Questions tagged [stochastic]

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32 views

Test for Equivalence of two time series

I wish to test whether two time series are equal. So I believe best way to define equivalence is that given two time series, say $\{x1_t\}$ and $\{x2_t\}$, we show that both the series come from the ...
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2answers
59 views

Intuition about independent signals

Given is this Wiener filter: From this we take \begin{equation} x[k]-a x[k-1]=v[k] \end{equation} $v(k)$ is assumed to be a white gaussian noise. In the textbook it is then stated that The ...
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1answer
40 views

Second moment ergodicity of gaussian random process

How can I prove that a WSS Gaussian stochastic process with mean 0 is mean-square ergodic in the second moment if and only if: $$\lim_{n \to \infty} \frac{1}{n}\sum_{k=0}^n r_{xx}^2(k) = 0$$ When $...
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The mean value of phase noise as a stochastic process

What is the mean value of phase noise as a stochastic process? Where can I get a theoretical analysis of this topic? PS: PLL produces cos(2*πfct+φ(t)). The phase noise refers to φ(t). The mean value ...
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1answer
66 views

ADC and Matched Filtering

A basic theorem in communications is the matched filter maximizes the SNR at sampling. I'm a little confused on how this relates to discrete time systems and sampling rate. Normally if you sample at ...
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2answers
39 views

Physical meaning of average values of random signals

This question might be a bit stupid, anyway, i'll risk it, since i want to get better understanding of this subject. Let's consider random signal x(t), and let's say that we know that it is ergodic ...
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35 views

Autocorrelation function and product of summations

Let $u[k]$ be a white gaussian noise with variance $\sigma^2$ and $y[k]=\sum\limits_{i=0}^q b_i u[k-i]$, that is a moving average model. I am trying to compute the autocorrelation function of $y[k]$: ...
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1answer
77 views

Higher-order moment of output of LTI system

Assume a very simple LTI system. Assume $x$ is white Gaussian i.i.d. with variance $\sigma^2$. The output variance is straightforward to obtain. For example, for a continuous-time system: $$\mbox{...
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1answer
48 views

When a stochastic process would be a beneficial model in terms of noise

Let's say we have an image/signal with some noise in it. When would it be beneficial to model the signal as an outcome of a stochastic process? More specifically: How significant would noise have to ...
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1answer
65 views

Relationship between the autocorrelations of X(t) and X(nt)

Defining: $X(t)$ WSS random process with autocorrelation function $R_{X}(\tau) = \mathbb{E}[X(t)X(t+\tau)]$. $Y[n] = X(nT)$ (sampling of $X$ at a rate $\frac1T$) with autocorrelation function $R_Y(\...
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1answer
48 views

Are there any signals with brickwall autocorrelation?

Are there any signals whose autocorrelation $R(\tau)$ has the following form? Assuming $\tau_c > 0$ and $R_0 > 0$ a constant, $$R(\tau) = \begin{cases}R_0, \text{ for $|\tau| < \tau_c$} \\ 0,...
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14 views

Rate distortion function for a Gaussian process with a squared exponential kernel

This is probably a question whose answer should be available in some paper or textbook, but my searching for it hasn't helped me find a result that I could use. The question is basically just what ...
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1answer
770 views

Autocorrelation: numpy versus FFT

I have a series a of values (0 and 1) coming from a Brownian process with drift for which I am studying the autocorrelation. I used two methods: 1) numpy autocorrelation: ...
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2answers
143 views

Band-limited random signal with arbitrary distribution?

I'd like to generate a random discrete-time signal that is band-limited to some bandwidth B (by means of a digital filter, ie in MATLAB). The catch is that I'd like this signal to have an arbitrary ...
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2answers
54 views

expected value of two LTI output signals multiplied (cross correlation)

I have an input signal x (assumed to be iid Gaussian with $\mu=0$, $\sigma^2$) which is fed into two linear systems: $y_1 = h_1 * x$ $y_2 = h_2 * x$ Now I would like to calculate $\mathbb{E}[y_1 y_2]...
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24 views

Is it safe to call this WSSUS channel a Gaussian process?

