2.4.

power Spectrum of Random and White Processes

Figure 2.11: The power spectrum in illustrative Problem 2.4

()

.


/ ()
Figure 2.12 illustrates

()
MATLAB may be used to compute

( ) from

() and vice-versa. The fast Fourier

transform (FFT) algorithm may be used for this computation.
Illustrative Problem 2.5 Compute the autocorrelation

( ) for the random process whose

power spectrum is given by (2.4.8)
To perform the computation, we represent

() samples in the frequency range

|| , with each sample normalized to unity. The result of computing the inverse FFT with
N= 32 is illustrated in Figure 2.13. Note that we obtain only a coarse representation of the
autocorrelation function

( ), because we sampled

() only in the frequency range || B

. The frequency separation in this example is If we keep obtain intermediate values
of

( ). Figure 2.14 illustrated the result of computing the inverse FFT with

256
samples, of wich N = 32 are unity.




Figure 2.12: Plot of autocorrelation Function

( ) given by (2.4.9) for

Figure 2.13: Inverse FFT of the power spectrum of the bandlimited random process in illustrative
problem 2.5 with 32 samples.

Figure 2.14: Inverse FFT of the power spectrum of the bandlimited random process in illustrative
Problem 2.5 with 256 samples.

2.5 Linier Filtering of Random Processes
Suppose that a stationary random process ()is passed through a linier time-invariant filter that
is characterized in the time domain by its impulse response() and in the frequency domain by
its frequency response
() ()

(2.5.1)
It follows that output of the linier filter is the random process
() ()( )

(2.5.2)
The mean value of () is

(*+|
(()|( ))

( )

()

() (2.5.3)
Where H(0) is the frequency response H(f) of the filter evaluated at .
The autocorrelation function of () is

() ,()( )-
,()()-( )( )

( )( )( )

In the frequency domain, the power spectrum of the output process Y(t) is related to the power
spectrum of the input process X(t) and the frequency response of the linier filter by the
expression

()

()|()|

(2.5.5)
This is easily shown by taking the Fourier transform of (2.5.4).
Illustrative Problem 2.6 Suppose that a white random process X(t) with power spectrum

() for all f excites a linier filter with impulse response

() {

(2.5.6)