信号是受噪声Nt干扰的余弦波Xt = Acoswt + φ + Nt，试求它的自相关函数。假设φ是在[0, 2Π]上均匀分布的随机变量，Nt是均值为0方差为σ2的白噪声，且 Nt 与 φ 互不相关。

题目

信号是受噪声N(t)干扰的余弦波X(t) = Acos(wt + φ) + N(t)，试求它的自相关函数。假设φ是在[0, 2Π]上均匀分布的随机变量，N(t)是均值为0方差为σ2的白噪声，且 N(t) 与 φ 互不相关。

解答

设 $S(t)=Acos(\omega t+\varphi )$

则 $X(t)=S(t)+N(t)$

R x x = E { [ S ( t ) + N ( t ) ] [ S ( t + τ ) + N ( t + τ ) ] } = E [ S ( t ) S ( t + τ ) ] + E [ S ( t ) N ( t + τ ) ] + E [ N ( t ) S ( t + τ ) ] + E [ N ( t ) N ( t + τ ) ] R_{xx} = E\{[S(t)+N(t)][S(t+\tau)+N(t+\tau)]\}=E[S(t)S(t+\tau)]+E[S(t)N(t+\tau)]+E[N(t)S(t+\tau)]+E[N(t)N(t+\tau)] Rxx​=E{[S(t)+N(t)][S(t+τ)+N(t+τ)]}=E[S(t)S(t+τ)]+E[S(t)N(t+τ)]+E[N(t)S(t+τ)]+E[N(t)N(t+τ)]

因为$N(t)$ 是均值为0，方差为${\sigma }^2$的白噪声，因此
$E[N(t)]=0$
$E[N(t)N(t+\tau )]={\sigma }^2\delta (\tau )$

$N(t)$ 与$S(t)$ 不相关
因此
$E[S(t)N(t+\tau )]=E[N(t)S(t+\tau )]=0\times E[S(t)]=0$

$$\begin{gathered} E[S(t)S(t+\tau )]=E[Acos(\omega t+\varphi )Acos(\omega t+\omega \tau +\varphi )] \\ =A^2{\int }_0^{2\pi }cos(\omega t+\varphi )cos(\omega t+\omega \tau +\varphi )p(\varphi )d\varphi <========积化和差 \\ =\frac{A^2}{2}{\int }_0^{2\pi }cos(2\omega t+2\varphi +\omega \tau )+cos(\omega \tau )p(\varphi )d\varphi \\ =\frac{A^2}{2}cos(\omega \tau ) \end{gathered}$$
因此$R_{xx}=\frac{A^2}{2}cos(\omega \tau )+{\sigma }^2\delta (\tau )$