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Prof. V. Venkata Rao

2

CHAPTER 2

U

Probability and Random Variables

2.1 Introduction

At the start of Sec. 1.1.2, we had indicated that one of the possible ways of classifying the signals is: deterministic or random. By random we mean unpredictable; that is, in the case of a random signal, we cannot with certainty predict its future value, even if the entire past history of the signal is known. If the signal is of the deterministic type, no such uncertainty exists. Consider the signal x ( t ) = A cos ( 2 π f1 t + θ ) . If A , θ and f1 are known, then (we are assuming them to be constants) we know the value of x ( t ) for all t . ( A , θ and f1 can be calculated by observing the signal over a short period of time). Now, assume that x ( t ) is the output of an oscillator with very poor frequency stability and calibration. Though, it was set to produce a sinusoid of frequency f = f1 , frequency actually put out maybe f1' where f1' ∈ ( f1 ± ∆ f1 ) .

Even this value may not remain constant and could vary with time. Then, observing the output of such a source over a long period of time would not be of much use in predicting the future values. We say that the source output varies in a random manner.

Another example of a random signal is the voltage at the terminals of a receiving antenna of a radio communication scheme. Even if the transmitted

2.1

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Principles of Communication

Prof. V. Venkata Rao

(radio) signal is from a highly stable source, the voltage at the terminals of a receiving antenna varies in an unpredictable fashion. This is because the conditions of propagation of the radio waves are not under our control.

But randomness is the essence of communication. Communication theory involves the assumption that the transmitter is connected to a source, whose output, the receiver is not able to predict with certainty. If the students know ahead of time what is the teacher (source + transmitter) is going to say (and what jokes he is going to crack), then there is no need for the students (the receivers) to attend the class!

Although less obvious, it is also true that there is no communication problem unless the transmitted signal is disturbed during propagation or reception by unwanted (random) signals, usually termed as noise and interference. (We shall take up the statistical characterization of noise in Chapter 3.)

However, quite a few random signals, though their exact behavior is unpredictable, do exhibit statistical regularity. Consider again the reception of radio signals propagating through the atmosphere. Though it would be difficult to know the exact value of the voltage at the terminals of the receiving antenna at any given instant, we do find that the average values of the antenna output over two successive one minute intervals do not differ significantly. If the conditions of propagation do not change very much, it would be true of any two averages (over one minute) even if they are well spaced out in time. Consider even a simpler experiment, namely, that of tossing an unbiased coin (by a person without any magical powers). It is true that we do not know in advance whether the outcome on a particular toss would be a head or tail (otherwise, we stop tossing the coin at the start of a cricket match!). But, we know for sure that in a long sequence of tosses, about half of the outcomes would be heads (If this does not happen, we suspect either the coin or tosser (or both!)).

2.2

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Principles of Communication

Prof. V. Venkata Rao

Statistical

regularity

of

averages

is

an

experimentally

verifiable

phenomenon in many cases involving random quantities. Hence, we are tempted to develop mathematical tools for the analysis and quantitative characterization of random signals. To be able to analyze random signals, we need to understand random variables. The resulting mathematical topics are: probability theory, random variables and random (stochastic) processes. In this chapter, we shall develop the probabilistic characterization of random variables. In chapter 3, we shall extend these concepts to the characterization of random processes.

2.2 Basics of Probability

We shall introduce some of the basic concepts of probability theory by defining some terminology relating to random experiments (i.e., experiments whose outcomes are not predictable).

2.2.1. Terminology

Def. 2.1: Outcome

The end result of an experiment. For example, if the experiment consists of throwing a die, the outcome would be anyone of the six faces, F1 ,........, F6

Def. 2.2: Random experiment

An experiment whose outcomes are not known in advance. (e.g. tossing a coin, throwing a die, measuring the noise voltage at the terminals of a resistor etc.)

Def. 2.3: Random event

A random event is an outcome or set of outcomes of a random experiment that share a common attribute. For example, considering the experiment of throwing a die, an event could be the 'face F1 ' or 'even indexed faces' ( F2 , F4 , F6 ). We denote the events by upper case letters such as A , B or

A1 , A2 ⋅ ⋅ ⋅ ⋅

2.3

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Prof. V. Venkata Rao

Def. 2.4: Sample space

The sample space of a random experiment is a mathematical abstraction used to represent all possible outcomes of the experiment. We denote the sample space by

S.

S

Each outcome of the experiment is represented by a point in

and is

called a sample point. We use s (with or without a subscript), to denote a sample point. An event on the sample space is represented by an appropriate collection of sample point(s).

Def. 2.5: Mutually exclusive (disjoint) events

Two events A and B are said to be mutually exclusive if they have no common elements (or outcomes).Hence if A and B are mutually exclusive, they cannot occur together.

Def. 2.6: Union of events

The union of two events A and B , denoted A ∪ B , {also written as

(A

+ B ) or ( A or B )} is the set of all outcomes which belong to A or B or both.

**This concept can be generalized to the union of more than two events.
**

Def. 2.7: Intersection of events

The intersection of two events, A and B , is the set of all outcomes which belong to A as well as B . The intersection of A and B is denoted by ( A ∩ B ) or simply ( A B ) . The intersection of A and B is also referred to as a joint event

**A and B . This concept can be generalized to the case of intersection of three or
**

more events.

Def. 2.8: Occurrence of an event

An event A of a random experiment is said to have occurred if the experiment terminates in an outcome that belongs to A .

2.4

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then A B = φ and vice versa). denoted φ . denoted by P ( A ) . Def. But ⎝ n ⎠ ⎛n ⎞ as n becomes larger and larger. ⎜ A ⎟ to tend to a definite limiting ⎝ n ⎠ value. If n is the order of 100. is defined as ⎛n ⎞ P ( A ) = lim ⎜ A ⎟ n → ∞ ⎝ n ⎠ ⎛ nA ⎞ ⎜ n ⎟ represents the fraction of occurrence of A in n trials. 2. it is likely that ⎜ A ⎟ will fluctuate quite badly. S 2. and ii) the classical definition.10: Null event The null event. then the probability of A . Venkata Rao Def.5 Indian Institute of Technology Madras . For example. ⎜ A ⎟ may not deviate from ⎝ n ⎠ 2. let the experiment be that of tossing a coin and A the event ⎛n ⎞ 'outcome of a toss is Head'.1) ⎛n ⎞ For small values of n . V. Two of the most popular definitions are: i) the relative frequency definition. 2.2. 2. ⎝ ⎠ (2. we expect. denoted by A is the event containing all points in S but not in A . Def. is an event with no sample points. If the event A occurs nA times.Principles of Communication Prof.11: The relative frequency definition: Suppose that a random experiment is repeated n times.9: Complement of an event The complement of an event A . Thus φ = (note that if A and B are disjoint events.2 Probability of an Event The probability of an event has been defined in several ways.

then P ( A) = NA N (2. In the classical approach. we 2 1 ⎛n ⎞ expect ⎜ A ⎟ to converge to . namely. for i ≠ j and (2. 2.3..3b) (2.4) ii) Let A1 . we require the probability measure (to the various events on the sample space) to obey the following postulates or axioms: P1) P ( A ) ≥ 0 P2) P ( S ) = 1 P3) ( AB ) = φ . A2 . Using Eq.... it is possible for us to derive some additional relationships: i) If A B ≠ φ . say ten percent and as n becomes larger and larger. then P ( A + B ) = P ( A ) + P ( B ) − P ( A B ) (2. An be random events such that: a) Ai A j = φ . to denote the union of A and B and to denote the addition of two real numbers). 2.3a) (2. If N A of those outcomes are favorable to the occurrence of the event A . then P ( A + B ) = P ( A ) + P ( B ) (2.5a) 2.. V.. This is done by counting the total number N of the possible outcomes of the experiment. the probability of the event A is found without experimentation.6 Indian Institute of Technology Madras .Principles of Communication Prof.3(c)..2) where it is assumed that all outcomes are equally likely! Whatever may the definition of probability. 2 ⎝ n ⎠ Def.3c) (Note that in Eq. Venkata Rao 1 by more than. the symbol + is used to mean two different things.12: The classical definition: The relative frequency definition given above has empirical flavor. 2.

given that A has occurred. The conditional probability P ( B | A ) can be written in terms of the joint probability P ( A B ) and the probability of the event P ( A ) . denoted P ( B | A ) . 2. A2 .. Note: A1 .7) A very useful concept in probability theory is that of conditional probability... ⋅ ⋅ ⋅. + P ( A An ) where A is any event on the sample space. + An = S.Principles of Communication Prof. let a bowl contain 3 resistors and 1 capacitor. Such dependencies between the events is brought out using the notion of conditional probability .5a) and exhaustive (Eq..5b)..6 and 2. iii) P ( A ) = 1 − P ( A ) The derivation of Eq. Using the former. (2.. Venkata Rao b) A1 + A2 + . it represents the probability of B occurring.5b) (2.. (2. 2.7 is left as an exercise. P ( A ) = P ( A A1 ) + P ( A A2 ) + . The occurrence of the event 'the capacitor on the second draw' is very much dependent on what has been drawn at the first instant. This relation can be arrived at by using either the relative frequency definition of probability or the classical definition. 2. In a real world random experiment.6) Then. To give a simple example. V. An are said to be mutually exclusive (Eq.7 Indian Institute of Technology Madras . 2..4... we have ⎛ nAB ⎞ P ( AB ) = lim ⎜ ⎟ n → ∞ ⎝ n ⎠ ⎛n ⎞ P ( A ) = lim ⎜ A ⎟ n → ∞ ⎝ n ⎠ 2. it is quite likely that the occurrence of the event B is very much influenced by the occurrence of the event A .

2.10b) Eq. P (B ) ≠ 0 P (B ) (2. As P ( B | A ) refers to the probability of B occurring. P ( A) ≠ 0 ⎟ = P ( A) ⎟ ⎟ ⎠ n → ∞ ⎛ nAB ⎜ = lim ⎜ n n → ∞ ⎜ nA ⎜ n ⎝ or (2. P (B ) ≠ 0 (2.8(b) can be written as P ( A B ) = P (B | A) P ( A) = P (B ) P ( A | B ) (2.8 Indian Institute of Technology Madras .9) In view of Eq. Similar relation can be derived for the joint probability of a joint event involving the intersection of three or more events. given that A has occurred.10(b) is one form of Bayes’ rule or Bayes’ theorem.9. Eq.8(a) as P (B | A) = Similarly P (B ) P ( A | B ) P ( A) . we can also write Eq.10a) P ( A | B) = P ( A) P (B | A) .10(a) or 2. 2. say P ( B | A ) and the (unconditional) probability P ( A ) . 2.9 expresses the probability of joint event AB in terms of conditional probability.8b) Eq. For example P ( A BC ) can be written as 2. V.13: Conditional Probability P ( B | A ) = lim nAB nA ⎞ ⎟ P ( AB ) .8a) P ( A B ) = P (B | A) P ( A) Interchanging the role of A and B . we have P ( A | B) = P ( AB ) P (B ) . P ( A) ≠ 0 (2.Principles of Communication Prof.8(a) and 2. 2. 2. we have Def 2. Venkata Rao where nAB is the number of times AB occurs in n repetitions of the experiment.

then P ( A B ) = 0 .12) Eq. Alternatively. C are independent when 2.14) Either Eq. A set of k events A1 .14 can be used to define the statistical independence of two events. A2 .11) Exercise 2. V.. whereas if they are disjoint.Principles of Communication Prof.13) That is. Thus three events A . Another useful probabilistic concept is that of statistical independence.. 2.13 or 2.. knowledge of occurrence of A tells no more about the probability of occurrence B than we knew without that knowledge. Suppose the events A and B are such that P (B | A) = P (B ) (2..9 Indian Institute of Technology Madras . Then.. An be n mutually exclusive and exhaustive events and B is another event defined on the same space. Venkata Rao P ( A BC ) = P ( A B ) P (C | AB ) = P ( A ) P ( B | A ) P (C | AB ) (2.. B .12 represents another form of Bayes’ theorem. the events A and B are said to be statistically independent.. A2 .13. 2.. then P ( A B ) = P ( A ) P ( B ) . 2. Note that if A and B are independent. then P ( A B ) = P ( A) P (B ) A and B satisfy the (2.. Show that P Aj | B = ( ) i = 1 ) ( ) ∑ P (B | Aj ) P ( Aj ) P B | Aj P Aj n ( (2..1 Let A1 ... if Eq. Ak are said to be statistically independent if and only if (iff) the probability of every intersection of k or fewer events equal the product of the probabilities of its constituents... The notion of statistical independence can be generalized to the case of more than two events.

2. V. after seeing each other for some time (and after a few tiffs) decide to get married. 2.1 Priya (P1) and Prasanna (P2). a) b) Picture the sample space Let the event A stand for “P1 and P2 meet”. However. Example 2. much against the wishes of the parents on both the sides.1(a). before leaving in a huff never to meet again. on the ensuing Friday (looks like they are not aware of Rahu Kalam or they don’t care about it). Venkata Rao P ( A B ) = P ( A) P (B ) P ( AC ) = P ( A ) P (C ) P ( BC ) = P ( B ) P (C ) and P ( A BC ) = P ( A ) P ( B ) P (C ) We shall illustrate some of the concepts introduced above with the help of two examples. shown in Fig.m.Principles of Communication Prof. both are also very short tempered and will wait only 10 min. both are somewhat lacking in punctuality and their arrival times are equally likely to be anywhere in the interval 11 to 12 hrs on that day. Mark this event on the sample space. a) The sample space is the rectangle. c) Find the probability that the lovebirds will get married and (hopefully) will live happily ever after. They agree to meet at the office of registrar of marriages at 11:30 a.10 Indian Institute of Technology Madras . Unfortunately. Also arrival of one person is independent of the other.

