C.2. STATIONARY STOCHASTIC PROCESSES
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The autocorrelations of and are defined by
and
Using (C-32) and (C-33) and then (C-20), (C-23), and (C-24) and trigonometric
identities, we obtain
which shows explicitly that if is wide-sense stationary, then and
are wide-sense stationary with the same autocorrelation function. The variances
of and are all equal because
A derivation similar to that of (C-36) gives the cross correlation
Equations (C-36) and (C-38) indicate that and are jointly wide-sense
stationary. Equations (C-28) and (C-38) give
which implies that and are uncorrelated.
Equation (C-21) indicates that is generated by a linear operation on
Therefore, if is a zero-mean Gaussian process, and are
zero-mean jointly Gaussian processes. Equations (C-32) and (C-33) then imply
that and are zero-mean jointly Gaussian processes. Since they are
uncorrelated, and are statistically independent, zero-mean Gaussian
processes.
The power spectral density of a signal is the Fourier transform of its auto-
correlation. Let and denote the power spectral densities of
and respectively. We assume that occupies the band
and that Taking the Fourier
transform of (C-36), using (C-6), and simplifying, we obtain
Thus, if is a passband process with one-sided bandwidth W, then and
are baseband processes with one-sided bandwidths W/2. This property
and the statistical independence of and when is Gaussian make
(C-31) a very useful representation of
Similarly, the cross-spectral density of and can be derived by
taking the Fourier transform of (C-38) and using (C-6). After simplification,
the result is