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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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V. it is likely that ⎜ A ⎟ will fluctuate quite badly. and ii) the classical definition. Thus φ = (note that if A and B are disjoint events. is defined as ⎛n ⎞ P ( A ) = lim ⎜ A ⎟ n → ∞ ⎝ n ⎠ ⎛ nA ⎞ ⎜ n ⎟ represents the fraction of occurrence of A in n trials.2 Probability of an Event The probability of an event has been defined in several ways. ⎜ A ⎟ to tend to a definite limiting ⎝ n ⎠ value.5 Indian Institute of Technology Madras . denoted φ . denoted by P ( A ) . denoted by A is the event containing all points in S but not in A . ⎝ ⎠ (2. then the probability of A .Principles of Communication Prof. Def. is an event with no sample points. 2. Two of the most popular definitions are: i) the relative frequency definition. Venkata Rao Def. then A B = φ and vice versa). 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 . we expect. For example. But ⎝ n ⎠ ⎛n ⎞ as n becomes larger and larger. Def.11: The relative frequency definition: Suppose that a random experiment is repeated n times. 2. If n is the order of 100.10: Null event The null event. 2.9: Complement of an event The complement of an event A . S 2.2. If the event A occurs nA times. ⎜ A ⎟ may not deviate from ⎝ n ⎠ 2.

3b) (2. then P ( A) = NA N (2. In the classical approach. then P ( A + B ) = P ( A ) + P ( B ) − P ( A B ) (2. then P ( A + B ) = P ( A ) + P ( B ) (2.3c) (Note that in Eq..3. This is done by counting the total number N of the possible outcomes of the experiment.12: The classical definition: The relative frequency definition given above has empirical flavor. namely. the symbol + is used to mean two different things. V. 2. A2 . 2... we 2 1 ⎛n ⎞ expect ⎜ A ⎟ to converge to .3(c)..5a) 2. An be random events such that: a) Ai A j = φ . If N A of those outcomes are favorable to the occurrence of the event A . 2.6 Indian Institute of Technology Madras . say ten percent and as n becomes larger and larger.4) ii) Let A1 . to denote the union of A and B and to denote the addition of two real numbers). for i ≠ j and (2.3a) (2.... Venkata Rao 1 by more than. Using Eq. it is possible for us to derive some additional relationships: i) If A B ≠ φ . 2 ⎝ n ⎠ Def. the probability of the event A is found without experimentation.Principles of Communication Prof.2) where it is assumed that all outcomes are equally likely! Whatever may the definition of probability. 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 .

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

Eq. 2.8 Indian Institute of Technology Madras .10b) Eq.8a) P ( A B ) = P (B | A) P ( A) Interchanging the role of A and B . As P ( B | A ) refers to the probability of B occurring. 2.10(b) is one form of Bayes’ rule or Bayes’ theorem. Similar relation can be derived for the joint probability of a joint event involving the intersection of three or more events. P (B ) ≠ 0 P (B ) (2.10(a) or 2.8b) Eq. For example P ( A BC ) can be written as 2. 2. P ( A) ≠ 0 ⎟ = P ( A) ⎟ ⎟ ⎠ n → ∞ ⎛ nAB ⎜ = lim ⎜ n n → ∞ ⎜ nA ⎜ n ⎝ or (2.9.8(a) as P (B | A) = Similarly P (B ) P ( A | B ) P ( A) . we have P ( A | B) = P ( AB ) P (B ) . 2. Venkata Rao where nAB is the number of times AB occurs in n repetitions of the experiment.8(a) and 2. P (B ) ≠ 0 (2. P ( A) ≠ 0 (2.8(b) can be written as P ( A B ) = P (B | A) P ( A) = P (B ) P ( A | B ) (2.13: Conditional Probability P ( B | A ) = lim nAB nA ⎞ ⎟ P ( AB ) .10a) P ( A | B) = P ( A) P (B | A) .9) In view of Eq. say P ( B | A ) and the (unconditional) probability P ( A ) . we can also write Eq. we have Def 2. V. 2.9 expresses the probability of joint event AB in terms of conditional probability. given that A has occurred.Principles of Communication Prof.

A set of k events A1 .13) That is.1 Let A1 .. An be n mutually exclusive and exhaustive events and B is another event defined on the same space. 2. Venkata Rao P ( A BC ) = P ( A B ) P (C | AB ) = P ( A ) P ( B | A ) P (C | AB ) (2. Note that if A and B are independent. then P ( A B ) = 0 .14 can be used to define the statistical independence of two events. Suppose the events A and B are such that P (B | A) = P (B ) (2. A2 ..9 Indian Institute of Technology Madras . Then. whereas if they are disjoint.13.13 or 2. 2.12) Eq.. C are independent when 2..Principles of Communication Prof.. B .12 represents another form of Bayes’ theorem.. 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. knowledge of occurrence of A tells no more about the probability of occurrence B than we knew without that knowledge.14) Either Eq. Thus three events A .. Another useful probabilistic concept is that of statistical independence.. Alternatively.... The notion of statistical independence can be generalized to the case of more than two events. A2 . V. if Eq. the events A and B are said to be statistically independent. 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. then P ( A B ) = P ( A ) P ( B ) . 2.11) Exercise 2..

