Professional Documents
Culture Documents
Jan Cernock
y
UPGM
FIT VUT Brno, cernocky@fit.vutbr.cz
Random signals
deterministic signals (can be represented by an equation) have one substantial
drawback they carry very little information (for example cosine: amplitude,
frequency, phase shift).
real-world signals are tough to be described as deterministic (for example physical
model of speech production is very complex and anyway simplified).
in signal theory, we will consider these useful signals as random signals (processes)
(for example speech, circulation of letters in agencies of Czech Posts, exchange rate
CZK/EUR . . . ).
According to the character of the time axis, random signals are divided into continuous
time random signals (the time is defined for all t) and discrete time random signals
(only for discrete n).
These signals can not be represented in all time-points (in this case, they would be
deterministic), we will rather look for characteristic properties of random signals such as
mean value, probability density function, etc.
2
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0.016
0.018
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0.016
0.018
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0.016
0.018
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0.016
0.018
0.2
0
0.2
0.2
0
0.2
0.2
0
0.2
50
100
150
200
250
300
50
100
150
200
250
300
50
100
150
200
250
300
50
100
150
200
250
300
0.2
0
0.2
0.2
0
0.2
0.2
0
0.2
Distribution function
is defined for one random variable: the random process for given time t or n is such a
random variable. Definition:
F (x, t) = P{(t) < x},
F (x, n) = P{[n] < x},
where P{(t) < x} or P{[n] < x} is the probability that random variable in given time
will be smaller than x. Note, that x is nothing random, it is an auxiliary variable.
Ensemble estimation of distribution function: we will fix ourselves in given time t or n,
and take realizations. For given x we estimate:
P
=1 1 if (t) < x, 0 else
F (x, t) =
P
=1 1 if [n] < x, 0 else
F (x, n) =
1
F(x,0.1ms)
F(x,3.1ms)
F(x,6.3ms)
F(x,9.4ms)
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.3
0.2
0.1
0.1
x
0.2
0.3
0.4
0.5
1
F(x,1)
F(x,50)
F(x,100)
F(x,150)
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.3
0.2
0.1
0.1
x
0.2
0.3
0.4
0.5
xmax xmin
:
L1
xi
2 till xi + 2 . The left edge of the
left-most cage (1) will be stretched till , the right edge of the right-most (L) till +.
p(xi , n) =
=1
=1
10
3.5
3
2.5
2.5
p(x,3.1ms)
p(x,0.1ms)
2
1.5
1.5
1
0.5
0.5
0
0.2
0.2
0.4
0.6
0.2
0.2
0.4
0.6
0.2
0.4
0.6
3.5
3
p(x,9.4ms)
p(x,6.3ms)
2.5
2
1.5
2.5
2
1.5
0.5
0.5
0.2
0.2
0.4
0.6
0.2
0
x
11
3.5
2.5
p(x,50)
p(x,1)
2.5
2
1.5
1.5
1
0.5
0.5
0
0.2
0.2
0.4
0.6
0.2
0.2
0.4
0.6
0.2
0.4
0.6
3.5
3
3
2.5
p(x,150)
p(x,100)
2.5
2
1.5
2
1.5
0.5
0.5
0.2
0.2
0.4
0.6
0.2
0
x
12
13
14
p(x, t)dx = 1
the value of probability densifty function for given x is not a probability !!!
15
The behavior is simnilar to PDF and distribution functions, just replace 1 with 1 keg:
F (x) is zero in time (it is zero till 18.00), as there was no beer.
F (x) is 1 keg in time + (actually already at 22.00), as all beer was drunk and
16
therell be no more.
