JOINT AoqevTs TON eT FICIENT FoR RY ELK), VAROS) prPoRT ANT FeR Tar Rvs Arse WE Cov (oy. FoR RP s WE Whe PRY PARTI OUR ATIENT f2N ye FIRST TWO Honewrs DEVE Mea SEQUENCE Ay laps ELxlr)} ree cnin VARIANCE S$ EQVEVCE Ox" [nd * VAR ORO) wm en ke COVARIANCE SEQVEVLE Cx Lamy cov xlad x1ald ee C(x taj-elxton)(x(ay~el *f23)) = ELK bade (0.0) lar sey Inay 3) ~ Se en, tee = 20 < Date VIVAL PEP pews FR Rus! WE Wow Bo wer vse Ex, x1 3) SHeure ortir BE Cue FOR ERAN Le & co E [ 19,3 x nv) > LL Pring yiCBYeVS PROPERTIES? oe laxa) = Sx layaz) way? way? Sone > y Ce bans * Fe Ja) SER SIH IAR DEF ITI oS FoR CoV TTI RA. XU]~N/2 0%) prs 22d EXAM ple wow Do wxjol® ELXII)= 2 -ce pace -So an Aad ox (a) = vARERIal) S o> cov (ela alas Cw laad = = £ | xla)X fared) WEN > [fbr eka) ny # Anl Tab.) E[ x*/la)]} np tm = ° n, #Aay o~ a Fas = & § [az-2,) Slap = 4 0FP eo nfo DISCRETE SIP ESE Exaneee 3 MA RP Klay t Flas ty bane? Malas = £ [Xho wen Mle oy = Kelvin rE lola-njJ = * ~ en a0 Cx lay aj RE Ixtusxtay) New seBe | (ola) evla-d ela der laa RE felajulad) + be buts eta + elermeve bad + Zell vlaajvtas-d Ber elulk)via) = cy” 6Ca-r) Cala aa) = Ble 8 Lawn) & oy" lava toy Slate) Fo 5 fan-ad) a ae * — Sfawrae q SLas-ay-a} +” Ela -a,47) - Nere < PEPENES eVLY ew Ar-n, = BN xo UMert » x om < bays eo = eH S )an) + % 6 fans) See + FY” Sfbare? % Fo Yess Anes od Panzer exam) << = SeVAR ANCE BETWEEN THe Xipy RP SAMPLES Spaced s+ i Sn=m—m Figure 16.13: Covariance sequence for moving average random procest. 7 An, Sheeiec APART = IF .TWe RP, SAMPLES SPARC Meee THAW f SAMPLE APRAT DP twcegrRELaTeDSINCE xX [oJ = Lf vledtul) X dry = Ke vfaypetn) war? EXFPHPLE . RPA Ben Ly PHASE Sivoo ajo > & lata) =e | ceoclarfe.unr @)) e L = J Cos (2rfainte) tO = © ~ gl” ple fx lay na) = & (xInjxtrs) = [7 cos (2tlawa, 40) Coa [agp [onda 8) a Kee 2000) £0) Ce fad? (0r1 we ay de ” 277i L Te cos [ar (ortlm-ny) + Rees (29 lo, ln,ta.) r6}) ae D wer pepienpenr > ov @ or Sul 20 Cosdn, ro) +20) | = —— 4 2 at A i = 3 OOS (r(op(a.- 2) + 2 HF ‘ ve Lor (ar fon (a-ay) a Aa PEAIN COVARIANOE OVLY DEFOIAS ow SPREING RETWEEN SAMPLES, wa, weve © Flom How FAR APART DO Simpler HRVE To BE SO THAT eat + + 7 0 THEY ARE UVVCoRRE- Anan Figur 16.16: Covariance sequence for randomly phased snusid. LATE> ? ? Way 4S Meay Zere rere © SCAT TE DIAGRAM + 16.15: Fifty realizations of randomly phased sinusoid plotted in an overlaid + with one realization shown with its points connacted by straight Lines. Rawk Wei EXANPLE ~ LpwFrALe Ww RX PvueST jon ZS RAWFALL yy RE INCRERS 1 0 EF D> PeTEWTIAL INDICATOR of GlegAt W Atha 