The event A . 2. Assuming that P1 arrives at 11: x .Principles of Communication Prof.1(b). 2.11 Indian Institute of Technology Madras . Fig. 2. as shown in the figure. meeting between P1 and P2 would take place if P2 arrives within the interval a to b .1 b) The diagonal OP represents the simultaneous arrival of Priya and Prasanna. is shown in Fig. Venkata Rao Fig.1(b): The event A of Example 2. V. indicating the possibility of P1 and P2 meeting.1 2.1(a): S of Example 2.

( T1 indicates toss of coin 1 resulting in tails. similarly T2 etc. H1 H2 ). it represents the outcome T1 T2 . that is the probability of occurrence of any of these four outcomes is 1 .Principles of Communication Prof. T1 H2 . Let the event A be 'not H1 H2 ' and B be the event 'match'. Find P ( B | A ) . H1 T2 . (Treating each of these outcomes as an event.. the result P ( B | A ) = 1 is satisfying because. therefore.2: Let two honest coins. we find that these events 4 are mutually exclusive and exhaustive). i. marked 1 and 2. The four possible outcomes are T1 T2 .) We shall treat that all these outcomes are equally likely. 1 . Are A and B independent? We know that P ( B | A ) = P ( AB ) P ( A) . The event A comprises of the outcomes ‘ T1 T2 . Venkata Rao c) Probability of marriage = Shaded area 11 = Total area 36 Example 2. T1 H2 and 4 P ( A) = 3 4 1 1 P (B | A) = 4 = 3 3 4 Intuitively. (Match comprises the two outcomes T1 T2 .12 Indian Institute of Technology Madras . given 'not H1 H2 ’ the 3 toss would have resulted in anyone of the three other outcomes which can be 2. be tossed together. A B is the event 'not H1 H2 ' and 'match'. H1 H2 .e. Hence P ( A B ) = H1 T2 ’. V.

as shown in Fig. say X . X assigns a real number.3 Random Variables Let us introduce a transformation or function. A and B are dependent events. whose domain is the sample space (of a random experiment) and whose range is in the real line.13 Indian Institute of Technology Madras . Venkata Rao treated to be equally likely.2. Fig. 3 1 . 2.Principles of Communication Prof.2: A mapping X ( ) from S to the real line. that is. This implies that the outcome T1 T2 given 3 1 1 and P ( B | A ) = . which falls on the real line segment [a1 . X ( si ) . namely 'not H1 H2 '.2.1 Distribution function: Taking a specific case. let the random experiment be that of throwing a die. that is. The figure shows the transformation of a few individual sample points as well as the transformation of the event A . has a probability of As P ( B ) = 1 . 2.3. to each si ∈ S . a2 ] . 2 3 2. 2. V. The six faces of the die can be treated as the six sample points in S .

FX ( x ) is the probability of the event.) Evidently. denoted by FX ( FX ( x ) = P ⎡{s : X ( s ) ≤ x}⎤ ⎣ ⎦ ) which is given by (2. FX ( a1 ) etc. P ( s3 ) = and P ( s4 ) = . with 1 . let S consist of four sample points. 4 . Venkata Rao Fi = si ... V. 4 each with sample point representing an event with the probabilities P ( s1 ) = P ( s2 ) = 1 1 1 . 3. FX ( whose domain is the real line and whose range is the interval [0. . If X ( si ) = i − 1. then 8 8 2 the distribution function FX ( x ) . will be as shown in Fig.Principles of Communication Prof.15) That is. i = 1. 2. Once the transformation is induced.3. (Note that. it could be any ) is a function other symbol and we may use FX ( α ) . 2.14 Indian Institute of Technology Madras . . 6 . s1 to s4 . i = 1. But. 2. then the events on the sample space will become transformed into appropriate segments of the real line. Let X ( si ) = i . for convenience. 2. Then we can enquire into the probabilities such as P ⎡{s : X ( s ) < a1}⎤ ⎣ ⎦ P ⎡{s : b1 < X ( s ) ≤ b2 }⎤ ⎣ ⎦ or P ⎡{s : X ( s ) = c}⎤ ⎣ ⎦ These and other probabilities can be arrived at. provided we know the Distribution Function of X. As an example of a distribution function (also called Cumulative Distribution Function CDF). we use x as the argument of FX ( ) ... comprising all those sample points which are transformed by X into real numbers less than or equal to x .5.. 1] ).

In other words. Properties iv) and v) follow from the fact {s : X ( s ) ≤ b} ∪ {s : b < X ( s ) ≤ a} = {s : X ( s ) ≤ a} Referring to the Fig. then ⎡FX ( a ) − FX ( b ) ⎤ = P ⎡{s : b < X ( s ) ≤ a}⎤ ⎣ ⎦ ⎣ ⎦ If a > b . In general. 2. 2.5 ) = 1 1 at the point . if and only if P ⎡{s : X ( s ) = a}⎤ = Pa ⎣ ⎦ (2. V.Principles of Communication Prof. there is a discontinuity in FX of magnitude Pa at a point x = a .16) 2.3. Venkata Rao Fig.5 whereas FX ( − 0. there is a discontinuity of 4 4 x = − 0. note that FX ( x ) = 0 for x < − 0. then FX ( a ) ≥ FX ( b ) The first three properties follow from the fact that FX ( ) represents the probability and P ( S ) = 1.5 .3: An example of a distribution function FX ( ) satisfies the following properties: i) ii) iii) iv) v) FX ( x ) ≥ 0.15 Indian Institute of Technology Madras . − ∞ < x < ∞ FX ( − ∞ ) = 0 FX ( ∞ ) = 1 If a > b .

16 is satisfied. 2. Let the transformation X be X ( si ) = i . The only events that have been identified on the sample space are: A = {s1 . F X { } ( a+ ) − FX ( a ) = 0 . 1 TP PT Let x = a . s4 .5 ] = P ( s4 ) is not known as s4 is not an event on the sample space. 2. lim P ⎡a < X ( s ) ≤ a + ∆ ⎤ = lim ⎡FX ( a + ∆ ) − FX ( a ) ⎤ ⎣ ⎦ ⎣ ⎦ ∆ → 0 ∆ → 0 We intuitively feel that as ∆ → 0 . and has a step of size Pa at point a if and if Eq. the limit of the set s : a < X ( s ) ≤ a + ∆ is the null set and can be proved to be so. with ∆ > 0 . (The term “random variable” is somewhat misleading because an RV is a well defined function from S into the real line. Hence. let S consist of six sample points. every transformation from S into the real line need not be a random variable. s1 to s6 .5 < x ≤ 4. for any real x . B and C can be obtained. B = {s3 . We see that the probabilities for the 6 2 6 various unions and intersections of A . {s : X ( s ) ≤ x} should be an event in the sample space with some assigned probability. Then the distribution function fails to exist because P [s : 3. In other words.) However. P ( B ) = and P (C ) = . For example.16 Indian Institute of Technology Madras . s5 } and C = {s6 } and their probabilities are P ( A ) = 2 1 1 . Functions such as X ( ) for which distribution functions exist are called Random Variables (RV). F X ( x ) is continuous to the right. is continuous to the right at each point x 1. s2 }. where a + = ∆ → 0 lim (a + ∆ ) That is. V. Venkata Rao The properties of the distribution function are summarized by saying that Fx ( TP PT ) is monotonically non-decreasing. Consider.Principles of Communication Prof.

⎧1. 5 ⎪3 .17 Indian Institute of Technology Madras . P ( B ) = and P (C ) = . i = 3. s4 .17a) −∞ ∫ f (α) d α X x (2. 2. s1 to s6 . namely.2 Let identified S be a sample space with six sample points.2 Probability density function Though the CDF is a very fundamental concept. 3 2 6 Let Y ( ) be the transformation. The events on S are the same as above. 4. 2. 2 ⎪ = ⎨2 . V. Venkata Rao Exercise 2. s2 } . B = {s3 .Principles of Communication Prof.4.17b) The distribution function may fail to have a continuous derivative at a point x = a for one of the two reasons: i) ii) the slope of the Fx ( x ) is discontinuous at x = a Fx ( x ) has a step discontinuity at x = a The situation is illustrated in Fig. in practice we find it more convenient to deal with Probability Density Function (PDF). f X ( x ) is defined as the derivative of the CDF. that is fX ( x ) = or FX ( x ) = d FX ( x ) dx (2. i = 1. 2. Sketch FY ( y ) . The PDF.3. A = {s1 . i = 6 ⎩ Y ( si ) Show that Y ( ) is a random variable by finding FY ( y ) . s5 } and C = {s6 } with P ( A ) = 1 1 1 .

FX ( x ) has a discontinuous slope at x = 1 and a step discontinuity at x = 2 . we resolve the ambiguity by taking f X to be a derivative on the right. Venkata Rao Fig. V.) The second case is taken care of by introducing the impulse in the probability domain.4: A CDF without a continuous derivative As can be seen from the figure. This impulse function cannot be taken as the limiting case of 2⎦ 8 ⎣ an even function (such as 1 2 ε → 0 1 ⎛x⎞ ga ⎜ ⎟ ) because.18. 2.3. if there is a discontinuity in FX at x = a of magnitude Pa . In the first case. we include an impulse Pa δ ( x − a ) in the PDF.18) In Eq. 2. That is. the PDF will be. fX ( x ) = 1 ⎛ 1⎞ 1 ⎛ 1⎞ 1 ⎛ 3⎞ 1 ⎛ 5⎞ δ⎜ x + ⎟ + δ⎜ x − ⎟ + δ⎜ x − ⎟ + δ⎜ x − ⎟ 4 ⎝ 2⎠ 8 ⎝ 2⎠ 8 ⎝ 2⎠ 2 ⎝ 2⎠ (2.Principles of Communication Prof. (Note that FX ( x ) is continuous to the right. ε ⎝ε⎠ 1 2 lim 1 −ε 2 ∫ f X ( x ) dx = lim ε → 0 1 2 ∫ 1 ⎛ 1⎞ 1 δ ⎜ x − ⎟ dx ≠ 8 ⎝ 2⎠ 16 −ε 2. f X ( x ) has an impulse of weight 1 8 at x = 1 2 as 1⎤ 1 ⎡ P ⎢ X = ⎥ = . For example.18 Indian Institute of Technology Madras . for the CDF shown in Fig. 2.

a random variable can be classified as: i) continuous (ii) discrete and (iii) mixed. then we have a set of k co-existing random variables. 1 ≤ x < 3 ⎪8 2 2 ⎩ Such an impulse is referred to as the left-sided delta function. y ) = P ⎡{s : X ( s ) ≤ x . V. If the CDF. FX ( x ) . is a continuous function of x for all x .19b) Based on the behavior of CDF. If we induce k such transformations. say X and Y . − 2 ≤ x < 2 ⎪ FX ( x ) = ⎨ ⎪3 . then X 1 is a continuous random variable. They can be characterized by the (two-dimensional) joint distribution function. 2.20) As the domain of the random variable X ( ) is known. we have i) ii) fX ( x ) ≥ 0 ∞ (2.3. 8 1 1 ⎧2 ⎪8 . it is convenient to denote the variable simply by X .3 Joint distribution and density functions Consider the case of two random variables.Principles of Communication Prof. Venkata Rao 1 2 However. lim ε → 0 1 −ε 2 ∫ f X ( x ) dx = 1 . Later on in this lesson. We can induce more than one transformation on a given sample space. given by FX . We say that X is a mixed random variable if FX ( x ) is discontinuous but not a staircase.19a) = 1 −∞ ∫ f ( x ) dx X (2. Y ( s ) ≤ y }⎤ ⎣ ⎦ 1 TP PT (2.19 Indian Institute of Technology Madras . then X corresponds to a discrete variable. As FX is non-decreasing and FX ( ∞ ) = 1. This ensures.Y ( x . 2. we shall discuss some examples of these three types of variables. If FX ( x ) is a TP PT staircase.

