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MA2261 PROBABILITY AND RANDOM PROCESSES

UNIT I RANDOM VARIABLE

Random variables - Probability mass function – Probability density functions- Properties –

Moments - Moment generating functions and their properties - Binomial, Poisson, Geometric,
Uniform, Exponential, Gamma and Normal distributions and their properties - Functions of a
random variables.
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What is the need to define a random variable?

In nature, the outcomes of many random experiments may be non-numerical. It is inconvenient
to deal with these descriptive outcomes mathematically. For ease of manipulation, we assign a real
number to each of the outcomes using a fixed rule or mapping.
Define a random variable. Give an example.
This rule or mapping from the original sample space (numerical or non-numerical) to a
numerical (real) sample space, subjected to certain constraints is called a random variable.
Let S be the sample space of the random experiment. Random variable is a function whose
domain is the set of outcomes ω ∈ S and whose range is R, the real line. The random variable assigns a
real value X (ω) such that
1. The set { ω : X (ω) ≤ x } is an event for every x ∈ R, for which a probability is defined.

Classify random variables.

A random variable can be classified as real random variable and complex random variable.
Real random variable is one which takes on real values(−∞, ∞). A complex random variable Z is
defined in terms of real variables X and Y as Z = X+iY.
Define a discrete random variable.
A random variable X is discrete if it assumes only discrete values (finite number or countably
infinite number of possible discrete values). The sample space (domain) of discrete random variables
may be discrete, continuous or a mixture of discrete and continuous points, but the co-domain is only
discrete.
Examples
1. The mark obtained by a student in an examination. Its possible values are 0, 40, 85 or 100.
2. The number of students who are absent for a particular period.

What is continuous random variable?

A random variable X is said to be a continuous random variable if it takes all possible values
between certain limits or in an interval which may be finite or infinite.
Examples
1. The density of milk taken for testing at a farm.
2. The operating time between two failures of a computer.

What is a mixed random variable?

A random variable which can take both discrete and continuous values is called a mixed
random variable.
What is probability distribution function?

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If X is a real random variable, then the function F : R → R defined by

F X ( x ) =P ( X ≤ x )=P(ω : X (ω) ≤ x ) where −∞< x <∞ is called distribution function of the random
variable X. we also call it as cumulative distribution function.
Give the properties of probability distribution function.
1. F X (−∞ )=0
2. F X ( ∞ )=1
3. 0 ≤ F X (x) ≤1
4. F X ( x 1) ≤ F X ( x 2 ) if x 1< x2
5. P ( x 1< X ≤ x 2 )=F X ( x 2 )−F X (x 1)

What is probability density function?

The probability density function f X ( x ) of a continuous random variable X is defined such that
dx dx
{
P x− ≤ X ≤ x +
2 2 }
=f X ( x ) dx and satisfies the following conditions
(i) f X ( x ) is integral over the range (−∞, ∞)
(ii) f X ( x )≥ 0 for all x , −∞< x <∞
∞
(iii) ∫ f X ( x ) dx=1
−∞

Give the properties of probability density function?

1. 0 ≤ f X ( x) for all x
∞
2. ∫ f X ( x ) dx=1
−∞
x2

3. P ( x 1< X ≤ x 2 )=∫ f X ( x ) dx
x1

4. P ( x 1< X ≤ x 2 )=P ( x 1< X < x 2 )

a
5. P ( X=a )=∫ f X ( x ) dx=0
a

Random variables
Probability Mass Function (pmf):
For a discrete random variable pmf is Pi=P( X=x i ) where
(i) pi ≥0 , ∀ i

(ii) ∑ pi =1
i

Probability Density Function (pdf):

For a continuous random variable pdf is f (x) where

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(i) f ( x ) ≥0 , ∀ x
∞
(ii) ∫ f ( x ) dx=1
−∞

Cumulative Distribution Function (c.d.f): F ( x )=P( X ≤ x)

(i) For discrete X : F ( x )=∑ P( X=x i ) for x i ≤ x

i

∞
(ii) For continuous X: F ( x )= ∫ f (x) dx
−∞

Mathematical Expectation:

(i) For discrete X : E ( X ) =∑ p(x)

x

(ii) For continuous X : E ( X ) =∫ f (x )dx

Mean =E( x )
Variance = E ( x 2 )−[E ( x ) ]2
Moment Generating Function:
tx
(i) For discrete X: M X ( t )=∑ e P(x)
x
∞
tx
(ii) For continuous X: M X ( t )=∫ e f ( x ) dx
−∞

Characteristic Function:
itx
(i) For discrete X: φ ( t )=∑ e P(x)
x
∞
itx
(ii) For continuous X: φ ( t )= ∫ e f ( x ) dx
−∞

Problems:
1. A one-dimensional random variable X has the following probability distribution.

