Questions tagged [random]

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Conditional PDF of sum of three random varaibles

There are three random variables with the following relation x+y+z=1000 given z, what is the pdf of x+y. I would like to know the general approach to this question. But for example we can assume that ...
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1answer
20 views

Why the requirement of the GCD of the lengths of all circuits in the graph being one?

I am reading A Mathematical Theory of Communication. The second requirement of an ergodic process confuses me (emphasis mine): All the examples of artificial languages given above are ergodic. This ...
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2answers
59 views

Probability of error for detection problem

Let $X \in \mathbb{R}^N$ and $Z \sim \mathcal{N}(0, \sigma^2 I)$ be random vectors. $Y = X + Z$ $X$ can be either $a_0 \in \mathbb{R}^N$ or $a_1\in \mathbb{R}^N$ with equal probability. So the ...
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1answer
50 views

Coherent Radar — How do we justify it?

How can we justify doing coherent radar when the phase of the return is unknown? For instance, after a reflection, assuming a stationary target, we should get something akin to: $$ x_{rx}(t) = |\...
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1answer
40 views

Understanding Asymptotic Equipartition Property

I have some problems in understanding the precise meaning of the Asymptotic Equipartition Property, related to a large number n of independent and identically distributed random variables (X1, X2, ...,...
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0answers
25 views

Randomly Generate Synthetic Noise in an Image Text Document

I'm working on denoising dirty image document. I want to create a dataset wherein synthetic noise will be added to simulate real-world, messy artifacts. Simulated dirt may include coffee stains, faded ...
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2answers
91 views

Why is there only one integration in the solution if there is two integral in the formula?

In this problem the random variable is theta and according to the formula there should be two integrations but in the solution there is only one . Nor am i able to understand the meaning of x1 and x2 ...
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2answers
27 views

How to sketch output PDF given the transformation?

Question: Let Random variable $X$ with $PDF$ = $f_{X}(x)$ be the input to device with input output characteristics as shown below then sketch the $PDF$ of $Y$ i.e, $f_{Y}(y)$ My attempt: for X>0 ,$...
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1answer
126 views

Correlation of independent random processes

Suppose $X(t)$ and $Y(t)$ be two independent random processes. Is $E(X(t_1)Y(t_2))$ necessarily zero?
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1answer
215 views

Power contained in a random process $X(t)$

How do we calculate the AC and DC power of random process $X(t)$ , provided we have $R_x (\tau)$, and $S_x(f)$ ?
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90 views

How to Derive Rayleigh distribution using transformation formula

Consider a complex random variable $Z=X+\jmath Y$, where the probability density function of $X$ and $Y$ are given by $$p(x) = \frac{1}{\sqrt{2\pi\sigma^2}} {\rm e}^{-\frac{x^2}{2\sigma^2}}\quad\mbox{...
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1answer
35 views

Variance of function of random variable

Is their an easier way to find variance of function of random variable? Till now what I am doing is first find probability density function of (function of random variable) then integrate over range.
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2answers
49 views

Independence of Functions of random Variable

Consider I am given two functions of one random variable each for example x=cos(at),y=rect(bt) where a and b are random variables.And I am given Probability density function for a and b then if I am ...
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35 views

What is a simple smoothing filter for signals sampled at non-uniform times?

An answer: A simple smoothing filter for signals that has a DC gain of one, is a simple RC low pass filter. This filter has a exponentially rising step response, $$O(t) = 1 - e^{\frac{-t}{\tau}},$$ ...
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2answers
66 views

Random Process at a particular time instance

I was studying Random Process and I thought I understood what it was all about until I came across this example. Consider a random experiment of tossing a coin with sample space S = {H, T} The sample ...
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0answers
44 views

CDF of product of two *translated* exponential variables

It is known that the CDF of the product of two exponential random variables is given by this answer If $X$ and $Y$ have rate parameters $\mu$ and $\lambda$, so their pdf's are $f_X(x) = \mu e^{-\...
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1answer
482 views

How can I generate time-variant Rayleigh channel in MATLAB

One of known models for channel simulation is called Rayleigh Fading channel, it's usually used to simulate wireless channel in time variant/invariant. As I know, Rayleigh fading channel can be ...
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1answer
77 views

Does a collection of Gaussian random variables necessarily constitute a Gaussian Process?