Y ( x . Properties of the two dimensional distribution function are: i) ii) iii) iv) v) FX .Y ( x .Y ( x .Y ( ∞ . −∞ < y < ∞ FX . In other words. Similarly.20 Indian Institute of Technology Madras . FX . y ) = FX . Y ( s )} corresponding to FX . 2. 2.Y ( ∞ .Principles of Communication Prof.5: Space of { X ( s ) . V. y ) = FY ( y ) FX . then F ( x1 .Y ( x .Y ( x1 . let A be the set of all those sample S such that X ( s ) ≤ x1 . −∞ < x < ∞.Y ( x1 . y ) ≥ 0 . their transformed values will be less than or equal to x and at the same time. Fig. FX .Y ( − ∞ . the transformed values will be less than or equal to y . ∞ ) = FX ( x ) 2. y1 ) Looking at the sample space points s ∈ S. Venkata Rao That is.5. y1 ) is the probability sample points s ∈ associated with the event AB . under Y . y ) is the probability associated with the set of all those sample points such that under X . y1 ) is the probability associated with the set of all sample points whose transformation does not fall outside the shaded region in the two dimensional (Euclidean) space shown in Fig. if B is comprised of all those S such that Y ( s ) ≤ y1 . ∞ ) = 1 FX . − ∞ ) = 0 FX .

y ) dx X . y ) = − ∞− ∞ ∫ ∫ f ( α .22) Eq. β ) d β⎥ d α ⎬ d x1 ⎪− ∞ ⎢ − ∞ ⎥ ⎪ ⎦ ⎩ ⎣ ⎭ (2. β ) dβ X .21b) The notion of joint CDF and joint PDF can be extended to the case of k random variables.Y ( x2 .Y y x (2. That is.Y ( x . f X ( x1 ) = fX ( x ) = d FX ( x ) dx ∞ ∞ = x = x1 −∞ ∫ f ( x . where k ≥ 3 .Y ( α . We know that. y ) ∂x ∂y (2. the statistics of any individual variable is called the marginal. β ) d α dβ X . y ) dy X . Given the joint PDF of random variables X and Y .Y ( x1 .Y ( x .Y ∞ f X ( x1 ) = x ∞ ⎫ ⎤ d ⎧ 1⎡ ⎪ ⎪ ⎨ ∫ ⎢ ∫ f X .Y (2. β) d β d α X . fY ( y ) = ∞ −∞ ∫ f ( x .22 involves the derivative of an integral.23b) (In the study of several random variables. y1 ) ≥ FX .21 Indian Institute of Technology Madras .Y ( x2 . FX ( x1 ) = x1 − ∞− ∞ ∫ ∫ f ( α .Y ( x . y ) = ∂2 FX . ∞ ) = FX ( x1 ) . f X ( x ) and fY ( y ) . y 2 ) ≥ FX .Y ( x1 .Principles of Communication Prof.23a) Similarly.Y 1 or −∞ ∫ f ( x . 2. FX . then FX . it is possible to obtain the one dimensional PDFs. y1 ) We define the two dimensional joint PDF as f X . Hence. Venkata Rao vi) If x2 > x1 and y 2 > y1 .21a) or FX . V. Hence it is common to refer FX ( x ) as the marginal 2.Y (2.

y ) fX ( x ) (2. That is.Y ( x .26b) 2. given y = y1 . Venkata Rao distribution function of X and f X ( x ) as the marginal density function. f X |Y ( x | y ) = fY | X ( y | x ) = f X .Y ( x . We might also be interested in the PDF of X given a specific value of y = y1 . An analogous relation can be defined for fY | X ( y | x ) .25b) (2. Once we understand the meaning of conditional PDF. we have the pair of equations.25a) and or (2. Accordingly. y ) .25d) f X .Y ( x .Principles of Communication Prof.24) where it is assumed that fY ( y1 ) ≠ 0 .Y ( x . it satisfies all the requirements of an ordinary PDF. This is called the conditional PDF of X .Y ( x . we might as well drop the subscript on y and denote it by f X |Y ( x | y ) . y ) = f X |Y ( x | y ) fY ( y ) = fY | X ( y | x ) f X ( x ) The function f X |Y ( x | y ) may be thought of as a function of the variable x with variable y arbitrary. but fixed. that is.) 2.26a) = 1 and −∞ ∫ f ( x | y ) dx X |Y (2. y1 ) fY ( y1 ) (2.22 Indian Institute of Technology Madras . V. f X |Y ( x | y ) ≥ 0 ∞ (2. y ) fY ( y ) f X . FY ( y ) and fY ( y ) are similarly referred to. we know how to obtain f X ( x ) or fY ( y ) .3.25c) (2. denoted f X |Y ( x | y1 ) and defined as f X |Y ( x | y1 ) = f X .4 Conditional density Given f X .

5 Statistical independence In the case of random variables.30b) Similarly. Let X and Y be independent. We shall now give a few examples to illustrate the concepts discussed in sec. We call k random variables X1 .3.3 A random variable X has ⎧ 0 .Y .Y ( x . f X . . 0 ≤ x ≤ 10 ⎪100 K . z ) = f X ( x ) fY ( y ) fz ( z ) (2. Z are independent.30(a) and 2. Y .30a) (2. iff.Principles of Communication Prof.27) Hence. fY | X ( y | x ) = fY ( y ) Eq.. 2.29) Statistical independence can also be expressed in terms of conditional PDF. y . V.. y ) = f X ( x ) fY ( y ) Making use of Eq.. Then. X 2 . Venkata Rao 2.28) and three random variables X . Z ( x ..Y ( x . iff f X . we have f X |Y ( x | y ) fY ( y ) = f X ( x ) fY ( y ) or f X |Y ( x | y ) = f X ( x ) (2. Example 2. the k -dimensional joint PDF factors into the product i = 1 ∏ f X i ( xi ) k (2. the definition of statistical independence is somewhat simpler than in the case of events. f X . 2.. two random variables X and Y are statistically independent. x < 0 ⎪ FX ( x ) = ⎨ K x 2 . .3. 2.23 Indian Institute of Technology Madras .25(c). y ) = f X ( x ) fY ( y ) (2. x > 10 ⎩ i) ii) Find the constant K Evaluate P ( X ≤ 5 ) and P ( 5 < X ≤ 7 ) 2.. X k statistically independent iff...30(b) are alternate expressions for the statistical independence between X and Y .

As can be seen f X ( x ) ≥ 0 for − ∞ < x < ∞ .Principles of Communication Prof.25 ⎝ 100 ⎠ P ( 5 < X ≤ 7 ) = FX ( 7 ) − FX ( 5 ) = 0. ⎪0 . ⎧0 ⎪ = ⎨0. ⎩ x < 0 0 ≤ x ≤ 10 x > 10 Note: Specification of f X ( x ) or FX ( x ) is complete only when the algebraic expression as well as the range of X is given. ∫ a e − b x dx = 0 −∞ ∫ ae −bx dx = 2 ∫ a e − b x dx = 1 . 2 ii) the given PDF can be written as ⎧a e b x . 0 ∞ ∞ 1 .24 fX ( x ) = d FX ( x ) dx .4 Consider the random variable X defined by the PDF fX ( x ) = a e −bx .02 x . V. ⎩ x < 0 x ≥ 0. Determine the corresponding FX ( x ) Find P [1 < X ≤ 2] . hence b = 2 a . In order for f X ( x ) to ∞ i) represent a legitimate PDF. Example 2. i) ii) iii) Determine the relation between a and b so that f X ( x ) is a PDF. 100 ⎛ 1 ⎞ P ( x ≤ 5 ) = FX ( 5 ) = ⎜ ⎟ × 25 = 0. Venkata Rao iii) What is f X ( x ) ? i) ii) FX ( ∞ ) = 100 K = 1 ⇒ K = 1 . 2.24 Indian Institute of Technology Madras . − ∞ < x < ∞ where a and b are positive constants. ⎪ fX ( x ) = ⎨ − b x ⎪a e . we require That is.

Y ( x . 2 1 − bx e . V. y ) fX ( x ) 2.Y ( x . y ) = ⎨ 2 ⎪0 . we have FX ( x ) = b bα 1 e d α = eb x . otherwise ⎩ Find (a) (b) i) fY | X ( y | 1) and ii) fY | X ( y | 1. Take a specific value of x = 2 FX ( 2 ) = −∞ ∫ f (x) d x X ∞ = 1 − ∫ fX ( x ) d x 2 But for the problem on hand. 2 x < 0 x ≥ 0 1 −b e − e− 2 b 2 ( ) Example 2.Principles of Communication Prof.25 Indian Institute of Technology Madras . 0 ≤ x ≤ y. Venkata Rao For x < 0 . 2 2 −∞ ∫ 2 x Consider x > 0 . 0 ≤ y ≤ 2 ⎪ Let f X . x > 0 2 We can now write the complete expression for the CDF as ⎧ ⎪ ⎪ FX ( x ) = ⎨ ⎪1 − ⎪ ⎩ iii) FX ( 2 ) − FX (1) = 1 bx e .5 ) Are X and Y independent? (a) fY | X ( y | x ) = f X .5 ⎧1 . FX ( x ) = 1 − 1 − bx e . ∫ f X ( x ) d x = 2 ∞ −2 −∞ ∫ f (x) d x X Therefore.

Principles of Communication Prof. V. fX ( x ) = Hence. 1 ≤ y ≤ 2 ⎨ 1 ⎩0 . Hence. otherwise 4 the dependence between the random variables X and Y is evident from the statement of the problem because given a value of X = x1 . y ≥ x . 0 ≤ x ≤ 2 2 fY | X ( y | 1) = 1 2 = ⎧1 . Venkata Rao f X ( x ) can be obtained from f X . Also we see that fY | X ( y | x ) depends on x whereas if X and Y were to be independent. 1. (i) ∫2 dy x 2 1 = 1− x . Y should be greater than or equal to x1 for the joint PDF to be non zero. 2.26 Indian Institute of Technology Madras .5 ) = 2 = ⎨ 1 ⎩0 . otherwise 2 (ii) b) 1 ⎧2 .5 ≤ y ≤ 2 fY | X ( y | 1. The maximum value taken by y is 2 . then fY | X ( y | x ) = fY ( y ) . for any given x .Y by integrating out the unwanted variable y over the appropriate range. in addition.

In performing these operations. 2.Y ( x . 2.27 Indian Institute of Technology Madras .4 Transformation of Variables The process of communication involves various operations such as modulation.6) Fig. y ) Show that ⎧ y . filtering etc. 10 < y ≤ 20 ⎪ 5 100 ⎩ 2. Venkata Rao Exercise 2. (Fig.3 For the two random variables X and Y .Principles of Communication Prof. We will now develop the necessary theory for the statistical characterization of the output random variables. we typically generate new random variables from the given ones.6: PDFs for the exercise 2. detection. V. 0 ≤ y ≤ 10 ⎪100 ⎪ fY ( y ) = ⎨ ⎪ 1 − y . given the transformation and the input random variables. 2. the following density functions have been given.3 Find a) b) f X .

.. 2. 2.1 Let Y = g ( X ) . Denoting its real roots by xn .... x2 and x3 .31) where g ' ( x ) is the derivative of g ( x ) . obtained from X by the transformation Y = g ( X ) . We see that the equation y 1 = g ( x ) has three roots namely.28 Indian Institute of Technology Madras ...1 Functions of one random variable Assume that X is the given random variable of the continuous type with the PDF.... x1 . we will show that fY ( y ) = g ' ( x1 ) f X ( x1 ) + . + g ' ( xn ) f X ( xn ) + .. solve the equation y = g ( x ) ..Principles of Communication Prof..4.. (2.. = g ( xn ) = .... To find fY ( y ) . f X ( x ) .. Venkata Rao 2.. Let Y be the new random variable.. 2.. V...1).. This can be obtained with the help of the following theorem (Thm.. for the specific y .... ...7. By this we mean the number Y ( s1 ) associated with any sample point s1 is Y ( s1 ) = g ( X ( s1 ) ) Our interest is to obtain fY ( y ) . y = g ( x1 ) = . . Theorem 2. Proof: Consider the transformation shown in Fig.

this set consists of the following intervals: x1 < x ≤ x1 + d x1 . d x1 = dy g ' ( x1 ) P [ x2 + d x2 < x ≤ x2 ] = f X ( x2 ) d x2 . x3 < x ≤ x3 + d x3 where d x1 > 0 . but d x2 < 0 .1 We know that fY ( y ) d y = P [ y < Y ≤ y + d y ] .7: X − Y transformation used in the proof of theorem 2. d x3 > 0 . d x2 = P [ x3 < X ≤ x3 + d x 3 ] = f X ( x 3 ) d x3 . P [ x1 < X ≤ x1 + d x1 ] = f X ( x1 ) d x1 . d x 3 = dy g ' ( x2 ) dy g ' ( x3 ) 2. for any given y 1 . x2 + d x2 < x ≤ x2 . it follows that P [ y1 < Y ≤ y1 + d y ] = P [ x1 < X ≤ x1 + d x1 ] + P [ x2 + dx2 < X ≤ x2 ] + P [ x3 < X ≤ x 3 + d x3 ] This probability is the shaded area in Fig. 2.7.Principles of Communication Prof. V. From the above. we need to find the set of values x such that y1 < g ( x ) ≤ y1 + d y and the probability that X is in this set.29 Indian Institute of Technology Madras . As we see from the figure. Therefore. Venkata Rao Fig. 2.