2. c) Find the probability that the lovebirds will get married and (hopefully) will live happily ever after. 2. much against the wishes of the parents on both the sides. They agree to meet at the office of registrar of marriages at 11:30 a. after seeing each other for some time (and after a few tiffs) decide to get married. a) The sample space is the rectangle.1 Priya (P1) and Prasanna (P2). shown in Fig. 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).m. 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. 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. Also arrival of one person is independent of the other. V. Example 2. a) b) Picture the sample space Let the event A stand for “P1 and P2 meet”. However.10 Indian Institute of Technology Madras .1(a). both are also very short tempered and will wait only 10 min. Mark this event on the sample space. Unfortunately.Principles of Communication Prof.

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

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

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

5.. denoted by FX ( FX ( x ) = P ⎡{s : X ( s ) ≤ x}⎤ ⎣ ⎦ ) which is given by (2. provided we know the Distribution Function of X.14 Indian Institute of Technology Madras .15) That is. s1 to s4 . FX ( a1 ) etc. FX ( whose domain is the real line and whose range is the interval [0. let S consist of four sample points..Principles of Communication Prof. 6 . 4 . 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. 2. 2. 4 each with sample point representing an event with the probabilities P ( s1 ) = P ( s2 ) = 1 1 1 . . comprising all those sample points which are transformed by X into real numbers less than or equal to x . P ( s3 ) = and P ( s4 ) = . 2. (Note that. then 8 8 2 the distribution function FX ( x ) . 2... for convenience.) Evidently. V. it could be any ) is a function other symbol and we may use FX ( α ) . 3. i = 1. Venkata Rao Fi = si . will be as shown in Fig. If X ( si ) = i − 1. FX ( x ) is the probability of the event. But.. As an example of a distribution function (also called Cumulative Distribution Function CDF). Let X ( si ) = i . . with 1 . 1] ). i = 1. then the events on the sample space will become transformed into appropriate segments of the real line. Once the transformation is induced.3. we use x as the argument of FX ( ) .

5 . − ∞ < x < ∞ FX ( − ∞ ) = 0 FX ( ∞ ) = 1 If a > b .16) 2. Venkata Rao Fig. there is a discontinuity of 4 4 x = − 0. then ⎡FX ( a ) − FX ( b ) ⎤ = P ⎡{s : b < X ( s ) ≤ a}⎤ ⎣ ⎦ ⎣ ⎦ If a > b .5 ) = 1 1 at the point . then FX ( a ) ≥ FX ( b ) The first three properties follow from the fact that FX ( ) represents the probability and P ( S ) = 1.15 Indian Institute of Technology Madras . 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. 2.3. if and only if P ⎡{s : X ( s ) = a}⎤ = Pa ⎣ ⎦ (2. there is a discontinuity in FX of magnitude Pa at a point x = a .3: An example of a distribution function FX ( ) satisfies the following properties: i) ii) iii) iv) v) FX ( x ) ≥ 0. In other words. V.Principles of Communication Prof. 2.5 whereas FX ( − 0. note that FX ( x ) = 0 for x < − 0. In general.

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

B = {s3 . i = 1. The PDF.17a) −∞ ∫ f (α) d α X x (2. namely. s5 } and C = {s6 } with P ( A ) = 1 1 1 . 2. 2. A = {s1 . 2 ⎪ = ⎨2 . s1 to s6 . i = 3. Venkata Rao Exercise 2.2 Let identified S be a sample space with six sample points. that is fX ( x ) = or FX ( x ) = d FX ( x ) dx (2. 4. V. f X ( x ) is defined as the derivative of the CDF.Principles of Communication Prof.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. 3 2 6 Let Y ( ) be the transformation. Sketch FY ( y ) .2 Probability density function Though the CDF is a very fundamental concept. s4 . P ( B ) = and P (C ) = .3. i = 6 ⎩ Y ( si ) Show that Y ( ) is a random variable by finding FY ( y ) . in practice we find it more convenient to deal with Probability Density Function (PDF).17 Indian Institute of Technology Madras . 5 ⎪3 . ⎧1.4. The events on S are the same as above. s2 } . 2.

Venkata Rao Fig. FX ( x ) has a discontinuous slope at x = 1 and a step discontinuity at x = 2 . V. That is. 2. f X ( x ) has an impulse of weight 1 8 at x = 1 2 as 1⎤ 1 ⎡ P ⎢ X = ⎥ = . 2.4: A CDF without a continuous derivative As can be seen from the figure. we include an impulse Pa δ ( x − a ) in the PDF. 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. 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. we resolve the ambiguity by taking f X to be a derivative on the right.18 Indian Institute of Technology Madras . For example. 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. (Note that FX ( x ) is continuous to the right.18) In Eq.18. the PDF will be.) The second case is taken care of by introducing the impulse in the probability domain. In the first case.Principles of Communication Prof. if there is a discontinuity in FX at x = a of magnitude Pa . for the CDF shown in Fig.3. 2.

