occurring random variables are modeled as jointly Gaussian random variables.
For example, noise samples at different instants in the communication system are modeled as
jointly Gaussian random variables.

Two random variables are called jointly Gaussian if their joint probability density

The joint pdf is determined by 5 parameters

 means
 variances
 correlation coefficient

We denote the jointly Gaussian random variables and with these parameters as

The joint pdf has a bell shape centered at as shown in the Figure 1 below. The
variances determine the spread of the pdf surface and determines the orientation
of the surface in the plane.

Figure 1 Jointly Gaussian PDF surface

Properties of jointly Gaussian random variables

(1) If and are jointly Gaussian, then and are both Gaussian.

We have

Similarly

(2) The converse of the above result is not true. If each of and is Gaussian, and are
not necessarily jointly Gaussian. Suppose
 in this example is non-Gaussian and qualifies to be a joint pdf. Because,

And

The marginal density is given by

Similarly,

Thus and are both Gaussian, but not jointly Gaussian.

(3) If and are jointly Gaussian, then for any constants and ,the random variable
given by is Gaussian with mean and variance

(4) Two jointly Gaussian RVs and are independent if and only if and are
uncorrelated .Observe that if and are uncorrelated, then
Example 1 Suppose X and Y are two jointly-Gaussian 0-mean random variables with variances
of 1 and 4 respectively and a covariance of 1. Find the joint PDF

We have

Example 2 Linear transformation of two random variables

Suppose then

If and are jointly Gaussian, then

Which is the characteristic function of a Gaussian random variable with

mean and variance

thus the linear transformation of two Gaussian random variables is a Gaussian random
variable.

Example 3 If Z = X + Y and X and Y are independent, then

 Using the property of the Fourier transform, we get

Hence proved.

Univariate transformations
When working on the probability density function (pdf) of a random variable X, one
is often led to create a new variable Y defined as a function f(X) of the original variable X.
For example, if X~N(µ, ²), then the new variable:

Y = f(X) = (X - µ)/
Is N (0, 1).

It is also often the case that the quantity of interest is a function of another (random)
quantity whose distribution is known. Here are a few examples:
*Scaling: from degrees to radians, miles to kilometers, light-years to parsecs, degrees
Celsius to degrees Fahrenheit, linear to logarithmic scale, to the distribution of the
variance
* Laws of physics: what is the distribution of the kinetic energy of the molecules of a gas
if the distribution of the speed of the molecules is known ?

So the general question is:

* If Y = h(X),
* And if f(x) is the pdf of X,

Then what is the pdf g(y) of Y?

TRANSFORMATION OF A MULTIPLE RANDOM VARIABLES

Multivariate transformations

The problem extends naturally to the case when several variables Yj are defined from
several variables Xi through a transformation y = h(x).
Here are some examples:

Rotation of the reference frame

Let f(x, y) be the probability density function of the pair of r.v. {X, Y}. Let's rotate
the reference frame {x, y} by an angle . The new axes {x', y'} define two new r. v. {X',
Y'}. What is the joint probability density function of {X', Y'}?

Polar coordinates
Let f(x, y) be the joint probability density function of the pair of r. v. {X, Y},
expressed in the Cartesian reference frame {x, y}. Any point (x, y) in the plane can also be
identified by its polar coordinates (r, ). So any realization of the pair {X, Y} produces a
pair of values of r and , therefore defining two new r. v. R and .
What is the joint probability density function of R and? What are the (marginal)
distributions of R and of ?
Sampling distributions
Let f(x) is the pdf of the r. v. X. Let also Z1 = z1(x1, x2... xn) be a statistic, e.g. the
sample mean. What is the pdf of Z1?
Z1 is a function of the n r. v. Xi (with n the sample size), that are lid with pdf f(x). If it
is possible to identify n - 1 other independent statistics Zi, i = 2... n, then a transformation
Z = h(X) is defined, and g(z), the joint distribution of Z = {Z1, Z2, ..., Zn} can be
calculated. The pdf of Z1 is then calculated as one of the marginal distributions of Z by
integrating g(z) over zi , i = 2, .., n.

Integration limits
Calculations on joint distributions often involve multiple integrals whose
integration limits are themselves variables. An appropriate change of variables sometimes
allows changing all these variables but one into fixed integration limits, thus making the
calculation of the integrals much simpler.

