ECE 4110: Random Signals in Communications and Signal Processing

ECE department, Cornell University, Fall 2013 Homework 3

Due Friday, September 27 at 5:00 p.m.

1. (Two Random Variables) Alice arrives at the bus station at some random time uniformly distributed between 12 p.m and 1 p.m. Bob also arrives at some random time uniformly distributed between 12 p.m and 1 p.m which is independent of Alices arrival. Each of Alice and Bob wait in the bus station for 15 minutes and then leave. What is the probability that they meet each other? 2. (a) Show that COV(X, E [Y |X ]) = COV(X, Y ). (b) Show that if E [Y |X = x] = E [Y ], for all x implies that X and Y are uncorrelated. 3. (Linear Combination of Two RVs) The characteristic function of a continuous random variable X is dened as X ( ) = E [exp(jX )]

exp(jx)fX (x) dx,

where j = 1. Thus X ( ) is the Fourier transform of the PDF. In particular, the characteristic function uniquely determines the PDF. (a) Suppose that X is N (, 2 ). Show that its characteristic function equals X ( ) = exp(j 2 2 /2). Hint: Complete the square in the exponent. (b) Suppose X and Y are independent. Determine the characteristic function of aX + bY in terms of a, b, and the characteristic functions of X and Y . Hint: You do not need to compute the density of aX + bY . (c) Suppose that X and Y are independent and Gaussian. Use the results in (a) and (b) to show that aX + bY is also Gaussian. 4. (a) For what real values of a and b is the following matrix the covariance matrix of some real-valued random vector? 2 1 b K= a 1 0 b 0 1

(b) For a = 1 and b = 0 nd the orthonormal matrix U that diagonalizes the covariance matrix (i.e., K = U U t for some diagonal matrix.) Hint: A symmetric n n matrix is positive semidenite if and only if the determinant of every matrix obtained by deleting a set of rows and the corresponding set of columns, is nonnegative.