2. 0 ) . that is FY ( y ) is discontinuous at y = y1 . there is a unique x satisfying the above transformation.32) and Eq. elsewhere ⎩ and a = − 1 Then. 2. Hence fY ( y ) contains an impulse. fY ( y ) = 1 − y + 1 As y = x − 1.30 Indian Institute of Technology Madras . Hence. we have fY ( y ) = f X ( y − a ) ⎧1 − x .32.31 follows. V. Venkata Rao We conclude that fY ( y ) d y = g ' ( x1 ) f X ( x1 ) dy + g ' ( x2 ) f X ( x2 ) dy + g ' ( x3 ) f X ( x3 ) dy (2. x1 ) . 2. by canceling d y from the Eq.Principles of Communication Prof. For a given y . We shall take up a few examples. then we have P [Y = y1 ] = P ( x0 < X ≤ x1 ) = FX ( x1 ) − FX ( x0 ) . 1) .6 Y = g ( X ) = X + a . Example 2. x ≤ 1 ⎪ Let f X ( x ) = ⎨ ⎪ 0 . where a is a constant. and x ranges from the interval ( − 1. We have g ' ( x ) = 1 and x = y − a . Let us find fY ( y ) . we have the range of y as ( − 2. δ ( y − y1 ) of area FX ( x1 ) − FX ( x0 ) . fY ( y ) d y = g '(x) fX ( x ) d y and as g ' ( x ) = 1. Note that if g ( x ) = y1 = constant for every x in the interval ( x0 .

Principles of Communication Prof. otherwise ⎩ and b = − 2 . Venkata Rao ⎧1 − y + 1 . then 1 ⎛y⎞ fX ⎜ ⎟ . Again for a given y . − 2 ≤ y ≤ 0 ⎪ Hence fY ( y ) = ⎨ 0 . Fig. there is a unique b x . As g ' ( x ) = b . V.8: FX ( x ) and FY ( y ) of example 2.7 Let Y = b X . we have fY ( y ) = x ⎧ ⎪1 − .8. Let us find fY ( y ) .31 Indian Institute of Technology Madras . Example 2. 2. where b is a constant. b ⎝b⎠ 2. 0 ≤ x ≤ 2 Let f X ( x ) = ⎨ 2 ⎪ 0 . the transformation of adding a constant to the given variable simply results in the translation of its PDF. we have X = 1 Y .6 As can be seen. 2. Solving for X . elsewhere ⎪ ⎩ FX ( x ) and FY ( y ) are shown in Fig.

8 Y = a X 2 . 2. Fig.9. V. Venkata Rao ⎧1 ⎪ fY ( y ) = ⎨ 2 ⎪ ⎩ y⎤ ⎡ ⎢1 + 4 ⎥ . compute and sketch fY ( y ) for a = − 2 .4 Let Y = a X + b . Example 2. a ⎝ a ⎠ If f X ( x ) is as shown in Fig.Principles of Communication Prof. 2. otherwise f X ( x ) and fY ( y ) are sketched in Fig.32 Indian Institute of Technology Madras .7 Exercise 2. a > 0 .8. − 4 ≤ y ≤ 0 ⎣ ⎦ 0 . where a and b are constants.2. 2. Let us find fY ( y ) . Show that fY ( y ) = 1 ⎛y − b⎞ fX ⎜ ⎟.9: f X ( x ) and fY ( y ) of example 2. and b = 1.

and Eq. then the equation y = a x 2 has no real solution. X ≤ 0 Y =⎨ ⎩X . then it has two solutions. otherwise ⎩ Sketching of f X ( x ) and fY ( y ) is left as an exercise. y ≥ 0 a ⎟⎥ ⎠⎦ . 2. V. Venkata Rao g ' ( x ) = 2 a x . y ≥ 0 ⎪ = ⎨ 2π y ⎝ 2⎠ ⎪ 0 . If y ≥ 0 . b) 2. and f X ( x ) = ⎛ x2 ⎞ exp ⎜ − . −∞ < x < ∞ ⎜ 2 ⎟ ⎟ 2π ⎝ ⎠ 1 (Note that exp ( α ) is the same as e α ) Then fY ( y ) = 1 2 y ⎡ ⎛ y⎞ ⎛ y ⎞⎤ ⎢ exp ⎜ − 2 ⎟ + exp ⎜ − 2 ⎟ ⎥ 2π ⎣ ⎝ ⎠ ⎝ ⎠⎦ ⎧ 1 ⎛ y⎞ exp ⎜ − ⎟ . X > 0 a) Let us find the general expression for fY ( y ) 1 3 ⎧1 ⎪ . − < x < Let f X ( x ) = ⎨ 2 2 2 ⎪ 0 . Example 2. otherwise Let a = 1 . otherwise ⎩ We shall compute and sketch fY ( y ) . If y < 0 .33 Indian Institute of Technology Madras .31 yields a y and a fY ( y ) ⎧ 1 ⎡ ⎛ y⎞ ⎛ ⎪ ⎢f X ⎜ ⎟ + fX ⎜ − ⎜ a⎟ ⎜ ⎪ ⎠ ⎝ ⎣ = ⎨ 2a y ⎢ ⎝ a ⎪ ⎪ 0 ⎩ y ⎞⎤ ⎟⎥ . x1 = x2 = − y .Principles of Communication Prof.9 Consider the half wave rectifier transformation given by ⎧0 . Hence fY ( y ) = 0 for y < 0 .

y = 0 ⎪ 3 ⎪1 = ⎨ . − <x< Specifically. fY ( y ) f X ( x ) and fY ( y ) are sketched in Fig.34 Indian Institute of Technology Madras .Principles of Communication Prof.9 2. otherwise ⎩ ⎧1 . 0 < y ≤ 2 ⎪2 . 2. fY ( y ) = 0 for y < 0 . otherwise ⎪0 ⎪ ⎩ Then. otherwise b) 1 3 ⎧1 ⎪ . 2. As Y = X for x > 0 . there is an impulse in fY ( y ) at y = 0 whose area is equal to FX ( 0 ) . let f X ( x ) = ⎨ 2 2 2 ⎪0 . Hence ⎧f ( y ) w ( y ) + FX ( 0 ) δ ( y ) ⎪ fY ( y ) = ⎨ X ⎪0 . Fig. y ≥ 0 where w ( y ) = ⎨ ⎩0 . Hence. V. 0 ) . elsewhere ⎩ ⎧1 ⎪4 δ(y ) . we have fY ( y ) = f X ( y ) for y > 0 .10: f X ( x ) and fY ( y ) for the example 2. As Y is nonnegative. Venkata Rao a) Note that g ( X ) is a constant (equal to zero) for X in the range of ( − ∞ .10.

Y assumes only two values. a continuous RV is transformed into a mixed RV. 3 1 and P− 1 = . Example 2. V. 2. Hence the PDF of Y has only two impulses. 2. In this case. X ≥ 0 a) b) Let us find the general expression for fY ( y ) . Fig.10 Note that this transformation has converted a continuous random variable X into a discrete random variable Y .35 Indian Institute of Technology Madras . Y . X < 0 Let Y = ⎨ ⎩+ 1.9. namely ±1.9.10 ⎧− 1. Let us write fY ( y ) as fY ( y ) = P1 δ ( y − 1) + P−1 δ ( y + 1) where a) P− 1 = P [ X < 0 ] and P1 [ X ≥ 0 ] b) Taking f X ( x ) of example 2.11 4 4 Fig. Venkata Rao Note that X . We shall compute and sketch fY ( x ) assuming that f X ( x ) is the same as that of Example 2.Principles of Communication Prof. 2. we have P1 = has the sketches f X ( x ) and fY ( y ) .11: f X ( x ) and fY ( y ) for the example 2.

2.12(a) be the input to a device with the input-output characteristic shown in Fig.12: (a) Input PDF for the transformation of exercise 2.Principles of Communication Prof. Compute and sketch fY ( y ) . Compute and sketch fY ( y ) .12(b).5 (b) Input-output transformation Exercise 2. Venkata Rao Exercise 2.6 The random variable X of exercise 2. 2.36 Indian Institute of Technology Madras .5 Let a random variable X with the PDF shown in Fig. 2. 2.13. 2. V. Fig.5 is applied as input to the X − Y transformation shown in Fig.

the RV.. Y ) and W = h ( X . then Y takes the 6 a) If X takes the values (1. two new random variables. Y = g ( X ) is also discrete.Principles of Communication Prof. 1.. ∑ 3 6 b) 1 6 i = −2 δ ( x − i ) . then P [Y = y k ] = Pk + Pm .. fY ( y ) = 6 6 i = 1 ∑ δ(x − i ) . . y k = g ( x ) for x = xk and x = xm .. . X takes the values − 2. 1. assuming the value Yk = g ( x k ) with probability Pk .. . If y k = g ( x ) for only one x = xk . 2. Z and W are defined using the transformation Z = g ( X . 4. In this case. fY ( y ) = 1 1 1 1 . 0.. 62 with probability 1 1 . however.. then 6 Y takes the values 0.. 3 with probability 1 .. 6 3 3 6 1 1 ⎡δ ( y ) + δ ( y − 9 ) ⎤ + ⎡δ ( y − 1) + δ ( y − 4 ) ⎤ ⎣ ⎦ 3⎣ ⎦ 6 2... − 1. 6 ) with probability of values 12 . 22 .. 1 . 6 2 b) If. then P [Y = y k ] = P [ X = xk ] = Pk .37 Indian Institute of Technology Madras . 9 with probabilities That is. find fY ( y ) ..2 Functions of two random variables Given two random variables X and Y (assumed to be continuous type). Venkata Rao We now assume that the random variable X is of discrete type taking on the value x k with probability Pk . Example 2. That is..11 Let Y = X 2 . If however. V. respectively. find fY ( y ) . . a) 1 If f X ( x ) = 6 If f X ( x ) = i = 1 ∑ δ ( x − i ) . 2. Y ) 2.4.

y ) . We shall now state the theorem which relates fZ .2: To obtain fZ . Venkata Rao Given the above transformation and f X . y ) = w1 . For a more general version of this theorem.W ( z . y ) . ( x1 . w ⎞ J⎜ ⎟ = ∂w ⎝ x.W ( z . That is. Then. (2. y ) = z1 . w ) and f X . V. y1 ) ⎛ z. for x and y .33b) then there is a unique set of numbers. w ⎞ J⎜ ⎟ ⎝ x1 .Y ( x . given g ( x .33. We shall assume that the transformation is one-to-one. we require the Jacobian of the transformation. w ) . w ) = f X . y1 ) be the result of the solution.38 Indian Institute of Technology Madras .1. solve the system of equations g ( x . w ⎞ J⎜ ⎟ where ⎝ x.33a) (2. y1 ) satisfying Eq. 2. fZ . For this. denoted ⎛ z. Theorem 2.W ( z . w ) . y ) = z1 . h ( x . y ⎠ ∂z ∂x ⎛ z. h ( x .Principles of Communication Prof. y ⎠ ∂x = ∂z ∂y ∂w ∂y ∂ z ∂w ∂ z ∂w − ∂x ∂y ∂y ∂x That is. Let ( x1 . we would like to obtain fZ . y ) = w1 . the Jacobian is the determinant of the appropriate partial derivatives. refer [1].Y ( x .34) Proof of this theorem is given in appendix A2. y1 ⎠ (2.Y ( x1 . 2.W ( z .

Fig. Venkata Rao Example 2. w ) a) From the given transformations. y ) is non-zero.Y is non-zero (b) The space where fZ . x ≤ 1 2 1 . Fig. we obtain x = 1 (z + w ) 2 and y = 1 ( z − w ) . 2.14: (a) The space where f X .Y ( x .W ( z . let us find (a) fZ . If Z = X + Y and W = X − Y .14(a) 2 depicts the (product) space A on which f X . y ≤ 1 2 and (b) fZ ( z ) .Principles of Communication Prof.39 Indian Institute of Technology Madras .W is non-zero 2. fX ( x ) = fY ( y ) = 1 . 2. We see that the mapping is one-to-one.12 X and Y are two independent RVs with the PDFs . V.

b) fZ ( z ) = ∞ −∞ ∫ f (z. y ⎠ Hence fZ . Hence fZ ( z ) = + z −z ∫ 8 dw 1 1 = 1 z.W ⎧1 1 4 = ⎪8 . 0 ≤ z ≤ 2 4 For z negative. V. w ∈ B (z. we have fZ ( z ) = −z ∫ 8 dw z = − 1 z. w ) = ⎨ 2 ⎪0 . 2.W ( z . 2. we can see that.Principles of Communication Prof.14(b). z. for a given z ( z ≥ 0 ). w ⎞ J⎜ = − 2 and J ( ⎟ = 1 −1 ⎝ x. The Jacobian of the transformation 1 1 ⎛ z. w ) d w Z . Venkata Rao We can obtain the space B (on which fZ .40 Indian Institute of Technology Madras . −2 ≤ z ≤ 0 4 2.W From Fig. w ) is non-zero) as follows: A space The line x = 1 B space 1 (z + w ) = 1 ⇒ w = − z + 2 2 1 ( z + w ) = − 1 ⇒ w = − ( z + 2) 2 1 (z − w ) = 1 ⇒ w = z − 2 2 1 (z − w ) = − 1 ⇒ w = z + 2 2 The line x = − 1 The line y = 1 The line y = − 1 The space is B is shown in Fig.14(b). w can take values only in the − z to z . otherwise ⎩ ) = 2.

