6.

3 PASSAGE OF RANDOM SIGNAL OR NOISE THROUGH A LTI

LINEAR TIME INVARIENT SYSTEM

LTI system in simplified sense will exhibit two behaviors. Time invariance: The system must behave the same in any two trials in time if the input and starting conditions are same Addictive superposition: IF you excite a system twice with inputs a and b to get outputs A and B, then if exited with input (a+b) you should get output (A+B)

Let a WSSP () is applied to input of a LTI having the impulse response and transfer function & ()
By definition of LTI, the output is the convolution of the input signal and the impulse response of the system

Using stationarity and time invariance principles

()

Mean value of () is

= [

Since E[.] is a lienar operator, we can rewrite

= [

= (0) Since =

] =

() 2

And for = 0, we get

0 =

Conclusion
Mean Value of output signal is also independent of shift in time. Mean value of the output signal is constant and equals to the mean of the input scaled by the dc gain of the system Applying zero mean WSSP to the input of stable LTI system would result in zero mean process at the output

Cross correlation between input and output ()

= 1 , 2

= 1

= =

1 2

Now substituting the variable of integration by = 2 , we get

= =

(1 2 )

= ()

The AC function of the output signal () can be determined as 1 , 2 = = (2 ) 1 1 2

2 1 =

2 1

Substituting the variable of integration by = 2 , we get

1 , 2 =

1 2 = () ()

Substituting for () in the above eqn, we get = ()

Conclusion
Mean value and AC function are both not dependent upon the shift in time. It can further be summarized that the output of a LTI to a WSSP excitation is also a WSSP.

In frequency domain analysis, the spectrum of the output signal can be derived from the AC function in the following way. From random signal analysis we know that psdf and AC function are related by = [ ] Similarly if = , then = () Where ()
So PSDF of output signal will be: = = = = () 2