Linear Transformations of Random Variables

A linear transformation is a change to a variable characterized by one or more of the

following operations: adding a constant to the variable, subtracting a constant from the variable,
multiplying the variable by a constant, and/or dividing the variable by a constant.

When a linear transformation is applied to a random variable, a new random variable is

created. To illustrate, let X be a random variable, and let m and b be constants. Each of the
following examples show how a linear transformation of X defines a new random variable Y.

 Adding a constant: Y = X + b
 Subtracting a constant: Y = X - b
 Multiplying by a constant: Y = mX
 Dividing by a constant: Y = X/m
 Multiplying by a constant and adding a constant: Y = mX + b
 Dividing by a constant and subtracting a constant: Y = X/m - b

Suppose the vector of random variables has the joint

distribution . Set for some square matrix and vector . If
then has the joint distribution

Indeed, suppose (this is the notation for "the is the distribution density of ") and
. For any domain of the space we can

write
 We make the change of variables
in the last integral.

(Linear transformation of
random variables)

The linear transformation is distributed as . The was defined in the section (

Definition of normal variable).

For two independent standard normal variables (s.n.v.) and the combination

is distributed as .

A product of normal variables is not a normal variable. See the section on the chi-squared
distribution.
 MODULE-IV

RANDOM PROCESSES-TEMPORAL CHARACTERISTICS

Random Processes
In practical problems, we deal with time varying waveforms whose value at a time is
random in nature. For example, the speech waveform recorded by a microphone, the signal
received by communication receiver or the daily record of stock-market data represents random
variables that change with time. How do we characterize such data? Such data are
characterized as random or stochastic processes. This lecture covers the fundamentals of
random processes.

Recall that a random variable maps each sample point in the sample space to a point in
the real line. A random process maps each sample point to a waveform.

Consider a probability space . A random process can be defined on as

an indexed family of random variables where is an index set, which may
be discrete or continuous, usually denoting time. Thus a random process is a function of the
sample point and index variable and may be written as .

Example 1 Consider a sinusoidal signal where is a binary random

variable with probability mass functions and

Clearly, is a random process with two possible realizations and

At a particular time is a random variable with two values
and .

Classification of a Random Process

a) Continuous-time vs. Discrete-time process

 If the index set is continuous, is called a continuous-time process.

If the index set is a countable set, is called a discrete-time process. Such a

random process can be represented as and called a random sequence. Sometimes
the notation is used to describe a random sequence indexed by the set of positive
integers.

We can define a discrete-time random process on discrete points of time. Particularly,

we can get a discrete-time random process by sampling a continuous-time process
\ at a uniform interval such that

The discrete-time random process is more important in practical implementations.

Advanced statistical signal processing techniques have been developed to process this type of
signals.

b) Continuous-state vs. Discrete-state process

The value of a random process is at any time can be described from its
probabilistic model.

The state is the value taken by at a time , and the set of all such states is called the
state space. A random process is discrete-state if the state-space is finite or countable. It also
means that the corresponding sample space is also finite or countable. Otherwise , the random
process is called continuous state.

Firtst order and nth order Probability density function and Distribution functions

As we have observed above that at a specific time is a random variable and can be
described by its probability distribution function This distribution
function is called the first-order probability distribution function.
We can similarly define the first-order probability density function

To describe , we have to use joint distribution function of the random variables at

all possible values of . For any positive integer , represents jointly
distributed random variables. Thus a random process can thus be described by
specifying the joint distribution function .

or th the joint probability density function

If is a discrete-state random process, then it can be also specified by the collection
of joint probability mass function

Moments of a random process

We defined the moments of a random variable and joint moments of random variables. We can
define all the possible moments and joint moments of a random process .
Particularly, following moments are important.

• Mean of the random process at

• .

Note that

• The autocovariance function of the random process at time is defined by

These moments give partial information about the process.

The ratio is called the correlation coefficient.

The autocorrelation function and the autocovariance functions are widely used to characterize a
class of random process called the wide-sense stationary process.

We can also define higher-order moments like

The above definitions are easily extended to a random sequence .

On the basis of the above definitions, we can study the degree of dependence between two
random processes

This also implies that for such two processes

Orthogonal processes: Two random processes and

are called orthogonal if

Stationary Random Process

The concept of stationarity plays an important role in solving practical problems involving
random processes. Just like time-invariance is an important characteristics of many
deterministic systems, stationarity describes certain time-invariant property of a class of random
processes. Stationarity also leads to frequency-domain description of a random process.

