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Uncorrelated and Independent Increments: T X T X T T T T

The document discusses various types of stochastic processes. It defines processes with uncorrelated increments as those where the increments between any two time points are uncorrelated. The Poisson and Wiener processes are examples of processes with independent increments. It also defines cross-correlation and cross-covariance as measures of the relationship between two stochastic processes over time. Stationary processes are defined as those where the statistics of the process do not change over time. Strict-sense stationary processes have statistics that do not change when shifting the time origin, while wide-sense stationary processes have constant mean and autocorrelation that depends only on the time difference between points.

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Ahmed Alzaidi
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95 views3 pages

Uncorrelated and Independent Increments: T X T X T T T T

The document discusses various types of stochastic processes. It defines processes with uncorrelated increments as those where the increments between any two time points are uncorrelated. The Poisson and Wiener processes are examples of processes with independent increments. It also defines cross-correlation and cross-covariance as measures of the relationship between two stochastic processes over time. Stationary processes are defined as those where the statistics of the process do not change over time. Strict-sense stationary processes have statistics that do not change when shifting the time origin, while wide-sense stationary processes have constant mean and autocorrelation that depends only on the time difference between points.

Uploaded by

Ahmed Alzaidi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Uncorrelated and Independent Increments

If the increments X (t 2 ) − X (t1 ) and X (t 4 ) − X (t 3 ) of a process X (t ) are


uncorrelated (or independent) for any t1 < t 2 ≤ t 3 < t 4 , then X (t ) is a process with
uncorrelated (or independent) increments. The Poisson and the Wiener processes are
independent increment processes.

Cross-Correlation and Cross-Covariance

Given two stochastic processes X (t ) and Y (t ) , we define

R XY (t1 , t 2 ) = E{X (t1 )Y (t 2 )} = RYX (t 2 , t1 )

as their cross-correlation and

C XY (t1 , t 2 ) = E{[ X (t1 ) − η X (t1 )][Y (t 2 ) − η Y (t 2 )]} = R XY (t1 , t 2 ) − η X (t1 )η Y (t 2 )

as their cross-covariance.

Two processes are orthogonal if

R XY (t1 , t 2 ) = 0 for every t1 and t 2 .

They are uncorrelated if

C XY (t1 , t 2 ) = 0 for every t1 and t 2 .

Two processes are independent if the group of random variables X (t1 ) ,…, X (t n ) are
independent of the group Y (t1′ ) ,…, Y (t m′ ) for any t1 ,…, t n , t1′ ,…, t m′ , i.e.

f ( x1 ,..., x n , y1 ,..., y m ) = f ( x1 ,..., x n ) f ( y1 ,..., y m ) .

ME529 1 G. Ahmadi
Stationary Processes
Definition: Strict-Sense Stationary (SSS)

A random process X (t ) is SSS if its statistics are not affected by a shift in the
time origin. That is, the two processes X (t ) and X (t + τ ) have the same statistics.

A random process X (t ) is SSS if its n th order density satisfies the condition

f ( x1 ,..., x n , t1 ,..., t n ) = f ( x1 ,..., x n , t1 + τ ,..., t n + τ ) for any τ and any n .

In particular,

f ( x; t ) = f ( x; t + τ ) for any τ .

This implies that

f ( x; t ) = f ( x ) ,

that is, the first-order density is independent of time. Similarly, one finds

f ( x1 , x 2 ; t1 , t 2 ) = f ( x1 , x 2 ; t1 − t 2 ) .

Hence, it follows that

E{X (t )} = η = const ,

R (t1 , t 2 ) = E{X (t1 )X (t 2 )} = R (t1 − t 2 ) ,

{ }
E X 2 (t ) = σ 2 = const .

Definition: Two processes X (t ) and Y (t ) are jointly SSS if the joint statistics of X (t )
and Y (t ) are the same as those of X (t + τ ) and Y (t + τ ) . This implies that

f XY ( x, y; t1 , t 2 ) = f XY ( x, y, t1 − t 2 ) ,

and

E{X (t1 )Y (t 2 )} = R XY (t1 − t 2 ) .

ME529 2 G. Ahmadi
Definition: Wide-Sense Stationary (WSS)

A process X (t ) is WSS (or weakly stationary) if its mean is constant and its
autocorrelation depends only on τ = t1 − t 2 . i.e.,

E{X (t )} = η = const

E{X (t + τ )X (t )} = R(τ ) .

Definition: Two processes X (t ) and Y (t ) are jointly WSS (weakly stationary) if each
satisfy the conditions for WSS and their cross-correlation depends only on the time
difference. i.e.,

E{X (t + τ )Y (t )} = R XY (τ ) .

ME529 3 G. Ahmadi

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