Can a stochastic process has time dependent mean and time independent autocorrelation?what is the autocorrelation of the process through a LTI system?
Clash Royale CLAN TAG#URR8PPP
up vote
0
down vote
favorite
I have this process:
$$X(t)=Acos(2pi f_0t+Phi)ast operatornamerectleft[fract-T/4T/2right]$$
where:
- $A$ and $Phi$ are uniform random variable in $[0,pi]$ statistically independent
- $ast$ is the convolution
I've found the mean and correlation of the process $B(t)=Acos(2pi f_0t+Phi)$:
$$E[X(t)]=E[A]E[cos(2pi f_0t+Phi)]=int_0^pifrac1pia,daint_0^pifrac1picos(2pi f_0t+phi)dphi=-sin(2pi f_0t)$$
so the mean is time dependent and then not WSS.
The autocorrelation is:
$$R_B(t_1,t_2)=E[Acos(2pi f_0t_1+Phi)Acos(2pi f_0t_2+Phi)]=E[A^2(cos(2pi f_0(t_1-t_2)+cos(2pi f_0(t_1+t_2)+2Phi)]=E[A^2]cos(2pi f_0(t_1-t_2)$$
where $E[cos(2pi f_0(t_1+t_2)+2Phi)] = 0$ since $2Phi$ is uniform in $[0,2pi]$.
So the autocorrelation is time independent and depend only from the delay $t_1-t_2$ but sounds strange and I think I've done some error in the calculus but I don't know where. So can a process hs time dependent mean and time independent autocorrelation?. And from this if the calculus are right, the mean of $X(t)$ I know is $E[X(t)]=h(t)ast E[B(t)]$ but since the process has time independent autocorrelation can I calculate $R_X(t,t-tau)=R_X(tau)=R_B(t)ast R_h(t)$ as if $B(t)$ were a WSS process?
stochastic-processes convolution random correlation means
add a comment |Â
up vote
0
down vote
favorite
I have this process:
$$X(t)=Acos(2pi f_0t+Phi)ast operatornamerectleft[fract-T/4T/2right]$$
where:
- $A$ and $Phi$ are uniform random variable in $[0,pi]$ statistically independent
- $ast$ is the convolution
I've found the mean and correlation of the process $B(t)=Acos(2pi f_0t+Phi)$:
$$E[X(t)]=E[A]E[cos(2pi f_0t+Phi)]=int_0^pifrac1pia,daint_0^pifrac1picos(2pi f_0t+phi)dphi=-sin(2pi f_0t)$$
so the mean is time dependent and then not WSS.
The autocorrelation is:
$$R_B(t_1,t_2)=E[Acos(2pi f_0t_1+Phi)Acos(2pi f_0t_2+Phi)]=E[A^2(cos(2pi f_0(t_1-t_2)+cos(2pi f_0(t_1+t_2)+2Phi)]=E[A^2]cos(2pi f_0(t_1-t_2)$$
where $E[cos(2pi f_0(t_1+t_2)+2Phi)] = 0$ since $2Phi$ is uniform in $[0,2pi]$.
So the autocorrelation is time independent and depend only from the delay $t_1-t_2$ but sounds strange and I think I've done some error in the calculus but I don't know where. So can a process hs time dependent mean and time independent autocorrelation?. And from this if the calculus are right, the mean of $X(t)$ I know is $E[X(t)]=h(t)ast E[B(t)]$ but since the process has time independent autocorrelation can I calculate $R_X(t,t-tau)=R_X(tau)=R_B(t)ast R_h(t)$ as if $B(t)$ were a WSS process?
stochastic-processes convolution random correlation means
add a comment |Â
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I have this process:
$$X(t)=Acos(2pi f_0t+Phi)ast operatornamerectleft[fract-T/4T/2right]$$
where:
- $A$ and $Phi$ are uniform random variable in $[0,pi]$ statistically independent
- $ast$ is the convolution
I've found the mean and correlation of the process $B(t)=Acos(2pi f_0t+Phi)$:
$$E[X(t)]=E[A]E[cos(2pi f_0t+Phi)]=int_0^pifrac1pia,daint_0^pifrac1picos(2pi f_0t+phi)dphi=-sin(2pi f_0t)$$
so the mean is time dependent and then not WSS.
The autocorrelation is:
$$R_B(t_1,t_2)=E[Acos(2pi f_0t_1+Phi)Acos(2pi f_0t_2+Phi)]=E[A^2(cos(2pi f_0(t_1-t_2)+cos(2pi f_0(t_1+t_2)+2Phi)]=E[A^2]cos(2pi f_0(t_1-t_2)$$
where $E[cos(2pi f_0(t_1+t_2)+2Phi)] = 0$ since $2Phi$ is uniform in $[0,2pi]$.
So the autocorrelation is time independent and depend only from the delay $t_1-t_2$ but sounds strange and I think I've done some error in the calculus but I don't know where. So can a process hs time dependent mean and time independent autocorrelation?. And from this if the calculus are right, the mean of $X(t)$ I know is $E[X(t)]=h(t)ast E[B(t)]$ but since the process has time independent autocorrelation can I calculate $R_X(t,t-tau)=R_X(tau)=R_B(t)ast R_h(t)$ as if $B(t)$ were a WSS process?
stochastic-processes convolution random correlation means
I have this process:
$$X(t)=Acos(2pi f_0t+Phi)ast operatornamerectleft[fract-T/4T/2right]$$
where:
- $A$ and $Phi$ are uniform random variable in $[0,pi]$ statistically independent
- $ast$ is the convolution
I've found the mean and correlation of the process $B(t)=Acos(2pi f_0t+Phi)$:
$$E[X(t)]=E[A]E[cos(2pi f_0t+Phi)]=int_0^pifrac1pia,daint_0^pifrac1picos(2pi f_0t+phi)dphi=-sin(2pi f_0t)$$
so the mean is time dependent and then not WSS.
The autocorrelation is:
$$R_B(t_1,t_2)=E[Acos(2pi f_0t_1+Phi)Acos(2pi f_0t_2+Phi)]=E[A^2(cos(2pi f_0(t_1-t_2)+cos(2pi f_0(t_1+t_2)+2Phi)]=E[A^2]cos(2pi f_0(t_1-t_2)$$
where $E[cos(2pi f_0(t_1+t_2)+2Phi)] = 0$ since $2Phi$ is uniform in $[0,2pi]$.
So the autocorrelation is time independent and depend only from the delay $t_1-t_2$ but sounds strange and I think I've done some error in the calculus but I don't know where. So can a process hs time dependent mean and time independent autocorrelation?. And from this if the calculus are right, the mean of $X(t)$ I know is $E[X(t)]=h(t)ast E[B(t)]$ but since the process has time independent autocorrelation can I calculate $R_X(t,t-tau)=R_X(tau)=R_B(t)ast R_h(t)$ as if $B(t)$ were a WSS process?
stochastic-processes convolution random correlation means
edited Aug 20 at 9:39
Bernard
111k635103
111k635103
asked Aug 20 at 8:35
Andrea Bellizzi
1064
1064
add a comment |Â
add a comment |Â
active
oldest
votes
active
oldest
votes
active
oldest
votes
active
oldest
votes
active
oldest
votes
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
StackExchange.ready(
function ()
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f2888535%2fcan-a-stochastic-process-has-time-dependent-mean-and-time-independent-autocorrel%23new-answer', 'question_page');
);
Post as a guest
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password