Questions tagged [random-process]

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36 views

Signal-to-Noise ratio of multivariate stochastic process from Correlation Matrix

I'm not in signal processing, I'm from an another discipline. I've derived a simple result which I presume must be well known in SP and I'd like to know whether there's a paper or textbook that has it ...
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28 views

Response of an unstable LTI system to random signals

A convenient approach for studying the response of a stable LTI system with impulse response $h(t)$ to a WSS stochastic input $X(t)$ is to look at the power spectral density (PSD) of the output $Y(t)$ ...
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1answer
42 views

mathematical expression to detect modulated data within a vector

Assume I have such modulated data which is, for example, $x=0.7+0.7i$. That modulated data is encapsulated in a vector as below: OR where $c$ is any constant number, let’s say, for example: $c=0.7$ ...
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3answers
128 views

Under what conditions is there a one-to-one mapping between continuous-time and discrete-time signals?

As the sampling theorem dictates that the uniform sampling frequency must be at least twice the maximum frequency present in the bandlimited signal (Nyquist rate), a question arises about the ...
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1answer
25 views

Transformation of random variables vs shift of functions

I am a beginner to random variables and I am understanding the concept of the transformations of a random variable. Consider a random variable $X$ to be Gaussian distributed with $a_x = 1.6$ and $\...
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1answer
27 views

Intuitive definition of ergodicity for random signal

Is it possible to define the ergodicity of the random signal in an intuitive sense without using any statistical reference?
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3answers
58 views

voltage current analysis in time

I am looking at the transmembrane voltage of a neuron model and would like to investigate this in more detail. The applied current is divided into a deterministic and a noisy component - if I set the ...
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3answers
39 views

Signal variance and power connection

For a random signal $x(n)$, why is $E(x(n)^2)$ called signal power? Is it really power? Any proof?
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1answer
42 views

How to describe voltage fluctuations

I am looking for a way to describe the properties of voltage fluctuations - is the RMS amplitude a suitable measure? Attached is a screenshot showing the random current fluctuations (in the case of ...
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1answer
25 views

What is the relation between input and output PSDs given system transfer function $H(s)$

If I have the system transfer function $H(s)$ in the complex frequency domain, how would I relate the input/output power spectral densities? I have come across the relation $P_{out}(f) = |H(f)|^2P_{in}...
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1answer
28 views

Variance of filtered white noise

I was asked a question, as posted here, and the answer given is (A) i.e. $\frac{3}{2} A^2 N_0$. My solution steps was: Finding the mean of the output process: Since input is gaussian the output will ...
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1answer
84 views

Variance of Integral of a real white Gaussian Noise Process

In this question, is the answer not equal to infinity ? Answer is mentioned as 6. But my doubt is cant we think of it like a linear combination of many independent random variables each having ...
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2answers
57 views

Moving from deterministic signals to stochastic signals in s-domain (Power Spectral Density)

Assume we have the following system (coming from control systems theory, hence in s-domain) $ Y(s) = H_A (s) \cdot A(s) - H_B (s) \cdot B(s) $ I now wish to consider $a(t)$ and $b(t)$ as white noise ...
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1answer
132 views

moving average rounding error analysis

I have implemented a moving average, similar to the Hogenauer Filter, with a reduced number of computation operations. I expect the expected error to behave as the random walk and its STD to be of ...
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0answers
47 views

How to characterize the randomness of an event using it's PSD?

I have the power spectral density function of a stochastic phenomenon. how can I generate a signal (time series) representing the randomness of this event over time? How can I draw the probability ...
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1answer
125 views

Proving the upper bound of cross correlation

I am reading about cross-correlation from this document and equation (5) states that The maximum value of the crosscorrelation is not always when the shift equals zero; however, we can prove the ...
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0answers
26 views

Signifance of statistical information in a signal

I am learning control engineering for some time and I work with a lot of transfer functions and frequency domain design. Reading from textbook, to me everything seems deterministic. Whenever I come ...
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1answer
58 views

Conceptual Questions on Colored Noise Process

I am having a tough time finding answers to some specific questions and finding references where there is information regarding Brownian noise or Red Noise. I'm referring to white and colored noises ...
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3answers
453 views

Is white noise WSS by nature or not?

