METU EE531 Prof. Elif Uysal-Biyikoglu Prep.

by: Mehdi Shakiba Homework Set 4 Due: Thursday, November 21, 2013

Let

and

be jointly Gaussian random variables distributed as ( ) ([ ] [ ])

Find 2

( | ) and

( | ).

Matlab Experiment: Correlated Gaussian Random Variables. a) Generate 5000 Gaussian vectors , with zero mean and identity covariance matrix ( =randn(5000,2);). Plot the samples as points on an ( ) plane. You should see that the points indicate a circular pdf. b) We wish to transform to the Gaussian random vector such that ([ ] [ ]) Find the vector and matrix to do so. c) Generate 5000 samples of by transforming the samples of using your values of and , and plot the points on the ( ) plane as before. Do the plots match your intuition? d) Find the pdf of the rst and second coordinates of (call them and ). Plot the histograms of and , and overlay on them plots of their corresponding true pdfs. e) The conditional pdf | ( | ) is also Gaussian. Find its mean and variance. Devise a method for comparing the theoretical mean and variance of | ( | ) against appropriately selected points from your samples of . Explain how you did this. Compare the histogram of these points with the theoretical pdf. Also, compare the sample mean and variance of these points to the theoretical mean and variance. f) If is not Gaussian, the transformation in parts (b)-(c) generates a random vector with the desired mean and covariance. To see this, generate 5000 samples of , whose elements are independent and uniform on , where a is chosen so that and each has variance 1. Find the sample mean and sample covariance of )-plane and verify that they are close to their theoretical values. Plot the ( points of . Also, transform to using the transformation in part (c), and plot the scatter plots of . Plot the histograms of and to verify that they are not uniformly distributed.

NOTE: If you need help with MATLAB, you may consult Mehdi Shakiba in ARC 205.