Questions tagged [stationary]
The stationary tag has no usage guidance.
69
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Limiting value of autocorrelation of wide-sense stationary process
Let random process $X$ is wide-sense stationary process. Where could I find the source or verification of the statement that, when the limiting value of autocorrelation $\lim_{\tau\rightarrow\infty}...
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White noise does not contradicts Wide Sense Stationarity?
I am studying White Noise. But I am really beginner level, so I have a confusion with its construction.
White Noise is usually defined as a Wide Sense Stationary process $N=\{N_t\}_{t\in T}$ (for $T$ ...
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Why is Power spectral density of random walk noise defined despite it being non-stationary? [duplicate]
While reading up on oscillator stability, I noticed that authors characterize random walk noise (Brownian noise) as having a PSD of $S_y(f) = h_{-2} f^{-2} $ where $h_{-2}$ is some constant. This is ...
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How to filter out noise from non-stationary signal
I have this non-stationary signal.
the mean is roughly constant but the second moment (autocorrelation) does not depend only on the time lag $tau$.
Correct me if I am wrong in the above statement.
...
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When is the Correlation Coefficient Ergodic
Given Wide Sense Stationary (WSS) processes X and Y that are ergodic to the mean and autocovariance. Under what conditions is the correlation coefficient ergodic to the mean? ie: $lim_{T->\infty} \...
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How to find the output mean and autocorrelation of a non-linear system
I need help with this question. I am sure this is the right StackExchange forum for this type of question.
Consider a nonlinear device such that the output is $Y(t) = aX^2(t)$, where the input X(t) ...
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184
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Wiener filtering/deconvolution for non-stationary noise
Consider a stationary discrete-time random process $x[k]$ which undergoes low pass filtering by a filter with impulse response $h[k]$ and is subject to additive, temporally uncorrelated noise $n[k]$ ...
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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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379
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Understanding kurtogram parameters
I am about to understand a kurtogram, and don't understand what means the value of "K" (presented in table 1),or especially why takes values of 1.6 ; 2.6 ; 3.6 etc.
Other question is how do ...
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Relationship between wide sense cyclostationary process and jointly wide sense stationary processes
https://faculty.engineering.ucdavis.edu/gardner/wp-content/uploads/sites/146/2014/05/Cyclostationarity_Half_a_century_of_research.pdf
According to the paper above (page 654~655), a CT wide sense ...
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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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Separating/recovering base signal from two mixed signals, given phase information
I have collected two signals, $B_1(x)$ and $B_2(x)$. The signals start and end at the same $x$-values. Each signal $B_i(x)$ contains:
a base signal $b(x)$, which is the same for both, and
a signal, ...
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68
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ARMA Filter Output Stationary and set up?
I have questions regarding ARMA Filters.
Is the output of a ARMA Filter stationary or just wide sense stationary?
I do know that you can obtain an ARMA filter by connecting an MA filter with an AR ...
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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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Downsampling, shifting, high pass and low pass filter commutativity
strong textI have been reading "The Stationary Wavelet Transform and some Statistical Applications" by Nason and Silverman, and there is a claim in the their paper of which I cannot convince myself.
...
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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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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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Build an inverse model for a train of gaussian pulses
I have a stationary signal from a train of Gaussian pulses.
My sampling window is too wide (cannot be reduced). In the example 1 ms. So it is not possible to clearly distinguish one pulse from another....
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231
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How to create a synthetic time series where power spectral density estimation is achieves better results than a direct Fourier transform?
I am trying to create a synthetic time series where PSD estimation is necessary and useful to recover the correct spectral information of the time series. But so far I can only create a time series ...
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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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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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System memory, causality, stability
im new into systems and im supposed to solve if the system has memory, us causal, linear, stationery, BIBO stable...The problem is i have never had experience with this type of system where the actual ...
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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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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:
$$
\cases{ s_t = 2s_{t-2} + 3w_{t-2} \\
y_t = ...
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326
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Energy definition for Autocorrelation lag 0 and lag 1 for complex signals
I am studying the role of an auto-correlation matrix for random signals and the difference of energy between a lag 0 and lag 1 matrix.
Consider a complex input signal $x(k)=[x1,x2]^T$ and $x(k-1)=[x0,...
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Any experiences for plotting a stationary wavelet transform?
I am experimenting with wavelets for my thesis and am currently working with the stationary WT pywavelets provides.
There are very nice plots for CWTs, but does anyone know a technique for producing ...
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Proof of weak stationary random process autocovariance always goes to zero?
Professor told me that if a random process is weak stationary, and it does not feature any periodic component, then its autocovariance always goes to zero.
I can intuitively understand it, however, ...
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Is a pulse of white noise still properly described as stationary?
I understand that a signal that is white noise is stationary (or more properly that the process generating it is stationary).
What if the white noise is delivered as a single pulse or a series of ...
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Radio Signal Stationarity
A radio signal recording of a wireless communication system (e.g: Wi-Fi traffic) is beaconized, channelized and subject to noise.
When working with such an RF signal, numerically transformed to a ...
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148
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How to find a variance of sample sequence
I have a sequence such as
$$r[n] = y[n]v[n]$$
$y[n]$ and $v[n]$ are zero-mean and statistically independent.