I want to know what is the difference between white noise and WSS white noise. is there any difference between them or they're equal? and what about white Gaussian Noise?
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1answer
77 views

Wide sense stationary that is not strict sense stationary? [duplicate]

A "wide-sense stationary process" (WSS) means that its mean is a constant, and its auto-correlation is time-invariant, that is: $$\begin{aligned}E[x(t)] &= c \\ R_X(t_1, t_2) &= R_X(...
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2answers
223 views

WSS vs SSS vs ergodic

Is this the correct "venn diagram" that related WSS, SSS, and Ergodic process types? $$\text{all process types}\begin{cases}\text{WSS} \begin{cases}SSS \begin{cases}\text{ergodic} \\ \text{...
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2answers
68 views

Practical implementation of Expected Value?

If i compute the average power of my input signal random variable $X(t)$ as $$R = E[X^2(t)]$$ i.e. as the expected value of a random process, is this really just an estimate of average power? More ...
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1answer
68 views

Stationarity, discrete-translation operator, and the power spectral density matrix

Let $\mathbf{T}$ be the translation operator/matrix in discrete-time domain which can be written as $\mathbf{T} = \mathbf{\Phi} \mathbf{P} \mathbf{\Phi}^*$ where $\mathbf{P} = \exp(-i Diag([w_0, w_1, \...
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1answer
45 views

Complex gaussian random variable [closed]

In my work i need to generate circularly symmetric complex gaussian random variables with non zero mean and certain variance in matlab. I know the command for generating in case of zero mean , but ...
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3answers
450 views

Autocorrelation function and correlation integral

I am confused by the definition of autocorrelation function. It is originally defined as the expected value $$R_{XX}(\tau) = E[(X(t)X(t+\tau)] = \langle X(t)X(t+\tau)\rangle\tag{1}$$ where $\langle\...
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1answer
146 views

Processes: Orthogonal, Uncorrelated, Statistically Independent

How are they all related? You can define them as: Orthogonal Processes: $E[XY] = 0$ Uncorrelated Processes: $E[XY] = E[(X - \mu_x)(Y - \mu_y)] = 0$ Statistically Independent Processes: $E[XY] = E[X] \...
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2answers
40 views

Filter Percentage Uniform Noise from a DC-signal?

I'm not good with signal processing but i've looked around and have got no clue how to approach this. My Question is, If there is a Static value present - that is being corrupted by percentage ...
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24 views

Proving that this process is weakly-stationary [duplicate]

Let $X(t) = Acos(2\pi f_c t)$ be a random process where $A$ is a uniform random variable within $(-1,1)$. I'm trying to prove this is a weakly(i.e. wide sense) stationary process. I need to show two ...
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83 views

Understanding white Gaussian noise variance

Referring to the bellow figure, assume the WGN has a constant PSD equal to N0. When filtered at $B_1 = 100 Hz$, the variance of the time domain noise is $σ_1^2$, and when filtered at $B_2 = 5 Hz$, the ...
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2answers
84 views

When deriving the power spectral density of stochastic processes, why does taking an expectation allow the $T\rightarrow\infty$ limit to be taken?

I am following the arguments presented in the paper AN-255 Power Spectra Estimation, from Texas Instruments, to learn how to derive the power spectral density for a stationary stochastic process, and ...
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1answer
161 views

Blind Estimation of Signal Parameter and Noise Variance

Let $y[n]= h*x[n] + w[n]$, where $h$ is an unknown but deterministic parameter, $x[n]$ is a BPSK random variable with equal probability of +1 and -1, $w[n]$ are i.i.d. Gaussian with zero mean and ...
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1answer
127 views

Power spectrum of uniform white noise

Given a white noise image $W_{i,j} \sim U[a,b]$ where each pixel is distributed uniformly in $[a,b]$, how would I go about computing its power spectral density? That is, I want to find $E[|\hat{W}_{i,...
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1answer
27 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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1answer
73 views

Cyclostationary signal intuition

Images show a discussion I picked up from a PhD thesis about a cyclostationary process and need help interpreting it. "In the time domain the upsampling process creates a signal whose distribution of ...
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1answer
63 views

How to create a wide-sense stationary time series with a frequency of 40 Hz?