X =x 0 1 2 3 4 5 6 7

P( X =x) 0 k 2 k 2 k 3 k k 2 2 k2 7 k2 + k

( i ) find k ( ii ) P ( X <6 )( iii ) P ( X ≥ 6 ) (iv ) P ( 0< X <4 )( v ) P ¿

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2. A shipment of 6 television sets contains two defective sets. A hotel makes a random purchase of 3 of
the sets. If X is the number of defective sets purchased by the hotel find
(i) Probability distribution of X
(ii) Also determine its distribution function and hence, find the probability of purchasing at the
most 1 defective set and probability of purchasing at least 1 defective set.
3. A continuous random variable X that can assume any value between x=2 and x=5 has a density
function given by f ¿ . Find P ( X < 4 ) , P ( X > 1 ) , P ¿.
2
−x / 2
4. If f ( x )= x e
{ , x≥0
0 , x< 0
(i) Show that f(x) is a pdf
(ii) Find its distribution function F(x)
5. If a random variable X takes the values 1,2,3,4 such that
2 P ( X=1 )=3 P ( X =2 )=P ( X=3 )=5 P( X =5). Find the probability distribution and cumulative
distribution function of X.
6. Given the probability distribution of X compute ( i ) E ( X )( ii ) E ( X 2 ) ( iii ) E ( 2 X−3 )( iv ) Var (2 X +3)

X -1 0 1 2 3

P(X) 0.15 0.1 0.3 0.3 0.15

7. A continuous random variable X has pdf f ( x )=k x 2 e−x , x ≥ 0. Find the rth moment of X about the
origin. Hence find the mean and variance of X.
8. Find the MGF and rth moment for the distribution whose pdf is f ( x )=k e−x ,0 ≤ x ≤ ∞ .
Find also standard deviation.
9. The first four moments of a distribution about X=4 are 1,4,10 and 45 respectively. Show that the mean
is 5, variance is 3.
−x
1 2
10. Let the random variable X have the pdf f ( x )= 2
{
e , x >0
0 , otherwise
find the moment generating function,

mean and variance of X.

11. A continuous random variable X has the pdf f ( x )=C e−|x| ,−∞< x <∞ . Find the value of C and CDF of
X.

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x , 0< x ≤1
{
12. For the triangular distribution, f ( x )= 2−x , 1≤ x< 2 find the mean, variance and the moment
0 , otherwise
generating function (MGF).
3
13. If a random variable has the MGF M X ( t )= , obtain the standard deviation of X.
3−t
14. The probability function of an infinite discrete distribution is given by

1
P ( X=x )= , x =1,2,3 …. Verify that the total probability is 1 and find the mean and variance of the
2x
distribution. Find also, P ( X is even ) , P ( X ≥ 5 )∧P( X is divisible by 3).
15. If X is a random variable for which E(X)=10 and Var(X)=25. For what positive value of a and b, does
Y =ax−b have expectation 0 and variance 1?

1) If a random variable X takes the value 1,2,3,4 such that 2P(X=1) = 3P(X=2) = P(X=3) = 5P(X=4). Find the
distribution of x
2) A random variable X has the following distribution,
X 0 1 2 3 4 5 6 7
P(X) 0 k 2k 2k 3k k2 2 k2 7 k2 +k
Find (i) the value of k (ii) P (1.5 < X < 4.5 | x > 2) (iii) the smallest value of  for which P(X <) > ½ (iv) find cdf
3) A random variable X has the following distribution,
X 0 1 2 3 4 5 6 7 8
P(X) a 3a 5a 7a 9a 11a 13a 15a 17a
Find (I) the value of a (ii) P(X<3) (iii) cdf
4) A random variable X has the following distribution,
X -2 -1 0 1 2 3
P(X) 0.1 k 0.2 2k 0.3 3k
Find (I) the value of k (ii) P(X<2) & P (-2 <X <2) (iii) cdf MU
5) A continuous R.V x has a PDF given by f(x) = 3x ) < x < 1 Find ‘k’such that P (X> k ) = 0.05