BACKGROUND: Equation (3.6) of Wireless Communications by Goldsmith gives the baseband impulse response of a time-varying channel as: $$ c(\tau,t) = \sum_{n=0}^{N(t)}\alpha_n(t)e^{-j\phi_n(t)}\delta(\...
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1answer
294 views

What is an “innovation filter”?

I'm a math postgrad student working through a paper on eigenvalue decompositions of matrices of FIR filters (used for stuff like total decorrelation, convolutive mixing, MIMO). Towards the beginning, ...
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1answer
44 views

Null autocorrelation function and stationary

I can show that a process $X(t)$ is Wide Sense stationary (WSS) by showing that $E[X(t)]$ is constant and that its autocorrelation function is in function of $\tau=t_1-t_2$, that is, $R_X(t+\tau,t)=...
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365 views

Ornstein Uhlenbeck with drift

The Ornstein-Uhlenbeck (OU) process $dX_t = -\frac{1}{\mu} X_t + \sqrt{\frac{2\sigma^2}{\mu}} dW_t $ generates coloured noise with autocorrelation function $R(t) = \langle X_t,X_{t'}\rangle = \...
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1answer
330 views

Mean Square Continuity of Random Process

Show that a stochastic process $X(t)$ is mean square continuous if and only if its autocorrelation function $R_X(t_1,t_2)$ is continous $\Rightarrow$ Proof: We have $E[(X(t)-X(t_0))^2]=R_X(t,t)-R_X(...
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2answers
245 views

Applications of Power Spectral Density [closed]

I have a class covering Power Spectral Density but I have no idea why it matters. Could someone provide some examples of its use? Thanks
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2answers
295 views

Why look at power spectral density for stochastic processes?

I have been told that for deterministic signals, it makes sense to look at their respective Fourier transforms/spectra. For stochastic processes on the other hand, I am supposed to work with power ...
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1answer
131 views

Approximating a Gaussian Process

Suppose that $\theta_t$ is an exogenous variable with known Gaussian process. Next, suppose that for any index $i\in [0,1]$, $$ a_{i,t} = (1-\beta)\mathbb E[\theta_t|\mathcal I_{i,t}]+\beta \mathbb E[...
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1answer
122 views

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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0answers
60 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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1answer
440 views

What is the difference between the PSD of a deterministic and stochastic signal?

I am learning about stochastic processes and I don't get one thing: What is the advantage of calculating the PSD of a signal using the Wiener-Khinchin theorem $\Phi(\omega) =\mathcal{F}\{R_{xx}\}$ ...
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1answer
890 views

Power Spectral Density of Brownian Motion despite non-stationary

Note: I originally asked this on Physics Stack Exchange but haven't attracted any interest there so I'm asking here where it may be more relevant. A white noise process, $\xi(t)$ with delta ...
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1answer
615 views

Covariance matrix, Q, for a Kalman filter given the stochastic differential equation for the state of the system?

Given that I have a stochastic differential equation describing the motion of my system like so: $$ \ddot{x}(t) + \Omega_0^2x(t) - C\dfrac{dW(t)}{dt} = 0$$ Where $\Omega_0$ and $C$ are constants. I ...
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1answer
1k views

How to generate colored Gaussian noise and adding it to a ODE system - Do I need Euler-Maruyama method?

In the tutorial, when white noise process is added to ordinary differential equations (ODE), the ODE becomes a stochastic process. Then the stochastic process needs to be solved using Euler Maruyama ...
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1answer
181 views

What is stochastic differential equation and its need?

