Time Average: Mean

TIME AVERAGE
Mean:
Mean-Square:
Variance:
ENSEMBLE AVERAGE
Mean:
Mean-square:
Variance:
ERGODICITY
A random process is said to be ergodic if time
averaging is equal to ensemble average.
In a qualitative sense this implies that a
single sample time signal of the process
contains all possible statistical variations of
the process.
Thus, no additional information is to be
gained by observing an ensemble of sample
signals over the information obtained from a
one-sample signal.
Autocorrelation function
The autocorrelation function for a random
process X(t) is defined as
R (t1,t2) = E[X(t1)X(t2)]
X
where t1 and t2 are arbitrary sampling times.

Clearly it tells how well the process is
correlated with itself at two different times. If
the process is stationary, its probability
density functions are invariant with time, and
the autocorrelation function depends only on
the time difference t2-t1. Thus
Rx(Ť) = E[X(t)X(t + Ť)] (stationary case)
Autocorrelation function is the ensemble
average of the product of X(t1) and X(t2),
therefore it is formally written as
However the equation is often not the

simplest way of determining Rx because the
joint probability density function must be
known explicitly in order to evaluate the
integral. If the ergodic hypothesis applies, it is
often easier to compute Rx as a time average
rather than ensemble average. The following
example will illustrate this :
Consider a time signal that is generated
according to the following rules
(a)The waveform is generated with a sample
and hold arrangement where the hold interval
is one second.
(b)The successive amplitudes are independent
samples taken from a set of random numbers
with uniform distribution from -1 to +1; and
(c)The first switching time after t=0 is a
random variable with uniform distribution
from 0 to 1
Here the process mean is 0 and its mean
square value is 1/3. (obtained from (b))
A typical sample signal for this process is
shown in fig. along with the same signal
shifted in time an amount Ť.
It is obvious when Ť =0,the integral is just
the mean square value of Xa(t),which is 1/3
in this case. On the other hand, when Ť is
unity or larger, there is no overlap of the
correlated portions of Xa(t) and Xa(t+Ť), and
thus the average of the product is 0. Now, as
the shift Ť is reduced from 1 to 0, the overlap
of correlated portions increases linearly until
the maximum overlap occurs at Ť = 0. This
then leads to the autocorrelation function
Note that for stationary ergodic processes, the
direction of time shift Ť is immaterial, and
hence the autocorrelation function is
symmetric about the origin. Also, note that
we arrived at Rx(Ť) without formally finding
the joint density function.
Sometimes, the random process under
consideration is not ergodic, and it is
necessary to distinguish between the usual
autocorrelation function and time average
version . Thus we define the time
autocorrelation function as
To illustrate the difference between the usual
autocorrelation function and the time
autocorrelation function, consider the
deterministic process X(t) = Asin(wt)
where A is normal random variable with 0
mean and standard deviation σ and w is a
known constant . Suppose we obtain a single
sample of A and its numerical value is A1. The
corresponding sample of X(t) would then be
XA(t) = A1sin(wt). Its time autocorrelation
would then be
On the other hand, the usual autocorrelation
function calculated as an ensemble average,
Clearly, time averaging does not yield the

same result as ensemble averaging, so the
process is not ergodic. Furthermore, the
autocorrelation function does not reduce to
simply a function of t2-t1. Therefore, the
process is not stationary.
Cross correlation function
The cross correlation between the processes
X(t) and Y(t) is defined as
Again, if the processes are stationary, only the

time difference between sample points is
relevant, so the cross correlation function
reduces to
Just as the autocorrelation function tells us
something about how a process is correlated
with itself, the cross correlation function
provides about the mutual correlation between
the two process.
Notice that it is important to order the subscripts
properly in writing RXY(t). A skew symmetric
relation exists for stationary processes as follows.
By definition.
The expectation is invariant under a translation of

–Ť. Thus RXY(Ť) is also given by
Now comparing both equations we see that
Thus interchanging the order of the subscripts of

the function has the effect of changing the sign of
the argument.

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TIME AVERAGE

where t1 and t2 are arbitrary sampling times.

However the equation is often not the

Clearly, time averaging does not yield the

Again, if the processes are stationary, only the

The expectation is invariant under a translation of

Now comparing both equations we see that

Thus interchanging the order of the subscripts of

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