Y ) is specified and what is required is fZ ( z ) . fΦ ( ϕ ) and to show that R and Φ are independent variables. otherwise ⎩0 It is left as an exercise to find fR ( r ) . Theorem 2. It is given that ⎝X⎠ ⎡ ⎛ x 2 + y 2 ⎞⎤ 1 f X . As the given transformation is from cartesian-to-polar coordinates. y ) = exp ⎢ − ⎜ ⎟⎥ . ∂r ∂x ∂ϕ ∂x ∂r ∂y cos ϕ = − sin ϕ ∂ϕ r ∂y sin ϕ 1 cos ϕ = r r J = ⎧ r ⎛ r2 ⎞ exp ⎜ − ⎟ . we can write x = r cos φ and y = r sin φ . y < ∞ . w ) is found from which fZ ( z ) can be obtained. 2π 2 ⎠⎦ ⎣ ⎝ Let us find fR . To apply the theorem.2 can also be used when only one function Z = g ( X .41 Indian Institute of Technology Madras . Venkata Rao Hence fZ ( z ) = 1 z . − π < ϕ < π ⎪ Hence. using the theorem fZ .W ( z . fR . 0 ≤ r ≤ ∞ . and the transformation is one -to -one. Φ ( r . Typically W = X or W = Y .Principles of Communication Prof. R = X 2 + Y 2 and ⎛Y ⎞ Φ = arc tan ⎜ ⎟ where we assume R ≥ 0 and − π < Φ < π . V. Φ ( r . − ∞ < x. z ≤ 2 4 Example 2. 2. ϕ ) = ⎨ 2 π ⎝ 2⎠ ⎪ .13 Let the random variables R and Φ be given by. ϕ ) .Y ( x . a conveniently chosen auxiliary or dummy variable W is introduced.

2. −1 ≤ x ≤ 1 fX ( x ) = ⎨ 2 ⎪0 .Principles of Communication Prof. 2.14 Let X and Y be two independent random variables.W ( z . w ) and fZ ( z ) = ∞ −∞ ∫ f (z − w . 2.Y ∞ (2. fZ ( z ) is the convolution of f X ( z ) and fY ( z ) . Then. fZ = f X ∗ fY Example 2. otherwise ⎩ If Z = X + Y . otherwise ⎩ ⎧1 ⎪ .36b) That is. Let us introduce a dummy variable W = Y . then Eq. −2 ≤ y ≤ 1 fY ( y ) = ⎨ 3 ⎪0 .Y ( z − w .35 becomes fZ ( z ) = −∞ ∫ f ( z − w ) f (w ) d w X Y (2. Carrying out the convolution.36a) (2. and Y = W .15. fZ .36(b).35) If X and Y are independent. As J = 1 .42 Indian Institute of Technology Madras . with ⎧1 ⎪ . w ) d w X . w ) = f X . we obtain fZ ( z ) as shown in Fig. Venkata Rao Let Z = X + Y and we require fZ ( z ) . 2. let us find P [ Z ≤ − 2] . V. X = Z − W . From Eq.

we have w ∞ fZ ( z ) = −∞ ∫ w f X .15: PDF of Z = X + Y of example 2. elsewhere ⎩ Then fZ ( z ) = ∞ −∞ ∫ w 1 + zw 2 dw 4 2. w ) dw ⎧1 + x y .Y ( x . 12 Example 2. y ≤ 1 ⎪ Let f X .Y ( zw . x ≤ 1. let us find an expression for fZ ( z ) . 2.Principles of Communication Prof. V.43 Indian Institute of Technology Madras . Venkata Rao Fig. Y Introducing the dummy variable W = Y .14 P [ Z ≤ − 2] is the shaded area = 1 . y ) = ⎨ 4 ⎪0 .15 Let Z = X . we have X = ZW Y = W As J = 1 .

B will be as shown in Fig. y ) ∈ A . Venkata Rao f X .W ( z . we have fZ ( z ) = 2 iii) 1 z 1 + zw 2 1⎛ 1 1 ⎞ ∫ 4 w dw = 4 ⎜ z2 + 2 z3 ⎟ ⎝ ⎠ 0 For z < − 1.Principles of Communication Prof.Y is non-zero (b) The space where fZ . 2. w ) .Y ( x .2. where A is the product space B . Under x ≤ 1 and y ≤ 1 (Fig.44 Indian Institute of Technology Madras .16: (a) The space where f X . then 1 + zw 2 1 + zw 2 fZ ( z ) = ∫ w dw = 2 ∫ w dw 4 4 0 −1 1 1 = z⎞ 1⎛ ⎜1 + 2 ⎟ 4⎝ ⎠ ii) For z > 1 . Let fZ . we have fZ ( z ) = 2 − 1 z ∫ 0 1 + zw 2 1⎛ 1 1 ⎞ w dw = ⎜ 2 + ⎟ 4 4 ⎝z 2 z3 ⎠ 2.16a). V. Fig.16(b). i) Let z < 1. w ) ∈ the given transformation. 2. y ) is non-zero if (x. w ) be non-zero if ( z .W ( z .W is non-zero To obtain fZ ( z ) from fZ . we have to integrate out w over the appropriate ranges.

a) b) Show that fZ ( z ) = ∞ −∞ ∫ 1 ⎛z ⎞ f X . by making use of the distribution function approach. Venkata Rao ⎧1 ⎪4 ⎪ Hence fZ ( z ) = ⎨ ⎪1 ⎪4 ⎩ z⎞ ⎛ ⎜1 + 2 ⎟ ⎝ ⎠ .45 Indian Institute of Technology Madras . as illustrated below. we may encounter a situation where one of the variables is continuous and the other is discrete. y ≥ 0 . In transformations involving two random variables.16 The input to a noisy channel is a binary random variable with P [ X = 0] = P [ X = 1] = 1 .Y ⎜ .7 Let Z = X Y and W = Y . z ≤ 1 ⎛ 1 1 ⎞ ⎜ 2 + ⎟. w ⎟ d w w ⎝w ⎠ X and Y be independent with fX ( x ) = 1 π 1 + x2 2 . The output of the channel is given by Z = X + Y 2 2. otherwise Show that fZ ( z ) = 1 2π e 2 −z 2 . z > 1 2 z3 ⎠ ⎝z Exercise 2. − ∞ < z < ∞. x ≤ 1 and y ⎧ ⎪y e− fY ( y ) = ⎨ ⎪0 ⎩ 2 . such cases are handled better. V. Example 2.Principles of Communication Prof.

we have P [ Z ≤ z | X = 0 ] = FY ( z ) Similarly P [ Z ≤ z | X = 1] = P ⎡Y ≤ ( z − 1) ⎤ = FY ( z − 1) ⎣ ⎦ Hence FZ ( z ) = 1 1 d FZ ( z ) . if Y = g ( X ) . Similarly.Principles of Communication Prof. P ( Z ≤ z ) = P [ Z ≤ z | X = 0] P [ X = 0 ] + P [ Z ≤ z | X = 1] P [ X = 1] As Z = X + Y .) We shall illustrate the distribution function method with another example.Y ( x . y ) . As fZ ( z ) = 2 2 dz ⎛ z − 1 2 ⎞⎤ ( ) ⎟⎥ exp ⎜ − ⎜ ⎟⎥ 2 2π ⎝ ⎠⎦ 1 ⎡ ⎛ z2 ⎞ 1⎢ 1 ⎟+ exp ⎜ − fZ ( z ) = ⎜ 2 ⎟ 2 ⎢ 2π ⎝ ⎠ ⎣ The distribution function method. is a very basic method and can be used in all situations. (In this method. Example 2. Venkata Rao where Y is the channel noise with fY ( y ) = fZ ( z ) . Obtain fZ ( z ) . 2. − ∞ < y < ∞ . we have FY ( z ) + FY ( z − 1) .1 or 2. we compute FY ( y ) and then obtain fY ( y ) = d FY ( y ) dy . as illustrated by means of example 2.16. Find Let us first compute the distribution function of Z from which the density function can be derived.46 Indian Institute of Technology Madras .17 Let Z = X + Y . The method of obtaining PDFs based on theorem 2. V.2 is called change of variable method. for transformations involving more than one random variable. given f X . 1 2π e − y2 2 . Of course computing the CDF may prove to be quite difficult in certain situations.

y ) d y ⎥ ∫∞ ⎢ − ∞ ⎥ − ⎣ ⎦ ∞ ∞ ⎡z − x ⎤⎤ ∂ ⎡ fZ ( z ) = ⎢ ∫ d x ⎢ ∫ f X . 2.Y It is not too difficult to see the alternative form for fZ ( z ) . Venkata Rao P [Z ≤ z ] = P [ X + Y ≤ z ] = P [Y ≤ z − x ] This probability is the probability of ( X . y ) d y ⎥ ⎥ ⎦ (2. z − x) d x X . namely.47 Indian Institute of Technology Madras .37a) = −∞ ∫ f (x.Principles of Communication Prof. 2.Y ( x . Fig.Y ( x . Y ) lying in the shaded area shown in Fig.17: Shaded area is the P [ Z ≤ z ] That is. 2.Y ( x . FZ ( z ) = ⎡z − x ⎤ d x ⎢ ∫ f X .17. y ) d y ⎥ ⎥ ∂ z ⎢− ∞ ⎢−∞ ⎥⎥ ⎣ ⎦⎦ ⎣ = ⎡ ∂ ∫∞ d x ⎢ ∂ z ⎢ − ⎣ ∞ ∞ z− x −∞ ∫ ⎤ f X . V.

48 Indian Institute of Technology Madras . The mean value (also called the expected value. However. A player is to be 2. Details can be found in [1.5 Statistical Averages The PDF of a random variable provides a complete statistical characterization of the variable.37(b) is the same as Eq.Principles of Communication Prof.37b) If X and Y are independent. 2]. This can be generalized to the case of functions of n variables. y ) d y X .39) Remarks: The terminology expected value or expectation has its origin in games of chance. 2.2 and 2 respectively are placed in bowl and are mixed. 2. V. numbered 1. Similarly. we might be in a situation where the PDF is not available but are able to estimate (with reasonable accuracy) certain (statistical) averages of the random variable. is defined by E ⎡g ( X ) ⎤ = g ( X ) = ⎣ ⎦ ∞ −∞ ∫ g (x) f (x) d x X (2. This can be illustrated as follows: Three small similar discs. g ( X ) .35. Venkata Rao fZ ( z ) = ∞ −∞ ∫ f (z − y . the expected value of a function of X .38) where E denotes the expectation operator. Some of these averages do provide a simple and fairly adequate (though incomplete) description of the random variable. We now define a few of these averages and explore their significance.Y (2. mathematical expectation or simply expectation) of random variable X is defined as mX = E [ X ] = X = ∞ −∞ ∫ x fX ( x ) d x (2. 2. we have fZ ( z ) = f X ( z ) ∗ fY ( z ) . Note that m X is a constant. We note that Eq. So far we have considered the transformations involving one or two variables.

2. Venkata Rao blindfolded and is to draw a disc from the bowl. we obtain the n-th moment of the probability distribution of the RV. that is. if he draws either disc numbered 2. he will receive nine dollars. For the special case of g ( X ) = X n . E ⎡X2⎤ = X2 = ⎣ ⎦ n ∞ −∞ ∫ x 2 fX ( x ) d x (2.38) and the second moment ( n = 2 . resulting in the mean square value of X ). or five dollars. X . Consider a function of two random variables. the mathematical expectation of g ( X ) is precisely the player's claim or expectation [3].41) If g ( X ) = ( X − m X ) . Note that g ( x ) is such that g (1) = 9 and g ( 2 ) = 3 . V. His total claim is 9(1/3) + 3(2/3). If we take X to be (discrete) random variable with the PDF fX ( x ) = 1 2 δ ( x − 1) + δ ( x − 2 ) and g ( X ) = 15 − 6 X . he will receive 3 dollars.Principles of Communication Prof. ⎣ ⎦ n E ⎡( X − m X ) ⎤ = ⎣ ⎦ ∞ −∞ ∫ (x − m ) X n fX ( x ) d x (2. E ⎡Xn ⎤ = ⎣ ⎦ ∞ −∞ ∫ x n fX ( x ) d x (2. g ( X . It seems reasonable to assume that the player has a '1/3 claim' on the 9 dollars and '2/3 claim' on three dollars.49 Indian Institute of Technology Madras . then E ⎡ g ( X ) ⎤ gives n-th central moment. 2. Y ) .40) The most widely used moments are the first moment ( n = 1.42) We can extend the definition of expectation to the case of functions of k ( k ≥ 2 ) random variables. If he draws the disc numbered 1. which results in the mean value of Eq. Then. then 3 3 ∞ ⎡ ⎤ E ⎣g ( X ) ⎦ = −∞ ∫ (15 − 6 x ) f ( x ) d x X = 5 That is. that is.

we have E [Z ] = ∞ −∞ ∫ α x f (x) d x + ∫ β y f (y ) d y X Y −∞ ∞ = α X + βY 2.5. then Z = α X + βY . that is. Venkata Rao E ⎡g ( X .1 Variance Coming back to the central moments. y ) f (x. Y ) = α X + βY where α and β are constants. y ) d x dy + ∞ − ∞− ∞ ∫ ∫ (β y ) f ( x . 2.50 Indian Institute of Technology Madras . From Eq. if Z = g ( X . y ) d x d y X . we have E [Z ] = = ∞ − ∞− ∞ ∞ ∞ ∫ ∫ ( α x + β y ) f ( x .Y ∞ Integrating out the variable y in the first term and the variable x in the second term.Y ∞ (2. Y ) ⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ g (x. E ⎡( X − m X ) ⎤ = ⎣ ⎦ ∞ −∞ ∫ (x − m ) f (x) d x X X = mX − mX = 0 Consider the second central moment 2 2 E ⎡( X − m X ) ⎤ = E ⎡ X 2 − 2 m X X + m X ⎤ ⎣ ⎦ ⎣ ⎦ From the linearity property of expectation.43) An important property of the expectation operator is linearity. 2 2 E ⎡ X 2 − 2 mX X + mX ⎤ = E ⎡ X 2 ⎤ − 2 mX E [ X ] + mX ⎣ ⎦ ⎣ ⎦ 2 2 = E ⎡ X 2 ⎤ − 2 mX + mX ⎣ ⎦ 2 = X 2 − mX = X 2 − ⎡ X ⎤ ⎣ ⎦ 2 2. y ) d x dy X . y ) d x dy X . we have the first central moment being always zero because. V.Principles of Communication Prof.Y ( x . This result can be established as follows.43.Y ∞ − ∞− ∞ ∫ ∫ ( α x ) fX .