6 ANALYZE LAST JOS YERRS oF Av wae SVAME RPiW FRLL FoR A TREevdAVER ACE OBTAWED UNG at = 4 Exc nzeo 2 SG Neil > 2Oee Figure 16.1: Annual summer rainfall in Rhode Island from 1895 to 2002. El pedal = 4 24,76 Comeeer? MRY GE Aty)ay > AN+h Foe Sour Qb CNensratiswaer RF) 2 APPRCAGY: ASSEHE pwxla]s >= anrs Avo ESTIMATE 2b. FL ate? TF are RMAPRLL Iv CREAGHC pyo re ato, PAINFRLL DEERE So GC. TO EST Te as USE LEAST SOUARES (TARE ELE C6) - ESTIMA TIN THEDRY Te LEARW fore / ) IIMS APE Peasy | ad URRES CRRR res) = z gf toe /antg))™ é ro 3 over ab >NOTE. IF WE ASSYNMED My In} > a> 6 CNe CHANCE al pete), Tfb)= < “belojoa)™ No OT ao) At wut? => by fn = 4.06 vow az =a F/Kfaj-an-b) =? PF eg f (af ay-an-ajn =e DA a Dana Th = 2 la) » 5 Zant Ebn > Fe Ma a a vn =o & _f £ xl | zn tat [? Zouly = n a “a Sonve = &* 0.0173) b FF F386 A _ 4x da) = 0, 0/73 p+ F FFBE zs a>o? Marbs weir ANeTHER seo YERAS To SEE JF G20 wy TH Figure 16.16: Annual stmmer rainfall in Rhode Island and the estimated mean sequence, fx{n] = 0.0173n + 8.8886, where n sO corresponds to the year 1895. Ne ke patra?14F To SEG IF ERBRY Ler A Q>°e pve fo. "STR TISTIAL ehass anzrgreelad aoe Ae lad T zene AER EPROR Assent @lal~v(e oy WHAT SHovip WE vse Fak ge a4 8) = SE inj -faaek)~ 7 2 nS a - = = (anehtety-(an+h)) x Eely yp axa z, ea oR bse Gs 4 Sala Cha th) J~ ela) x 0 = J0,05 om q 2 WE ASSuNE wow af. mn THRT te sna Kind =h+ Klay ESS ALI, es snare ever cue foreaoal mom il in Rode ulaywu(e sos) CK ConsrThaey axe Govind WE STE CRSERVE WER EALE I MER RAin FALL BASER on ESTIIATED aa EVEN THeUlH A= 0?A OR yt a@ F ESTIMA T WE WN =n A Zn Err ne e. a A b A a Figure 16,18: Twenty roszations of the ertimaied mean sequence Axia) = an-+B ‘based on the random process X{nj = 9.76-+ Ufo) with Up] being WON with o? = 11105. ‘The realizations are shown as dashed line, ‘The estimated mean sequence from Figur 16.10 is shown ns the slid line LPR of23 DUE TO ERROR pw QECALSE &F ula) ? Zlorulns) | ° ZolbrHrmy | 2 Jf lapse A > bh NOT EVIPEWT FRon DATA, THOUGH HS CHAPTER 17- WDE SEMTE STAT. AP ae ee A Whit Aliew US 7e RwPLy Ze FREGUEKCY £0" Jnra,f =e eT Jaray et e Jar-af >e NoTe THAT VAK(X)n}) ~ Ox Jo) = Cxlany = Eou™ oa VARIANCE 4S ALSO conc TANT Bo WES RA LS A SPERAL CROCE OF STAT VARY fp oR STAT. BPD wor wee SB srar ke (iW GeieRAL) Wil eCH ORE VIE FUL - ONLY VOL VES CONSTRAINTS oN FURST Tw meaeWwrs. FRCP : ASSunE X/a) po STATIONARY OR Pry lotac), 4 = Xlevtae), 4, A)awta,y Pximy, vy XOa)Fee ALL Mm Ari My, ALL W) Awd Ast Ac. Now LET Wet AND 4,70 ? Prxtovas = Pitts LET nzo 8 Pxtn) = Px fod RLL PRE