A white noise process can be simulated using the Matlab command randn(). The numbers will be drawn from a Normal distribution of zero mean and variance 1. Is the ...
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1answer
127 views

Response of Linear System to Stochastic Process

Somehow I am getting the variance{u(n)} equal to '0' !! This is the case when I take the coefficient 'a' as real. As it is not mentioned in the question I need to find the solution to this question ...
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1answer
188 views

PDF of a Shifted Rectangular Pulse

I wanted to determine the PDF of a Stochastic Process. I am familiar with the concept of PDF for a Random Variable which maps the outcomes to its probabilities but I am not able to find the PDF of a ...
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1answer
565 views

Average Power Spectral Density of PAM signals

I am reading through the PAM transmission scheme and about the power spectral density of the signals. Given that the Average Power Spectral Density of PAM Signals is: $$ \Phi_{ss}(f)=\Phi_{aa}\left(e^...
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1answer
1k views

Autocorrelation and Power Spectral Density (Discrete)

The Autocorrelation, $\phi_{aa}[\kappa]$, of a discrete time random process, $a[k]$, is defined as: $$ \phi_{aa}[\kappa] = \mathrm{E}\left\{ a[k+\kappa]a^*[k] \right\} $$ Taking its fourier ...
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2answers
60 views

Stochastic approximation algorithm

The goal is to find the FIR filter coefficients $\mathbf{h} = [5;3]$ with the help of the adaptive FIR filter $\mathbf{w}$ of order $p = 2$. I have implemented the Stochastic approximation algorithm ...
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2answers
432 views

Understanding the definition of mean/autocorrelation

I was studying about the definitions of mean, expected value and autocorrelation. I wanted to verify my understanding the evaluation of mean, expected value and autocorrelation. At the same time to ...
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1answer
136 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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3answers
245 views

What really means stochastic in field of signal processing

I met two definitions of word stochastic, the first one (cited from wikipedia Stochastic) The word stochastic is an adjective in English that describes something that was randomly determined The ...
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1answer
177 views

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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1answer
458 views

How to treat noise (in the acceleration) in a Kalman filter when tracking position?

I have an equation of motion for which I am wanting to track the position. The equation looks like this: $$\ddot{x}(t) = -a\dot{x}(t) - bx(t) + F(t)$$ where $F(t)$ is an external Stochastic force ...
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2answers
358 views

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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2answers
1k views

What's the meaning of ergodicity?

I just read the topic about Ergodicity but I have ambiguity about its meaning (by intuition). What does mean: (for mean) Statistical average = Time average. Could you please explain it in detail. ...
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1answer
107 views

Analyzing fluctuations within the Signal

I am trying to figure out how to analyze the signal shown below. It shows the fluctuation of number of review in for a product in Amazon, where positive means addition number of review while negative ...
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1answer
349 views

What does the frequency axis of a Power Spectral Density mean?

I have never really understood what the frequency axis meant when we plot the Power Spectral Density(PSD). Does it correspond to frequency as we get after we take the Fourier Transform of a time ...
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1answer
75 views

Is there any computational method to prove whether a series is stationary or not?

I have a discrete series $x[n]$. It is extracted from real life and I do not have probability distribution of each value $x[n]$. Is there any computational method to prove whether the series is ...
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1answer
145 views

Output of lowpass filter with damped sine wave input

The random process $$Y(t)=\cos(\omega_0t)\cos(\omega_0t+\pi N(t))$$where $N(t)$ is a Poisson process of parameter $\lambda$ enters a lowpass filter with transfer function $$H(j\omega) = \left\{ \...
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2answers
135 views

If noise is your signal, what is your noise?

Consider the following contrived situation. Imagine a Gaussian white noise process $x[t]$, with bandwidth $Δf$, with PSD equal to some quantity $A$ which you would like to measure. So the way to ...
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2answers
11k views

generating white gaussian noise in matlab using two different functions

I want to know the difference between the two Gaussian noises generated below? Which one is white and how can i make the other one white? y=wgn(1,10000,0) and <...
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1answer
149 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 ...