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Index

A Absorbing state, 325 Aloha, slotted, 354357 Amplitude modulation (AM) analog system, 442446 Aperiodic Markov chain, 336337 a posteriori, 24 a priori, 24 Arcsine distribution, 102, 505506 Arrival rate, 306 Atomic outcomes, 1415 Autocorrelation function, 288290, 295297 properties, 300301 Autocovariance function, 290291 Autoregressive moving average (ARMA) process, 390, 418 Autoregressive (AR) process, 391 Average. See Expected values Axioms, 1114 B Backward Kolmogorov equations, 344 Bandlimited processes, 435440

Bandpass processes, 380, 436 Bandwidth, 380382 noise equivalent, 419421 Bayess theorem, 2225 Bernoulli, 8 Bernoulli random variables, 3132, 514 Best linear unbiased estimator (BLUE), 241 Beta, 506 Bilinear transformation, 472 Binary pseudorandom number generators, 458461 Binary symmetric channel (BSC), 198 Binomial random variables, 3233, 514 Birth-death processes, 303, 343354 Box-Muller transformation, 191192, 219, 465 Branching process, 328 C Cartesian space, 32 Cartesian-to-spherical coordinates, 225227 Cauchy random variables, 6970, 506

Cauchys residue theorem, 124 CDF. See Cumulative distribution function Center frequency, 436 Central limit theorem, 253258 Central moments, 91, 9498 Channel capacity, 197199 Channel coding, 199 Chapman-Kolmogorov equation, 329330, 343, 351 Characteristic functions, 91, 108114 central limit theorem and, 254255 joint, 178180, 187 Chebyshevs inequality, 121, 251 Chernoff bound, 122123 Chi-squared (x2 ) random variables, 6768, 507 Circular Gaussian density function, 194 Classical approach, 1517 Coefcient of kurtosis, 91, 9597 Coefcient of skewness, 91, 9597 Communication network, 56 computer, 354357

531

532

INDEX

Communication system analog, 442446 optical, 3538 simulation of coded digital, 481483 Complex envelopes, 440441 Complex random variables, 193195 Computer generation, 457 binary pseudorandom number generators, 458461 correlated, 465 nonbinary pseudorandom number generators, 461463 specied distribution, 463465 Conditional cumulative distribution function, 7177 joint, 159163, 207209 Conditional entropy, 195196 Conditional expected values, 9899 Conditional probabilities, 2022 Conditional probability density function, 7375 joint, 159163, 187, 207209 Condence intervals, 258262 Condence level, 258259 Consistent estimator, 249 Continuous amplitude signals, 277, 278 Continuous random variables, summary of, 505514 Continuous time linear system, 413417 Continuous time Markov processes, 342354 Continuous time signals, 277, 520521 Convergence modes, 249251 Coordinate systems in three dimensions, 225227 Correlated random variables, generation of, 465 Correlation between variables, 164165, 170 Correlation coefcient, 165166, 170

Correlation matrices, 210 Correlation method, 383 Counting processes, 303307 Covariance between variables, 165, 170 Covariance matrices, 210 Crosscorrelation function, 291 Cross spectral density, 379 Cumulative distribution function (CDF), 4853 applications, 7781 of Cauchy random variables, 6970 of chi-squared random variables, 6768 conditional, 7177 of Erlang random variables, 67 of exponential random variables, 6465 of gamma random variables, 6667 of Gaussian random variables, 5860 of IID random variables, 247249 joint, 148150, 187 of Laplace random variables, 6566 random processes and, 283291 of Rayleigh random variables, 68 of Rician random variables, 69 of uniform random variables, 6364 D Denite integrals, 520 Delta function, 372 DeMorgans laws, 489 Deterministic signals, 7 Differential PCM (DPCM), 228232 Diffusion equation, 352354 Digital modulation formats, 397403 Dirichlet conditions, 499 Discrete amplitude signals, 277, 278 Discrete Fourier transform (DFT), 369, 418, 501