Strict-sense Stationary Process

A random process is called strict-sense stationary (SSS) if its probability structure is

invariant with time. In terms of the joint distribution function, is called SSS if

Thus, the joint distribution functions of any set of random variables does
not depend on the placement of the origin of the time axis. This requirement is a very strict.
Less strict form of stationarity may be defined.

Particularly,

If then is
called order stationary.

Is called order stationary does not depend on the placement of the origin of the time
axis. This requirement is a very strict. Less strict form of stationary may be defined.

 If is stationary up to order 1
 Let us assume Then

As a consequence

 If is stationary up to order 2

Put

As a consequence, for such a process

Similarly,

Therefore, the autocorrelation function of a SSS process depends only on the time lag

We can also define the joint stationary of two random processes. Two processes

And are called jointly strict-sense stationary if their joint probability distributions
of any order is invariant under the translation of time. A complex random process
is called SSS if and are jointly SSS.

Example 1 A random process is SSS.

This is because
Wide-sense stationary process

It is very difficult to test whether a process is SSS or not. A subclass of the SSS process called
the wide sense stationary process is extremely important from practical point of view.

A random process is called wide sense stationary process (WSS) if

Remark

(1) For a WSS process

(2) An SSS process is always WSS, but the converse is not always true.

Example 3 Sinusoid with random phase

Consider the random process given by

where are constants and are unifirmly distributed

between

This is the model of the carrier wave (sinusoid of fixed frequency) used to analyse the
noise performance of many receivers.

Note that
By applying the rule for the transformation of a random variable, we get

Which is independent of Hence is first-order stationary.

Note that

and

Hence is wide-sense stationary

Properties of Autocorrelation Function of a Real WSS Random Process

Autocorrelation of a deterministic signal

Consider a deterministic signal such that

Such signals are called power signals. For a power signal the autocorrelation function is
defined as
 Measures the similarity between a signal and its time-shifted version.

Particularly, is the mean-square value. If is a voltage waveform

across a 1 ohm resistance, then is the average power delivered to the resistance. In this
sense, represents the average power of the signal.

Example 1 Suppose The autocorrelation function of at lag is given by

We see that of the above periodic signal is also periodic and its maximum occurs when

The power of the signal is

The autocorrelation of the deterministic signal gives us insight into the properties of the
autocorrelation function of a WSS process. We shall discuss these properties next.

Properties of the autocorrelation function of a real WSS process

Consider a real WSS process Since the autocorrelation function of such a

process is a function of the lag we can redefine a one-parameter autocorrelation
function as

If is a complex WSS process, then

Where is the complex conjugate of For a discrete random sequence, we can define
the autocorrelation sequence similarly.

The autocorrelation function is an important function charactering a WSS random process. It

possesses some general properties. We briefly describe them below.

1. Is the mean-square value of the process? Thus,

Remark If is a voltage signal applied across a 1 ohm resistance, and then is the
ensemble average power delivered to the resistance.

2. For a real WSS process is an even function of the time Thus,

Because,

Remark For a complex process

3. This follows from the Schwartz inequality

We have

4. is a positive semi-definite function in the sense that for any positive integer and

real ,

Proof

Define the random variable

It can be shown that the sufficient condition for a function to be the autocorrelation
function of a real WSS process is that be real, even and positive semidefinite.

If is MS periodic, then . Is also periodic with the same period.

Proof: Note that a real WSS random process is called mean-square periodic ( MS
periodic ) with a period if for every

Again

Cross correlation function of jointly WSS processes

If and are two real jointly WSS random processes, their cross-correlation
functions are independent of and depends on the time-lag. We can write the cross-correlation
function

The cross correlation function satisfies the following properties:

We Have
Further,

iii. If and Y (t) are uncorrelated,

iv. If X ( t ) and Y (t) are orthogonal processes,

Example 2

Consider a random process which is sum of two real jointly WSS random processes.

We have

If and are orthogonal processes,then

Example 3

Suppose

Where X (t) is a WSS process and

Time averages and Ergodicity

Often we are interested in finding the various ensemble averages of a random process
by means of the corresponding time averages determined from single realization of the random
process. For example we can compute the time-mean of a single realization of the random
process by the formula

which is constant for the selected realization. Note that represents the dc value of .