Caas'T DEPEND ON TiHE > Myla) =H Foe ~* enew, WERT LET VA Px [ita d Jartoos ~ Paton vNad LET Ne t-n, SD Pxreyxiavas * FAIL) DEL Xlass Jai} = © [Xloxin-2,)] 42r No -Ax » P xt rimoaa x) 0p * P xl), fa} D> El xlasxlrry) = EL KX Err.) ) SR COMBINING RESULTS EL xjayprlaas)=€ ) X10) X Clos-a,/))($2 Se Cx far pay > ELX/ad Xba) ~ ES alates) > El glevx lng-at)) ~ ar = 9 Clava) AULTOCRLELA TION SEQUENCE ASetE HENCEF eR TH THRT XJas IS wes, ElxX)A,jx}/o)) DEP EDS only ow [A,-7)| LET MF An rath El x lajxX ads lXlapxlarajs) detevas onwty on kh (avy moee Giver cry ew. Jel SB bePwe elk) sEl¥L xlagai) -o skew CALLED The AVTOCORLELATI IW St eve Vc CASS) Nore s Wer DEPENDENT ow a RLTHVCH USER JV DEAINIT/ ON k= Time D)PRERENCE RETWEN SAnBeS CRLLEp The LAE ACL MERURES CoRRELaTIon (Wine SEE LATER BETWEES WIS RP Sanfhles‘2 EXAMPLE © D/ FFEROVCER Xfa) = vlaj-vda-+) ula) ~N(H G2) ETD Ty Crp = El xlaxjaray . 2 E /(vln)- vlan) (vineg)-Vlate-i)) = El Ula vlatr)) -Elv le lates EL Ulan UL atk) FE) bla lr eh-s)) Fee Fw, El vlasulaw} > Elvlasjéjvlad ae way? FoR M*M2™4 El UlAdvl ay) ~El V*Iy)) = Elurlo) = Gy tu™ wrye D Elvi[asvlad) > wrt ov $laxn,) Pe bapr at OP Stry- [at tO Sled) ~ | art a Sata) + r+ oo So 200" Bik) ~ 67S Lh) GU" Elke) WHAT JS CiRRELATI OW , COErriGvenT BETWEEN exit] joe ———: 2 succeviye sammes? i Figure 17.4 Autocorrelation sequence for diferenced random proooss.By DEFINITION cov (X/a) XA ri) _ ee Prod apr Wi VAR AI) VAR Kapp) Sis XLay pas rene Mead (wR), El Xb) xoerd) V El x*/ai) FE] x® lors) = ft fap TAL? aS yAr ~ rete? J Teles rx fos (OWLY DEFENDS Oy SPACING BETWERY Rf SAaAPESt) Prat riat)) ~ . 4 Gu Le HERE Petayxlat) - 2ou~ D> WEERTIVE CoRRELST IN ere il | ak HEN SE, If fat + STOCK PRICE | rely GoES d°wyw ow a tp] Now, THe! CALL BROKRM ow Tees. pwp — woo Figure 17-8: Typical realization of a differenced ID Gaussian random process with Ul] ~ M41).185 SOME CBSERWTOAC AB wT ACS: DD Pxjol > 2) falehp se rel) EVEN SEQUENCE 37 Ine (kd } & Px lod 2 (x kos 7° PROOF 0x th} = E/ x lorelark)) Pefo) sel xLal) >° = AVERAGE POWER PAOUROSL pp RESPSTOR IP xfa) = verTAcE DoESH/T CHANGE WITH TIVE ay Px lh) > Px)k) EVEv Sequence PRooP 2 rele) FE x(a) x Cater) Plea) HE xX Ca) x La-pp) LET nom tk » 0 1S ARBITRARY D> Px NA) PEL Ith) x md) = E[ x lm? x Cen thy) sereipevr = El xlayr x lnvar) = fe lA) ABSOLUTE 3) MRNA VAL AT Reo) [rete] re fos CAVEHY-SCHWALY /WERUALITY SAYS:JEvwilvwi] < V Ey ly) Gy hw) Eevaury HeLps /F AVP Ov LY IF wrev € A con sTAWr Crypee leewl 4 Weide Evee 2b pw vecroRs) PR oF » Ler Y= xlat, we xX /arh) JEUK Ia x ork) & NEL nIJELR