Professional Documents
Culture Documents
5-1
(Discrete Random Variables)
(Continuous Random Variables)
5-2
(Random Processes)
5-4
(Narrowband Noise)
(Sinusoidal Wave Plus Narrowband Noise)
5-1
(Discrete Random Variables)
(Continuous Random Variables)
5-2
(Random Processes)
5-4
(Narrowband Noise)
(Sinusoidal Wave Plus Narrowband Noise)
(S,F,P)
1. (sample space) S
S
(sample point or outcome)
2. F
A F, B F, A B F
3. P
P(S)=1P()=0
FA 0 p( A) 1
AB p( A B) P( A) P( B)
5-1-1
(S,F,P)
S=
F=
P()=0,
, P(S)=1
(Axioms)
1.P ( Ac ) 1 P ( A)
2.P ( ) 0
3.P ( A B ) P ( A) P ( B ) P ( A B )
4. A B, P ( A) P ( B )
P( A B) P( A / B) P( B / A) P( A B)
P( A / B) P( A B) P( B / A) P( A B) P( A B)
P( A) P( B) P( A B)
ABSP(B)>0
AB
P( B | A)
P( A B)
P( A)
ABA B P( B | A) 0
AB A B A,
P( B | A) 1
P( B | A) P( B) P( A B) P( A) P( B)
AB()
(Total Probability Theorem)
S{E1 , E2 , , En }A
P( A) P( A E1 ) P( A E2 ) ... P( A En )
P( A | E1 ) P( E1 ) P( A | E2 ) P( E2 ) ... P( A | En ) P( En )
(Bayes Theorem)
{E1 , E2 , , En }SA
P(A)>0
P( Ei A)
P( Ei A)
P( A)
P( A Ei ) P( Ei )
n
P( A E ) P( E )
j 1
(Random Variables)
S
x X ( ) X ( )
XX : S RR
5-1-1
X (2 )
X (1 )
X (3 )
X (4 )
R
9
SR
(range) SX
x X ( )
SX
5-1-2
10
(event)
5-1-3
AA A
XB A { : X ( ) B}
ABAB
P[A]=P[B]
11
5-1-2
X
1. SX={0,1,2,3}
2. F={x=2}={,,}
3. P(x=2)=P(,,)=3/8
12
(Discrete Random Variables)
XSX
x S X
P X ( x) Pr[ X x]
13
XPx(x)SX
x, Px(x) 0
1
P[] xS PX ( x) 1
X
BSX, B P[B]
P[ B] xB PX ( x)
14
(cumulative distribution function, CDF)
XPX(x)
FX ( x) PX ( X x) PX ( s )
Sx
1. F () 0
2. F () 1
3. P[ X x] PX ( x) FX ( x) lim FX ( x )
0
4. P[ X x] 1 FX ( x)
5. P(a x b) FX (b) FX (a)
15
5-1-3
X
PX (x)
X
PX(x)
3
8
1
8
5-1-4
16
0,
1
,
8
1
FX ( x) ,
2
7
8 ,
1,
x0
0 x 1
FX(x)
1 x 2
2 x3
3 x
x
5-1-5
17
5-1-6
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
18
()
XPX(x) g(x)X
g(X)
E[ g ( X )]
g ( x) P ( x)
xS X
E[ g ( X 1 , X 2 ,...,X n )]
x2
xn
19
XPX(x)
E[aX b] aE[ X ] b
E[aX b]
(aX b) P
xS X
( x)
a xPX ( x) b PX ( x)
xS X
xS X
aE[ X ] b
20
(variance)
X
(x
Var[ X ] E ( X X ) 2
xS X
) 2 PX ( x)
(Standard deviation)
X
X Var[X ]
X
X
21
Var[ X ] E[ X 2 ] X2
E[ X 2 ] E[ X ]
(5 1 1)
Var[ X ]
2
(
x
)
PX ( x)
xS X
2
x
PX ( x)
xS X
E[ X 2 ] 2 X
2 x X PX ( x)
xS X
xPX ( x) X
xS X
X PX ( x)
xS X
xS X
( x)
E[ X 2 ] 2 X2 X2
E[ X 2 ] E[ X ]
22
5-1-4
R3/2R
1 / 4 r 0,
PR (r ) 3 / 4 r 2,
0
otherwise
(5-1-1)Var[X]=E[X2]-(E[X])2
E[ R 2 ] 0 2 PR (0) 2 2 PR (2) 3
Var[ R] E[ R 2 ] E[ R]
3
3
3
4
2
23
XE ( X )
xP ( x)
xS X
xi
PX(xi)PX(xi)dx
n(nth moment)Xn
m
(n)
X
def
xP
n
xS X
( x)
24
(Moment Generating Function, MGF)
M X (t ) E[etX ]
tx
e
P( x)
(5 1 2)
xS X
1. M X (0) 1
2. M X( k ) (0) E[ X K ]
(5 1 3)
M X( k ) (0) k
3. M X (t )
t
k!
k 0
25
(Random Vector)
XY
(joint PMF) f X ,Y ( x, y ) Pr( X x, Y y ),
xS X ySY
X ,Y
x S X , y SY
( x, y)
1
(joint CDF)
FX ,Y ( x, y ) P[ X x , Y y ]
f XY ( s, t )
s x t y
26
1. 0 FX ,Y ( x, y ) 1
2. FX ,Y ( , y ) 0, FX ,Y (, y ) FY ( y )
3. FX ,Y ( x, ) 0, FX ,Y ( x, ) FX ( x)
fXY(x,y)
5-1-7
5-1-8
27
1
PX ( x) , x x1 , x2 ,...,xn ,
n
xi x j ,
i j
28
5-1-9
5-1-10
http://wikimediafoundation.org/wiki/Home
29
X P ( x) p x (1 p)1 x ,
X
x 0, 1
XX~B(1, p)
1.
