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Home (https://www.brainkart.com) | Engineering (https://www.brainkart.com) | Probability and Random Processes - MA8451, MA6451
(https://www.brainkart.com/subject/Probability-and-Random-Processes_91/) | Correlation and Spectral Density
Study Material, Lecturing Notes, Assignment, Reference, Wiki description explanation, brief detail
Introduction
Introduction
The power spectrum of a time series x(t) describes how the variance of the data x(t) is distributed over the frequency
components into which x(t) may be decomposed. This distribution of the variance may be described either by a measure µ or
by a statistical cumulative distribution function S(f) = the power contributed by frequencies from 0 upto f. Given a band of
frequencies [a, b) the amount of variance contributed to x(t) by frequencies lying within the interval [a,b) is given by S(b) -
S(a). Then S is called the spectral distribution function of x.
The spectral density at a frequency f gives the rate of variance contributed by frequencies in the immediate
neighbourhood of f to the variance of x per unit frequency.
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Putting t1 = t2 = t in (1)
PROPERTY: 1
The mean square value of the Random process may be obtained from the auto correlation function.
RXX(τ), by putting τ = 0.
PROPERTY: 2
PROPERTY: 3
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PROPERTY: 4
PROPERTY: 5
The auto correlation function of a random process cannot have an arbitrary shape.
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Example : 3
Express the autocorrelation function of the process {X'(t)} in terms of the auto correlation function of process {X(t)}
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2 CORRELATION COEFFICIENT
3 CROSS CORRELATION
Cross correlation between the two random process {X(t)} and {Y(t)} is defined as RXY (t1, t2) = E[X(t1) Y(t2)] where
X(t1) Y(t2) are random variables.
4 CROSS COVARIANCE
Let {X(t)} and {Y(t)} be any two random process. Then the cross covariance is defined as
Let {X(t)} and {Y(t)} be two random. Then the cross correlation between them is also defined as
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PROPERTY : 1
PROPERTY : 2
PROPERTY : 3
Example:4.4.1
Two random process {X(t)} and {Y(t)} are given by X(t) = A cos (ωt+θ), Y(t) = A sin (ωt + θ) where A and ω are
constants and 'θ' is a uniform random variable over 0 to 2π. Find the cross correlation function.
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Definition
The average power P(T) of x(t) over the interval (-T, T) is given by
Definition
The average power PXX for the random process {X(t)} is given by
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If {X(t)} is a stationary process (either in the strict sense or wide sense) with auto correlation function RXX(τ), then the
Fourier transform of RXX(τ) is called the power spectral density function of {X(t)} and is denoted by SXX(ω) or S(ω) or
SX(ω).
Property 1:
The value of the spectral density function at zero frequency is equal to the total area under the group of the auto correlation
function.
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WORKEDOUT EXAMPLES
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Example : 3
Express the autocorrelation function of the process {X'(t)} in terms of the auto correlation function of process {X(t)}
Solution
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