Questions tagged [stochastic]
A "stochastic process" is another term for "random process".
113 questions
2 votes
1 answer
85 views
Is there a definition of local/windowed coherence?
I'm looking for resources discussing the differences between two interpretations -- "global" (classic) and "local" (like a weighted phase locking value) of a Welch estimate of ...
- 313
0 votes
1 answer
68 views
Discrepancy of Average Power Calculation (Freq vs Time Domain)
I'm working on the below problem Given a WSS random process $X(n) = K \cos(2\pi n + \Theta)$, where $K$ is a constant and $\Theta$ is a random variable with a uniform distribution between $0$ and $2\...
- 1
0 votes
1 answer
73 views
nonlinear Kalman-Bucy filter
The Kalman-Bucy filter gives the best estimates for a partially observable linear system ( here I show a simplified version for exposition) State $\theta_t $ of system: $d\theta_t = ( a_1\theta_t)dt +...
- 1
2 votes
1 answer
166 views
Relation and differences between correlation sequence and correlation matrix
Suddenly I am stuck at a question while studying Statistical signal processing: What are the differences between correlation sequence and matrix (can be auto/cross), and how are the two related? When ...
- 33
1 vote
1 answer
103 views
Minimum Number of Base Accelerations Needed to Simulate Gaussian White Noise in Structural Dynamics?
I am currently working on a scientific paper where I subject a structure to base accelerations modeled as Gaussian white noise. I am relatively new to signal processing and would appreciate some ...
- 11
2 votes
1 answer
124 views
Signal Processing of Long Term Behavior in Stochastic Systems
I am quite new to techniques of signal processing. I have a fairly generic problem and wish to find information about topics and/or techniques that may help me address this problem. Let $x(t)$ and $y(...
- 63
1 vote
1 answer
109 views
Why are convolutions between those functions equivalent (signal processing for theoretical neuroscience)?
I'm reading a book on theoretical neuroscience [1], in which the following definitions are given: $\rho(t)=\sum_{i=1}^n \delta(t-t_i)$ where $\delta$ is Dirac's delta and the $t_i$ are timestamps at ...
- 111
1 vote
1 answer
78 views
Expectation and autocorrelation for modulated sinusoid
Given $$ Y(t) = A X(t) \cos(\omega t + \phi) $$ with $X(t)$ is zero-mean WSS (wide-sense stationary) process, $\phi$ ~ Unif$(0,2\pi)$. Suppose $X(t)$ and $\phi$ are independent random variables. I ...
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