6) A R.V has the PDF

f ( x )= 1+ x 2
{ if −∞< x< ∞

0 otherwise determine ‘k’ and the distribution function

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kx 0≤x ≤2

7) A R.V has the PDF f(x) =

{ 2k 2≤x≤4
6 k−kx 4≤x≤6
0 elsewhere find ‘k’ and cdf f(x)

x 0≤x≤1

8) A R.V has the PDF f(x) =

{ 2−x 2≤x≤4
0 x ≥2 find its cdf
9) Find the distribution function of a R.V x is given by F(x) = 1 – ( 1+x) e-x; x >0 Find the density function, P( x >2)

0x< 0

10) The cdf of the R.V x is given by

{ x

1
2
0≤x <1/2
1−(3 /25 )(3−x )2 1/2≤x <3
x≥3
11) Find the value of ‘k’ if the PDF of x is f(x) = kx (1-x); 0 < x< 1.
Find P( |X| <1) and P( 1/3 <x <4)

12) Find the moment of the following

X 0 2 3 4 6
F 3 7 2 3 5

13) Let k have the probability mass function P(k)

{ π k2
2

0
k =1,2,3 , .. .

otherwise find MGF

x 0≤x <1

14) Find the MGF of the a R.V. X with PDF f(x) =

{ 2−x 1≤x <2
0 otherwise also find μ11 , μ12
15) Let X be a R.V with value -1, 0, 1 such that P(X= -1)=2P(X=0) = P(X=1). Find the mean of 2x – 5
16) A continuous R.V X has the PDF f(x) = kx 2 e-x x > 0 Find the r th moment of X about the origin. Hence find the mean
and variance of X
17) A continuous R.V X has the PDF f(x) = k e-x x > 0 Find the rth moment of X about the origin. Hence find the S.D

(e t +2 )4
M x (t )=
18) For a R.V x with 81 , Find P (x < 2)
19) Determine the binomial distribution for which mean is 4 and variance 3
20) 6 dice thrown 729 times, how many times do you expect at least 3 dice to show 5 or 6?
21) 6 bombs are dropped from a flight to hit a target. The probability of hitting is 1/5 . Two bombs are required to destroy
the building. Find the probability that the building is destroyed.
22) In a long run, 3 vessels out of every 10 do not return. If 10 vessels are out , find the probability that at least 8 will
arrive safely

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23) If X, Y are independent Poisson variable, then conditional distribution of X + Y given X is Binomial distribution.
24) Poisson distribution is an approximation of binomial distribution.
25) If X is a Poisson variable such that P(X = 2) = 9 P(X = 4) + 90 P(X= 6) find the variance.
t

26) The MGF of a RV of X is given by

M x (t )=e 3( e −1)
Find P (x = 1)
27) It is known that 5% of the books of a certain bindings have defective bindings. Find the probability that 2 of 100 books
bound of this binding will have defective
28) A certain rare blood type can be found in only 0.05% of people. If the population of a randomly selected group is
3000. What is the probability that at least two people in the group have this rare blood type?
29) A radioactive source emits on the average 2.5 particles per second. Find the probability that 3 or more particles will be
emitted in the interval of 4 seconds.
30) A radioactive source emits on the average 10 particles per min. in according to the Poisson law. Each particle emitted
has a probability of 2/5 being recorded. Find the probability that 4 particles recorded in a min period
31) From an arbitrary deck of 52 cards, we draw cards at random with replacement and successively until an ace is drawn.
What is the probability that at least10 draw are needed
32) A father asks his sons to cut their background lawn. Since he does not specify of three sons is to do so the job, each
boy tosses a coin to determine odd person, what must cut lawn. In the case that all these get heads or tail, they continue
tossing until they reach a decision. (i) find the probability that they reach a decision in less than ‘n’ tosses (ii) what is
minimum number of tosses required to reach a decision with probability 0.95
33) A woman and her husband want to have 95% chance for atleast one boy and atleast one girl. What is the minimum
number of children they should plan to have? assume that equal probability for gender of child
34) life time of IC chips manufactured by a semiconductor manufacturer are approximately normally distributed with
mean 5x106 hours and variance 5x105 hours A mainframe manufacturer requires at least 95% of a batch should have a life
time greater than 4x106 will the deal be made?
35) The time required to repair a machine is exponentially distributed with parameter =1/3. What is the probability that
the repair time exceeds 3 hours.
36) The daily consumption of milk in excesses of 20000 gallon is approximately exponentially distributed with  = 3000.
The city has a daily stock of 35000 gallons. What is the probability that of two days selected at random the stock is in
sufficient for both days.
37) the mileage which a car owner get with a certain kind of radial tyre is a R.V having exponential distribution with mean
40000 km. Find the probability that one of these tyres will last 1) at least 20000km 2) at most 30000km
38) If the time T is required to repair of a component is exponentially distributed with = ½ . What is the 1) probability
that repair time will exceed 2 hours 2) conditional probability that repair time takes atmost 10 hours given that its
duration exceeds 9 hours?
39) In a certain city, the daily consumptions of electric power in millions of kilowatt-hours can be treated as a R.V having
an Erlang distribution with parameter  = ½; k = 3. If the power plant of this city has a daily capacity of 12 million kilowatt
hours. What is the probability that this power supply will be inadequate on any given day?