19b) Based on the behavior of CDF. Y ( s ) ≤ y }⎤ ⎣ ⎦ 1 TP PT (2.20) As the domain of the random variable X ( ) is known.19 Indian Institute of Technology Madras .Principles of Communication Prof. 8 1 1 ⎧2 ⎪8 . 1 ≤ x < 3 ⎪8 2 2 ⎩ Such an impulse is referred to as the left-sided delta function.3 Joint distribution and density functions Consider the case of two random variables. then we have a set of k co-existing random variables. V. If we induce k such transformations. we shall discuss some examples of these three types of variables. y ) = P ⎡{s : X ( s ) ≤ x . 2. They can be characterized by the (two-dimensional) joint distribution function. If FX ( x ) is a TP PT staircase. − 2 ≤ x < 2 ⎪ FX ( x ) = ⎨ ⎪3 . This ensures.3. lim ε → 0 1 −ε 2 ∫ f X ( x ) dx = 1 . then X 1 is a continuous random variable. a random variable can be classified as: i) continuous (ii) discrete and (iii) mixed. then X corresponds to a discrete variable. it is convenient to denote the variable simply by X . we have i) ii) fX ( x ) ≥ 0 ∞ (2. is a continuous function of x for all x . We can induce more than one transformation on a given sample space. say X and Y . given by FX . 2. If the CDF. Venkata Rao 1 2 However. Later on in this lesson. FX ( x ) .Y ( x . 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. As FX is non-decreasing and FX ( ∞ ) = 1.

Venkata Rao That is. y ) = FX . Properties of the two dimensional distribution function are: i) ii) iii) iv) v) FX . then F ( x1 .Y ( x1 .Y ( x .Y ( x . their transformed values will be less than or equal to x and at the same time. y ) is the probability associated with the set of all those sample points such that under X . if B is comprised of all those S such that Y ( s ) ≤ y1 . − ∞ ) = 0 FX .Y ( ∞ .5. 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. Fig. y ) = FY ( y ) FX .Y ( − ∞ .Y ( x . Y ( s )} corresponding to FX . FX .Y ( x1 . let A be the set of all those sample S such that X ( s ) ≤ x1 . 2.Principles of Communication Prof.5: Space of { X ( s ) . the transformed values will be less than or equal to y . y1 ) Looking at the sample space points s ∈ S.20 Indian Institute of Technology Madras . under Y . FX . In other words. Similarly. ∞ ) = 1 FX .Y ( x . y1 ) is the probability sample points s ∈ associated with the event AB .Y ( ∞ . y ) ≥ 0 . V. −∞ < x < ∞. ∞ ) = FX ( x ) 2. −∞ < y < ∞ FX . 2.

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

24) where it is assumed that fY ( y1 ) ≠ 0 . we might as well drop the subscript on y and denote it by f X |Y ( x | y ) . denoted f X |Y ( x | y1 ) and defined as f X |Y ( x | y1 ) = f X .26a) = 1 and −∞ ∫ f ( x | y ) dx X |Y (2. An analogous relation can be defined for fY | X ( y | x ) . We might also be interested in the PDF of X given a specific value of y = y1 . y1 ) fY ( y1 ) (2.Y ( x . y ) fY ( y ) f X . it satisfies all the requirements of an ordinary PDF. y ) . FY ( y ) and fY ( y ) are similarly referred to.Y ( x . f X |Y ( x | y ) ≥ 0 ∞ (2.3.Principles of Communication Prof. that is. we have the pair of equations.4 Conditional density Given f X .25d) f X . This is called the conditional PDF of X . y ) fX ( x ) (2. Venkata Rao distribution function of X and f X ( x ) as the marginal density function. Accordingly. f X |Y ( x | y ) = fY | X ( y | x ) = f X .26b) 2. 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.) 2. Once we understand the meaning of conditional PDF.25b) (2.Y ( x . we know how to obtain f X ( x ) or fY ( y ) .25c) (2. but fixed.Y ( x . That is.Y ( x .22 Indian Institute of Technology Madras . given y = y1 . V.25a) and or (2.

