Random Processes

Introduction (2)
Professor Ke-Sheng Cheng
Department of Bioenvironmental Systems
Engineering
E-mail: rslab@ntu.edu.tw

Stochastic continuity

Stochastic Convergence
A random

sequence or a discrete-time random

process is a sequence of random variables
{X1( ), X2( ), , Xn( ),} = {Xn( )}, .
specific , {Xn( )} is a sequence of
numbers that might or might not converge.
The notion of convergence of a random
sequence can be given several interpretations.

For a

Sure convergence
(convergence everywhere)
The

sequence of random variables

{Xn( )} converges surely to the random
variable X( ) if the sequence of
functions Xn( ) converges to X( ) as n
for all , i.e.,
Xn( ) X( ) as n for all .

Almost-sure convergence
(Convergence with probability 1)

Mean-square convergence

Convergence in probability

Convergence in distribution

Remarks
Convergence with probability one applies
to the individual realizations of the
random process. Convergence in
probability does not.
The weak law of large numbers is an
example of convergence in probability.
The strong law of large numbers is an
example of convergence with probability
1.
The central limit theorem is an example
of convergence in distribution.

Weak Law of Large Numbers

(WLLN)

Strong Law of Large Numbers

(SLLN)

The Central Limit Theorem

Venn diagram of relation of

types of convergence

Note that even

sure convergence
may not imply
mean square
convergence.

Example

Ergodic Theorem

The Mean-Square Ergodic

Theorem

The above theorem shows that one can

expect a sample average to converge to a
constant in mean square sense if and
only if the average of the means
converges and if the memory dies out
asymptotically, that is , if the covariance
decreases as the lag increases.

Mean-Ergodic Processes

Strong or Individual Ergodic

Theorem

Examples of Stochastic
Processes
iid

random process
A discrete time random process {X(t), t =
1, 2, } is said to be independent and
identically distributed (iid) if any finite
number, say k, of random variables X(t1),
X(t2), , X(tk) are mutually independent
and have a common cumulative
distribution function FX() .

The

joint cdf for X(t1), X(t2), , X(tk) is

given by
FX , X ,, X ( x1 , x2 ,, xk ) P X 1 x1 , X 2 x2 ,, X k xk
1

FX ( x1 ) FX ( x2 ) FX ( xk )

It

also yields

p X 1 , X 2 ,, X k ( x1 , x2 ,, xk ) p X ( x1 ) p X ( x2 ) p X ( xk )

where p(x) represents the common

probability mass function.

Random walk process

 0 denote the probability mass

function of X0. The joint probability of
X0, X1, Xn is

Let

P( X 0 x0 , X 1 x1 ,, X n xn )

P X 0 x0 , 1 x1 x0 ,, n xn xn 1
P ( X 0 x0 ) P(1 x1 x0 ) P( n xn xn 1 )
0 ( x0 ) f ( x1 x0 ) f ( xn xn 1 )
0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 )

P ( X n 1 xn 1 | X 0 x0 , X 1 x1 ,, X n xn )
P ( X 0 x0 , X 1 x1 ,, X n xn , X n 1 xn 1 )

P ( X 0 x0 , X 1 x1 ,, X n xn )

0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 ) P( xn 1 | xn )

0 ( x0 ) P( x1 | x0 ) P( xn | xn 1 )
P ( xn 1 | xn )

The property
P ( X n 1 xn 1 | X 0 x0 , X 1 x1 ,, X n xn ) P ( X n xn 1 | X n xn )

is known as the Markov property.

A special case of random walk: the
Brownian motion.

Gaussian process
A random

process {X(t)} is said to be a

Gaussian random process if all finite
collections of the random process,
X1=X(t1), X2=X(t2), , Xk=X(tk), are
jointly Gaussian random variables for all
k, and all choices of t1, t2, , tk.
Joint pdf of jointly Gaussian random
variables X1, X2, , Xk:

Time series AR random

process

The Brownian motion

(one-dimensional, also known as random walk)

Consider a

particle randomly moves on a

real line.
Suppose at small time intervals the particle
jumps a small distance randomly and
equally likely to the left or to the right.
Let X (t ) be the position of the particle on
the real line at time t.

Assume

the initial position of the

particle is at the origin, i.e. X (0) 0
Position of the particle at time t can be
expressed as X (t ) Y1 Y2 Y[t / ]
where Y1 , Y2 , are independent random
variables, each having probability 1/2 of
equating 1 and 1.
( t / represents the largest integer not
exceeding t / .)

Distribution of X(t)
Let

the step length equal

X (t ) Y1 Y2 Y[ t / ]

, then

t, if is small then the

distribution of X (t ) is approximately
normal with mean 0 and variance t, i.e.,
X (t ) ~
. N 0, t

For fixed

Graphical illustration of
Distribution of X(t)
PDF of X(t)
X(t)

Time, t

t and h are fixed and is sufficiently

small then

If

X (t h) X (t ) Y1 Y2 Y[( t h ) / ] Y1 Y2 Y[ t / ]

Y[ t / ]1 Y[ t / ] 2 Y[(t h ) / ]
Yt Yt 2 Yt h

Distribution of the
X (t h) X (t )
displacement
random variable X (t h) X (t )
is normally distributed with mean 0
and variance h, i.e.

The

1
u
du
P X (t h) X (t ) x
exp

2h
2h
x

of X (t ) is dependent on t,
while variance of X (t h) X (t ) is not.
If 0 t1 t 2 t 2 m , then X (t 2 ) X (t1 ) ,
Variance

X (t4 ) X (t3 ),, X (t2 m ) X (t2 m 1 )

are independent random variables.

Covariance and Correlation

functions of X (t )
Cov X (t ), X (t h) E X (t ) X (t h)
E Y1 Y2 Y t

Y1 Y2 Yt h

E Y1 Y2 Y t

E Y1 Y2 Y t

Y1 Y2 Y t Y t 1 Y t 2 Yt h

Correl X (t ), X (t h)

Cov X (t ), X (t h)
t

t t h
t t h