[Math] Average and autocorrelation for a sine signal with random phase

averagecorrelationstochastic-processes

Consider this exercise in stochastic processes:

Consider a sine signal with random phase, $X(t) = A \sin(\omega_0 t + B)$, with $A$ and $\omega_0 $ constants and $B$ a random phase shift with PDF (probability density function) uniform in the interval of $[-\pi,\pi]$.

How does one calculate the average and autocorrelation functions for that signal?

Best Answer

$$\mu\left[X(t)\right]=\mu\left[A\sin(\omega_0t+B)\right]=\dfrac{1}{2\pi}\int_{-\pi}^{\pi}A\sin(\omega_0t+B)dB=0\\R\left[X(t+\tau)X^{*}(t)\right]=\dfrac{1}{2\pi}\int_{-\pi}^{\pi}A^2\sin(\omega_0t+B)\sin\left(\omega_0(t+\tau)+B\right)dB\\=\dfrac{1}{4\pi}\int_{-\pi}^{\pi}A^2\cos(\omega_0\tau)dB-\dfrac{1}{4\pi}\int_{-\pi}^{\pi}A^2\cos(2\omega_0t+2B+\omega_0\tau)dB\\=\dfrac{A^2}{2}\cos(\omega_0\tau)$$