I need to find a variance of $r[n]$ and show that it is white and equal to $\sigma ^2_y\...
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Converting a non-stationary random process into a WSS process by adding a random phase
Here is an example where this method has been implemented.
We were trying to calculate the spectrum of a transmitted signal(Random signal/weighted pulse)
The auto correlation function of the pulse ...
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Decimator effect on wide sense stationary input
I've seen that the output of a decimator when a WSS process is passed through remains WSS. I am not able to immediately see why this is. What is a good explanation of why the signal maintains ...
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Fourier-Analysis of Stationary Random Signals
Let's say we have discrete-time stationary random signals with Gaussian PDF of mean value 0 and variance 1, whose individual signal values are uncorrelated.
For such a signal, how can we determine ...
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Conversion from stationarity to non-stationarity
Is there any way to convert a non-stationary signal to a stationary one, perform operations on it meant for a stationary signal and then convert it back to the non-stationary one?
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Why doesn't law of large numbers apply to this stationary time-series?
There's a paragraph in Wikipedia that states the following:
Let Y be any scalar random variable, and define a time-series $\{X_t\}$, by
$$X_{t}=Y\qquad {\text{ for all }}t$$
Then $\{X_t\}$ is a ...
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Why does it mean that the process/signal is not stationary when its variance varied with time? [closed]
Why does it mean that the process/signal is not stationary when its variance varied with time? that is,
$VAR[X(t)]= \alpha \times t$,$t$ is time,and $\alpha$ is a constant,then $X(t)$ is not the WSS ...
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Identifying whether or not a cyclostationary signal is noisy or not using the cyclic autocorrelation
I am trying to determine whether or not a given signal has been corrupted by Gaussian noise, either bandlimited (with a filter) or not. The signal in question is a BPSK or PAM signal that is upsampled ...
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Autocorrelation of Addition of Two Independent Signals
Given a random signal $ Z \left( t \right) $ which is addition of two independent signals $ X \left( t \right) $ and $ Y \left( t \right) $ with constant parameters $ a $ and $ b $:
$$ Z (t) = aX(t) + ...
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A wide sense stationary random process that is not second order stationary [duplicate]
I have been reading Peebles Probability, Random Variables, and Random Signal Principles and it claims that second-order stationarity is sufficient to guarantee:
$E[X(t)]$ is a constant
$R_{XX}(t1,t2) ...
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Doubt about wide sense stationary random process
I have white Gaussian noise $F[n]$ with zero mean and autocorrelation $R_F[n_1,n_2]=\delta[n_1-n_2]$.
If now I consider the random process defined as
$$X[n]=u[n]e^{-kn}F[n]$$ Is $X[n]$ a wide-ense ...
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What is the difference between Kalman filter algorithm and stationary Kalman filter algorithm?
I want to compute the stationary Kalman filter algorithm but I haven't found any information about that algorithm ( not even the pseudo code ) so, I wonder what is the difference between the Kalman ...
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Why is doing fft on a non-stationary signal a problem?
Why is it a problem to do frequency analysis on a non-stationary signal?
what makes the frequency interpretation incorrect?
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Auto-covariance of the product of deterministic and wide-sense stationary signal
Anybody give me an advice how to find the auto-covariance of the product of deterministic and wide-sense stationary signal. I couldn't find how to solve this, I have looked and searched the internet, ...
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Stationary signal: time-domain vs frequency domain
If I understand correctly, a signal is stationary if:
time domain: it's generated from the same distribution at each instant time.
frequency domain: its frequency content does not change in time.
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If the mean of a random process is constant, does it imply the process is first order stationary?
If a random process is first order stationary, its mean is constant. However, if a random process has a constant mean say $3$ and an autocorrelation equal to $9 + 15e^{|-\tau|}$. The process is ...
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LTI filtering for wide-sense stationary process
Why is it that if $U[n]$ is wide-sense stationary and it is convolved with $h[n]$ to produce $W[n]$, the autocorrelation becomes $R_{WW}[n] = R_{UU}[n]*h[n]*h[-n]$?
I know that in general $R_{WW}[n_{...
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Why is $A\cos(2\pi f_ct)$ a non-stationary process?
I am studying analog communication and having Communication system - Simon Hykin as one of the reference.
There is a question
Consider the sinusoidal process$$X(t) = A\cos(2\pi f_ct)$$where the ...
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Is there any method/algorithm to estimate the magnitude of non-stationarity in a signal?
e.g. the global Lyapunov exponent can give sense of the level of chaos in the signal. Is there any reliable numerical technique to estimate "how" non-stationary (or how predictable) a signal is?
Also, ...
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Cross-correlation or cross-covariance of non-zero mean signals
Cross-correlation for uniformly sampled signals is defined as [1]
$$(f \star g)[n]\ \stackrel{\mathrm{def}}{=} \sum_{m=-\infty}^{\infty} f^*[m]\ g[m+n].$$
Cross-covariance for wide-sense stationary (...
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Testing for changes in auto-covariance
I am working with uniformly-spaced time series data where I am interested in knowing whether there are changes in temporal auto-covariance. The mean can be assumed constant. Visually, there are no ...
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