Io rd) Ix BIT < Vpn fos rade) * J0x (02) = tx led ALRERDY SHeweD THAT Fok 2ER> HEAW Wire RP. } fxlot X10 -+h) eth) Px [09 Wow Kwew THRT fs EXPECTED t ) Pxtar,xrotn | sf Were ACS EXxXANPLES i) WHITE WOISE ~ DEFER AS Wis RP wiTh ZeRre NERV, IBEW TICAL VARIANCE Ot, AND Li copRet ater SAMPLES Ne MENTION OF PREFS HERE > wer wec-ESSRRILY WEN, tals Be wor pave Te BE WVDEPNEENT, OWLY VCO RLELATEP. Pete) = El xlodxrlorky = Elxlv] Elxiaeni) For k #0 DVE TS UVERRELATED ASSUNPTION (cove ypzo 9 El xy) -Elwely=eJ Celk) = 0 k#o since Elxinj}= ALLA FoR kee fx (kh) > ECX*1a)) = yARle laf = 0 o. tx tkj> O»~ E€§ Lk) Alive > lx layay) FOVNR FRoy Fx /h) Awd & AS Cx bayaed > ELK Iasx ta) - Elk) El xa) = fx Len) mad RLse Then Fo MF a, ast ark Calanrky + Cx (RJ- > THVS /F TWe SAMPLES AEE UNCORRELATED as Are Tien Cx (Nn Ath) > cs AL Ara, Rob Fathi > nw as hoo.1s Moot PHYSICAL PASSES SES HAVE THis PRFERTY. 2) AR RP. ru Rec. Cxlamy> Ho aca CLE Jae) ° Ihara Peon Asie: Pxlhy~ Cx lan th) + a> But Pere moo Tx (kJ = Gi pe = Gu k>t) a ° thf >s NOTE: Fxlk) HAS Cx le) 72, Cx LR] € Ptled tx lps re thd RAN bOMLY PHASED SINUS */ AG Ain =O, AND Cx [ay as) = t oe (at fouslr.-a)) rx [hp 8 Cor | s7(orsk) 7) =} a) RUTORE GRESIVE ROP USED EXTEN SIVERY AT Medex FoR PHYSICAL PRecESTES158 A SPECIAL CASE CF AUTRE GRETIVE CARI RP DEF VED AS KIn) = &xXln-1)+ Vlad we LH HO WHere Ja/ey AVD Vilry is WEN Ww/TH VAG ANCE 5. Note THRE THE EQUATE 6 AQ FIRSTH ORDER RECURSIVE BIUPFRREN SE EQAATIoOW. RP EVOLVES AF: xLo) = 4% f-s)t Vlop Xf) > axles oly Klap = a Xb) + user Ane x fa) perenne ovLy on FRESEVT pur PRT SAMPLES, FOR EXRMPLE XL)> axti) tule = afaxjoy tobi) t 0s = Qtx)y raul, rude, = A(aAXl-y tub) + a VLIt Ulad = ARK lor) # G~U le) + WUp7e Oly 2 Ss ahuls-A) LERDING TER hoe Q2X (1), ET eo Siwhe Saja), iCLeRtLy WE NWT RAYE Jajet Poa 7 A STRBLE RECUR SOW, PERE. NOrSE-LIKE yall, = * feta 1 | It 4 ; : poy CuRLCLATED q jensen rr i (0) 6=025, of 21-02 (0) o=098, of =1~a? Figure 17.5: ‘Typical reliastions of autoregressive random process with different pean “ [hp ID ER PeeT . ts dL o, tll Kt ‘ wy % clear alt yanda(’etate!,0) "2; varuzei-a2"2; varsievarni/(1-a172) ;vara2evaru?/(1-a2°2); this is r.X(0) x1(4,1)*sqre(varxt)erandn(1,1}; 4 set snitial condition 1L-1] Problens 17.17, 17.18 x 32(4, t)msqrt (varx2) eranda(1,1); for ne2:a1 ¥1(Q, 1)eatexl (not) +eqrt (earn) renda(t 1); 32(n,1)-a2en2(a-1)+uqrt (varu2)erandn(1,1); end TO DETERMINE ACS: x Las > E( XlA)x ntrd) =EUx In) (axlorh-1)t larval) = MEL ala jk lotr) HE (Xa) Ula endl = ACx ha) + El x las ularal) Bur Xlar= & atulo-es Leo