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# 1.Find and sketch the autocorrelation function of a square wave.

## <ans> The autocorrelation function in time domain average is

R x ( ) =

1 T
x(t ) x(t + )dt
T 0

where T is the period of the square wave and is the time shift.
X(t+)

X(t)
a

a
t

-a

T/2

t
-a

T/2

## And we let x(t) & x(t+) be

Then we can find that x(t)x(t+) will be
X(t)X(t+)
a2
t
T/2

-a2

## Therefore, the autocorrelation function of the square wave would

R x ( ) =

1
T
a2
[2 ( ) a 2 2 a 2 ] =
(T 4 )
T
2
T

( 0T/2 )

be
where a is the amplitude of x(t).

R x ( ) =

a2
T
a2
[T 4( )] =
(4 3T )
T
2
T

(T/2T )

Rx()
a2

T/2
-a

T/4

## 2.Characterize the properties of Gaussian white process.

<ans>
A Gaussian process undergoes a linear transformation, then the
output will still be a Gaussian process. A white process is a fully
stochastic process. It means that white process is hundred-percent
unpredictable!! In other words, you would need infinite past data for
prediction and the prediction time interval run to zero. Its correlation
function is almost a delta function (see the figure). We see that, although
useful, the white Gaussian process is a mathematical fiction. It never
occurs for real world.
R()

## 3. What is a data engineering problem?

<ans>
The data engineering is data communication and control between
physical world and human being. A engineering problem is design
problem, it should be originated from needs, and decisionmaking by
trading off, (ie. The performance for data information and cost for data
collection.) Finally, the data constraint by finite length, finite sampling
rate, finite dimension, and finite bandwidth.

## 4. Describe and plot a general structure and procedure of stochastic

dynamic data processing.
<ans>
Signal
source

Sensor /
Transduce

Sampling
& hold

analog signal

digital
controller

discrete signal

Algorithm

Information
display

## where the signal source is a continuous dynamic process. In the

data space, the signal is a discrete time series. And we will display the
information after some algorithm in time domain, frequency domain and
amplitude domain.

## 5. Describe the differences between weak sense stationary and strong

sense stationary process.
<ans> *weak (physical) sense stationary process
~ usually, the mean value(1st moment) is a constant and the
autocorrelation function is
dependent only on the time displacement . In other words,
x(t1) and Rx(t1, t1+) do
not vary as time t1 vary. That is, x(t1) =x and Rx(t1, t1+) =
Rx(). Where the
mean valuex(t1) and the autocorrelation function Rx(t1, t1+)
1
N N

x (t j ) = lim

x (t
i =1

1
N N

R x (t j , t j + ) = lim

x (t
i =1

) xi (t j + )

are given by
*strong (math.) sense stationary process
~ all possible moments( include higher-order moments ) and the
autocorrelation function are
time invariant.

6. If the signal Xs and carrier Xc are described below. Find and plot the
spectrum of Xs(t)Xc(t).
<ans> From the spectrum , we can obtain that Xs(t) = As cos(2wst) and
Xc(t) = Ac cos(wct).
Consequently,
Xs(t)Xc(t) = As cos(2wst)Ac cos(wct)
= AsAc[cos(2wst) Ac cos(wct)]
=

AsAc
[cos 2 ( ws + wc )t + cos 2 ( ws wc )t ]
2

Amplitude

AsAc
2
Phase

ws-wc

ws+w

Frequency

ws-wc

ws+w

Frequency

Xs(t)Xc(t) - spectrum

## 7. Use a mean estimator to illustrate the meaning of ensemble average.

<ans> ensemble average ~ At any instant time, compute average values
over the collection of sample
functions that describe the random process. Let us take the
sample mean value (first moment)
for example. The estimation of sample mean is
x (t j ) =

1
M

x (t
i =1

## where M is the numbers of sample.

samples (x1, x2,,xM) at fixed
time (tj).

<ans>
Dynamic data

Deterministic

Periodic

Sinusoidal

Chaotic

Transient

Complex periodic

Stochastic

Stationary

Ergodic

Quasistation

Nonergoric

Nonstationary
Special
classifications
of
nonstationary

## deterministic ~ those data can be described by an explicit

mathematical relationship.
sinusoidal ~ the data are those types of periodic data which can be
defined mathematically by a
time-varying function as a sine wave.
complex periodic ~ those types of periodic data which can be
defined mathematically by a timevarying function whose waveform exactly repeats itself
at regular intervals such
that x(t)=x(tnT)
where n=1,2,
stochastic ~ cannot be described by an explicit mathematical
relationship and each observation
of the phenomenon will be unique.
stationary ~ statistical information obtained by estimators are
invariant with respect to time.
ergodic ~ the random process is stationary and the mean value and
the autocorrelation function
do not differ when computed over different sample
functions.

## 9. Give physical meaning with illustration of the autocorrelation function

in stochastic data.
<ans> the autocorrelation function is a correlation between the values of
the random process at two
different times and can be computed by taking the ensemble
average of the product of
instantaneous values at two times.
the correlation function Rx() of signal may be estimated from
equation as follow
R x (t j , t j + ) =

1 T
x(t ) x(t + )dt
T 0

or
R x (t j , t j + ) = lim
n

1
N

x (t
i =1

)xi (t j + )

## : time lag (shift)

N : numbers of sample
x(t) : random data
T : periodic
The physical meaning is the inherent dynamic behavior
( regression ) of a process.