2.
3.
30
5-1-5
X~B(1, p)(1) (2)
(3)
(1)
(5-1-2)PX ( x) p x (1 p)1 x ,
x 0,1
M X (t ) E (e ) etx PX ( x) (1 p) et p
tX
x 0
(2) MX(t)t=0
t2 t3
M X (t ) (1 p) p(1 t ...)
2! 3!
()
31
2
3
t
t
M (t ) 1 pt p p ...
X
2!
3!
M " ( 0) 2
M X (0) M X ' (0)t X
t ...
2!
E ( X ) M ' (0) p
X
(5 1 4)
(3)(5-1-1)
p p 2 P (1 p )
32
PX ( x) C Xn p x (1 p) n x , x 0,1,2,3,..., n
XX~B(n, p)
p1-p
nX0~nX
33
5-1-6
X~B(n,p)X
e c
M X (t ) E e
tX
x 0
n
x
p x (1 p) n x
(1 p)
c pe
x 0
tx n
x
t x
1 p pe
n x
t n
(5.3)
34
5-1-7
XnX
X~B(n, 1/6)
(5-1-1) Var( X ) np(1 p)
1 1
n 1
6 6
5n
36
35
e x
PX ( x)
, x 0,1,2,3........; 0
x!
X X ~ P( )
1.
2.
36
5-1-8
X
(5 1 2) M X (t ) E e
x 0
t x
x!
tX
e x
e
x!
x 0
[]
tx
e t
e e
xk
ex
k 0 k !
( et 1)
2 2t ( et 1)
t ( et 1)
e e
|t 0 2
2 2
37
5-1-9
bit0.001
1000 bitbitbit
X1000 bitbit
X ~ P( ), np 1
e x e 11x
PX ( x)
, x 0,1,2,3.....
x!
x!
P( X 3) 1 P[ x 0] p[ x 1] p[ x 2]
1 e 1 e 1 0.5e 1
38
5-1-12
5-1-11
http://wikimediafoundation.org/wiki/Home
39
PX ( x) C xr x 1 p r (1 p) x , x 0,1,2...
X X ~ NB(r , p)
Xr
X
40
5-1-10
X
(5-1-2)
e C
M X (t ) E e
tX
C
x 0
tx
x 0
r x 1
x
r x 1
x
p (1 p)e
r
p r (1 p) x
t x
C x r (1) x p r (1 p)e
x 0
p r 1 (1 p )e t
[]
t x
C xx r 1 (1) x C x r
()
41
(5-1-4)
M X ' ( 0)
rp r 1 (1 p )e t
r 1
(1 p )e t |t 0
(1 p )
r
p
p2
42
5-1-13
http://wikimediafoundation.org/wiki/Home
43
PX ( x) p(1 p) x , x 0,1,2...
X X ~ G ( p)
X1
X
r
44
5-1-11
10
X
X
x 1
6 4
PX ( x) p[ X x] , x 1,2,3,...
10 10
x
()
45
6
E[ X ] x
x 1 10
x 1
4
10
x 1
x 1
4 6
4 6
...
x 1 10 10
x 2 10 10
x 1
x 1
4
6
6
...
10 x 1 10
x 2 10
2
0.6
0.6
4 1
...
10 1 0.6 1 0.6 1 0.6
10 5
4 1
2
46
C xmCnNxm
PX ( x; N , n, m)
, x 0,1,2,...,t
N
Cn
t min(m, n)
X X ~ HG( N , n, m)
Nmn
XX
47
5-1-12
20050
X
X
50
Cx200C30
x
PX ( x) p[ X x]
; x 0,1,2,3,...,30
250
C30
48
5-1-13
3005%5
5
300
5
15
100
X5X~HG(300,5,15)
p[ X 1] 1 p[ X 0]
C015C5285
5 15
1
0
C5300
300
285
300
1 0.774 0.226
49
(Continuous Random Variables)
XSX
(Probability Density Function, PDF)
fx(x)
Pr( X x)
f X (t )dt
fx(x)X
1.
2.
f X ( x) 0
f X ( x) 1
3. P( X A) f X ( x)dx
A
50
(Cumulative Distribution Function, CDF)
XfX(x)
FX ( x) Pr[ X x]
f X (t )dt
1.
0 FX ( x) 1
2.
lim FX ( x) 0, lim FX ( x) 1,
3.
(Right-continuous)
4.
5.