Y . x > 10 ⎩ i) ii) Find the constant K Evaluate P ( X ≤ 5 ) and P ( 5 < X ≤ 7 ) 2. y . V. y ) = f X ( x ) fY ( y ) (2.3. z ) = f X ( x ) fY ( y ) fz ( z ) (2. We shall now give a few examples to illustrate the concepts discussed in sec. 2. f X .Y ( x . fY | X ( y | x ) = fY ( y ) Eq.30(a) and 2. iff.30(b) are alternate expressions for the statistical independence between X and Y .. Venkata Rao 2. 2. Then.. Example 2. we have f X |Y ( x | y ) fY ( y ) = f X ( x ) fY ( y ) or f X |Y ( x | y ) = f X ( x ) (2. . 0 ≤ x ≤ 10 ⎪100 K . the definition of statistical independence is somewhat simpler than in the case of events. x < 0 ⎪ FX ( x ) = ⎨ K x 2 .23 Indian Institute of Technology Madras . y ) = f X ( x ) fY ( y ) Making use of Eq. We call k random variables X1 . Z are independent. X 2 . Let X and Y be independent.Principles of Communication Prof.3 A random variable X has ⎧ 0 .. iff f X . f X .Y . 2..25(c).. X k statistically independent iff.Y ( x .5 Statistical independence In the case of random variables. two random variables X and Y are statistically independent.27) Hence. .30b) Similarly. Z ( x .29) Statistical independence can also be expressed in terms of conditional PDF.30a) (2..28) and three random variables X ... the k -dimensional joint PDF factors into the product i = 1 ∏ f X i ( xi ) k (2.3.

2.24 fX ( x ) = d FX ( x ) dx . Venkata Rao iii) What is f X ( x ) ? i) ii) FX ( ∞ ) = 100 K = 1 ⇒ K = 1 .Principles of Communication Prof. 2 ii) the given PDF can be written as ⎧a e b x . ⎧0 ⎪ = ⎨0. Determine the corresponding FX ( x ) Find P [1 < X ≤ 2] . i) ii) iii) Determine the relation between a and b so that f X ( x ) is a PDF.02 x . ∫ a e − b x dx = 0 −∞ ∫ ae −bx dx = 2 ∫ a e − b x dx = 1 . As can be seen f X ( x ) ≥ 0 for − ∞ < x < ∞ .4 Consider the random variable X defined by the PDF fX ( x ) = a e −bx . ⎪ fX ( x ) = ⎨ − b x ⎪a e . we require That is. In order for f X ( x ) to ∞ i) represent a legitimate PDF. hence b = 2 a . 100 ⎛ 1 ⎞ P ( x ≤ 5 ) = FX ( 5 ) = ⎜ ⎟ × 25 = 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.24 Indian Institute of Technology Madras . ⎩ x < 0 x ≥ 0. ⎪0 . Example 2.25 ⎝ 100 ⎠ P ( 5 < X ≤ 7 ) = FX ( 7 ) − FX ( 5 ) = 0. V. − ∞ < x < ∞ where a and b are positive constants. 0 ∞ ∞ 1 .

Y ( x .Y ( x . 2 1 − bx e . Venkata Rao For x < 0 . 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 . y ) fX ( x ) 2.5 ) Are X and Y independent? (a) fY | X ( y | x ) = f X . 0 ≤ x ≤ y.25 Indian Institute of Technology Madras . ∫ f X ( x ) d x = 2 ∞ −2 −∞ ∫ f (x) d x X Therefore. 2 x < 0 x ≥ 0 1 −b e − e− 2 b 2 ( ) Example 2. FX ( x ) = 1 − 1 − bx e . y ) = ⎨ 2 ⎪0 . 0 ≤ y ≤ 2 ⎪ Let f X . we have FX ( x ) = b bα 1 e d α = eb x . V.5 ⎧1 . 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.Principles of Communication Prof. 2 2 −∞ ∫ 2 x Consider x > 0 .

Venkata Rao f X ( x ) can be obtained from f X . 1 ≤ y ≤ 2 ⎨ 1 ⎩0 . 1. 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 . (i) ∫2 dy x 2 1 = 1− x .Y by integrating out the unwanted variable y over the appropriate range. Y should be greater than or equal to x1 for the joint PDF to be non zero. Hence. V. y ≥ x .5 ) = 2 = ⎨ 1 ⎩0 .26 Indian Institute of Technology Madras . fX ( x ) = Hence.5 ≤ y ≤ 2 fY | X ( y | 1.Principles of Communication Prof. 0 ≤ x ≤ 2 2 fY | X ( y | 1) = 1 2 = ⎧1 . then fY | X ( y | x ) = fY ( y ) . 2. Also we see that fY | X ( y | x ) depends on x whereas if X and Y were to be independent. in addition. for any given x . The maximum value taken by y is 2 . otherwise 2 (ii) b) 1 ⎧2 .

(Fig.3 For the two random variables X and Y . filtering etc. the following density functions have been given. 10 < y ≤ 20 ⎪ 5 100 ⎩ 2. y ) Show that ⎧ y .27 Indian Institute of Technology Madras . given the transformation and the input random variables. Venkata Rao Exercise 2.6) Fig. V.4 Transformation of Variables The process of communication involves various operations such as modulation. We will now develop the necessary theory for the statistical characterization of the output random variables. 0 ≤ y ≤ 10 ⎪100 ⎪ fY ( y ) = ⎨ ⎪ 1 − y . 2.Y ( x . we typically generate new random variables from the given ones. detection. 2. 2.3 Find a) b) f X . In performing these operations.Principles of Communication Prof.6: PDFs for the exercise 2.