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FUNCTIONS OF RANDOM VARIABLE

− λx
λe x≥0
40) The p.d.f. of x be
f (x )= {
0 otherwise
forsome λ>0

3
41) Using method of distribution function calculate PDF of Y = √ x2
42) Let Y = e x find the p.d.f. of y if x is a uniform R.V. over (0,1)
43) Let Y = x2 Find the p.d.f. of y if x is a uniform R.V. over (-1,2)
44) The p.d.f. of a R.V x is f(x) = 2x ) < x < 1 Find the p.d.f. of 1) Y = 3x + 1 2) Y = 8 X3
−x
e x ≥0
45) Let the p.d.f. of x be f(x) =
f (x )= {
0 otherwise Using the transformation Y = XX and Z = e –x
46) If X is a normal R.V with mean zero and variance 2 Find p.d.f of Y = ex
3
4x

47) Let x be a R.V with p.d.f

f (x )= 15
{
1≤x ≤2
0 otherwise Find the p.d.f. of Y = ex & W = ( x-1)2
1
48) Let Mx(t) = 1−t t < 1 be the m.g.f of the R.V. Find the m.g.f. of Y = 2X + 1
−π π
( , )
49) If x is uniformly distributed in 2 2 Find the p.d.f of y = tan x

UNIT II TWO DIMENSIONAL RANDOM VARIABLES

Joint distributions - Marginal and conditional distributions – Covariance - Correlation and

regression - Transformation of random variables - Central limit theorem

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PART A
1. Define joint probability density functions of a 2-D random variables.
2. Define marginal density functions of a 2-D random variables.
3. Define conditional density functions of a 2-D random variables.
4. What is the condition for two variables to be independent.
5. Given joint pdf, f(x,y) = cx(x-y), 0 <x <2 , -x < y <x. Evaluate c.

6. The joint pdf of random variables x, y is given by f(x,y) =

{8xy , 0 0,< xelsewhere
< 1; 0 < y < x
. Find the marginal density
function of x.
7. If the joint pdf of a two dimensional random variables x,y is given by

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k(6−x− y); 0 < x < 2, 2 < y < 4

f(x,y) =
{ 0 , elsewhere . Find P( x < 1, y < 3).

3 2 2

8. If f(x,y) =
{ 2
( x + y ); 0 < x <1 , 0 < y <1
0 , elsewhere , find f(x/y).
9. Find the value of k if f(x,y) = k(1-x)(1-y) for 0 < x, y < 1 is to be a joint density function.

PART B

10. The input to a binary communication system, denoted by random variable X, takes on one of two values 0 or 1 with
probabilities ¾ and ¼ respectively. Because of errors caused by noise in the system, the output Y differs from the input
occasionally. The behaviour of the communication system is modeled by the conditional probability P( Y =1 / X =1) = ¾
and P ( Y =0 / x =0) = 7/8. Find (i) P (Y=1) (ii) P(Y=0) and (iii) P( X =1/ Y =1).
11. 3 balls are drawn at random without replacement from a box containing 2 White , 3 Red & 4 Black balls. If X denots
the number of white balls drawn and Y denotes the number of red balls drawn, form the joint probability distribution of
(X,Y).