dFX ( x)
f X ( x)
dx
P(a X b) FX (b) FX (a)
51
5-1-14
X(0,3)X
XfX(x)=k2
k , 0 x 3
f X ( x)
0, else
f X ( x)dx k dx 3k 1
1
3
52
lim FX ( x) 1
x
x2
P[ x1 X x2 ] f X ( )d
x1
5-1-14
x1
x2
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
53
XfX(x)g(x)X
g(X)
E[ g ( X )] g ( x) f X ( x)dx
(5 1 5)
X1, X2,, Xn
E[ g ( X 1 , X 2 ,...,X n )]
54
XfX(x)FX(x)
Var( X ) X2 E[( X X ) 2 ]
( x X ) 2 f X ( x)dx
E[ X 2 ] X2
2 x[1 FX ( x) FX ( x)]dx X2
Var(x)x
0
(5 1 6)
Xx
55
1. E (cX ) cE ( X )
2. E (c) c
3. E ( X c) E ( X ) c
(c)
1. Var(cX ) c 2Var( X )
2. Var(c) 0
3. Var( X c) Var( X )
f(x)
56
5-1-15
2
X FX(x)=1-e-x , x>0
E[ X n ] nx n 1 P ( X x)dx,
x2
dx
(5-1-5) E[ X ]
P( X x)dx e
x2
dx
2 xe
0
(5-1-6)
x2
dx 1
2
Var( X ) 1
1
4
2
57
E ( X ) xf X ( x)dx
xi
fX(xi)fX(xi)dx
n(nth moment)Xn
( n)
X
def
x n f X ( x)dx
58
(Moment Generating Function, MGF)
(5 1 7)
1. M X (0) 1
2. M X( k ) (0) E[ X K ]
2M X (t )
(5 1 8)
etx f ( x)dx
d tx
M X ' (t ) e f ( x)dx xetx f ( x)dx
dt
M ( k ) (0) E[ X k ]
X
59
(Characteristic Functions)
XfX(x)X
X ( w) f X ( x)e jwx dx
fX(x)X
X ( x) F{ f X ( x)} E[e
jwX
5-1-16
2
m
( xm)
1
2
X ( w)
e 2
2 2
jwx
e dx
w 2 2
jwx
2
60
y=g(x)X Y =g(X)
fY (y)
fY ( y )
i
f X ( xi )
g ' ( xi )
5-1-17
XX ~ N (0,1)Y=aX+b
g ( x) ax b g ' ( x) a
y b
x1
a
y b
fX
( y b ) 2
1
2
a
fY ( y )
e 2a
a
2a 2
61
(Random Vector)
S(X,Y)ES
fX,Y(x,y)P( E )
X ,Y
( x, y)dxdy
( x , y )E
fX,Y(x,y)(X,Y)
f X ,Y ( x, y ) 0, x, y R
X ,Y
( x, y )dxdy 1
62
XY(joint CDF)
FX ,Y ( x, y ) P[ X x, Y y ]
f X ,Y ( s, t )dsdt
(Leibnitzs)
f X ,Y ( x, y)
2 FX ,Y ( x, y)
xy
X=x
f X ,Y ( y | x)
f X ,Y ( x. y )
f X ( x)
, f X ( x) 0.
63
XY
fY | X ( y | x)
f Y , X ( y, x)
f X ( x)
fY ( y )
fY , X ( y, x) f X ( x) fY ( y ) E[ XY ] E[ X ]E[Y ]
g(x,y)X,Yg(x,y)
E g ( X , Y )
g ( x, y ) f X ,Y ( x, y )dxdy
g(x,y)XYE[XY]XY
64
-
-(Cauchy-Schwartz Inequality)
E[ XY ]2 E[ X 2 ]E[Y 2 ]
Z X Y ,
0 E[ Z 2 ] E X Y
E 2 X 2 2XY Y 2
2 E X 2 2EXY E Y 2
0
2
2
E[ XY ] E[ X ]E[Y ]
2
65
(Covariance)
X,Y
Cov( X , Y ) E( X X )(Y Y )
E[ XY ] E[ X ]E[Y ]
XY
1.
XYCov(X,Y)>0
2.
XYCov(X,Y)<0
3.
XYCov(X,Y)=0
()
Cov(X,Y)=E[XY]-E[X]E[Y]
= E[X]E[Y]-E[X]E[Y]=0
66
(Correlation Coefficient)
X,Y
XY
Cov( X , Y )
XY
XY
XY
1.
XY +1-1
2.
XY 0XY(uncorrelated)
3.
XYXY
67
1
UV
U X X , V Y Y
E UV E[U 2 ]E[V 2 ]
2
Cov( X , Y ) 2 X2 Y2
2
XY
1
XY 1
XY
+1-1+1-1
XY
68
1
, x a, b
f X ( x) b a
0 ,
otherwise
XU(a,b)
69
5-1-18
XX
(5-1-7) M (t ) E[etX ]
1
ebt e at
e
dx
a
ba
(b a)t
b
tX
(5-1-5)(5-1-6)
b
E[ X ] x
a
1
ab
dx
ba
2
2
2
2
a
ab
b
a
b
(
b
a
)
2 E[ X 2 ] 2
3
12
2
2
70
5-1-15
71
()
X
1
f ( x)
e
2
( x )2
2 2
, x R, R, 0
X X ~ N ( , 2 )
0, 1X
1.
f(x)x
2.