Another important average used in electrical engineering is the rms value

given by

Time averages of a random process

The time-average of a function of a continuous random process is defined by

where the integral is defined in the mean-square sense.

Similarly, the time-average of a function of a continuous random process is

defined by

The above definitions are in contrast to the corresponding ensemble average defined by
The following time averages are of particular interest

(a) Time-averaged mean

(b) Time-averaged autocorrelation function

Note that, and are functions of random variables and are governed by
respective probability distributions. However, determination of these distribution functions is
difficult and we shall discuss the behaviour of these averages in terms of their mean and
variances. We shall further assume that the random processes and are WSS.

Mean and Variance of the Time Averages

Let us consider the simplest case of the time averaged mean of a discrete-time WSS random
process given by

The mean of

and the variance

If the samples are uncorrelated,

We also observe that

From the above result, we conclude that

Let us consider the time-averaged mean for the continuous case. We have

and the variance

The above double integral is evaluated on the square area bounded by and We
divide this square region into sum of trapezoidal strips parallel to (See Figure
1)Putting and noting that the differential area between and is
, the above double integral is converted to a single integral as follows:
 Figure 1

Ergodicity Principle

If the time averages converge to the corresponding ensemble averages in the probabilistic sense,
then a time-average computed from a large realization can be used as the value for the
corresponding ensemble average. Such a principle is the ergodicity principle to be discussed
below:

Mean ergodic process

A WSS process is said to be ergodic in mean, if as . Thus for a

mean ergodic process ,

We have earlier shown that

and
 therefore, the condition for ergodicity in mean is

Further,

Therefore, a sufficient condition for mean ergodicity is

Example 1 Consider the random binary waveform discussed in Example 5 of lecture

32.The process has the auto-covariance function given by

Here
hence is mean ergodic.

Autocorrelation ergodicity

We consider so that,
Then will be autocorrelation ergodic if is mean ergodic.
Thus will be autocorrelation ergodic if

where

involves fourth order moment.

Simpler condition for autocorrelation ergodicity of a jointly Gaussian process can be found.

Example 2

Consider the random–phased sinusoid given by

where are constants and is a random variable. We

have earlier proved that this process is WSS with and

For any particular realization

and

We see that as and

For each realization, both the time-averaged mean and the time-averaged autocorrelation
function converge to the corresponding ensemble averages. Thus the random-phased sinusoid is
ergodic in both mean and autocorrelation.

LINEAR SYSTEMS RESPONSE TO RANDOM INPUTS

Consider a continuous LTI system with impulse response h (t). Assume that the
system is always causal and stable. When a continuous time Random process X (t) is applied
on this system, the output response is also a continuous time random process Y (t). If the
random processes X and Y are discrete time signals, then the linear system is called a discrete
time system. In this unit we concentrate on the statistical and spectral characteristics of the
output random process Y (t).

System Response: Let a random process X (t) be applied to a continuous linear time
invariant system whose impulse response is h(t) as shown in below figure. Then the output
response Y (t) is also a random process. It can be expressed by the convolution integral, Y (t)
= h (t) *X (t)

X(t) Y (t)
h (t)

That is, the output response is

Mean Value of Output Response: Consider that the random process X (t) is wide sense
stationary process.

Mean value of output response=E[Y (t)],

Then E[Y (t)] = E [h (t) * X (t)]

 value of the output response Y (t) of a WSS random process is equal to the product of
the mean value of the input process and the zero frequency response of the system.

Mean Square Value of Output Response:

Mean square value of output response

is E [Y2(t)] = E [(h (t) * X (t))2]

= E [(h (t) * X (t)) (h (t) * X (t))]

This expression is independent of time t. And it represents the Output power.

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Autocorrelation Function of Output Response: The autocorrelation of Y (t) is

It is observed that the output autocorrelation function is a function of only τ. Hence the output
random process Y(t) is also WSS random process.

Cross Correlation Function of Response:

If the input X (t) is WSS random process, then the cross correlation function of input X (t) and
output Y(t) is

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Spectral Characteristics of a System Response: Consider that the random process X (t) is a
WSS random process with the autocorrelation function (τ) applied through an LTI system. It
is noted that the output response Y (t) is also a WSS and the processes X (t) and Y (t) are
jointly WSS. We can obtain power spectral characteristics of the output process Y(t) by taking
the Fourier transform of the correlation functions.

