Time-Continous Stochastic Processes 0. Time Continous Stochastic Processes
Time-Continous Stochastic Processes 0. Time Continous Stochastic Processes
Time-Continous Stochastic Processes 0. Time Continous Stochastic Processes
Time-Continous
Time
Continous Stochastic Processes
process X(t)
single realisation of
Correlation Functions
Time-Continous
Time
Continous Stochastic Processes
process X (t ) , function g ( X (t )) :
moments
1st moment:
E{ X } =
T /2
1
T
g (x(t )) dt
T / 2
x p (x ) dx =
X
2nd moment:
{ } x
E X2 =
p X ( x ) dx
variance:
E X X
}= E{ X } (E{ X })
2
= =
2
X
0-2
2
X
p X ( x ) dx
{[
(t + ) X ]} = rXX ( ) X
c XX ( ) = rXX ( )
c XX ( ) = E X (t )
rXX ( ) = E X (t ) X (t + )
] [X
rXY ( 1 , 2 ) = E X ( 1 ) Y ( 2 )
0-3
stationary rXY
( ) = E{X (t ) Y (t + )}
Correlation Functions
(
)
r
=
r
XX
XX ( )
real processes
rXX ( ) = rXX ( )
max{rXX ( )} = rXX (0 )
{
(
)
(
)
(
)
(
)
rXX 0 = E{X t X t } = E X t }
zero mean
ACF is even
rXX (0) = X2
characteristics of CCF
rXY ( ) = rYX ( )
real processes
c XY ( ) = rXY ( ) X Y
rXY ( ) = rYX ( )
cross-covariance
rXY ( ) = 0
or
Y = 0
S XX ( j ) = F{ rXX ( )} =
j
r
(
)
e
d
XX
explanation of plausibility:
see slide 9
2
X
1
2
XX
( j ) d
= rXX (0)
rXX ( ) = F1{N 0 / 2} = N 0 / 2 0 ( )
0-5
finite energy:
xT (t ) dt =
2
average power:
1
2
X T ( j ) d
2
Theorem of Parseval
T
1
2T
xT (t ) dt =
2
1
2
1
2T
S XX ( j ) = lim
0-6
1
2T
X T ( j )
S XX ( j ) = F{rXX ( )} = rXX ( ) e j d
Wiener-Khintschine:
S XX ( j )
T
= lim
0-7
1
2T
lim
1
2T
(
)
(
)
(t ) X (t + )}
{
x
t
x
t
+
dt
E
X
T
T
e
d =
(
)
(
)
x
t
x
t
+
dt
T T
x ( t ) x ( t + )e
T T
1
2T
1
dtd = Tlim
2T
j
(
t
)
(
t
)
d dt
x
x
+
e
T T
67
8
j
+ j t
(
)
(
)
x
t
x
t
+
e
e
T
T
= lim 21T
T
4
6
47
8
( t + )
d dt
(substitution: = t + ; d = d )
T
= lim 21T
T
0-8
j t
j
1
(
)
(
)
x
t
e
dt
x
e
=
( )
lim
T
T
T
T
2T X T j
T
14
4244
3 1442443
X T j
X T ( j )
(see slide 8)
impulse response:
(Energy-) ACF :
rhhE ( ) = h (t ) h(t + ) dt = h( ) h ( )
h( )
SYY ( j ) = S XX ( j ) H ( j )
no phase information!
SYY ( j ) = N 0 / 2 H ( j )
rXY ( ) = N 0 / 2 0 ( ) h( ) = N 0 / 2 h( )
S XY ( j ) = N 0 / 2 H ( j )
0-10