X /Y 0 1 2
0 0.1 0.04 .02
1 0.08 0.2 0.06
12. The joint probability mass function of X and Y is given as 2 0.06 0.14 0.3 .
Compute the marginal probability mass functions X and Y. Also, find P( X  1, y  1) and check whether the variables are
independent.

X /Y −1 0 1
−2 1/16 1/16 1/16
−1 1/8 1/16 1/8
1 1/8 1/16 1/8
13. Consider the discrete random variables X and Y with the joint pmf as shown below: 2 1/16 1/16 1/8
. Are X and Y independent? Are they uncorrelated?

xy

14. If the joint pdf of a 2D rv (x,y) is given by f(x,y) =

{x 2+
3
; 0 < x < 1 , 0 < y <2
0, elsewhere .

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Find (i) P ( X > ½ ) (ii) P ( Y < X) (iii) P ( Y< ½ / X < ½ ).

8xy , 0 < x < 1; 0 < y < x

15. The joint pdf of random variables x, y is given by f(x,y) =
{ 0, elsewhere .
(i) Find the conditional density functions . (ii) Find P ( Y < 1/8 / X < ½ ) (iii) Check the independency.

16. If f(x,y) =
{ 5
( x + y 2 ); 0 ≤ x ≤1 , 0≤ y ≤1
0 , elsewhere , obtain the marginal densities of x and y.
Hence or otherwise find P ( ¼  y  ¾ ).

17. Given f(x,y) =

{ 3
( x+2 y ); 0 < x <1 , 0 < y <1
0 , elsewhere , (i) find marginal densities of X and Y (ii) Conditional
density X given by Y =y and P ( X  ½ / Y = ½ ).

e−( x + y ) , x ≥0, y≥0

18. If f(x,y) =
{ 0, elsewhere , find (i) P (X < 1) (ii) P ( X + Y < 1).

19. The joint density function of 2 D random variables ( X, Y) is given by f(x,y) =

{ 9
xy , 1 ≤ x≤ y ≤2
0 , elsewhere . Find the
marginal density functions of X and Y. Find also the conditional density function of Y given X=x and the conditional
density function of
X given Y =y.

9( 1+ x + y )

20. The joint pdf is given by f(x,y) =

{ 2( 1+ x )4 ( 1+ y ) 4
0,
; 0≤x <∞ , 0≤ y <∞

elsewhere . Find the marginal distributions

of x and y and the conditional distribution of y for X=x.
21. The joint density function is given by f(x,y) = 2, 0 < x < y < 1, find the marginal and conditional density function.
Are X and Y independent?

1 −x

22. Let the joint density function of random variables X and Y be given by f(x,y) =
{ 2
y e ; x> 0 , 0 < y < 2
0 , elsewhere .
Find the marginal density functions of X and Y.
23. If the joint pdf of a two dimensional random variables x,y is given by

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−2 x1−3 x2

f(x,y) =
{
6e ; 0 < x1 , x2 > 0
0 , elsewhere . Find the probability that the first random variable will take on a value between
1 and 2 and the second random variable will take on a value between 2 and 3. Also find the probability that the first
random variable will take on a value less than 2 and the second random variable will take on a value greater than 2.
24. If the joint pdf of a two dimensional random variables x,y is given by

f(x,y) =
{k(6−x− y);0 , 0 elsewhere
< x < 2, 2 < y < 4
. (i) Find the value of k. (ii) P ( X + Y < 3) (iii) P ( X < 1/ Y < 3 ).

x+ y −x

25. Let the conditional pdf of X and Y=y be given by f(x/y) =

{ 1+ y
e ; 0 < x < ∞, 0 < y < ∞
0, elsewhere .
Find P(X < 1 / Y < 2).
CORRELATION AND REGRESSION
PART A

26. Write the regression equations.

27. Write the expression for acute angle between two lines of regression.
28. Prove that -1   1.
29. Prove that if the variables are independent , then they are uncorrelated.
30. If the variables are uncorrelated, are they independent? Justify your answer.

