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Random Process Through A Linear Filter: X (T) Y (T) H (T)
Random Process Through A Linear Filter: X (T) Y (T) H (T)
X(t) Y(t)
h(t)
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−∞ ≤ t ≤ +∞.
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• Estimate characteristics like mean and autocorrelation of the
output and try to analyse its behaviour.
• Mean The input to the above system X(t) is assumed
stationary. The mean of the output random process Y (t) can
be calculated
»Z +∞ –
mY (t) = E[Y (t)] = E h(τ )X(t − τ ) dτ
−∞
Z +∞
= h(τ )E[X(t − τ )] dτ
−∞
Z +∞
= h(τ )mX (t − τ ) dτ
−∞
Z +∞
= mX h(τ ) dτ
−∞
= mX H(0)
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where H(0) is the zero frequency response of the system.
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• Autocorrelation The autocorrelation function of the output
random process Y (t). By definition, we have
»Z +∞ Z +∞ –
RY (t, u) = E h(τ1 )X(t − τ1 ) dτ1 h(τ2 )X(t − τ2 ) dτ2
−∞ −∞
Z +∞ Z +∞
= h(τ1 ) dτ1 h(τ2 )E [X(t − τ1 )X(t − τ2 )] dτ2
−∞ −∞
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the difference between the observation times t − τ1 and
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u − τ2 .
– Putting τ = t − u, we get
Z +∞ Z +∞
RY (τ ) = h(τ1 )h(τ2 )RX (τ − τ1 + τ2 ) dτ1 dτ2
−∞ −∞
– Putting τ = τ2 − τ1
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2 1 Z +∞ Z +∞ Z +∞
E[Y (t)] = H(ω) dω h(τ2 ) exp(jωτ2 ) dτ2 RX (τ ) exp(−j2ωτ ) dτ
2π −∞ −∞ −∞
1 Z +∞ Z +∞ Z +∞
= H(ω) dω H ∗ (ω) dω RX (τ ) exp(−jωτ ) dτ
2π −∞ −∞ −∞
Z +∞
SX (ω) = RX (τ ) exp(−jωτ ) dτ
−∞
Z +∞
2 1
E[Y (t)] = |H(ω)|2 SX (ω) df
2π −∞
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