White noise process

One of the very important random processes is the white noise process. Noises in many practical
situations are approximated by the white noise process. Most importantly, the white noise plays
an important role in modeling of WSS signals.

A white noise process { W (t )} is defined by

N0
SW (w ) = -< w <
2
where N 0 is a real constant and called the intensity of the white noise. The
corresponding autocorrelation function is given by
N
RW (t ) = d (t ) where d (t ) is the Dirac delta.
2
The average power of white noise
1 N
Pavg = EW 2 (t ) = dw
2p - 2

The autocorrelation function and the PSD of a white noise process is shown in Fig.
below.

SW (w )
N0
2

O
w
 RW (t )
N0
d (t )
2
O
t
Remarks

The term white noise is analogous to white light which contains all visible light
frequencies.
A white noise is generally assumed to be zero-mean.
A white noise process is unpredictable as the noise samples at different instants of
time are uncorrelated:
CW (ti , t j ) = 0 for ti t j .

Thus the samples of a white noise process are uncorrelated no matter how closely the

samples are placed. Assuming zero mean, s W . Thus a white noise has an infinite
2

variance.

A white noise is a mathematical abstraction; it cannot be physically realized since it

has infinite average power.
If the system band-width (BW) is sufficiently narrower than the noise BW and noise
PSD is flat , we can model it as a white noise process. Thermal noise, which is the
noise generated in resistors due to random motion electrons, is well modelled as
white Gaussian noise, since they have very flat psd over very wide band (GHzs)
 A white noise process can have any probability density function. Particularly, if the

white noise process { W (t )} is a Gaussian random process, then { W (t )} is called a

white Gaussian random process.
A white noise process is called strict-sense white noise process if the noise samples at
distinct instants of time are independent. A white Gaussian noise process is a strict-
sense white noise process. Such a process represents a purely random process,
because its samples at arbitrarily close intervals also will be independent.

Example A random-phase sinusoid corrupted by white noise

Suppose X (t ) = B sin (w c t + F ) + W (t ) where A is a constant bias and F ~ U [0, 2p ].
N
and { W (t ) } is a zero-mean WGN process with PSD of 0 and independent of F.
2
Find RX (t ) and S X (w ). .
Rx (t ) = EX (t + t ) X (t )
= E ( B sin (wc (t + t ) + F ) + W (t + t ) )( W (t ) + B sin (wc t + F))
B2
= cos wct + RW (t )
2
B2 N
\ SX ( w ) =
4
( d ( w + w c ) + d ( w - wc ) ) + 0
2
where d (w ) is the Dirac Delta function.

Band-limited white noise

A noise process which has non-zero constant PSD over a finite frequency band and zero

elsewhere is called band-limited white noise. Thus the WSS process { X (t )} is band-
limited white noise if
N0
S X (w ) = -B < w < B
2
For example, thermal noise which has constant PSD up to very high frequency is better
modeled by a band-limited white noise process.
The corresponding autocorrelation function RX (t ) is given by
N 0 B sin Bt
RX (t ) =
2p Bt
The plot of S X (w ) and RX (t ) of a band-limited white noise process is shown in Fig.

below. Further assume that { X (t )} is a zero-mean process.

N0
S X (w )
2

-B
O

B w

Observe that
N0 B
The average power of the process is EX (t ) = RX (0) =
2

2p
p 2p 3p np
RX (t ) = 0 for t = , , ,... This means that X (t ) and X (t + )
B B B B
where n is a non-zero integer are uncorrelated. Thus we can get uncorrelated
 samples by sampling a band-limited white noise process at a uniform interval of

p
.
B
A band-limited white noise process may also be a band-pass process with PSD as
shown in the Fig. and given by
N 0 B
w - w0 <
S X (w ) = 2 2
0 otherwise

The corresponding autocorrelation function is given by
Bt
N 0 B sin 2
RX (t ) = cos w 0t
2p Bt
2

N0
S X (w )
2

-w0 -
B
-w -w +
B O
w0 -
B ww00 w + B
0
w
0 0 2
2 2 2
Coloured Noise
A noise process which is not white is called coloured noise. Thus the noise process

2a 2b
{ X (t )} with RX (t ) = a 2 e
-b t
b > 0 and PSD S X (w ) = is an example of a
b2 + w 2
coloured noise.

White Noise Sequence

A random sequence { W [n]} is called a white noise sequence if
N
SW (w ) = -p w p
2
Therefore
N
RW ( m) = d [m ]
2
where d [m] is the unit impulse sequence. The autocorrelation function and the PSD of a
whitenoise sequence is shown in Fig.

N
N
NN
N
2 22 WS (w )
2
2

-p p w
Thus a white noise sequence consists of a sequence of uncorrelated random variables.
A realization of a white noise sequence is shown in Fig. below.

Remark
1 N N
The average power of the white noise sequence is EX [n] =
2
2p =
2p 2 2
The average power of the white noise sequence is finite and uniformly
distributed over all frequencies.
If the white noise sequence { W [n]} is a Gaussian sequence, then { W [n]} is
called a white Gaussian noise (WGN) sequence.
A zero-mean i.i.d. random sequence is always white. Such a sequence may be
called strict-sense white noise sequence. A WGN sequence is is a strict-sense
stationary white noise sequence.
The model white noise sequence looks artificial, but it plays a key role in
random signal modelling. It plays the similar role as that of the impulse
function in the modeling of deterministic signals. A class of WSS processes
called the regular random process can be considered as the output of a linear
system with white noise as input as illustrated in Fig.
The notion of the sequence of i.i.d. random variables is also important in
statistical inference.

Linear
White noise process System Regular WSS random process
 Example Consider the Bernoulli process { X n } with
p X (1) = p and
p X (0) = 1 - p
This process is an iid process with
m X = EX n = p
and
p if m = 0
RX [ m] = 2
p otherwise
= p(1 - p )d [ m] + p 2
The corresponding PSD is given by
S X (w ) = p (1 - p ) + p 2d (w )
d (w ) is the Dirac delta function.
Thus the Bernoulli process has a constant autocorrelation function for m 0 and
its power spectrum has uniform value for w 0. This process does not qualify to
be a white noise according to our definition. If, we subtract the mean and define
the process {Yn } by
Yn = X n - p
where X n ~ i.i.d . Br ( p ), then {Yn } is a white noise process. Because

p (1 - p) if m = 0
RY [m] =
0 otherwise

Remark
Alternatively, the white noise may be defined as a noise process {W [ n]} with the
autocovariance function CW [m] given by
N
CW [m] = d [m]
2
and the corresponding PSD
N
SW (w ) = + ( mW ) 2 d (w )
2