= g ( xn ) = ..1).1 Let Y = g ( X ) .. .. + g ' ( xn ) f X ( xn ) + ..7. 2.... (2.28 Indian Institute of Technology Madras . 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 ) .Principles of Communication Prof. x2 and x3 . ... we will show that fY ( y ) = g ' ( x1 ) f X ( x1 ) + .. Denoting its real roots by xn . 2.31) where g ' ( x ) is the derivative of g ( x ) .. obtained from X by the transformation Y = g ( X ) ... 2.4. We see that the equation y 1 = g ( x ) has three roots namely. solve the equation y = g ( x ) ... y = g ( x1 ) = . This can be obtained with the help of the following theorem (Thm. V... Proof: Consider the transformation shown in Fig...1 Functions of one random variable Assume that X is the given random variable of the continuous type with the PDF.. Theorem 2. f X ( x ) ....... x1 . for the specific y .. Let Y be the new random variable.... To find fY ( y ) . Venkata Rao 2..

2.29 Indian Institute of Technology Madras . P [ x1 < X ≤ x1 + d x1 ] = f X ( x1 ) d x1 . x3 < x ≤ x3 + d x3 where d x1 > 0 . d x1 = dy g ' ( x1 ) P [ x2 + d x2 < x ≤ x2 ] = f X ( x2 ) d x2 . but d x2 < 0 . As we see from the figure. 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. Therefore.7: X − Y transformation used in the proof of theorem 2.7. Venkata Rao Fig.Principles of Communication Prof.1 We know that fY ( y ) d y = P [ y < Y ≤ y + d y ] . d x2 = P [ x3 < X ≤ x3 + d x 3 ] = f X ( x 3 ) d x3 . 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. d x 3 = dy g ' ( x2 ) dy g ' ( x3 ) 2. V. d x3 > 0 . From the above. this set consists of the following intervals: x1 < x ≤ x1 + d x1 .

1) . where a is a constant. V. that is FY ( y ) is discontinuous at y = y1 . δ ( y − y1 ) of area FX ( x1 ) − FX ( x0 ) . We shall take up a few examples.30 Indian Institute of Technology Madras . there is a unique x satisfying the above transformation. 2. and x ranges from the interval ( − 1.31 follows.32. 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 (2.6 Y = g ( X ) = X + a . fY ( y ) d y = g '(x) fX ( x ) d y and as g ' ( x ) = 1.Principles of Communication Prof. 2. we have fY ( y ) = f X ( y − a ) ⎧1 − x . Hence. Note that if g ( x ) = y1 = constant for every x in the interval ( x0 . 0 ) . we have the range of y as ( − 2. Example 2. Let us find fY ( y ) .32) and Eq. by canceling d y from the Eq. then we have P [Y = y1 ] = P ( x0 < X ≤ x1 ) = FX ( x1 ) − FX ( x0 ) . x1 ) . 2. Hence fY ( y ) contains an impulse. For a given y . elsewhere ⎩ and a = − 1 Then. fY ( y ) = 1 − y + 1 As y = x − 1. x ≤ 1 ⎪ Let f X ( x ) = ⎨ ⎪ 0 . We have g ' ( x ) = 1 and x = y − a .

we have fY ( y ) = x ⎧ ⎪1 − . otherwise ⎩ and b = − 2 . 0 ≤ x ≤ 2 Let f X ( x ) = ⎨ 2 ⎪ 0 . − 2 ≤ y ≤ 0 ⎪ Hence fY ( y ) = ⎨ 0 . Again for a given y . Fig. b ⎝b⎠ 2. Example 2.8: FX ( x ) and FY ( y ) of example 2. we have X = 1 Y . then 1 ⎛y⎞ fX ⎜ ⎟ . 2. Solving for X . elsewhere ⎪ ⎩ FX ( x ) and FY ( y ) are shown in Fig. where b is a constant. Venkata Rao ⎧1 − y + 1 . Let us find fY ( y ) .Principles of Communication Prof. V. 2.7 Let Y = b X .31 Indian Institute of Technology Madras . there is a unique b x .6 As can be seen. the transformation of adding a constant to the given variable simply results in the translation of its PDF.8. As g ' ( x ) = b .