If $\{X(t)\}$ is a Gaussian Process then the random variables $X(t_k)$ where $k = 1,2,3...n$, are jointly Gaussian. If each random variable $X(t)$ is a Gaussian variable, then will the random ...
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74 views

Is the output of function of two ergodic processes ergodic?

Let $\{\xi_k\}_{k\in \mathbf{Z}}$ and $\{\epsilon_k\}_{k\in \mathbf{Z}}$ be two independent zero-mean Gaussian processes (i.i.d.). Is the output of the function $f$ such that $y = f(\dots,\xi_{k-1},\...
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0answers
39 views

How to randomly generate a realistic hourly temperature series given historic data

I have 20 years of historic hourly temperature data in Omaha. I want, given just a seed, to be able to generate a pretty realistic year of hourly temperatures. (I have a program that takes such ...
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1answer
70 views

Doubts and some confusion on variance for complex rv

This question is in continuation of the one asked here. Let's say that the measurement noise $w$ or any random variable is circularly Gaussian complex. If the imaginary and real components each has ...
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1answer
242 views

How can I calculate the entropy of a signal that's not independent from itself?

I really don't know how to word this better, sorry if that title is confusing. Basically, I'm wanting to use the noise from an AM radio audio signal to generate random numbers. To do this effectively,...
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1answer
757 views

Rayleigh Fading Simulation

I have a question about simulating Rayleigh Fading channel. I know theory behind the Rayleigh channel and it is sum of two Gaussian random variable where the amplitude is Rayleigh distributed and the ...
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3answers
2k views

Random signals as power signals

Why are random signals considered as power signals (i.e. signals with infinite energy and finite average power)? Does this make any sense? What does it mean for random signals to have infinite energy ...
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1answer
79 views

SD of a function of signals

Say $a_x$, $a_y$, $b_x$, $b_y$ are signals with values in $\mathbb{R}$. Say they are independednt, normally distributed variables with given SDs $\sigma_{a_x}$, $\sigma_{a_y}$, $\sigma_{b_x}$, $\...
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1answer
162 views

Understanding of Random Process/Random Variable

At a simpler level to my previous question, I wanted to confirm my understanding on Random Process based on Random Variables using an example. So, I took this example: If we consider a dice, which ...
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1answer
2k views

Understanding of Random Process, Random Variable and Probability Density Function

I just wanted to confirm my understanding of a Random Process, Random Variable and the its Probability density Function. Here is the way that I looked a Random Process/Random Variable: If we ...
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0answers
116 views

Distribution of a Filtered Signal

For a given input signal, for each discretized sample, $dt=1$: $$ x(t) \sim N(0,1)$$ and a given LTI low order filter with transfer function: $$ H_{fil}(f)$$ which would be is the a priori ...
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2answers
2k views

Addition of signal variance and noise variance

Can I add two variances directly? I have my noise variance $\sigma_{noise}=-10 \ \mathrm{dB}$ and signal variance, $\sigma_{signal}=40 \ \mathrm{dB}$. So, can I say the total variance is $\sigma_{...
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1answer
2k views

Random process $X(t)$ with autocorrelation function given find the mean and the variance

Autocorrelation function is $$R_{xx}(\tau)=\frac{20}{1+2\tau^2}$$ So at $\tau=0$$$R_{xx}(0)=20=E[X(t)X(t)]=E[X^2(t)]$$ The variance is $$\mathrm{Var}[X(t)]=E[X^2(t)]-E^2[X(t)]=20-E^2[X(t)]$$ As $X(t)$...
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1answer
225 views

What is the value of the standard deviation $\sigma$? [closed]

I am using the following formula to add the additive Gaussian noise. noise= (x/255)*(randn(size(image))), where x is the ...
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1answer
3k views

Random sampling vs uniform sampling

In this paper of Lustig, he speaks about a something which appears unintuitive: sampling at random may exhibit better performance than sampling uniformly. I tried to understand this starting from page ...
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1answer
144 views

How to measure noise, consonance, dissonance of a sound?