PART B

31. Calculate the correlation coefficient for the following height (in inches) of father (X) and their sons(Y)
X : 65 66 67 67 68 69 70 72
Y : 67 68 65 68 72 72 69 71.
32. The joint probability mass function of X & Y is given below, find the correlation coefficient

X /Y −1 1
1 3
0
8 8
2 2
1
8 8
33. If the joint density function of ( X,Y) is given by f(x,y)=2-x-y, o< x,y <1. Find correlation coefficient
34. Let X be a RV with mean value is 3 &Variance is 2. Find the second moment of X about the origin. Another RV Yis
defind by Y=-6x+22. Find the mean value of Y and the correlation of X &Y.

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35. If the joint p.d.f of (X,Y) is given by f (x , y )=3 xy( x + y ), 0≤x , y≤1 .

Y 11
E( E( )=E(Y )=
Verify that X) 24
x+ y

36. If the joint density of X&Y is given by

f (x , y )= 3
0, {
, 0< x <1 , 0< y <2
elsewhere .Obtain the regression lines.
37. Two independent random variables X and Y are defined such that

f (x ) = {40ax,, 0 ≤x ≤1
otherwise
f ( y) = {40by, , 0 ≤ y ≤1
otherwise . Prove that U = X+Y and V = X-Y are
uncorrelated.
38. (X,Y) is a 2-D random variable uniformly distributed over the triangular region R bounded by y=0, x=3 and y = 4x/3,
find the xy.

f (x , y ) = 6−x− y , x >0 , y>0 , x+ y ≤1

{
39. Let the joint pdf of (X,Y) be given by 0, elsewhere . Are X and Y
independent? Obtain the regression lines.

f (x , y ) = x+ y , 0<x<1, 0< y <1

{
40. Let the random variables X & Y have joint pdf 0, elsewhere . Find the correlation
coefficient.

41. A statistical investigator obtains the following regression lines 2x+3y = 5; 4y+3x = 7. Find (i) xy (ii) x̄, ȳ
(iii) y if x = 2.5

42. Find  if f (x , y ) = 24 y (1−x ), 0≤ y≤x ≤1 . Find xy.

43. If x,y&z are uncorrelated with zero means , standard deviations 5,12,9 respectively and if u = 2x -3y, v= y + z + 2, find
uv.
−( x+ y )

44. Given two random variables X and Y that have joint pdf
{
f (x , y ) = x e , x>0 , y>0
0 , elsewhere . Find the
regression equation Y on X.
45. If the two dimensional random variable (X,Y) is uniformly distributed over R , where

R=¿ ¿ Find correlation coefficient .

TRANSFORMATIONS OF RANDOM VARIABLES

PART A

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46. If X and Y are independent random variables having probability density functions f(x) = e-x , x > 0 and f(y) = e-y, y > 0,
find the probability density function of U = X+Y.
47. If X and Y are independent random variables having variances 2 and 3 respectively, find the variance of 3x+4y.
48. If X and Y are independent random variables having identical uniform distributions over (-1,1), find the density
function X+Y.
PART B

49. The joint pdf of X, Y is given by f(x,y) = e-(x+y) , x > 0, y > 0. Find the pdf of u = (x+y)/ 2.
50. If X and Y are independent random variables each following N(0,2). Find pdf of z = 2x + 3y.
51. Let X and Y be positive independent random variables with identical pdf e-x , x > 0 and e-y , y > 0. Find the joint pdf of
U = X+Y and V = X / Y.

f (x , y) = x+ y , 0 ≤x , y ≤ 1
{
52. If the joint pdf of two random variables X and Y given by 0, elsewhere . Find the pdf of (i)
U = XY (ii) U = X+Y
53. If X and Y each follow exponential distribution with parameter 1 and are independent find the pdf of U = X – Y.