f(x)
72
5-1-16
http://wikimediafoundation.org/wiki/Home
73
5-1-17
http://wikimediafoundation.org/wiki/Home
74
5-1-18
http://wikimediafoundation.org/wiki/Home
75
5-1-19
2
XX ~ N ( , ) X
(5-1-7) M (t ) E[e tX ]
1
e
2
tX
( x )2
2 2
dx
x 2 2 ( t 2 ) x ( t 2 ) 2
2
t t
1
e 2
2
2
2
t2
dx
( x t 2 ) 2
2 2
dx
()
76
1
M (t )
e
2
e
2
2
2
2
t2
t2
(5 - 1 - 9)
E[ X ]
M
|t 0
t
2M
2
2
Var ( X ) E[ X ] E[ X ]
|
t 0
t 2
2
(5-1-8)
77
5-1-20
XX ~ N (0, 2 ) X2
X ~ N (0, 2 ) E[X]=0
2
2
2
2
2
Var[ X ] E[ X ] E[ X ] E[ X ] E[ X ]
2
(5-1-9)X
2
t2
mX (t ) e 2 (5-1-8) E[ X 4 ] m(X4) (t ) |t 0 3 4
Var[ X 2 ] E[( X 2 ) 2 ] E[ X 2 ]2 E[ X 4 ] E[ X 2 ]2
3 4 ( 2 ) 2 2 4
78
0, 1, X ~ N (0,1) X
( z )
1
e
2
t2
2
dt
(z)
(z)
5-1-19
79
1 ( z )
1
e
2
t2
dt
1 ( z ) ( z ) Q( z )
z
( z )
5-1-20
1 ( z ) Q( z )
80
Q
QQ
1. Q ( x ) 1 Q ( x )
1
2. Q ( 0)
2
3. Q ( ) 0
81
Q
Q
1. Q ( x )
1
e
2
x2
2
for all x 0
x2
2. Q ( x )
1
e
2 x
3. Q( x)
1
1
1
2
2 x x
for all x 0
x2
2
for all x 0
82
Q
Q
83
()
(X,Y )
f ( x, y )
1
2 1 2
1
exp
2
2
2
1
2
x 2
1
1
2
2
2
1
1 2 2
x, y R,
1, 2 R, 1, 2 0,
(X,Y )
( X , Y ) ~ BN ( 1 , 2 , 12 , 22 , )
84
1 , 2 , 1 , 2 , X,Y
0XY
0 f ( x, y) f ( x) f ( y)
5-1-21
XY
x 2 y 2 6 x 2 y 10
1
f ( x, y)
exp
, x, y
8
8
85
(1) P{ X 3 | Y 0}
(2) E{Y | X 2}
(3)Var( X Y )
2
2
1
1 x 3 y 1
f
(
x
,
y
)
exp
2 2 2
2 2 2
2
2
3
,
4
,
1
,
0
1
1
2
2 4,
1
P( X 3 | Y 0) P( X 3)
2
(2) E[Y | X 2] E[Y ] 1
(3) Var( X Y ) Var( X ) Var(Y ) 4 4 8
XY
(1)
86
1. E (i ci X i ) ci i E ( X i )
f Z ,W ( z , w)
i
f ( xi , yi )
det J ( xi , yi )
z z
x y
J ( x, y )
w w
x y
87
5-1-22
XYN (0, 2 )Z
X 2 Y 2
XY
f X ,Y ( x, y ) f X ( x) fY ( y )
2
2
x
y
J ( x, y )
x2 y2
x2 y2
2
2
x y
y
1
2
x2 y2
2 2
det J ( x, y)
1
x2 y2
88
x2 y2
x cos
y
y sin
arctan
x
e
f , ( , ) f X ,Y ( cos , sin )
2
2
f ( )
f ( )
2e
2
2 2
2
2 2
, 0, 0 2
f , ( , )d
f , ( , )d
, 0
(Rayleigh)
89
(independent and identically distributed)
X1 X2 Xn Xj X X2
Zn
Zn
lim Pr zn z
n
( X 1 X ) ... ( X n X )
X n
( z )
x2
1
exp dx
2
2
()
90
5-1
(Discrete Random Variables)
(Continuous Random Variables)
5-2
(Random Processes)
5-4
(Narrowband Noise)
(Sinusoidal Wave Plus Narrowband Noise)
91
:
(Deterministic signal model)
92
93
(Sample function)
si S x(t ; si)
(Random processes)
X(t , s)
si S x(t , si)
siPr[si]=Pr[x(t,si)]
(Ensemble)
94
t=tk
X(tk)
x(tk ,si)
5-2-1
sX(t)
tk
X (t k ) { X (t k , s1 ), X (t k , s2 ),..., X (t k , sn )}
t = tks= si x(tk ,si)
95
5-2-1
T = 0, 1, 2, ,
NT (1 NT 6)
X(t)T t T+1 X(t) = NT
si s j , x(t , si ) x(t , s j )
96
5-2-1
s1
s2
5-2-2
97
tk
X (t k )
PX ( t k ) ( x )
f X ( t k ) ( x )
t=tk
X(tk)
5-2-3
98
5-2-2
X(t)=R|cos2ft|R
R(exponential distributed)
(1 / 10)e r /10 r 0
f R (r )
0
otherwise
X (t ) f x ( t ) ( x)
FX ( t ) ( x) P[ X (t ) x]
P[ R x / | cos 2ft |]
x/|cos 2 ft|
f R (r )dr
1 e x /10|cos2 ft |
99
X(t)
f X (t ) ( x)
dFX (t ) ( x)
dx
e x /10|cos 2 ft| , x 0
10 | cos 2 ft |
0
, otherwise
5-2-3
5-2-2Xn =X(nT)Xn(PMF)
1 / 6 , x 1,...,6
PX n ( x)
0 , otherwise
100
X1 f X ( x1 )
1
X1
X1X2
(joint PDF) f X 1 , X 2 ( x1 , x2 )
X(t)kk
t1, t2, , tk[X(t1), , X(tk)]
f X ( t ),..., X ( t ) ( x1 ,..., xk )
1
k
101
(Discrete-value and Continuous-value R.P.s)
X(t)t(outcomes)
X(t)
X(t)
(Discrete-time and Continuous-time R.P.s)
X(t)tn=nT (X(nT)T
n)X(t)X(t)
tX(t)
102
5-2-4
5-2-5
(x)
(y
)
103
5-2-6
5-2-7
Xdc(t)Xcc(t)T=0.1
(y)
104
X(t)t1X(t1)
X(t1)
t
X (t ) E[ X (t )]
X(t1)
X (t )
X (t0 )
x (t1 )
5-2-8
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
105
X(t)(deterministicn function)
X(t1) fX(t1) X(t1)
5-2-4
5-2-2X(t)=R|cos2ft|
X (t ) E[ X (t )] E[ R | cos 2ft |]
E[ R] | cos 2ft |
10 | cos 2ft |
106
(Autocorrelation function)
t1 t2
t1 t2
5-2-9
t1 t2
107
(Autocovariance function)
t1 t2
RX (t1 , t 2 ) X (t1 ) X (t 2 )
X(t)(variance)
108
(Cross-correlation function )
X(t) Y(t)RX(t1, t2)
RY(t1, t2)X(t)Y(t):
(orthogonal)
RXY (t , ) E[ X (t )Y (t )]
RYX (t , ) E[Y (t ) X (t )]
109
: RXY (t , ) RYX (t , )
(Cross-covariance function )
X(t)Y(t)
110
5-2-5
X(t)XI(t) XQ(t)
X I (t ) X (t ) cos(2f c t )
X (t ) X (t ) sin(2f t )
c
Q
fc[0, 2]
X(t) RX
, XQ
(t1, t2 ) ?