Power Density Spectrum of Response: Consider that a random process X (t) is applied on an
LTI system having a transfer function H(ω). The output response is Y (t). If the power
spectrum of the input process is SXX (ω), then the power spectrum of the output response is
given by SYY (ω) =

Proof: Let ( ) be the autocorrelation of the output response Y (t). Then the power spectrum
of the response is the Fourier transform of ( ).

Therefore SYY (ω) = F [SYY (ω)]

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Therefore SYY (ω) = H*(ω) H(ω) SXX (ω) = H(-ω)H(ω) SXX

(ω) Therefore SYY (ω) = |H(w)|2 SXX (ω). Hence proved.

Similarly, we can prove that the cross power spectral density function

is SXY (ω) = SXX (ω) H(ω) and SYX (ω) = SXX (ω) H(-ω)

Spectrum Bandwidth: The spectral density is mostly concentrated at a certain frequency

value. It decreases at other frequencies. The bandwidth of the spectrum is the range of
frequencies having significant values. It is defined as “the measure of spread of spectral
density” and is also called rms bandwidth or normalized bandwidth. It is given by

Types of Random Processes: In practical situations, random process can be categorized into
different types depending on their frequency components. For example information bearing
signals such as audio, video and modulated waveforms etc., carry the information within a
specified frequency band.

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The Important types of Random processes are;

1. Low pass random processes

2. Band pass random processes
3. Band limited random processes
4. Narrow band random processes

(1).Low pass random processes:

A random process is defined as a low pass random process X (t) if its power spectral
density SXX (ω) has significant components within the frequency band as shown in below
figure. For example baseband signals such as speech, image and video are low pass
random processes.

(2).Band pass random processes: A random process X (t) is called a band pass process if its
power spectral density SXX (ω) has significant components within a band width W that does
not include ω
=0. But in practice, the spectrum may have a small amount of power spectrum at ω =0, as
shown in the below figure. The spectral components outside the band W are very small and
can be neglected.

For example, modulated signals with carrier frequency ω0 and band width W are band pass
random processes. The noise transmitting over a communication channel can be modelled as a
band pass process.

126
(3).Band Limited random processes: A random process is said to be band limited if its
power spectrum components are zero outside the frequency band of width W that does not
include ω =0. The power density spectrum of the band limited band pass process is shown in
below figure.

(4).Narrow band random processes: A band limited random process is said to be a narrow
band process if the band width W is very small compared to the band centre frequency, i.e.
W<< ω0, where W=band width and ω0 is the frequency at which the power spectrum is
maximum. The power density spectrum of a narrow band process N(t) is shown in below
figure.

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Representation of a narrow band process: For any arbitrary WSS random processes N(t),
The quadrature form of narrow band process can be represented as N(t) = X(t) Cos ω 0t –
Y(t)Sin ω0t

Where X(t) and Y(t) are respectively called the in-phase and quadrature phase components of
N(t). They can be expressed as

Properties of Band Limited Random Processes: Let N (t) be any band limited WSS random
process with zero mean value and a power spectral density, SNN(ω). If the random process is
represented by

N (t) = X (t) Cos ω0t – Y(t)Sin ω0t then some important properties of X (t) and Y (t) are given
below

1. If N (t) is WSS, then X (t) and Y (t) are jointly WSS.

2. If N (t) has zero mean i.e. E [N(t)] = 0, then E [x (t)] = E [Y (t)] = 0
3. The mean square values of the processes are equal i.e. E [N2(t)] = E [X2(t)] = E [Y2(t)].
4. Both processes X (t) and Y (t) have the same autocorrelation functions i.e. .
5. The cross correlation functions of X (t) and Y (t) are given by Ryx(T)= -Ryx(T). If the
processes are orthogonal, then Ryx(T) = 0.
6. Both X (t) and Y (t) have the same power spectral densities

7. The cross power spectrums are SXY (ω) = -SYX (ω).

8. If N (t) is a Gaussian random process, then X (t) and Y (t) are jointly Gaussian.
9. The relationship between autocorrelation and power spectrum SNN (ω) is

128
10. If N (t) is zero mean Gaussian and its psd, SN(ω) is symmetric about +/-w0 then X (t) and Y (t)
are statistically independent.