54. If X and Y are independent random variables having densities f X ( x ) = e−x U ( x), f Y ( y ) = e− y U ( y ) . Find
pdf of Z = X / Y.
55. If X and Y are independent random variables with identical uniform distributions in ( 0, a), find the density function of
Z = X – Y.
CENTRAL LIMIT THEOREM
PART A
56. State the two different forms of Central limit theorem .
57. If Xi , i = 1 to 20 are independent ,uniformly distributed &identical variables , how are the random variables

20
X̄ and ∑ Xi
i= 1 are distributed?
PART B
58. Prove Central limit theorem.
59. A random sample of size 100 is taken from population whose mean is 60 and variance 400. Using CLT what
probability can we assert that the mean of the sample will not differ from  = 60 by more than 4 ?
60. If Vi, I = 1,2,…,20 are independent noise voltages received in an ‘ adder ‘ and V is the sum of the voltages received,
find the probability that total incoming voltage V exceeds 105 using CLT. Assume that each of the random variables Vi is
uniformly distributed over ( 0, 10 ).
61. A distribution with unknown mean , has the variance equal to 1.5 . Use CLT to find how large a sample should be
taken from the distribution in order that the probability will be atleast 0.95 that the sample mean will be within 0.5 of the
population mean.

Dr. D. Saravanan, Professor of Mathematics

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62. If X1,. X2,….,Xn are Poisson variables with parameter  = 2. Use CLT, to estimate P(120 < Sn < 160 ) where Sn = X1 +
X2+……+Xn and n = 75.

UNIT III CLASSIFICATION OF RANDOM PROCESSES

Definition and examples - first order, second order, strictly stationary, wide – sense
stationary and Ergodic processes - Markov process - Binomial, Poisson and Normal processes
- Sine wave process – Random Telegraphic Process.

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Part A

1. State the four types of stochastic processes

2. Give an example for continuous time random process
3. Define stationary process
4. Give an example of Markov process
5. Define Markov process
6. When are the processes jointly WSS
7. State the postulates of Poisson process
8. Example for ergodic processes

Part B
9. When is a stationary time series X (t) said to be ergodic? S. T it is ergodic for  if E[X (t)] =  and
covariance function r(h) of X(t) satisfies r(h) 0 as h.
10. If the taxi arrive at a taxi stand from 2 directions independently according to the Poisson law with mean
rate of arrival 2 per 20 min and 4 per 15min. Find the probability that a person will have to wait for more than 5
min to catch a taxi
11. State the properties of ergodic process.
12. Define a random process. Explain the classification of Random Processes Give example
13. Derive the Poisson Law
14. Explain any two application of binomial process
15. Write a detailed note on sine-wave process
16. Two random process X(t) = A Cos Wt + B sin Wt & Y(t)= B cos Wt – A sin Wt where A & B are uncorrelated
random variables with zero mean and equal variance and W is a constant, Check Whether the processes are
jointly WSS
17. State and prove the properties of Poisson process

Dr. D. Saravanan, Professor of Mathematics

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18. The process X(t) whose probability under certain conditions is given by

n−1
( at )
n=1,2,3 ,
(1+at )n+1
P{X (t )=n}=
( at )
n=0
( 1+ at ) S.T it is not a stationary
19. Suppose that a customer arrive at a bank according to Poisson process wit a mean rate 3 per min. Find the
probability that during a time interval of 2 min:
a) Exactly 4 customers arrive
b) More than 4 customers arrive.
20. Let {X (t) = a cos (Wt+Y)} be a random process where Y and W are independent random variable. Further
the characteristic function  of Y satisfies (1) = (2) = 0. While the density function f(w) of w satisfies f(w) = f(-
w). S.T X (t) is a WSS
21. Given that WSS random process X (t) = 10 cos (100t+) where  is uniformly distributed over (-,). Prove
that the process X (t) is correlation-ergodic.
22. Find the mean and autocorrelation of Poisson process.
23. If {X(t) = A cos t + B sin t; t  0 } is a random process where A & B are independent N(0,2) random
variables, examine the stationary of X(t).
24. Let {X(t); t  0 }be a random process where X(t) = total number of points in the interval (0,t) = K,

= 1 if k iseven
{
−1 if k isodd . Find ACF of X(t). Also if P(A=1)=P(A=-1) = ½ and A is independent of
X(t), find the power spectrum of Y(t) = A X(t).
25. Two random process X(t) & Y(t) are defined by X(t) = A cos wt + B sin wt and Y(t) = B cos wt – A sin wt.
Show that X(t) and Y(t) are jointly WSS if A & B are uncorrelated random variables with zero means and the
same variance and W is constant
26. Consider a random process X (t) = B cos (50t+) where B and  are independent random variables. B is a
random variable with mean zero and variance 1  is uniformly distributed in the interval (-,). Find mean and
autocorrelation of the process.
27. Distinguish SSS & WSS and establish any two results for weekly stationary time service involving auto
correlation function.
28. Verify the sine wave process X(t) = Y coswt where Y is uniformly distributed in (0,1) is SSS process.
29. S.T if a random process X(t) is WSS, then it must be covariance stationary.