RX X (t1 , t2 ) E[ X I (t1 ) X Q (t2 )]
I Q
()
111
()
XI(t1) XQ(t2)
112
(Auto-correlation function for complex-valued random process )
RZ (t1 , t 2 )
1
1
*
E Z t1Z t 2 E ( X t1 jYt1 )( X t 2 jYt 2 )*
2
2
1
E ( X t1 jYt1 )( X t 2 jYt 2 )
2
1
E X t1 X t 2 jYt 2 X t1 jYt1 X t 2 Yt1Yt 2
2
1
j
EX t1 X t 2 EYt1Yt 2 EYt1 X t 2 EX t1Yt 2
2
2
1
RX (t1 , t2 ) RY (t1 , t2 ) j RYX (t1 , t2 ) RXY (t1 , t2 )
2
2
113
(Cross-correlation function for complex-valued random process )
1
1
*
1/2
114
(Stationary random processes )
X(t)Xn {m :m=1,2,}
(t1,, tm)
m MX(t)Xn M
115
mm(random
]
vector)[X(t1),X(t2),,X(tm)] [ X n1 , X n2 ,..., X nmm
(t1, t2 ,, tm)
116
X(t)X(t)
X (t ) X
RX (t1 , t 2 ) RX (t1 t 2 )
C X (t1 , t 2 ) RX (t1 t 2 ) X2 C X (t1 t 2 )
117
RX (t1 t2 ,0)
RX (t1 t2 )
118
5-2-6
X(t)fc
[0,2]
X (t ) A cos(2f c t )
f ( ) 2
, 0 2
, otherwise
X(t)
119
X(t)
X (t ) E X (t ) E A cos(2f c t )
A cos(2f c t ) f ( )d
A 2
cos( 2f c t )d
0
2
A
sin( 2f c t ) |02 0
2
120
RX (t1 , t 2 )
A2
2
A2
2
A2
2
A2
2
A2
2
2
A 2 2
1
cos2f c (t1 t 2 )
cos2 2f c (t1 t 2 )
d
0
2
2
A2
cos2f c (t1 t 2 )
sin 2 2f c (t1 t 2 ) |02
4
cos2f c (t1 t 2 )
t1t2
t1-t2t1t2
121
5-2-9
5-2-10
122
X(t)
X (t ) X
for all t
RX (t1 , t2 ) RX (t1 t2 )
for all t1 , t2
X (t ) X
t1t2
t1-t2t1t2
for all t
C X (t1 , t2 ) C X (t1 t2 )
for all t1 , t2
123
(t1-t2 )t1t2
X(t)=t1-t2
RX (t1 , t2 ) RX (t , t ) RX ( )
C X (t1 , t2 ) C X (t , t ) C X ( )
124
X(t) Y(t)
X(t) Y(t)(WSS)
RX (t , t ) RX ( )
RY (t , t ) CY ( )
(t1-t2 )
125
X(t)X(t)RX()
R X ( 0) 0
RX ( ) RX ( )
RX ( ) RX (0)
=0RX(0)
RX()
=0
f(x) = f( x)
Y
2
y
(
x
)
()
5-2-11
http://wikimediafoundation.org/wiki/Home
126
RX (0) EX (t ) X (t )
RX ( ) E X (t ) X (t )
E X (t ) X (t )
RX ( )
E X 2 (t ) 0
()
RX ( ) 2 E X (t ) X (t )
E X 2 (t ) E X 2 (t )
RX (0) 2
[]
(Cauchy Inequality)
EUV 2 E U 2 E V 2
RX ( ) 2 RX (0) 2
127
5-2-7
()
10X(t)
x(t)
1.
10+A -AT
2.
td0T
3.