V. compute and sketch fY ( y ) for a = − 2 . a ⎝ a ⎠ If f X ( x ) is as shown in Fig. Let us find fY ( y ) . Fig.32 Indian Institute of Technology Madras . − 4 ≤ y ≤ 0 ⎣ ⎦ 0 . a > 0 .7 Exercise 2.2.9: f X ( x ) and fY ( y ) of example 2. Example 2. 2.4 Let Y = a X + b .8 Y = a X 2 . Show that fY ( y ) = 1 ⎛y − b⎞ fX ⎜ ⎟. and b = 1.9. 2.Principles of Communication Prof. where a and b are constants. otherwise f X ( x ) and fY ( y ) are sketched in Fig.8. Venkata Rao ⎧1 ⎪ fY ( y ) = ⎨ 2 ⎪ ⎩ y⎤ ⎡ ⎢1 + 4 ⎥ . 2.

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

0 < y ≤ 2 ⎪2 . otherwise ⎩ ⎧1 .9 2. elsewhere ⎩ ⎧1 ⎪4 δ(y ) . we have fY ( y ) = f X ( y ) for y > 0 . 2.10: f X ( x ) and fY ( y ) for the example 2. − <x< Specifically.Principles of Communication Prof. there is an impulse in fY ( y ) at y = 0 whose area is equal to FX ( 0 ) . Fig. V. fY ( y ) = 0 for y < 0 . Hence. Venkata Rao a) Note that g ( X ) is a constant (equal to zero) for X in the range of ( − ∞ . y ≥ 0 where w ( y ) = ⎨ ⎩0 .10. 2. otherwise b) 1 3 ⎧1 ⎪ .34 Indian Institute of Technology Madras . y = 0 ⎪ 3 ⎪1 = ⎨ . As Y is nonnegative. fY ( y ) f X ( x ) and fY ( y ) are sketched in Fig. otherwise ⎪0 ⎪ ⎩ Then. Hence ⎧f ( y ) w ( y ) + FX ( 0 ) δ ( y ) ⎪ fY ( y ) = ⎨ X ⎪0 . 0 ) . As Y = X for x > 0 . let f X ( x ) = ⎨ 2 2 2 ⎪0 .

In this case.Principles of Communication Prof. X ≥ 0 a) b) Let us find the general expression for fY ( y ) . 3 1 and P− 1 = . we have P1 = has the sketches f X ( x ) and fY ( y ) .11 4 4 Fig. 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. Example 2. Y assumes only two values. 2.9. Fig. 2.11: f X ( x ) and fY ( y ) for the example 2. X < 0 Let Y = ⎨ ⎩+ 1.35 Indian Institute of Technology Madras . a continuous RV is transformed into a mixed RV. V. Hence the PDF of Y has only two impulses. We shall compute and sketch fY ( x ) assuming that f X ( x ) is the same as that of Example 2. namely ±1. 2.10 Note that this transformation has converted a continuous random variable X into a discrete random variable Y . Y .10 ⎧− 1.9. Venkata Rao Note that X .

2. 2.12(b). V. Compute and sketch fY ( y ) . Venkata Rao Exercise 2. Fig. 2.Principles of Communication Prof.5 (b) Input-output transformation Exercise 2.13. Compute and sketch fY ( y ) . 2.5 Let a random variable X with the PDF shown in Fig. 2.36 Indian Institute of Technology Madras .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 2.5 is applied as input to the X − Y transformation shown in Fig.6 The random variable X of exercise 2.

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

w ) . w ) = f X . fZ .33a) (2. y ) . y ⎠ ∂x = ∂z ∂y ∂w ∂y ∂ z ∂w ∂ z ∂w − ∂x ∂y ∂y ∂x That is. y ) . y ) = w1 . Let ( x1 . 2. y1 ⎠ (2. 2.2: To obtain fZ . y1 ) satisfying Eq. ( x1 . We shall now state the theorem which relates fZ . For this. for x and y .W ( z .33b) then there is a unique set of numbers. (2. For a more general version of this theorem. w ⎞ J⎜ ⎟ = ∂w ⎝ x. Venkata Rao Given the above transformation and f X .38 Indian Institute of Technology Madras .W ( z . the Jacobian is the determinant of the appropriate partial derivatives. w ⎞ J⎜ ⎟ where ⎝ x. y ) = z1 . That is. solve the system of equations g ( x .Y ( x . V.W ( z . Then.33.Y ( x . h ( x .34) Proof of this theorem is given in appendix A2. w ) and f X . we require the Jacobian of the transformation. w ⎞ J⎜ ⎟ ⎝ x1 .Y ( x1 . y ) = w1 . Theorem 2.W ( z . we would like to obtain fZ .Principles of Communication Prof. y1 ) ⎛ z. w ) . given g ( x . y1 ) be the result of the solution.1. We shall assume that the transformation is one-to-one. y ⎠ ∂z ∂x ⎛ z. refer [1]. h ( x . denoted ⎛ z. y ) = z1 .