Dr. D. Saravanan, Professor of Mathematics

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30. Consider a R.P Y(t) = X(t) cos (wt+) where X(t) is WSS,  is random variable independent of X(t)and it is
uniformly distributed (-,)and w is a constant. P.T Y(t) is WSS.
31. P.T the random process X(t) = A cos (wt+) where A,W are constant and  is uniformly distributed in (0,2)
is correlation ergodic.

UNIT IV CORRELATION AND SPECTRAL DENSITIES

Auto correlation - Cross correlation - Properties – Power spectral density – Cross spectral
density - Properties – Wiener-Khintchine relation – Relationship between cross power
spectrum and cross correlation function
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Part A
1. If R()=e-2|| is a ACF of a process. Obtain S(w)
2. Define auto correlation function. State all of its properties when the process is WSS
3. Explain the concept of cross correlation function.
4. Define cross spectral density
5. State the properties of linear filter
6. Describe a linear system with a random input.
7. Example for cross-spectral density.
8. Prove that S (w) is even when the process is real.
9. Define spectral density and cross-spectral density.
10. what is mean by spectral analysis
11. Let X (t) = A Cos t + B sin t where A & B are independent normally distributed random variables
N (0, 2). Obtain R()
12. Let Xn =  Xn-1+ Yn for n= ….-1, 0, 1, 2, where  is a constant and {Yn} is a sequence of uncorrelated random
variables with zero mean and constant variance. Find R()
13. Compute R() of a random telegraph process taking values 5 & -4 with probabilities 1/3 & 2/3 where the
no. of flips is according to Poisson process with mean rate of 2 per unit time.
14. Find the mean and autocorrelation of Poisson process.
15. Distinguish SSS & WSS and establish any two results for weekly stationary time service involving auto
correlation function.
16. Write a note on correlation integrals.
17. Explain the ACF of X’(t) in term of ACF of X(t)
18. The ACF for a stationary process X(t) is given by R xx() = 9 + 2 e -||
. Find the mean and variance of Y=

∫ X (t )dt
0 and variance X(t).

Dr. D. Saravanan, Professor of Mathematics

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19. If X(t) is a WSS with ACF Rxx() and if Y(t) = X( t+a) – X( t-a), S.T
Ryy()= 2Rxx()- Rxx(+2a)-Rxx(-2a).
20. Consider the two random process X(t) = 3 cos (wt + ) and Y(t) = 2 cos (wt +  -/2) where  is a random

variable uniformly distributed in (0,2) P.T √ Rxx(0)Ryy(0)≥|Rxy( τ )|

21. Given R() = ce-|| Obtain the spectral density Also state its application to linear system with random
inputs
22. Let {X (t) = a cos (Wt+Y)} be a random process where Y and W are independent random variable. Further
the characteristic function  of Y satisfies (1) = (2) = 0. While the density function f(w) of w satisfies f(w) = f(-
w). S.T X (t) is a WSS and calculate the spectral density.
23. State and establish the spectral representation theorem for WSS process. Also, obtain the covariance
function and spectral devising function average process.
24. Describe a linear system. With usual notation S.T S yy(w) = Sxx(w) | H (w) |2 where Syy(w) & Sxx(w) are the
spectral density function of Y(t) and X(t) and H(w) is the system transfer function.
25. Write a note on correlation integrals.
26. Write a note on linear system with random inputs.
27. Given the ACF of X(t) = A e-a||cos w where A > 0 , a > 0 and w are real constant . Find S(w)
28. A system has an impulse response h(t) = e –at
U(t) find the power spectral density of the output Y(t)
corresponding to the input X(t).

29. Given that

S XY ( ϖ )= {a+ib ϖ ,|ϖ|<1
0 else where find its cross-correlation function.

UNIT V LINEAR SYSTEMS WITH RANDOM INPUTS

Linear time invariant system - System transfer function –Linear systems with random inputs
– Auto correlation and cross correlation functions of input and output
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Dr. D. Saravanan, Professor of Mathematics