tdTd
fTd (td ) T
0 td T
elsewhere
128
(n1)T< ttd <nT (n)
011
0
010
1
x(t)
+A
0
-A
td
5-2-12
129
X(t) EX (t ) 0, t
X(t):
tk ti T EX (tk ) X (ti ) EX (tk )EX (ti ) 0, tk ti T
tk ti T
t k 0, ti t k
tk , ti
X(tk )X(ti )
t d T ti 0
td T ti
130
X(t) td:
A2 ,
E X (t k ) X (ti ) t d
0 ,
t d T t k ti
elsewhere
Td:
1
,
fTd (td ) T
0 ,
0 td T
elsewhere
E X (t k ) X (ti )
T t k ti
A2 fTd (t d )dtd
t k ti
A 1
T
t k ti T
titkti-tk
131
X(t) tk ti :
2
A 1
RX ( ) T
0,
, T
ti
RX ( )
A2
-T
T
5-2-14
132
X(t)
RX (0) EX (t ) X (t )
E X 2 (t )
5-2-8
WfW(w)
(,) WX(t)
X(t)
X (t ) A cos(Wt )
133
(ensemble average)(time average)
()
X(t)
t0X(t0)g(X)
x(t ,si)
g(x)
1 T / 2
g ( x) i lim g ( x(t , si ))dt
T T T / 2
def
134
g ( x) i x(t ,si)
X(t)
(Ergodic): X(t)
g(x)x(t ,si)
1 T / 2
g ( x) i lim g ( x(t , si ))dt E[ g ( X (t ))]
T T T / 2
X(t)
X(t)
135
5-2-9
X(t)
t
X(t){1,2,3,4,5,6}
1
1
1
1
1
1
1 2 3 4 5 6 3.5
6
6
6
6
6
6
X(t)0,T,2T,,10T
1, 2, 3, 4, 3, 2, 5, 6, 4, 1
1 2 3 4 3 2 5 6 4 1
3.1
10
136
X(t)
1. Pr lim X (T ) X 1
T
2. lim Var X (T ) 0
T
1
X (T )
2T
X (t )dt
X(t)
1. Pr lim RX ( ; T ) RX (T ) 1
T
2. lim Var RX ( ; T ) 0
T
RX ( ; T ) 1
X (t )X (t )dt
137
X(t)5-2-9
X(t)X(t)
X(t)X(t)
:
138
1. E X 2 (t ) RX (0)
2. RX ( ) E[ X (t ) X (t )]
(Fourier
transform)(Einstein-Wiener-Khintchine relation)
S X ( f ) RX ( )e j 2f d
RX ( ) S X ( f )e j 2f df
SX(f)
watt/Hz
139
SX(f)
140
1. S ( f ) | f 0 R ( )d
2. E X 2 (t ) RX (0) S X ( f )df
3. S X ( f ) 0
4. RX ( ) RX ( )
S X ( f ) S X ( f )
5.
141
3 S X ( f ) 0
X(t)
h(t ) cos(2f c t )
H ( f ) ( f f c ) ( f f c ) / 2
142
Y(t)
5.3
1
( f f c ) S X ( f )df ( f f c ) S X ( f )df
4
1
1
S X ( f c ) S X ( f c ) S X ( f c )
4
2
fc S X ( f c ) 2 E[Y 2 (t )] 0
143
S X ( f ) RX ( )e j 2 ( f ) d
SX ( f )
zz*
z
5
R ( )
X
S X ( f ) S X* ( f
)
S X ( f ) S X ( f ) S X* ( f )
4
144
5-2-10
X (t ) A cos(2f c t ) (5.6)
[-, )
(5-3-1) S X ( f )
A2
4
A2
4
A2
A2
cos(2f c )e j 2f d
2
j 2f c
e j 2f c e j 2f d
e j 2 ( f f c ) d e j 2 ( f f c ) d
( f f c ) ( f f c )
145
5-2-15
A2
RX (0)
S X ( f )df
146
5-2-11
(Random Binary Wave)(5-2-7)
01+A-AT
X (t ) A I n p (t nT t d ), I j 1
1, 0 t T
p (t )
0, otherwise
(5-2-7)
2
A 1 , T
R X ( ) T
0, otherwise
147
(5-3-1)
S X ( f ) A 1
T
T
T
A 1
0
T
T
A 1
0
T
T
2A
j 2f
e
d
0
j 2f
2
e
d A 1
T
j 2f
j 2f
e
e
d
j 2f
e
d
1 cos(2f )d
T
cos(2f ) 2f ( T ) sin(2f )
2
2A
4 2 f 2T
0
148
2 A2 1 cos(2fT ) A2 sin 2 (fT )
SX ( f )
2 2
4 f T
2 f 2T
A2Tsinc 2 ( fT )
5-2-16
2000,John Wiley & Sons, Inc.
Haykin / Communication Systems,4th Ed
149
()
(bandlimited)
5-2-17
(bandpass)
5-2-18
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
150
(cross spectral density)
X(t)Y(t)
S ( f ) R ( ) exp( j 2 f )d
XY
XY
151
X(t)Y(t):
RXY ( ) RYX ( )
RYX ( ) exp( j 2 f ) d
RXY ( ) exp( j 2 f )d
S XY ( f )
S XY ( f ) SYX ( f )
152
5-2-12
X(t)Y(t)Z(t)= X(t)+
Y(t) Z(t)
RZ (t , u ) E[ Z (t ) Z (u )]
E X (t ) Y (t ) X (u ) Y (u )
E X (t ) X (u ) E X (t )Y (u ) E Y (t ) X (u ) E Y (t )Y (u )
RX (t , u ) RX ,Y (t , u ) RY , X (t , u ) RY (t , u )
()
153
X(t)Y(t)
RZ ( ) RX ( ) RXY ( ) RYX ( ) RY ( )
S Z ( f ) S X ( f ) S XY ( f ) SYX ( f ) SY ( f )
X(t)Y(t)X(t)Y(t)
RXY (t , ) E[ X (t )Y (u )] E[ X (t )]E[Y (u )] 0
S Z ( f ) S X ( f ) SY ( f )
154
5-1
(Discrete Random Variables)
(Continuous Random Variables)
5-2
(Random Processes)
5-4
(Narrowband Noise)
(Sinusoidal Wave Plus Narrowband Noise)
155
X(t)Y(t)
X(t):
Y(t)
??