Specifying the variance essentially constrains the effective width of the density function.Principles of Communication Prof. This can be made more precise with the help of the Chebyshev Inequality which follows as a special case of the following theorem.51 Indian Institute of Technology Madras . we can write E ⎡g ( X )⎤ ≥ ⎣ ⎦ ∫g (x) f (x) d x X A If x ∈ A . E ⎡g ( X ) ⎤ = ⎣ ⎦ = ∞ −∞ ∫ g (x) f (x) d x X X X B ∫g (x) f (x) d x + ∫ g (x) f (x) d x A Since each integral on the RHS above is non-negative. V. (If necessary. hence E ⎡g ( X )⎤ ≥ c ∫ f X ( x ) d x ⎣ ⎦ A But ∫ f X ( x ) d x = P [ x ∈ A] = P ⎡g ( X ) ≥ c ⎤ ⎣ ⎦ A That is. The symbol σ 2 is generally used to denote the variance.44) Proof: Let A = { x : g ( x ) ≥ c} and B denote the complement of A . then for every positive constant c . then g ( x ) ≥ c . Venkata Rao The second central moment of a random variable is called the variance and its (positive) square root is called the standard deviation. Theorem 2. which is the desired result.3: Let g ( X ) be a non-negative function of the random variable X . E ⎡ g ( X ) ⎤ ≥ c P ⎡ g ( X ) ≥ c ⎤ . we use a subscript on σ 2 ) The variance provides a measure of the variable's spread or randomness. If E ⎡ g ( X ) ⎤ exists.3 is useful in establishing similar inequalities involving random variables. ⎣ ⎦ P ⎡g ( X ) ≥ c ⎤ ≤ ⎣ ⎦ E ⎡g ( X ) ⎤ ⎣ ⎦ c (2. ⎣ ⎦ ⎣ ⎦ Note: The kind of manipulations used in proving the theorem 2. 2.

1 2 P ⎡( X − m X ) ≥ k 2 σ 2 ⎤ ≤ 2 X ⎣ ⎦ k In other words. perhaps) the inequality 2.45a) (2. at most 100 million would be as tall as a 10 full grown Palmyra tree!) Chebyshev inequality can be stated in two equivalent forms: i) ii) 1 P ⎡ X − mX ≥ k σ X ⎤ ≤ 2 . Chebyshev inequality can be interpreted as: the probability of observing any RV outside ± k standard deviations off its mean value is no larger than 1 .3.44 states that the probability of choosing a person over 16 m tall is at most 1 ! (In a population of 1 billion. With k = 2 for example. By the same token.45b) To establish 2. Venkata Rao To see how innocuous (or weak. 2.Principles of Communication Prof. we would take the positive number k to be greater than one to have a meaningful result. We then have. let g ( X ) = ( X − m X ) and c = k 2 σ2 in theorem X 2 2. smaller the standard deviation.6m . ⎣ ⎦ Then Eq. That is. V. let g ( X ) represent the height of a randomly chosen human being with E ⎡ g ( X ) ⎤ = 1. 1 P ⎡ X − mX ≥ k σ X ⎤ ≤ 2 ⎣ ⎦ k which is the desired result. k > 0 ⎣ ⎦ k 1 P ⎡ X − mX < k σ X ⎤ > 1 − 2 ⎣ ⎦ k where σ X is the standard deviation of X . smaller is the width of the interval around m X . we expect X to occur within the range ( m X ± 2 σ X ) for more than 75% of the observations. where the required probability is concentrated. Naturally. the k2 probability of X − m X ≥ 2 σ X does not exceed 1/4 or 25%.52 Indian Institute of Technology Madras . (2. Chebyshev 2.44 is.45(a).

Y ] = E ⎡( X − m X ) (Y − mY ) ⎤ ⎣ ⎦ (2. − ∞ < x < ∞ and α > 0 . We use the symbol λ to denote the covariance.46a) Using the linearity property of expectation. V. That is. if α f X ( x ) = 2 π 2 . Then. we have λ X Y = E [ X Y ] − m X mY (2. then X = 0 but X 2 is not finite. α +x (This is called Cauchy’s PDF) 2.2 Covariance An important joint expectation is the quantity called covariance which is obtained by letting g ( X . λ X Y = cov [ X . For example.46b) The cov [ X . y ) d x d y x y f X ( x ) fY ( y ) d x d y ∞ − ∞− ∞ ∞ ∫ ∫ ∫ = x fX ( x ) d x −∞ −∞ ∫ y f (y ) d y Y = m X mY 2.Y ] . ρX Y = E [ X Y ] − mX mY σ X σY (2.Principles of Communication Prof. Venkata Rao inequality thus enables us to give a quantitative interpretation to the statement 'variance is indicative of the spread of the random variable'. Y ) = ( X − m X ) (Y − mY ) in Eq. Suppose X and Y are independent. Note that it is not necessary that variance exists for every PDF. E[XY] = = ∞ ∞ − ∞− ∞ ∞ ∞ ∫ ∫ x y f X .5.43.47) The correlation coefficient is a measure of dependency between the variables. That is.Y ( x .53 Indian Institute of Technology Madras . 2. normalized with respect to the product σ X σY is termed as the correlation coefficient and we denote it by ρ .

if X and Y are uncorrelated. Venkata Rao Thus. for X and Y be independent. If ρ X Y ( or λ X Y ) = 0 . If the variables are neither independent nor totally dependent. given X = x1 . Intuitively. Then we expect ρ X Y to be positive. However.54 Indian Institute of Technology Madras . Assume X and Y to be independent. V. this result is appealing. Taking the extreme case of this dependency. ρ X Y = 1. Similarly if the probability of ( x − m X ) and ( y − mY ) being of the opposite sign is quite large. sum . As an example. and sometimes negative with respect to mY . Two random variables X and Y are said to be orthogonal if E [ X Y ] = 0 . let 2. When the random variables are independent. we have λ X Y (and ρ X Y ) being zero. then Y would occur sometimes positive with respect to mY . then ρ will have a magnitude between 0 and 1. In the course of many trials of the experiments and with the outcome X = x1 . number of trials tends to zero as the number of trials keep increasing. they are uncorrelated. the fact that they are uncorrelated does not ensure that they are independent. then X Y = X Y . the random variables X and Y are said to be uncorrelated. the sum of the numbers x1 ( y − mY ) would be very small and the quantity. Then ρ X Y = ± 1 . let X and Y be so conditioned that. α being constant. the outcome y is conditioned on the outcome x in such a manner that there is a greater possibility of (y − mY ) being of the same sign as ( x − mX ) . we have ρ X Y = 0 and for the totally dependent (y = ± α x ) case. let X and Y be dependent. When the joint experiment is performed many times. Suppose for example. That is. then Y = ± α x1 . then we expect ρ X Y to be negative. On the other hand. and given X = x1 .Principles of Communication Prof. That is.

But X and Y are 2 not independent because. X Y = 0 which means λ X Y = X Y − X Y = 0 .48a) If X1 and X 2 are uncorrelated. That is. 2 σY = E ⎡Y 2 ⎤ − ⎡E [Y ]⎤ ⎦ ⎣ ⎦ ⎣ 2 E [Y ] = k1 m1 + k 2 m2 2 E ⎡Y 2 ⎤ = E ⎡ k1 X12 + k 2 X 2 + 2 k1 k 2 X1 X 2 ⎤ ⎣ ⎦ ⎣ ⎦ With a little manipulation. That is. 2 . That is Y = k1 X1 + k 2 X 2 where k1 and k2 are constants. we can show that 2 2 σY = k1 σ1 + k 2 σ2 + 2 ρ12 k1 k 2 σ1 σ 2 2 (2. the sum as well as the difference random Z 2 2 variables have the same variance which is larger than σ1 or σ 2 ! 2 The above result can be generalized to the case of linear combination of n variables.48b) Note: Let X1 and X 2 be uncorrelated. σ2 i = σ2 . XY = X3 1 1 = ∫ x3 d x = α α −∞ ∞ α −α ∫ 2 x3 d x = 0 2 As X = 0 . V. X i 2 We will now relate σY to the known quantities. if 2. i = 1. otherwise ⎩ and Y = X 2 . and let Z = X1 + X 2 and W = X1 − X 2 . Then.Principles of Communication Prof. then 2 2 σY = k1 σ1 + k2 σ2 2 (2. Venkata Rao α α ⎧1 < x < ⎪ . Let ρ12 be the correlation coefficient between X1 and X 2 . Let E [ X i ] = mi . if X = x1 . 2 2 Then σ2 = σW = σ1 + σ2 .55 Indian Institute of Technology Madras . then Y = x1 ! Let Y be the linear combination of the two random variables X1 and X 2 . − fX ( x ) = ⎨ α 2 2. ⎪0 .

then 2 i i = 1 ∑k σ2 + 2 ∑∑ k i k j ρi j σi σ j i i j i < j (2. E[X] = 1 1 2 ∫8x dx + ∫8x dx 0 2 2 4 2.Principles of Communication Prof.56 Indian Institute of Technology Madras .18 Let a random variable X have the CDF ⎧0 ⎪x ⎪ ⎪8 FX ( x ) = ⎨ 2 ⎪x ⎪16 ⎪ ⎩1 . 2. We shall now give a few examples based on the theory covered so far in this section. 0 ≤ x ≤ 2 . .49) where the meaning of various symbols on the RHS of Eq.49 is quite obvious. Example 2. . Venkata Rao Y = 2 σY = i = 1 ∑k n n i X i . x < 0 . 2 ≤ x ≤ 4 4 ≤ x Therefore. 2 ≤ x ≤ 4 4 ≤ x We shall find a) X and b) σ2 X a) The given CDF implies the PDF ⎧0 ⎪1 ⎪ ⎪8 fX ( x ) = ⎨ ⎪1 x ⎪8 ⎪0 ⎩ . V. 0 ≤ x ≤ 2 . x < 0 .

5 2 E ⎡Y ⎤ = ⎣ ⎦ 2 2 Hence σY = − 1 2 ∫ cos2 ( π x ) d x = 1 4 − 2 = 0.0636 π 1 = 0. 2. 0 < x < 1. 0 < y < 1 f X .96 2 π Example 2.Principles of Communication Prof.Y ( x . − < x < fX ( x ) = ⎨ 2 2 ⎪0. V. elsewhere ⎩0 2.57 Indian Institute of Technology Madras .20 Let X and Y have the joint PDF ⎧ x + y . otherwise ⎩ 2 Let us find E [Y ] and σY .38 we have. where 1 1 ⎧ ⎪1. From Eq. y ) = ⎨ . E [Y ] = 1 2 − 1 2 ∫ cos ( π x ) d x = 1 2 2 = 0.19 Let Y = cos π X . Venkata Rao = 1 7 31 + = 4 3 12 2 b) σ 2 = E ⎡ X 2 ⎤ − ⎡ E [ X ]⎤ X ⎦ ⎣ ⎦ ⎣ E ⎡X2⎤ = ⎣ ⎦ = σ 2 X 1 2 1 3 ∫8x dx + ∫8x dx 0 2 1 15 47 + = 3 2 6 2 2 4 47 ⎛ 31 ⎞ 167 = −⎜ ⎟ = 6 144 ⎝ 12 ⎠ Example 2.

We shall illustrate the calculation of conditional mean with the help of an example.51) Similarly.58 Indian Institute of Technology Madras . σ2 = σY = X 144 12 144 1 11 Hence ρ X Y = − Another statistical average that will be found useful in the study of communication theory is the conditional expectation. then we have the conditional mean.Y ( x . we can define the conditional variance etc.43. E [Y ] . If g ( X ) = X . We can easily show that E [ X ] = E [Y ] = 7 11 48 2 and E [ X Y ] = . E[X | Y = y] = E[X |Y ] = ∞ −∞ ∫ x f X |Y ( x | y ) dx (2. we require E [ X Y ]. E [ X ]. namely. 2. Example 2. Venkata Rao Let us find a) E ⎡ X Y 2 ⎤ and ⎣ ⎦ b) ρ X Y a) From Eq. given Y = y . E ⎡g ( X ) | Y = y ⎤ = ⎣ ⎦ ∞ −∞ ∫ g ( x ) f ( x | y ) dx X |Y (2. V.50) is called the conditional expectation of g ( X ) . we have E ⎡XY 2⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ ∞ x y 2 f X . E [ X | Y ] . y ) dx dy = ∫ ∫ x y ( x + y ) dx dy 2 0 0 1 1 = 17 72 b) To find ρ X Y .Principles of Communication Prof.21 Let the joint PDF of the random variables X and Y be 2. The quantity. σ X and σY .

