哈工大 计算建模 复随机过程

3.5 复随机过程

3.5.1 n维分布函数

两个实随机过程： { X t , t ∈ T } \lbrace X_t,t \in T \rbrace {Xt​,t∈T} 和 { Y t , t ∈ T } \lbrace Y_t,t \in T \rbrace {Yt​,t∈T} ,若对于任意 $t\in T$ 有$$Z_t=X_t+i{Y}_t$$则称 { Z t , t ∈ T } \lbrace Z_t,t \in T \rbrace {Zt​,t∈T}为复随机过程

3.5.2 复随机过程的数字特征

均值函数:

m Z ( t ) = E { Z t } = E { X t } + E { Y t } m_Z(t) = E \lbrace Z_t\rbrace = E\lbrace X_t\rbrace +E \lbrace Y_t\rbrace mZ​(t)=E{Zt​}=E{Xt​}+E{Yt​}

方差函数:

D Z ( t ) = E { ∣ Z t − m z ( t ) ∣ 2 } = E { [ Z t − m z ( t ) ] [ Z t − m z ( t ) ] ‾ } D_Z(t) = E \lbrace | Z_t -m_z(t)|^2\rbrace = E \lbrace [ Z_t -m_z(t)]\overline {[ Z_t -m_z(t)]}\rbrace DZ​(t)=E{∣Zt​−mz​(t)∣2}=E{[Zt​−mz​(t)][Zt​−mz​(t)]​}

相关函数:

R z ( s , t ) = E { Z s Z t ‾ } R_z(s,t) = E\lbrace Z_s\overline{Z_t} \rbrace Rz​(s,t)=E{Zs​Zt​​}

协方差函数:

B z ( s , t ) = E { [ Z s − m z ( s ) ] [ Z t − m Z ( t ) ] ‾ } = R Z ( s , t ) − m Z ( s ) m Z ( t ) ‾ B_z(s,t) = E\lbrace [Z_s - m_z(s)]\overline{[Z_t -m_Z(t)]} \rbrace = R_Z(s,t) - m_Z(s)\overline{m_Z(t)} Bz​(s,t)=E{[Zs​−mz​(s)][Zt​−mZ​(t)]​}=RZ​(s,t)−mZ​(s)mZ​(t)​

复随机过程 { Z t , t ∈ T } \lbrace Z_t,t \in T \rbrace {Zt​,t∈T} 的协方差函数$B(s,t)$具有性质:
(1)对称性$B(s,t)=\overline{B(t,s)}$
(2)非负定性:对任意$t_i\in T$及复数$a_i,i=1,2,...,n,n\ge 1$有$$\sum _{i,j=1}^{n}B(t_i,t_j)a_i\overline{a_j}\ge 0$$

3.5.3 复随机过程数字特征之间的关系

• $$m_Z(t)=m_X(t)+j{m}_Y(t),t\in T$$
  $$D_Z(t)=D_X(t)+D_Y(t),t\in T$$
  $$D_Z(t)=B_Z(t,t),t\in T$$
  $$B_Z(s,t)=R_Z(s,t)-\overline{m_Z(s)}{m}_Z(t),t\in T$$