I want to create a time series in MATLAB which has a peak frequency of 40 Hz but is also a wide-sense stationary random process. I then want to use power spectral density estimation to recover the ...
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1answer
30 views

question related to something in karlin and taylor stochastic processes one text

This question is essentially a question about something in Karlin and Taylor's Stochastic Processes One text in the spectral chapter. Since this is a DSP list, Karlin and Taylor may not be so popular ...
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1answer
40 views

Example of Entropy and Channel Capacity Computation

Can you help me on verifying if this computation of entropy is correct and on understanding its meaning? I am not sure of the result especially because it is equal to 0: it means that we cannot ...
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0answers
68 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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1answer
104 views

Autocorrelation for Stationary Signals

I'm having trouble grasping the autocorrelation function for stationary signals, both strict stationary and WSS. First for strict sense, we have $$\forall(\tau,t_1, \ldots, t_n) \in \mathbb{R} \land ...
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1answer
642 views

Integral over power spectral density

The wikipedia entry on PSD has one confusing line: Summation or integration of the spectral components yields the total power (for a physical process) or variance (in a statistical process) But ...
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0answers
23 views

Local noise intensity in an image

Noise can be assessed in uniform regions of an image, by subtracting a lowpass-filtered version of it. Then from the histogram of intensities, a global measure can be obtained (such as the average ...
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3answers
4k views

How can a signal be both periodic and random?

Do any examples of such signals exist where the signal is both periodic and random? Because as I see it, if a signal is periodic then the randomness kinda goes away because you know what the signal ...
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22 views

How to compute the energy of a NON-STATIONARY (transient) random discrete-time signal

When computing the energy of a NON-STATIONARY (transient) random discrete-time signal $x(n)$, does it make more sense to compute the energy as $ E=\sum_1^N{x^2(n)}$ over all the $N$ samples or does ...
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1answer
1k views

Autocorrelation of a uniform random process

i am currently learning the basics of signal processing. As you may know the definition of the autocorrelation is different if you look at a random process or for example a deterministic signal My ...
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1answer
148 views

Questions about the stability (and stationarity) of a system and state space representations

i'm pretty new to the topic and I'm trying to understand how to determine the stability of a process. I'm giving this discrete-time stochastic system: $$ \cases{ s_t = 2s_{t-2} + 3w_{t-2} \\ y_t = ...
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2answers
176 views

Cross-correlation of filtered random processes

I have a wide-sense-stationary (WSS) process $\{x(t)\}$ and two linear filters with impulse functions $h_1$ and $h_2$. Let $\delta(\omega)$ be the power spectrum of $\{x(t)\}$ and $$H_1:\omega\...
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1answer
734 views

PSD from autocorrelation in MATLAB

I am trying to simulate a simple stochastic process defined by the equation: \begin{equation} \frac{1}{v}\frac{db}{dt} +\Gamma_0 b= \sqrt{\sigma}R(t), \end{equation} where $R(t)$ is a zero-mean white ...
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2answers
146 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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69 views

Proof of weak stationary random process autocovariance always goes to zero?

Professor told me that if a random process is weak stationary, and it does not feature any periodic component, then its autocovariance always goes to zero. I can intuitively understand it, however, ...
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1answer
102 views

Question regarding AC power of ergodic process

We know Ergodic process is the subset of Weakly stationary process which permits us to substitute time average for ensemble Average My teacher said If $X(t)$ is Ergodic random process then following ...