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 MODULE-V

RANDOM PROCESSES—SPECTRAL CHARACTERISTICS

Definition of Power Spectral Density of a WSS Process

Let us define the truncated random process as follows

where is the unity-amplitude rectangular pulse of width centering the origin. As

will represent the random process define the mean-square integral

Applying the Pareseval's theorem we find the energy of the signal

Therefore, the power associated with is

And

The average power is given by

Where the contribution to the average is power at frequency w and represents the
power spectral
density of . As , the left-hand side in the above expression represents the

130
average power of
Therefore, the PSD of the process is defined in the limiting sense by

Relation between the autocorrelation function and PSD: Wiener-Khinchin-Einstein

theorem

We have

Figure 1

Note that the above integral is to be performed on a square region bounded by and
as illustrated in Figure 1.Substitute so that is a family of straight
lines parallel to The differential area in terms of is given by the shaded area and
equal to The double integral is now replaced by a single integral in

131
Therefore,

If is integral then the right hand integral converges to as

As we have noted earlier, the power spectral density is the

contribution to the average
power at frequency and is called the power spectral density of . Thus ,

and using the inverse Fourier transform

Example 1 The autocorrelation function of a WSS process is given by

Find the power spectral density of the process.

The autocorrelation function and the PSD are shown in Figure 2

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 Figure 2

Example 3 Find the PSD of the amplitude-modulated random-phase sinusoid

Where M(t) is a WSS process independent of

Figure 4 illustrates the above result.

Figure 4
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Properties of the PSD

being the Fourier transform of it shares the properties of the Fourier transform.
Here we discuss
important properties of

1) the average power of a random process is

2) If is real, is a real and even function of .Therefore,

Thus for a real WSS process, the PSD is always real.

3) Thus is a real and even function of .

4) From the definition is always non-negative. Thus

5) If has a periodic component, is periodic and so will have impulses.

Cross Power Spectral Density

Consider a random process which is sum of two real jointly WSS random processes
As we have seen earlier,

If we take the Fourier transform of both sides,

134
 Where stands for the Fourier transform.

Thus we see that includes contribution from the Fourier transform of the cross-
correlation functions
These Fourier transforms represent cross power spectral densities.

Definition of Cross Power Spectral Density

Given two real jointly WSS random processes the cross power spectral
density (CPSD) is defined as

Where are the Fourier transform of the truncated processes

respectively and denotes the complex

conjugate operation.

We can similarly define by

Proceeding in the same way as the derivation of the Wiener-Khinchin-Einstein theorem for the
WSS process, it
can be shown that

and

The cross-correlation function and the cross-power spectral density form a Fourier transform
pair and we can
write

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 and

Properties of the CPSD

The CPSD is a complex function of the frequency ‟w‟. Some properties of the CPSD of two
jointly WSS processes
are listed below:

(1)

Note that

(2) is an even function of and is an odd function of .

We have

(3) If are uncorrelated and have constant means, then

136
Where is the Dirac delta function?

Observe that

(4) If are orthogonal, then

If are orthogonal, we have

(5) the cross power between is defined by

Applying Parseval's theorem, we get

137
Similarly,

Example 1 Consider the random process given by discussed in the beginning

of the lecture. Here is the sum of two jointly WSS orthogonal random processes

We have,

Taking the Fourier transform of both sides,

Wiener-Khinchin-Einstein theorem

The Wiener-Khinchin-Einstein theorem is also valid for discrete-time random processes. The
power spectral density of the WSS process is the discrete-time Fourier transform
of autocorrelation sequence.

Is related to by the inverse discrete-time Fourier transform and given by

Thus and forms a discrete-time Fourier transform pair. A generalized PSD can be
defined in terms of as follows
138
 clearly,

Linear time-invariant systems

In many applications, physical systems are modeled as linear time-invariant (LTI) systems.
The dynamic behavior of an LTI system to deterministic inputs is described by linear differential
equations. We are familiar with time and transform domain (such as Laplace transform and
Fourier transform) techniques to solve these differential equations. In this lecture, we develop the
technique to analyze the response of an LTI system to WSS random process.

The purpose of this study is two-folds:

 Analysis of the response of a system

 Finding an LTI system that can optimally estimate an unobserved random process from
an observed process. The observed random process is statistically related to the
unobserved random process. For example, we may have to find LTI system (also called a
filter) to estimate the signal from the noisy observations.