Discrete random variables, summary of, 514515 Discrete time linear systems, 418419 Discrete time signals, 278 Distribution convergence in, 250251 heavy-tailed, 70 E Efcient estimator, 241 Entropy, 134138 conditional, 195196 Ergodic processes, 291300 Erlang random variables, 67, 507508 Error function, 59 Events, dened, 8 Excess phase, 437 Expectation. See Expected values Expected values, 8789 conditional, 9899 of functions of random variables, 9091 multiple, 209211 notations for, 88 other names for, 88 pairs, 163168 Experiments, dened, 8 Exponential random variables, 6465, 508 F F, 508509 Factorial moments, 115 Fading, Rayleigh random variables and, 68 Failure rate function, 7881 First moment. See Expected values Fokker-Planck equation, 352 Forward Kolmogorov equations, 344 Fourier series, 499 Fourier transforms, 108, 369370, 500, 521 Frequency domain techniques, 338, 466470 Fundamental frequency, 499

INDEX

533

G Galileo, 8 Gamblers Ruin problem, 326327, 332335 Games of chance, denitions, 89 Gamma random variables, 6667, 509 Gaussian density function, circular, 194 Gaussian random processes, 301303 Gaussian random variables, 5763, 509510 joint, 174178 multiple, 211215 quadratic transformations, 221223 Generating functions, 338 Genetic model, 329 Geometric random variables, 34, 515 Global balance equations, 344 H Half power bandwidth, 381 Harmonic, 499 Hermitian symmetry, 379, 491, 497 Homogeneous Markov process, 343 I Importance sampling, 479480 Impulse invariance transformation, 471 Indenite integrals, 518520 Independence, 2528 pairs, 168173 Independent and identically distributed (IID/I.I.D.) random variables, 239 applications, 265271 central limit theorem, 253258 condence intervals, 258262 convergence modes, 249251 estimating cumulative distribution function, 247249

estimating mean, 240245 estimating variance, 245247 law of large numbers, 251253 sums of, 263265 Inphase, 437 Inverse Fourier transform, 369 Irreducible Markov chain, 336 Irreducible matrix, 336 J Jacobian, 190, 216, 226 Joint characteristic function, 178180 Joint cumulative distribution functions, 148150, 207209 Joint Gaussian, 174178 Joint probabilities, 1822 Joint probability density functions, 151157, 207209 Joint probability generating function, 180182 Joint probability mass functions, 157159, 207209 K Kolmogorov equations, 344 Kurtosis, 95 coefcient of, 91, 9597 L Laplace, 8 Laplace random variables, 6566, 510 Laplace transforms, 523 Law of large numbers, 251253 Level of signicance, 259 Linear algebra, 491497 Linear feedback shift register (LFSR), 458461 Linear prediction dened, 392 of speech, 227232 Linear time invariant (LTI) system random processes application, 442446

bandlimited and narrowband processes, 435440 complex envelopes, 440441 continuous time, 413417 discrete time, 418419 matched lter, 423427 noise equivalent bandwidth, 419421 signal-to-noise ratios, 421423 Wiener lter, 427435 Linear transformations, 216221 Log-normal, 510511 Lowpass processes, 380, 435436 M Marcum Q-function, 69 Markov chains aperiodic, 336337 calculating transition and state probabilities, 329335 characterization of, 335342 dened, 324 irreducible, 336 mean time to rst return, 340341 null recurrent, 341 positive recurrent, 341 state diagrams, 325326 transient and recurrent, 339341 Markov processes applications, 354359 calculating transition and state probabilities, 329335 characterization of chains, 335342 continuous time, 342354 dened, 323 examples, 324329 homogeneous, 343 Markovs inequality, 120 Matched lter, 423427 Mathematical tables, 517524 MathWorks, Inc., 2 MATLAB, 2 amplitude modulation, 444446