X(t)Y(t)
(Convolution integration)
156
Y(t)
Y (t ) E Y (t ) E X (v)h(t v)dv
t v
X h(t v)dv X h( )d
X(t)
X h( ) exp( j 2 f )d | f 0
X H ( f ) | f 0 X H (0)
1. Y(t)(t)
2. =*H(0)
X(t)Y(t)
157
RX ( u )h(u )du
X(t)
u=v-t2
=t1-t2
158
Y(t)
X(t)Y(t)
u=v-t2
RXY ( ) h( ) RX ( ) h( ) h( )
=t1-t2
RY (t1 , t2 ) RY (t1 t2 )
RY ( ) RXY ( ) h( ) RX ( ) h( ) h( )
Y(t)t1t2=t1-t2
Y(t)
159
X(t)Y(t):
RX ( )
h( )
RXY ( )
h( )
RY ( )
RXY ( ) RX ( ) h( )
S XY ( f ) S X ( f ) H * ( f )
RYX ( ) RXY ( ) RX ( ) h( )
RYX ( ) RX ( ) h( )
*
SYX ( f ) S X ( f ) H ( f ) S XY
(f)
RX()
SX(f)
160
Y(t):
:Y(t)()
Y(t)
RY ( ) RX ( ) h( ) h( )
SY ( f ) RY ( )e j 2 f d
:X(t)()
()Y(t)
S X ( f ) RX ( )e j 2 f d
SY ( f ) S X ( f ) H ( f )
161
RY ( ) RX ( ) h( ) h( )
h( )e
j 2 f
d h(u )e j 2 fu du
h* (u )e j 2 fu du
H *( f )
h(t)h(u)= h*(u)
SY ( f ) S X ( f ) H * ( f ) H ( f )
SY ( f ) S X ( f ) H ( f )
z=a+jbz*=a-jb
|z|2=a2+b2
RY ( ) SY ( f )e
j 2 f
df S X ( f ) H ( f ) e j 2 f df
2
162
5-3-1
h( ) H ( f )
5-3-2
163
H ( f ) S X ( f )df
2
f c f / 2
f c f / 2
f c f / 2
f c f / 2
S X ( f )df
f S X ( f c ) S X ( f c )
S X ( f )df
f
E[Y 2 (t )] SX fc f
f SX ( fc ) fc
SX ( f )
164
5-3-2
()X(t) X(t)
1
S X ( f ) N 0 , for all f
2
Y(t)
X(t)
??
5-3-3
165
R
1
H( f )
R j 2 fL 1 j 2 fL / R
1
H( f )
1 (2L / R) 2 f 2
2
S ( f ) S ( f ) | H ( f ) |* N0
Y
X
2 1 2 L / R 2 f 2
N0
1
j 2f
e
df
2 1 2L / R 2 f 2
RN 0 ( R / L )
e
4L
R ( )
Y
166
5-3-3
(h1(t) h2(t))
(jointly WSS)X(t)Y(t)
V(t)Z(t)
R (t , t ) E[V (t ) Z (t )]
VZ 1 2
1
2
()
167
X(t)Y(t)
=t1-t2
RVZ (t1 , t2 )
RVY ( ) h2 ( )
RVZ (t1 , t2 ) RVZ ( ) RVY ( ) h2 ( )
V(t)Y(t)
168
V(t)Z(t):
RXY ( )
S XY ( f )
h1 ( )
H1 ( f )
RVY ( )
SVY ( f )
h2 ( )
RVZ ( )
H 2* ( f )
SVZ ( f )
169
5-1
(Discrete Random Variables)
(Continuous Random Variables)
5-2
(Random Processes)
5-4
(Narrowband Noise)
(Sinusoidal Wave Plus Narrowband Noise)
170
171
Fromvision.cse.psu.edu
172
173
X(t)kt1
t2 tk[X(t1), , X(tk)]
X(t)
5-4-1
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
174
1.
()
2. k[X(t1), ,
X(tk)]
3. (WSS)
(SSS)
3:
X=[X(t1), , X(tk)] (covariance
matrix) C
175
T X X (t T ) X (t T )......X (t T )
1
2
k
C X(t)
1. E X (ti ) E X (ti T ) X
2. Cijij
X(t)
176
(Gaussian Random Noise)
5-4-2
177
178
(Shot noise)
k k
X shot (t )
p(t
p (t k ) t k
179
(0,t]N(t) N (t ) max{ k : k t}
N(t)(Poisson Counting Process)
5-4-3
180
N(0)=0
t1t2k
Pr N (t2 ) N (t1 ) k
(t2 t1 )
k!