⎪0 . V. B . − ln y x ln y y < x < 1 Hence E ( X | Y ) = = ∫ x ⎢ − x ln y ⎥ d x ⎣ ⎦ y 1 ⎡ 1 ⎤ y −1 ln y Note that E [ X | Y = y ] is a function of y . say. Discrete random variables i) Binomial: Consider a random experiment in which our interest is in the occurrence or nonoccurrence of an event A . 0 < y < x f X . we shall discuss certain probability distributions which are encountered quite often in the study of communication theory. 2. 0 < y < 1 1 1 x f X |Y ( x | y ) = = − . We will begin our discussion with discrete random variables. y ) ≡ ⎨ x . That is. To find E [ X | Y ] . y ) fY ( y ) ∫x dx y 1 1 = − ln y .6 Some Useful Probability Models In the concluding section of this chapter.59 Indian Institute of Technology Madras . we are interested in the event A or its complement.6. Venkata Rao ⎧1 ⎪ . f X |Y ( x | y ) = fY ( y ) = f X . we require the conditional PDF.Y ( x . 2. outside ⎩ Let us compute E [ X | Y ] .Principles of Communication Prof.Y ( x .1. 0 < x < 1. Let the experiment be repeated n times and let p be the 2.

.60 Indian Institute of Technology Madras . we have the binomial density.Principles of Communication Prof.. The sample space (representing the outcomes of these five repetitions) has 32 sample points. . s32 .. will map into real number 3 as shown in the Fig...18: Binomial RV for the special case n = 5 P ( A B A A B ) = P ( A ) P ( B ) P ( A ) P ( A ) P ( B ) .. 2. (Each sample point is actually an element of the five dimensional Cartesian product space). n . The sample point s1 could represent the sequence ABBBB . 2. as trails are independent. 1. The sample points such as ABAAB ... ⎝3⎠ In other words.. k = 3 . ⎛ 5⎞ 2 P [ X = 3] = ⎜ ⎟ p3 (1 − p ) ⎝ 3⎠ Generalizing this to arbitrary n and k ... n . X can be equal to 0... say.. 1. Venkata Rao probability of occurrence of A on each trial and the trials are independent. s1 .18. ‘number of occurrences of A in n trials'. = p (1 − p ) p 2 (1 − p ) = p 3 (1 − p ) 2 ⎛5⎞ There are ⎜ ⎟ = 10 sample points for which X ( s ) = 3 .. let n = 5 and k = 3 .... If we can compute P [ X = k ]. then we can write f X ( x ) . Let X denote random variable.. k = 0. V. A A A B B etc... ..... 2.. given by 2.. Taking a special case. ... Fig. for n = 5 .

V. the algebra to derive them is laborious). i) ii) Find the expected number of errors per block Find the probability that the number of errors per block is greater than or equal to 3. i) E [ X ] = n p = 16 × 0. Then X is b (16. (Though X the formulae for the mean and the variance of a binomial PDF are simple. Example 2.61 Indian Institute of Technology Madras .Principles of Communication Prof. 2. Venkata Rao fX ( x ) = i = 0 ∑ P δ(x − i ) i n (2.01 and that errors in various digit positions within a block are statistically independent.16. f X ( x ) ≥ 0 and ∞ −∞ ∫ fX ( x ) d x = i = 0 ∑ n Pi = i = ∑ ⎜i n ⎛n⎞ i n −i ⎟ p (1 − p ) 0⎝ ⎠ n = ⎡(1 − p ) + p ⎤ ⎣ ⎦ = 1 It is left as an exercise to show that E [ X ] = n p and σ2 = n p (1 − p ) . 0. Assume that the probability of a binary digit being in error is 0.01) .22 A digital communication system transmits binary digits over a noisy channel in blocks of 16 digits.01 = 0. Let X be the random variable representing the number of errors per block. We write X is b ( n .52) ⎛n⎞ n−i where Pi = ⎜ ⎟ p i (1 − p ) ⎝i ⎠ As can be seen. The following example illustrates the use of binomial PDF in a communication problem. p ) to indicate X has a binomial PDF with parameters n and p defined above.

8 Show that for the example 2. if ∞ fX ( x ) = m = 0 ∑ δ ( x − m) λm e− λ m! (2. Venkata Rao ii) P ( X ≥ 3 ) = 1 − P [ X ≤ 2] = 1− i =0 ⎛ ⎞ ∑ ⎜ i ⎟ ( 0. Evidently f X ( x ) ≥ 0 and We will now show that E [ X ] = λ = σ2 X ∞ −∞ ∫ f X ( x ) d x = 1 because λm ∑0 m ! = eλ . V.1) (1 − p ) 2 16 i 16 − i ⎝ ⎠ = 0. Chebyshev inequality results in P ⎡ X ≥ 3 ⎤ ≤ 0. m = ∞ Since. m = 0 m! λ ∞ we have d eλ dλ ( ) = eλ = ∞ m λm − 1 1 ∑0 m ! = λ m = ∞ m = 1 ∑ ∞ m λm m! E[X] = m λm e− λ ∑ 1 m ! = λ eλ e − λ = λ m = Differentiating the series again. λm e = ∑ . 2.Principles of Communication Prof.002 Exercise 2.62 Indian Institute of Technology Madras .02 . ii) Poisson: 0.22.0196 ⎣ ⎦ tight. we obtain.53) where λ is a positive constant. Note that Chebyshev inequality is not very A random variable X which takes on only integer values is Poisson distributed.

Therefore. whether X is uniform in ( − 1.2. elsewhere ⎩ A plot of f X ( x ) is shown in Fig.63 Indian Institute of Technology Madras .2. Venkata Rao E ⎡ X 2 ⎤ = λ 2 + λ . (2. ⎧ 1 .6.19. 4 ) .2 Continuous random variables i) Uniform: A random variable X is said to be uniformly distributed in the interval a ≤ x ≤ b if. namely 1 . 3 ii) Rayleigh: An RV X is said to be Rayleigh distributed if. V.Principles of Communication Prof. a ≤ x ≤ b ⎪ fX ( x ) = ⎨ b − a ⎪0 . 1) or ( 2. X ⎣ ⎦ 2. Hence σ2 = λ . it has the same variance. 2.19: Uniform PDF It is easy show that (b − a) a+b E[X] = and σ2 = X 2 12 2 Note that the variance of the uniform PDF depends only on the width of the interval ( b − a ) .54) Fig.

20: Rayleigh PDF Rayleigh PDF frequently arises in radar and communication problems.2. V. We will encounter it later in the study of narrow-band noise processes.64 Indian Institute of Technology Madras .20.) Fig. x ≥ 0 fX ( x ) = ⎨ b ⎝ 2 b⎠ ⎪ . ( fR ( r ) of example 2. 2.12 is Rayleigh PDF. Venkata Rao ⎧x ⎛ x2 ⎞ exp ⎜ − ⎪ ⎟. elsewhere ⎩0 where b is a positive constant.55) A typical sketch of the Rayleigh PDF is given in Fig.Principles of Communication Prof. (2.2.

V.9 a) Let f X ( x ) be as given in Eq. N ( 0. 2.Principles of Communication Prof. In appendix A2. 2. σ X .65 Indian Institute of Technology Madras .56) where m X is the mean value and σ2 the variance. Hint: Make 0 ∞ the change of variable x 2 = z .21. m X and σ2 . Show that ∫ f X ( x ) d x = 1. 2. ⎝ ⎠ X 2.3. 1) denotes the Gaussian PDF with zero mean and unit variance. x d x = b) Show that if X E ⎡X2⎤ = 2 b ⎣ ⎦ dz . then Y = 2 ( ) ⎛ X − mX ⎞ ⎜ σ ⎟ is N ( 0. −∞ < x < ∞ exp ⎢− 2 σ2 ⎢ ⎥ X ⎣ ⎦ (2. Then.55. Note that if X is N m X . As can be seen from the Fig. The Gaussian PDF is symmetrical with respect to m X . specified by fX ( x ) = 1 2 π σX ⎡ ( x − m X )2 ⎤ ⎥.56 is a valid PDF. in the context of communication theory is the Gaussian (also called normal) density. we show that X PT f X ( x ) as given by Eq. We use the symbol X N ( m X . then E [ X ] = and iii) Gaussian By far the most widely used PDF. 2 πb 2 is Rayleigh distributed. 1 TP PT In this notation. That is. Venkata Rao Exercise 2. σ2 ) to denote the Gaussian density1. the Gaussian PDF is X completely specified by the two parameters. 1) .

57 is N ( 0.Principles of Communication Prof. We have.57) Note that the integrand on the RHS of Eq. By making a change of variable ⎛ x − mX ⎞ z = ⎜ ⎟ . A small list is given in appendix A2. Venkata Rao Fig.2 at the end of the chapter. 2.21: Gaussian PDF Hence FX ( m X ) = mX −∞ ∫ f (x) d x X = 0. V.66 Indian Institute of Technology Madras . 2. we have ⎝ σX ⎠ P [ X ≥ a] = ∞ a − mX σX ∫ 1 2π e − z2 2 dz ⎛ a − mX ⎞ = Q⎜ ⎟ ⎝ σX ⎠ where Q ( y ) = ∞ ∫ y ⎛ x2 ⎞ exp ⎜ − ⎟dx 2π ⎝ 2 ⎠ 1 (2. 1) . Q( ) function table is available in most of the text books on communication theory as well as in standard mathematical tables. 2.5 Consider P [ X ≥ a ] . P [ X ≥ a] = ∞ ∫ a 1 2 π σX ⎡ ( x − m X )2 ⎤ exp ⎢− ⎥dx 2 σ2 ⎢ ⎥ X ⎣ ⎦ This integral cannot be evaluated in closed form.

each particle making an independent contribution of the same amount. V. find m . y ≥ 0 exp ⎢− ⎪ fY ( y ) = ⎨ 2 π y β 2 β2 ⎢ ⎥ ⎣ ⎦ ⎪ 0 .Principles of Communication Prof. Example 2.5 . then FX ( x ) approaches Gaussian as N becomes large. we shall make use of this theory in our studies on the noise performance of various modulation schemes. Let Y have the PDF. in Chapter 7. to the total. fY ( y ) given by. The electrical noise in a communication system is often due to the cumulative effects of a large number of randomly moving charged particles.23 A random variable Y is said to have a log-normal PDF if X = ln Y has a Gaussian (normal) PDF. regardless of the distribution of the individual components. We shall develop Gaussian random processes in detail in Chapter 3 and. where each component makes only a small contribution to the sum. a) b) c) Show that Y is log-normal Find E (Y ) If m is such that FY ( m ) = 0.67 Indian Institute of Technology Madras . Let X = ln Y or x = ln y (Note that the transformation is one-to-one) a) 2. otherwise ⎪ ⎩ where α and β are given constants. Venkata Rao The importance of Gaussian density in communication theory is due to a theorem called central limit theorem which essentially states that: If the RV X is the weighted sum of N independent random components. ⎧ ⎡ ( ln y − α )2 ⎤ 1 ⎪ ⎥. For a more precise statement and a thorough discussion of this theorem. Hence the instantaneous value of the noise can be fairly adequately modeled as a Gaussian variable. you may refer [1-3].

x → ∞ Hence f X ( x ) = ⎡ ( x − α )2 ⎤ ⎥.5 . exp ⎢− 2 β2 ⎥ 2π β ⎢ ⎣ ⎦ 1 −∞ < x < ∞ Note that X is N ( α . − ∞ < x . k1 = 2 π σ X σY 1 − ρ2 2. ln m = α or m = e α iv) Bivariate Gaussian As an example of a two dimensional density. f X .5 That is.68 Indian Institute of Technology Madras .Principles of Communication Prof. we will consider the bivariate Gaussian PDF. then P [ X ≤ ln m ] = 0. Venkata Rao dx 1 1 = → J = dy y y Also as y → 0 . y ) = + −2ρ ⎢ ⎥⎬ 2 2 k1 σX σY σ X σY ⎩ k2 ⎣ ⎦⎭ 1 (2. ∞ ) is 1. we have Y = e α + β2 2 c) P [Y ≤ m ] = P [ X ≤ ln m ] Hence if P [Y ≤ m ] = 0.Y ( x . ⎧ 1 ⎡ ( x − m X )2 ( y − mY )2 ( x − mX ) ( y − mY ) ⎤⎫ exp ⎨− fX . y ) . V. x → − ∞ and as y → ∞ . β2 ) b) Y = E ⎡e X ⎤ = ⎣ ⎦ ⎡ − ( x − α) 2 1 x ⎢ e e 2β ∫ 2π β − ∞ ⎢ ⎣ ∞ 2 2 ⎤ ⎥dx ⎥ ⎦ = e β2 α+ 2 ⎡ x − ( α + β2 ) ⎤ ⎡∞ ⎤ ⎦ − ⎣ 1 ⎢ ⎥ 2 β2 e d x⎥ ⎢∫ ⎢− ∞ 2 π β ⎥ ⎣ ⎦ As the bracketed quantity being the integral of a Gaussian PDF between the limits ( − ∞ . Y ( x . y < ∞ given by.58) where.

in general.5. that is.22 gives the plot of a bivariate Gaussian PDF for the case of ρ = 0 and σ X = σY . 2. then they are independent. then the marginal density of X or Y is 2 Gaussian. if the Gaussian variables are uncorrelated. Therefore fZ ( z ) can be written after computing mZ and σ2 with the help of the formulae given in section 2. Venkata Rao k 2 = 2 (1 − ρ2 ) ρ = Correlation coefficient between X and Y The following properties of the bivariate Gaussian density can be verified: P1) If X and Y are jointly Gaussian. 1 TP PT Note that the converse is not necessarily true. Y .2). That is not true. unless X and Y independent.5. which is not Gaussian but results in fX and fY that are Gaussian.Principles of Communication Prof. Z Figure 2. Y is jointly Gaussian. We can construct examples of a joint PDF fX . V. y ) = f X ( x ) fY ( y ) iff ρ = 0 That is. This does not imply fX . X is N ( m X . σY ) 1 X TP PT P2) f X Y ( x . σ2 ) and Y is N ( mY . then Z is Gaussian. P3) If Z = α X + βY where α and β are constants and X and Y are jointly Gaussian.69 Indian Institute of Technology Madras . Let fX and fY be obtained from fX . with respect to non-Gaussian variables (we have already seen an example of this in Sec. 2. Y and let fX are and fY be Gaussian.

