# Questions tagged [random-process]

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### Difference in following random proccess

Let just say I understand the first process that is white noise, Process 1: If $x(n)$ is a Gaussian random variable and a process is formed from a sequence of $x(n)$ and all random variables are ...
975 views

### Calculation of an autocorrelation function

A sample of a random process is given as: $$x(t) = A\cos(2\pi f_0t) + Bw(t)$$ where $w(t)$ is a white noise process with $0$ mean and a power spectral density of $\frac{N_0}{2}$, and $f_0$, $A$ ...
190 views

### Auto correlation definition

My question has to do with the definition of auto correlation/cross-correlation for random processes. Oppenheim/Schafer (Discrete time Signal Processing, Pg. 815 (Appendix A.2),2nd ed.) define auto ...
178 views

### Ergodicity of joint process

If we have two processes and both of them are ergodic. Does this mean that the joint proces is ergodic? Or other way around? If we have the dynamics for both components of the joint process what are ...
122 views

### This is an expression for the computation of kurtosis.

However, I don't understand what the subscript '4x' or the parameter (0,0) stand for. Could anyone explain ?
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 ...
351 views

### explanation of correlation of stationary stochastic processes

I have some doubts about correlation in stationary stochastic processes. I know that the expectation of a random variable is E(x)=\int_{-\infty}^{+\infty} a f_x(...
3k views

### Deterministic / Non-deterministic Stochastic Process

Problem 6.1-6 of Probability, Random Variables, and Random Signal Principles, 4th Edition by Peebles asks If a process is defined by $X(t) = A$, where $A$ is a continuous random variable uniformly ...
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### What are the statistics of the discrete Fourier transform of white Gaussian noise?

Consider a white Gaussian noise signal $x \left( t \right)$. If we sample this signal and compute the discrete Fourier transform, what are the statistics of the resulting Fourier amplitudes?
386 views

### Power Spectrum: Definition

I am new to the study of time series. Recently I have asked a question about the covariance of real and imaginary part of a real(in time domain) stochastic time series and I have received an answer ...
106 views

### What is SNR of Signal with Additive White Gaussian Noise [duplicate]

Calculating the power of AWGN should be equal to infinity as PSD is constant and its integration is infinity over all frequencies. Hence for any signal with finite power mixed with AWGN, SNR should ...
759 views

63k views

### Variance of White Gaussian Noise

It could seem an easy question and without any doubts it is but I'm trying to calculate the variance of white Gaussian noise without any result. The power spectral density (PSD) of additive white ...
248 views

### Gauss Markov Process

I am trying to generate a random signal that represents a gyroscope drift. I know the Allan Variance characteristics of the signal (ARW, RRW, Bias Instability and Cluster Time for for Bias Instability)...