exp[ (t2 t1 )]
X(t)
p (t )dt
(5 4 1)
X
C X ( ) p(t ) p(t )d
(5 4 2)
181
5-4-1
p(t)AT
(5-5-1)(5-5-2)X(t)
X p (t )dt Adt AT
A2 (T ), T
C X ( )
otherwise
0,
A 2
5-4-4
182
(Thermal Noise)
(0oK)
f HzR()VTN
VTN E[V 2 ] 4kTR f (2)
TN
183
5-4-5
(Thevenin)R E[VTN2 ]
(Norton)E[ I 2 ]
TN
E[VTN2 ]
R2
4kTGf (2)
VTN
0
184
SW ( f )
5-4-6
N0
5-4-7
185
()
(uncorrelated) RW (t1 , t2 ) E[ X (t1 ) X (t 2 )] 0
N0
E W (t ) SW ( f )df
df
2
2
5-4-2
186
N0
f B
2
,
S N ( f ) H ( f ) SW ( f ) 2
0,
otherwise
RN ( )
N0
2 exp( j 2 f )df N0 Bsinc(2B )
5-4-8
5-4-9
2B
(uncorrelated)
187
5-4-3
(local carrier)
5-4-10
(correlator)
188
2 / T
2
cos(2 f c t ) dt
2
cos 2 (2 f c t )dt
T
1 cos(4 f c t )
dt
T
1
T
N w(t ) 2 cos(2f c t )dt
189
T
T
2
2
N E w(t )
cos(2f c t )dt E w(t )
cos(2f c t )dt 0
0
0
T
T
T
2
2
2
N E w(t )
cos(2f c t )dt w( s )
cos(2f c s)ds
0
0
T
T
2 T T
E w(t ) w( s )cos(2f c t ) cos(2f c s )dsdt
T 0 0
2 T N0
(t s) cos(2f c t ) cos(2f c s)dsdt
0
T
2
N0 T
2
cos
(2f c s)ds
0
T
N0
2
w(t)N
190
5-4-11
5-4-12
191
(In-Phase and Quadrature Components)
n(t)nI(t)nQ(t)
()
5-4-13
N (t ) N I (t ) cos(2f c t ) N Q (t ) sin(2f c t )
2000,John Wiley & Sons, Inc.
Haykin / Communication Systems,4th Ed
192
()
5-4-14
nI(t)nQ(t)
1. nI(t)nQ(t)0
2. n(t)nI(t)nQ(t)(joint Gaussian)
2000,John Wiley & Sons, Inc.
Haykin / Communication Systems,4th Ed
193
nI(t)nQ(t)
3. n(t)nI(t)nQ(t)
4. nI(t)nQ(t)()
S N ( f f c ) S N ( f f c ) - B f B
otherwise
0
SN(f) f c B f f c B f c B
194
nI(t)nQ(t)
6. nI(t)nQ(t)
S NQ N I ( f ) S NQ N I ( f ) jS N ( f f c ) S N ( f f c ) -B f B
otherwise
0
SN(f)
5-4-15
5-4-16
John G. Proakis,
Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002
7. n(t)SN(f)fcnI(t)nQ(t)
195
5-4-4
N0
0 1
2
5-4-17
196
fc B
fc B N
N 0 j 2f
0 j 2f
RN ( )
e
df
e
df
fc B 2
fc B 2
2 N 0 sin(2 B ) cos(2f c )
5-4-18
nI(t)nQ(t)
nI(t)nQ(t)
5-4-19
S N ( f ) S N I ( f ), S N Q ( f )
RN I ( ) RN Q ( ) 2 N 0 Bsinc(2 B )
197
(Envelope)(Phase)
N (t ) N I (t ) cos(2f ct ) NQ (t ) sin(2f ct )
R(t ) cos2f ct (t )
R(t ) N I2 (t ) N Q2 (t ) (t ) tan 1 N Q (t ) / N I (t )
R(t ) (t )
N I N Q
2
2
n
1
I
Q
f N I , N Q (nI , nQ )
exp
2
2
2
2
198
5-4-20
5-4-21
nI r cos( ) nQ r sin( )
199
R(t ) (t ) nI(t)nQ(t)
r2
f N I N Q (nI , nQ )dnI dnQ
exp 2 rdrd
2
2
2
f R , (r , )drd
1
r2
f R , (r , )
exp 2
2
2
2
r
1
for 0 2
0 2 f ( )
2
200
r2
r
for r 0.
f R (r ) 2 exp
2
f
(
for 0 2 .
2
(Rayleigh)
<>
v2
v exp( ) v 0
fV (v)
2
0
otherwise
5-4-22
201
202
n(t)x(t)
nI(t)nQ(t)
203
xI(t) xQ(t)
( x1 A) 2 xQ2
f X I X Q ( xI , xQ )
exp
2
2
2
2
xI r cos( ) xQ r sin( )
dxI
r cos( ) A2 r 2 sin 2 ( ) dr
1
f R , (r , )
exp
2
2
2
2
dxI
d
dxQ
dr
dxQ
d
r 2 A2 2 Ar cos( )
exp
2
2
2
2
204
R
R
f R (r )
f R , (r , )d
r 2 A2 2 Ar cos( )
d
exp
2
0 2 2
2
r 2 A 2 2
r
2 Ar cos( )
exp
exp
d
2
2
2
0
2
2
2
r 2 A2 Ar
I 0 2
2 exp
2
205
I 0 ( x) 1
function)
d2y
dy
2
2
x
(
x
n
)y 0
2
dx
dx
2
nn
206
J n ( x)
cos x sin( ) n d
exp jx sin jn d
xn
n
2
x / 4
2
m!(n m)!
0
d2y
dy
2 2
2
x
(
j
x
n
)y 0
2
dx
dx
2
1
I n ( x) j J n ( x)
2
n
207
0
1
2
5-4-23
012
http://wikimediafoundation.org/wiki/Home
208
2
2
Ar
r
A
f R (r )
I 0 2
exp
2
2
f R (r ) (Rician distribution)
,a
v2 a2
I 0 (av)
fV (v) f R (r ) v exp
2
v2 a2
I 0 (av)
fV (v) v exp
2
209
a=0
a
v=a
5-4-24
210
1. John G. Proakis, Communication System Engineering Chapter 4,
2th Edition, Prentice Hall,2002.
2. Haykin / Communication Systems,4th Ed, 2000,John Wiley & Sons, Inc.
3. Gonzalez and Woods, Digital Image Processing 2nd Edition(DIP/2e)
2002, Prentice Hall
4. vision.cse.psu.edu
5. www.math.umn.edu
6. http://wikimediafoundation.org/wiki/Home
211