Rx
17
Moments
on contrary to functions, moments are values, characterizing random process in time t or
n:
mean value or Expectation, is the 1st moment:
Z +
a(t) = E{(t)} =
xp(x, t)dx
a[n] = E{[n]} =
xp(x, n)dx
ensemble estimate of mean value for each time t or n the estimate is simply the mean
value of samples over all realizations:
1 X
(t)
a
(t) =
=1
1 X
[n]
a
[n] =
=1
18
x 10
5
0
5
10
15
0
0.002
0.004
0.006
0.008
0.01
t
0.012
0.014
0.016
0.018
x 10
5
0
5
10
15
0
50
100
150
200
n
19
250
300
X
1
D(t)
=
[ (t) a
(t)]2 ,
=1
X
1
[ [n] a
[n]]2 ,
D[n]
=
=1
20
(t) = D(t)
[n] =
D[n]
0.135
0.13
0.125
0
0.002
0.004
0.006
0.008
0.01
t
0.012
0.014
0.016
0.018
0.14
0.135
0.13
0.125
0
50
100
150
200
n
21
250
300
Correlation function
is quantifying the similarity between values of random process in times t1 (or n1 ) and t2
(or n2 ):
Z + Z +
R(t1 , t2 ) =
x1 x2 p(x1 , x2 , t1 , t2 )dx1 dx2 ,
R(n1 , n2 ) =
22
till
x
and
for
the
second
dimension
from
x
dimension from xi
i
j
2
2
2 till
xj +
2.
23
24
the value of 2D-histogramu for cage chij with values xi and xj will be:
P
=1 1 if (t1 ), (t2 ) chij , 0 else
p(xi , xj , t1 , t2 ) =
2
P
1 if [n1 ], [n2 ] chij , 0 else
p(xi , xj , n1 , n2 ) = =1
2
25
0.4
100
20
0.2
0.2
80
60
x1
x1
15
0
10
40
0.2
0.2
5
20
0.4
0.4
0.2
0
x2
0.2
0.4
0.4
0.4
0.4
0.2
0
x2
0.2
0.4
0.4
14
12
20
0.2
0.2
10
15
x1
x1
8
0
10
0.2
0.2
5
0.4
0.4
0.2
0
x2
0.2
0.4
0.4
0.4
26
0.2
0
x2
0.2
0.4
R(0, 0) = 0.0188: the process is very similar to itself (the same point). similar. . .
R(0, 1) = 0.0151: if shifted to neighboring sample, still very similar to time n1 = 0.
R(0, 5) = 0.0030: times n1 = 0 and n2 = 5 are not similar at all.
R(0, 11) = 0.0133: in times n1 = 0 and n2 = 11 the process is similar to itself, but
with inverse sign ! It is probable, that if the value [n1 ] is positive, [n2 ] will be
negative and vice versa.
27
R(0,k)
0.01
0.005
0
0.005
0.01
0.015
10
15
20
k
25
30
35
40
10
15
20
k
25
30
35
40
0.02
R(100,100+k)
0.015
0.01
0.005
0
0.005
0.01
0.015
28
p(x, t) p(x)
a(t) a D(t) D
(t)
p(x, n) p(x)
a[n] a D[n] D
p(x1 , x2 , n1 , n2 ) p(x1 , x2 , k)
29
[n]
R(n1 , n2 ) R(k)
30
x (t)
0.5
0
0.5
1
1.5
2
0
0.5
1.5
t
2.5
0.5
1.5
t
2.5
1
0.8
0.6
0.4
xk(t)
0.2
0
0.2
0.4
0.6
0.8
1
0
31
32
Example of stationary and ergodic and of stationary but non-ergodic random process.
2
1.5
1
x (t)
0.5
0
0.5
1
1.5
2
0
0.5
1.5
t
2.5
0.5
1.5
t
2.5
2
1.5
1
x (t)
0.5
0
0.5
1
1.5
2
0
33
D=
T
[x(t) a
]2 dt
N
1
X
1
=
D
[x[n] a
]2
N n=0
correlation function:
)= 1
R(
T
x(t)x(t + )dt
N
1
X
1
x[n]x[n + k]
R(k)
=
N n=0
34