Basics of Linear Time Invariant Systems

A system is modeled by a transformation T that maps an input signal to an output signal

y(t) as shown in Figure 1. We can thus write,

Figure 1

Linear system

The system is called linear if the principle of superposition applies: the weighted sum of
inputs results in the weighted sum of the corresponding outputs. Thus for a linear system

139
Example 1 Consider the output of a differentiator, given by

Then,

Hence the linear differentiator is a linear system.

Linear time-invariant system

Consider a linear system with y ( t ) = T x ( t ). The system is called time-invariant if

It is easy to check that that the differentiator in the above example is a linear time-invariant
system.

Response of a linear time-invariant system to deterministic input

As shown in Figure 2, a linear system can be characterised by its impulse response

where is the Dirac delta function.

Figure 2

Recall that any function x(t) can be represented in terms of the Dirac delta function as follows

If x(t) is input to the linear system y ( t ) = T x ( t ), then

140
Where is the response at time t due to the shifted impulse?

If the system is time invariant,

Therefore for a linear-time invariant system,

where * denotes the convolution operation.

We also note that

Thus for a LTI System,

Taking the Fourier transform, we get

Figure 3 shows the input-output relationship of an LTI system in terms of the impulse response
and the frequency response.

141
 Figure 3

Response of an LTI System to WSS input

Consider an LTI system with impulse response h (t). Suppose is a WSS process
input to the system. The output of the system is given by

Where we have assumed that the integrals exist in the mean square sense.

Mean and autocorrelation of the output process

Where is the frequency response at 0 frequency ( ) and given by

142
T The Cross correlation of the input {X(t)} and the out put {Y ( t )} is given by

Therefore, the mean of the output process is a constant

The Cross correlation of the input {X (t)} and the out put {Y ( t )} is given by

143
Thus we see that is a function of lag only. Therefore, and are jointly
wide-sense stationary.

The autocorrelation function of the output process {Y(t)} is given by,

Thus the autocorrelation of the output process depends on the time-lag , i.e.,

Thus

The above analysis indicates that for an LTI system with WSS input

 the output is WSS and

 The input and output are jointly WSS.

The average power of the output process is given by

Power spectrum of the output process

Using the property of Fourier transform, we get the power spectral density of the output
process given by

144
 Also note that

Taking the Fourier transform of we get the cross power spectral density
given by

Figure 4

Example 3

A random voltage modeled by a white noise process with power spectral density

is input to an RC network shown in the Figure 7.

Find (a) output PSD
(b) output auto correlation function
(c) average output power
145
 Figure 7

The frequency response of the system is given by

Therefore,

(a)

(b) Taking the inverse Fourier transform

(c) Average output power

Rice's representation or quadrature representation of a WSS process

An arbitrary zero-mean WSS process can be represented in terms of the slowly

varying components and as follows:
146
 (1)

where is a center frequency arbitrary chosen in the band . and

are respectively called the in-phase and the quadrature-phase components of
Let us choose a dual process such that

then ,

(2)

and

(3)

For such a representation, we require the processes and to be WSS.

Note that

As is zero mean, we require that

And

Again

147
and

How to find satisfying the above two conditions?

For this, consider to be the Hilbert transform of , i.e.

148
Where and the integral is defined in the mean-square sense. See the illustration in
Figure 2.

Figure 2

The frequency response of the Hilbert transform is given by

and

The Hilbert transform of Y(t) satisfies the following spectral relations

From the above two relations, we get

149
 The Hilbert transform of is generally denoted as Therefore, from (2) and (3) we
establish

and

The realization for the in phase and the quadrature phase components is shown in Figure 3
below.

Figure 3

From the above analysis, we can summarize the following expressions for the autocorrelation
functions

150
 Where

See the illustration in Figure 4

Figure 4

The variances and are given by

Taking the Fourier transform of we get

Similarly,

151
Notice that the cross power spectral density is purely imaginary. Particularly, if
is locally symmetric about

Implying that

Consequently, the zero-mean processes and are also uncorrelated.

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 MODULE-V

NOISE SOURCES & INFORMATION THEORY

Resistive (Thermal) Noise Source

153
Arbitrary Noise Source

154
Resistor Noise Sources in Series

155
A Two Port Network

A Noisy Network driven by Noise Source

156
Equivalently the above circuit can also be represented with two separate
inputs as

Noisy Networks in Cascade

157
Practical Noisy Networks

158
Average Noise Temperatures

159
Noise Bandwidth
We know that

This equation can be rewritten as

160
Narrowband Noise

Quadrature representation of Narrowband Noise

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Information Theory

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