Venkata Rao Fig.Y resembles a (temple) bell. 2. f X . If ρ > 0 .22: Bivariate Gaussian PDF ( σ X = σY and ρ = 0 ) For ρ = 0 and σ X = σY . Let us find the probability of 2 (X.Principles of Communication Prof. with.70 Indian Institute of Technology Madras . V. negative. we have two cases (i) ρ .2.Y) lying in the shaded region D shown in Fig.23. the striker missing! For ρ ≠ 0 . 2. positive and (ii) ρ . Example 2. of course. Similarly for ρ < 0. imagine the bell being compressed along the X = − Y axis so that it elongates along the X = Y axis.24 2 Let X and Y be jointly Gaussian with X = − Y = 1 . σ2 = σY = 1 and X ρX Y = − 1 .

2.23: The region D of example 2.24 Let A be the shaded region shown in Fig. Fig. V. 2.24(a) and B be the shaded region in Fig. Hence the required probability is. 2.71 Indian Institute of Technology Madras . Venkata Rao Fig. we have 1 x + 2 . y ) ∈ ⎣ For the region y ≥ − 1 2 A .24(b). we have y ≥ − x + 1 and for the region B .24: (a) Region A and (b) Region B used to obtain region D A ⎤ − P ⎡( x . y ) ∈ B ⎤ ⎦ ⎣ ⎦ The required probability = P ⎡( x . 2. 2 2.Principles of Communication Prof.

Principles of Communication

Prof. V. Venkata Rao

X X ⎡ ⎤ ⎡ ⎤ P ⎢Y + ≥ 1⎥ − P ⎢Y + ≥ 2⎥ 2 2 ⎣ ⎦ ⎣ ⎦

Let Z = Y +

X 2

Then Z is Gaussian with the parameters, Z =Y + σ2 = Z = 1 1 X = − 2 2

1 2 1 2 σ X + σY + 2 . ρ X Y 4 2 1 1 1 3 + 1− 2. . = 4 2 2 4

Z+ 3 4 1 2 is N ( 0, 1)

⎛ 1 3⎞ That is, Z is N ⎜ − , ⎟ . Then W = ⎝ 2 4⎠

P [ Z ≥ 1] = P ⎡W ≥ ⎣

3⎤ ⎦

5 ⎤ ⎡ P [ Z ≥ 2] = P ⎢W ≥ ⎥ 3⎦ ⎣

Hence the required probability = Q

( 3) − Q⎛ ⎜ ⎝

5 ⎞ ⎟ 3⎠

( 0.04 − 0.001) =

0.039

2.72

Indian Institute of Technology Madras

Principles of Communication

Prof. V. Venkata Rao

Exercise 2.10

X and Y are independent, identically distributed (iid) random variables, each being N ( 0, 1) . Find the probability of X , Y lying in the region Fig. 2.25.

A shown in

Fig. 2.25: Region

A of Exercise 2.10

Note: It would be easier to calculate this kind of probability, if the space is a product space. From example 2.12, we feel that if we transform

(X,Y)

B.

into

(Z , W )

such that Z = X + Y , W = X − Y , then the transformed space

B

would be square. Find fZ ,W ( z , w ) and compute the probability ( Z , W ) ∈

2.73

Indian Institute of Technology Madras

Principles of Communication

Prof. V. Venkata Rao

Exercise 2.11

Two random variables X and Y are obtained by means of the transformation given below. X = ( − 2 loge U1 ) 2 cos ( 2 π U2 ) Y = ( − 2 loge U1 ) 2 sin ( 2 π U2 )

1 1

(2.59a) (2.59b)

U1 and U2 are independent random variables, uniformly distributed in the range 0 < u1 , u2 < 1 . Show that X and Y are independent and each is

N ( 0, 1) .

Hint: Let X1 = − 2 loge U1 and Y1 = Show that Y1

X1

is Rayleigh. Find f X ,Y ( x , y ) using X = Y1 cos Θ and

Y = Y1 sin Θ , where Θ = 2 π U2 . Note: The transformation given by Eq. 2.59 is called the Box-Muller transformation and can be used to generate two Gaussian random number sequences from two independent uniformly distributed (in the range 0 to 1) sequences.

2.74

Indian Institute of Technology Madras

Principles of Communication

Prof. V. Venkata Rao

Appendix A2.1 Proof of Eq. 2.34

The proof of Eq. 2.34 depends on establishing a relationship between the differential area d z d w in the z − w plane and the differential area d x d y in the x − y plane. We know that

fZ ,W ( z , w ) d z d w = P [ z < Z ≤ z + d z , w < W ≤ w + d w ]

**If we can find d x d y such that
**

fZ ,W ( z , w ) d z d w = f X ,Y ( x , y ) d x d y , then fZ ,W can be found. (Note that

the variables x and y can be replaced by their inverse transformation quantities, namely, x = g − 1 ( z , w ) and y = h − 1 ( z , w ) ) Let the transformation be one-to-one. (This can be generalized to the case of one-to-many.) Consider the mapping shown in Fig. A2.1.

Fig. A2.1: A typical transformation between the ( x − y ) plane and ( z − w ) plane in the z − w

Infinitesimal rectangle

ABC D

plane is mapped into the

parallelogram in the x − y plane. (We may assume that the vertex A transforms to A' , B to B' etc.) We shall now find the relation between the differential area of the rectangle and the differential area of the parallelogram.

2.75

Indian Institute of Technology Madras

V. A = V1 × V2 2. Fig. Venkata Rao Consider the parallelogram shown in Fig.2. V1 = V2 = ∂x ∂y dz i + dz j ∂z ∂z ∂x ∂y dw i + dw j ∂w ∂w where i and j are the unit vectors in the appropriate directions. Then the P2 and P3 are given by ⎛ ⎞ ∂ g− 1 ∂ h− 1 P2 = ⎜ x + dz. y + d z⎟ = ⎜x + ∂z ∂z ⎝ ⎠ ⎛ ⎞ ∂x ∂y P3 = ⎜ x + dw . A2. A2. with vertices P1 . y ) be the co-ordinates of P1 .76 Indian Institute of Technology Madras .Principles of Communication Prof. A2. P3 and P4 . the area A of the parallelogram is. Then. y + d z⎟ ⎜ ⎟ ∂z ∂z ⎝ ⎠ ⎛ ⎞ ∂x ∂y dz.2: Typical parallelogram Let ( x . That is.2 where V1 = ( P2 − P1 ) and V2 = ( P3 − P1 ) . y + dw⎟ ∂w ∂w ⎝ ⎠ Consider the vectors V1 and V2 shown in the Fig. P2 .

Principles of Communication Prof. w ⎠ = fX .Y ( x . we have V1 × V2 = ∂x ∂y ∂y ∂x d z dw − ∂ z ∂w ∂ z ∂w ⎛ x. y ) ⎛ z. ⎛ x. w ⎠ That is. w ) = f X . V. j × j = 0 .77 Indian Institute of Technology Madras . 2. y ⎞ A = J⎜ ⎟ d z dw ⎝ z. and i × j = − ( j × i ) = k where k is the unit vector perpendicular to both i and j . y ⎞ fZ. y ) J ⎜ ⎟ ⎝ z. Y ( x . w ⎞ J⎜ ⎟ ⎝ x. Venkata Rao As i × i = 0 .W ( z . y ⎠ .

80 0.95 0.75 0.20 0.60 0.00 0.40 0.0359 3.0156 2.90 0.15 0.80 0.5 . y Q (y ) y Q (y ) y Q (y ) y Q (y ) 0.3446 1.0082 0.28 3.4602 1.60 0.0047 0.30 0.3821 1.80 0.50 0.40 0.00007 0.70 0.00048 0.00069 0.4207 1.3085 1.2119 1. Note that Q ( 0 ) = 0.2912 1.0179 0.1977 1.00 0.4013 1.2266 1.2743 1.1357 2.00003 2.75 0.70 3.90 4.65 0.10 0.05 0.1711 1.27 4.0606 3.0495 3.1587 2.50 0.30 0.0446 3.85 0.20 0.4801 1.50 0.45 0.20 0.85 0.70 0.0019 0. Venkata Rao Appendix A2.78 Indian Institute of Technology Madras .90 0. because Q ( − α ) = 1 − Q ( α ) .0139 0.30 0.10 0.4405 1.10 3.0256 3.40 0.70 0.00023 0.80 0.25 0.15 0.20 0.0668 3.1841 1.00034 0.30 0.00 0.0968 2.0035 0. V.0548 3.45 0.35 0.00 0.3632 1.35 0.0062 0.2 Q( ) Function Table Q (α) = ∞ ∫ α 1 2π e 2 − x 2 dx It is sufficient if we know Q ( α ) for α ≥ 0 .55 0.0808 2.00005 1.10 0.10 0.25 0.95 0.00016 0.78 0.0287 3.90 0.1251 2.0322 3.60 0.0026 0.2578 1.1151 2.0401 3.2420 1.60 0.00010 0.90 0.40 0.0013 0.Principles of Communication Prof.0107 0.05 0.0228 4.65 0.1469 2.3264 1.70 0.50 0.0010 10− 3 10− 3 2 10− 4 10− 4 2 10− 5 10− 6 3.0885 2.55 0.0735 2.

the complementary error function which is ∞ erfc ( α ) = 1 − erf ( α ) = and the error function. erf ( α ) = Hence Q ( α ) = 2 π 2 ∫e α 0 − β2 dβ π ∫e α − β2 dβ 1 ⎛ α ⎞ erfc ⎜ ⎟.Principles of Communication Prof. V. 2 ⎝ 2⎠ 2.79 Indian Institute of Technology Madras . Venkata Rao Note that some authors use erfc ( given by ) .

3 in Eq. V.3 Proof that N m X . A2.3. r = v 2 + y 2 and θ = tan−1 ⎜ ⎟ . A2.1) x − mX σx dx σx (A2. is a valid PDF by ∞ ( ) establishing ∞ −∞ 2 −v ∫ f (x) d x X ∞ 2 = 1 . (Cartesian to Polar coordinate transformation). Then.80 Indian Institute of Technology Madras .3. Venkata Rao Appendix A2.56. Then.3. 2 −y Let I = −∞ ∫e dv = −∞ ∫e 2 dy. 2π ∞ I 2 = ∫ ∫e 0 0 − r2 2 r dr dθ 2π = 2 π or I = That is. ⎝v ⎠ and d x d y = r d r d θ . d v = Using Eq.1.Principles of Communication Prof. A2. 2. 2. I 2 ⎡ ∞ − v2 ⎤ ⎡ ∞ − y2 ⎤ 2 dv⎥ ⎢ ∫ e 2 d y⎥ = ⎢∫e ⎢− ∞ ⎥ ⎢− ∞ ⎥ ⎣ ⎦⎣ ⎦ ∞ = − ∞− ∞ ∫ ∫e ∞ − v2 + y2 2 dv d y ⎛y⎞ Let v = r cos θ and y = r sin θ . we have the required result.3.3. Let v = 1 2π ∞ −∞ ∫e − v2 2 dv = 1 (A2.3) Then.2 and Eq. σ2 is a valid PDF X We will show that f X ( x ) as given by Eq. (Note that f X ( x ) ≥ 0 for − ∞ < x < ∞ ).2) (A2.3.

Venkata Rao References 1) Papoulis. John Wiley. A. McGraw Hill (3rd edition). J. R. I. P P 2) Wozencraft. ‘Principles of Communication Engineering’. 1965. V. 1991. M. and Jacobs. 3) Hogg. The Macmillan Co. T.. ‘Introduction to Mathematical Statistics”. P P 2.. 1965.81 Indian Institute of Technology Madras .. Random Variables and Stochastic Processes’. J.Principles of Communication Prof. 2nd edition. A. V.. and Craig. ‘Probability..

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