If Z = X + Y and W = X − Y . Fig. y ) is non-zero. y ≤ 1 2 and (b) fZ ( z ) .W ( z . fX ( x ) = fY ( y ) = 1 .14(a) 2 depicts the (product) space A on which f X .39 Indian Institute of Technology Madras .Y ( x . V.Principles of Communication Prof.Y is non-zero (b) The space where fZ .14: (a) The space where f X . 2. We see that the mapping is one-to-one. 2.12 X and Y are two independent RVs with the PDFs . let us find (a) fZ . Venkata Rao Example 2.W is non-zero 2. we obtain x = 1 (z + w ) 2 and y = 1 ( z − w ) . Fig. w ) a) From the given transformations. x ≤ 1 2 1 .

2. w ⎞ J⎜ = − 2 and J ( ⎟ = 1 −1 ⎝ x. V. The Jacobian of the transformation 1 1 ⎛ z. Hence fZ ( z ) = + z −z ∫ 8 dw 1 1 = 1 z. we can see that. 0 ≤ z ≤ 2 4 For z negative. z.40 Indian Institute of Technology Madras . otherwise ⎩ ) = 2.14(b).Principles of Communication Prof. w ) = ⎨ 2 ⎪0 . b) fZ ( z ) = ∞ −∞ ∫ f (z. for a given z ( z ≥ 0 ). w ) d w Z . Venkata Rao We can obtain the space B (on which fZ . 2.14(b). y ⎠ Hence fZ . we have fZ ( z ) = −z ∫ 8 dw z = − 1 z. −2 ≤ z ≤ 0 4 2.W ⎧1 1 4 = ⎪8 .W From Fig.W ( z . w can take values only in the − z to z . w ∈ B (z. 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.

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

Then.Y ∞ (2. otherwise ⎩ If Z = X + Y .W ( z . −2 ≤ y ≤ 1 fY ( y ) = ⎨ 3 ⎪0 . V. then Eq. and Y = W . we obtain fZ ( z ) as shown in Fig. otherwise ⎩ ⎧1 ⎪ . Carrying out the convolution.42 Indian Institute of Technology Madras . Let us introduce a dummy variable W = Y .14 Let X and Y be two independent random variables. with ⎧1 ⎪ . X = Z − W . 2. fZ ( z ) is the convolution of f X ( z ) and fY ( z ) . 2.35) If X and Y are independent. fZ = f X ∗ fY Example 2. Venkata Rao Let Z = X + Y and we require fZ ( z ) . w ) d w X .Y ( z − w .35 becomes fZ ( z ) = −∞ ∫ f ( z − w ) f (w ) d w X Y (2. 2.36(b).15. w ) = f X . As J = 1 . let us find P [ Z ≤ − 2] . 2.Principles of Communication Prof.36a) (2. −1 ≤ x ≤ 1 fX ( x ) = ⎨ 2 ⎪0 .36b) That is. w ) and fZ ( z ) = ∞ −∞ ∫ f (z − w . fZ . From Eq.

y ≤ 1 ⎪ Let f X .15 Let Z = X . Y Introducing the dummy variable W = Y . w ) dw ⎧1 + x y .14 P [ Z ≤ − 2] is the shaded area = 1 .Y ( zw . we have w ∞ fZ ( z ) = −∞ ∫ w f X .15: PDF of Z = X + Y of example 2.Principles of Communication Prof. we have X = ZW Y = W As J = 1 . let us find an expression for fZ ( z ) . V.Y ( x . 2. x ≤ 1. elsewhere ⎩ Then fZ ( z ) = ∞ −∞ ∫ w 1 + zw 2 dw 4 2.43 Indian Institute of Technology Madras . 12 Example 2. Venkata Rao Fig. y ) = ⎨ 4 ⎪0 .

2. i) Let z < 1.16(b).16a).2. y ) is non-zero if (x. we have to integrate out w over the appropriate ranges.W ( z . V. B will be as shown in Fig.Y is non-zero (b) The space where fZ . w ) . Let fZ .44 Indian Institute of Technology Madras . where A is the product space B . we have fZ ( z ) = 2 − 1 z ∫ 0 1 + zw 2 1⎛ 1 1 ⎞ w dw = ⎜ 2 + ⎟ 4 4 ⎝z 2 z3 ⎠ 2. 2. w ) be non-zero if ( 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.Y ( x . Under x ≤ 1 and y ≤ 1 (Fig. w ) ∈ the given transformation.W is non-zero To obtain fZ ( z ) from fZ . Venkata Rao f X . Fig. y ) ∈ A . 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 .Principles of Communication Prof.W ( z .16: (a) The space where f X .