534

INDEX

MATLAB (continued) autocorrelation function, 296297 condence intervals, 260262 convolution function, 296 cumulative distribution function of IID, 248249 erf and erfc functions, 62 frequency domain techniques, 468470 histograms, 56, 63, 71 joint probability density function, 157 mean, 246247, 253254, 287288 multiple Gaussian, 214215 pairs, 171173 periodogram estimate, 388390 probability mass function (PMF), 3031 pulse amplitude modulation (PAM), 402403, 426427 Q-function, 62 quad8 function, 98 quantization, 132134 queuing, 334335 rand, 16, 5657 randn, 6263 random processes, 281283, 287288 shot noise, 312313 sine of uniform phase, 7071 time domain approach, 472473 variance, 246247, 253254 Maximal length linear feedback shift register (MLLFSR), 460 Maximum likelihood (ML) approach, 243244 Mean, 57 See also Expected values ergodic in, 295 of IID random variables, 240245 random processes and, 286, 287288, 294295 Mean square convergence, 250 Mean square error, 241

Mean time to rst return, 340341 Mixed random variable, 50 M/M/1 queuing system, 345346, 347348 M/M/ queuing system, 346, 348350 Modulation efciency, 444 Moment generating functions, 91, 117119 Moments, 9193 central, 91, 9498 factorial, 115 rst and second, 9192 nth , 91 zeroth, 91 Monotonically decreasing functions, 102 Monotonically increasing functions, 100102 Monte Carlo simulation, 252, 476479 Moving average (MA) process, 390 Mutual information, 196197 N Nakagami, 511 Narrowband processes, 435440 Newtons method, 249 Noise dened, 7 equivalent bandwidth, 419421 shot, 308313 signal-to-noise ratios, 421423 thermal, 394397 white, 396 white Gaussian, 396, 475476 Nonbinary pseudorandom number generators, 461463 Nonmonotonic functions, 103104 Nonparametric spectral estimation, 383390 Nonstationary processes, 293 Wiener-Khintchine-Einstein theorem, 375

Normal equations, 429 Null recurrent, 341 Nyquists theorem, 394 O Order statistics, 223225 Orthogonality principle, 429 Orthogonal variables, 164 Outcomes atomic, 1415 dened, 8 Overbar, use of, 88 P Parametric spectral estimation, 382, 390394 Parsevals theorem, 370 Pascal, 8 Pascal (negative binomial) random variables, 515 PDF. See Probability density function Periodogram estimate, 387390 -function (phi function), 5960 Points, 303, 307 Poisson counting process, 305, 324 Poisson impulse process, 307 Poisson random processes, 303307 Poisson random variables, 33, 515 Positive recurrent, 341 Power, average normalized, 300 Power residue method, 462 Power spectral density (PSD) application, 397403 bandwidth, 380382 dened, 370373 estimating, 382394 nonparametric spectral estimation, 383390 parametric spectral estimation, 382, 390394 thermal noise, 394397 Wiener-Khintchine-Einstein theorem, 299, 373380 Power transfer function, 415

INDEX

535

Probability applications, 1, 36 assigning, 1418 axioms, 1114 conditional, 2022 convergence in, 250 joint, 1822 Probability density function (PDF), 5357 applications, 7781 of Cauchy random variables, 6970 of chi-squared random variables, 6768 conditional, 7375 of Erlang random variables, 67 of exponential random variables, 6465 of gamma random variables, 6667 of Gaussian random variables, 57 joint, 151157 of Laplace random variables, 6566 random processes and, 283291 of Rayleigh random variables, 68 of Rician random variables, 69 second order, 285 of uniform random variables, 6364 Probability generating functions, 91, 114117 joint, 180182 Probability mass function (PMF), 2831 joint, 157159 random processes and, 283291 Property method, 487 Pulse amplitude modulation (PAM), 397403, 426427 Q Q-function, 59, 60, 62 Marcum, 69 numerical methods for evaluating, 525529

values of, 524 Quadratic transformations of Gaussian random vectors, 221223 Quadrature, 437 Quantization, 126134 Queuing systems example of Markov chains, 327328 exponential random variables and, 65 gamma random variables and, 67 Markov birth-death processes, 345348 R Radar, 45, 265271 Random processes See also Linear time invariant system random processes; Markov processes application, 308313 bandwidth, 380382 dened, 278 examples, 277283 Gaussian, 301303 generation of, 465476 Poisson, 303307 stationary and ergodic, 291300 tools for studying, 283291 Random variable, operations on a applications, 126138 central moments, 91, 9498 characteristic functions, 91, 108114 conditional expected values, 9899 expected value, 8789 expected values of functions of, 9091 moment generating functions, 91, 117119 moments, 9193 probability generating functions, 91, 114117 tail probabilities, evaluating, 119126 transformations, 100108