How can I make a graph of the noisiness of some audio durations of 100ms - 10s with 100% being white noise and 0% being a sine wave. I have FFT at the moment, are there other ways to know the ...
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1answer
335 views

Detection of sine signals with random amplitudes

Problem statement: I am designing a NP detector for the following detection problem: $\mathcal H_{0}: x[n] = A_0\cos(2\pi f_0n) + w[n]$ $\mathcal H_{1}: x[n] = A_1\cos(2\pi f_0n) + w[n]$ where: $...
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0answers
38 views

How to determine if output signals represent the same process with different unknown random inputs

This is a question about how to determine if two different output signals represent the same process with different random inputs. This is related to validating ship motion modeling. When ship motion ...
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3answers
812 views

Estimate changing time lag between signals

Suppose I have two timeseries $x_1(t)$ and $x_2(t)$, shown in the image that I drew below. They look almost identical in general form, except some features are shifted slightly in time from one series ...
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1answer
448 views

Relation between Covariance matrix & Energy of a random signal

Let's say I have the below random signal: $ Y[n] = [y(n), y(n-1), y(n-2), \ldots, y(1)] $ I have two random variables now: The first one $X_1 $ which express the maximum eigenvalue of the covariance ...
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1answer
743 views

Uniform quantizer for gaussian input signal

I have a gaussian signal $x$ with zero mean and unit variance. I am quantizing it by using a uniform quantizer of step size $q$ calculated by $$q = \frac{x_\mathrm{max} - x_\mathrm{min}}{2^{M_\mathrm{...
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1answer
221 views

Plotting uniform and Gaussian random variables

I want to create uniform and Gaussian (normal) random variables in MATLAB via rand and randn syntax. And I would like to plot ...
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2answers
499 views

What is the entropy for these cases?

This question stems from an article, "Entropy estimation of symbol sequences" download link where the abstract mentions the need for using symbols in information theory. Random chains of ...
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1answer
1k views

Complex normal Gaussian noise

I would like to create complex normal Gaussian noise with dimensions $(M,N)$. The noise should be zero mean and the variance should be equal to one. How can I do so?
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2answers
671 views

Filtering random Signal

My question is easy one actually. First, I generate a random signal using randn() function of MATLAB like this: Then, I design a FIR filter of order 200 of pass-...
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0answers
3k views

Generate time-domain random signal from PSD

Given an analytical description of the PSD, for example (MATLAB "pseudocode"): ...
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2answers
632 views

Reproducing MATLAB's randn

Gentlemen! I have to reproduce MATLAB random normal generator (randn) with some fixed seed. Also, I have to reproduce it in an external script, without MATLAB itself. Has anyone done this? What ...
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1answer
300 views

Gaussian, Rayleigh, and Exponential RVs

I am doing some simulations on the performance of OFDM systems in multi-path channels and I am confused about something. It is explained below: Assume that we have a multi-path channel with a number ...
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1answer
230 views

WSS Ergodic Process with Power Spectrum

I was given a WSS ergodic process $x(t)$ with power spectrum : $$ \begin{array}{rcl} G_x(f) &=&1−\left|\frac{f}{B}\right| &\mbox{for } |f|<B\\ G_x(f) &=& 0 & \...
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3answers
1k views

The Standard Deviation of The Derivative of a Signal

Given a signal with zero mean and a standard deviation of 0.1 sampled at 5000 Hz. What would be the Standard Deviation of its 1st, 2nd and 'n' derivative? For instance, let's say we measure the ...
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1answer
2k views

Difficulty in understanding ergodicity and ensemble averaging

Literature says that a stationary signal is ergodic, if its ensemble average = time averages. Should it be the statistics computed by time averaging = statistics computed by ensemble averaging?The way ...
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1answer
3k views

Digital Gaussian White noise signal generation in C++

I am trying to generate a band limited noise signal on a Raspberry Pi. I calculate samples at every 1/48000 sec on the Pi. If I generate normally distributed random numbers as data points at every ...
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1answer
1k views

Autocorrelation of the product of deterministic and random signal

I was wondering how to calculate the autocorrelation of a deterministic signal $x(t)$ multiplied by a stochastic process $M(t)$, whose autocorellation $R_M(\tau)$ is known a priori. In my case, $x(t)$ ...