Random variables arcsine, 102, 505506 beta, 506 Cauchy, 6970, 506 chi-squared, 6768, 507 computer generation, 457465 Erlang, 67, 507508 exponential, 6465, 508 F, 508509 gamma, 6667, 509 Gaussian, 5763, 509510 Laplace, 6566, 510 log-normal, 510511 mixed, 50 Nakagami, 511 normal and standard normal, 5758 Rayleigh, 68, 511512 Rician, 69, 9798, 512 summary of, 505514 sums of, 263265 uniform, 50, 6364, 513 Weibull, 513514 Random variables, discrete Bernoulli, 3132, 514 binomial, 3233, 514 denitions, 28 examples, 2931 geometric, 34, 515 Pascal, 515 Poisson, 33, 515 summary of, 514515 Random variables, multiple applications, 227232 expected values, 209211 Gaussian, 211215 joint and conditional PMFs, CDFs, and PDFs, 207209 transformations, 215227 Random variables, pairs of applications, 195199 complex, 193195 conditional distribution, density, and mass functions, 159163 expected values, 163168 independent, 168173 joint characteristic function, 178180 joint cumulative distribution functions, 148150

536

INDEX

Random variables, pairs of (continued) joint Gaussian, 174178 joint probability density functions, 151157 joint probability generating function, 180182 joint probability mass functions, 157159 transformations, 182193 Random walks, 327 Rare events, simulation of, 476480 Rayleigh random variables, 68, 511512 Real envelope, 437 Relative frequency approach, 1718 Reliability function, 7781 Rician random variables, 69, 9798, 512 Root-mean-square (RMS) bandwidth, 381382 Roster method, 487 S Saddle point approximation, 124126 Sample mean, 243 Sample spaces dened, 8 examples, 910 Scalar quantization, 126134 Second order PDF, 285 Sequential detection, 268 Series expansions, 517518 Set theory, 487489 Shannon entropy, 136 Shot noise, 308313 Signals review of, 499503 types of, 277278 Signal-to-noise ratios (SNR), 421423 Signal-to-quantization noise ratio (SQNR), 128132 Simulation techniques application, 481483

computer generation, 457465 for random processes, 465476 for rare events, 476480 Skewness, 95 coefcient of, 91, 9597 Source coding, 134138 Spectral factorization, 431 Speech, linear prediction of, 227232 Speech recognition system, 34 Square law transformation, 107 Standard deviation, 57, 95 State diagrams, 325326 State probabilities, 329335 Stationary processes, 291300 Wiener-Khintchine-Einstein theorem, 373375 Steady state distribution, 345 Stochastic signals, 7 Students t-distribution, 260261, 512513 Sums of random variables, 263265 T Tail probabilities, evaluating, 119126 Taylors theorem, 112, 254 t-distribution, 260261, 512513 Telecommunications, Erlang random variables and, 67 Telephone exchange application, 357359 Thermal noise, 394397 3-dB bandwidth, 381 Time domain approach, 470475 Total probability, theorem of, 23 Transfer function, 502 Transformations Box-Muller, 191192, 219, 465

coordinate systems in three dimensions, 225227 linear, 216221 of multiple random variables, 215227 order statistics, 223225 of pairs, 182193 quadratic, 221223 of single random variables, 100108 Transition probability matrix, 324, 329335 Trigonometric identities, 517 U Unbiased estimate, 241 Uniform random variables, 50, 6364, 513 V Variance, 57, 91, 9495 IID random variables, 245247 Venn diagram, 1314, 488 W Walds inequalities, 268270 Weak law of large numbers, 251253 Weibull, 513514 White Gaussian noise (WGN), 396, 475476 Whitening, 219 Whitening lter, 431 White noise, 396 Wide sense stationary (WSS), 293300 Wiener lter, 427435 Wiener-Hopf equations, 429431 Wiener-Khintchine-Einstein theorem, 299, 373380 Y Yule-Walker equations, 429 Z z-transforms, 114, 369, 522