z > 1 2 z3 ⎠ ⎝z Exercise 2. by making use of the distribution function approach. such cases are handled better. The output of the channel is given by Z = X + Y 2 2. w ⎟ d w w ⎝w ⎠ X and Y be independent with fX ( x ) = 1 π 1 + x2 2 .16 The input to a noisy channel is a binary random variable with P [ X = 0] = P [ X = 1] = 1 . we may encounter a situation where one of the variables is continuous and the other is discrete. Example 2.45 Indian Institute of Technology Madras . y ≥ 0 .Y ⎜ . as illustrated below. − ∞ < z < ∞.7 Let Z = X Y and W = Y . x ≤ 1 and y ⎧ ⎪y e− fY ( y ) = ⎨ ⎪0 ⎩ 2 . Venkata Rao ⎧1 ⎪4 ⎪ Hence fZ ( z ) = ⎨ ⎪1 ⎪4 ⎩ z⎞ ⎛ ⎜1 + 2 ⎟ ⎝ ⎠ . a) b) Show that fZ ( z ) = ∞ −∞ ∫ 1 ⎛z ⎞ f X . V. otherwise Show that fZ ( z ) = 1 2π e 2 −z 2 . In transformations involving two random variables. z ≤ 1 ⎛ 1 1 ⎞ ⎜ 2 + ⎟.Principles of Communication Prof.

if Y = g ( X ) . Obtain fZ ( z ) . Venkata Rao where Y is the channel noise with fY ( y ) = fZ ( z ) . (In this method. given f X .Y ( x .2 is called change of variable method. V. Of course computing the CDF may prove to be quite difficult in certain situations. for transformations involving more than one random variable. 1 2π e − y2 2 . is a very basic method and can be used in all situations.Principles of Communication Prof.) We shall illustrate the distribution function method with another example.16.46 Indian Institute of Technology Madras . The method of obtaining PDFs based on theorem 2. − ∞ < y < ∞ . P ( Z ≤ z ) = P [ Z ≤ z | X = 0] P [ X = 0 ] + P [ Z ≤ z | X = 1] P [ X = 1] As Z = X + Y . y ) . we compute FY ( y ) and then obtain fY ( y ) = d FY ( y ) dy .1 or 2. we have FY ( z ) + FY ( z − 1) . 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. Example 2. 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 ) . 2. as illustrated by means of example 2. Similarly.17 Let Z = X + Y . Find Let us first compute the distribution function of Z from which the density function can be derived.

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

2. Venkata Rao fZ ( z ) = ∞ −∞ ∫ f (z − y . We now define a few of these averages and explore their significance.Y (2.39) Remarks: The terminology expected value or expectation has its origin in games of chance.Principles of Communication Prof. y ) d y X . the expected value of a function of X . We note that Eq.2 and 2 respectively are placed in bowl and are mixed.37(b) is the same as Eq. numbered 1. Similarly. g ( X ) . 2. Details can be found in [1. A player is to be 2. we have fZ ( z ) = f X ( z ) ∗ fY ( z ) .48 Indian Institute of Technology Madras . 2]. However. Some of these averages do provide a simple and fairly adequate (though incomplete) description of the random variable. The mean value (also called the expected value. V. This can be generalized to the case of functions of n variables.38) where E denotes the expectation operator. Note that m X is a constant.37b) If X and Y are independent. 2.5 Statistical Averages The PDF of a random variable provides a complete statistical characterization of the variable. 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. This can be illustrated as follows: Three small similar discs. So far we have considered the transformations involving one or two variables.35. is defined by E ⎡g ( X ) ⎤ = g ( X ) = ⎣ ⎦ ∞ −∞ ∫ g (x) f (x) d x X (2. mathematical expectation or simply expectation) of random variable X is defined as mX = E [ X ] = X = ∞ −∞ ∫ x fX ( x ) d x (2.

that is. Y ) .38) and the second moment ( n = 2 . then E ⎡ g ( X ) ⎤ gives n-th central moment. ⎣ ⎦ n E ⎡( X − m X ) ⎤ = ⎣ ⎦ ∞ −∞ ∫ (x − m ) X n fX ( x ) d x (2. V. we obtain the n-th moment of the probability distribution of the RV. Venkata Rao blindfolded and is to draw a disc from the bowl.Principles of Communication Prof. Then.42) We can extend the definition of expectation to the case of functions of k ( k ≥ 2 ) random variables.49 Indian Institute of Technology Madras .40) The most widely used moments are the first moment ( n = 1. the mathematical expectation of g ( X ) is precisely the player's claim or expectation [3]. E ⎡X2⎤ = X2 = ⎣ ⎦ n ∞ −∞ ∫ x 2 fX ( x ) d x (2. or five dollars. His total claim is 9(1/3) + 3(2/3). For the special case of g ( X ) = X n . g ( X . that is.41) If g ( X ) = ( X − m X ) . If he draws the disc numbered 1. then 3 3 ∞ ⎡ ⎤ E ⎣g ( X ) ⎦ = −∞ ∫ (15 − 6 x ) f ( x ) d x X = 5 That is. It seems reasonable to assume that the player has a '1/3 claim' on the 9 dollars and '2/3 claim' on three dollars. he will receive 3 dollars. he will receive nine dollars. Note that g ( x ) is such that g (1) = 9 and g ( 2 ) = 3 . Consider a function of two random variables. if he draws either disc numbered 2. X . 2. 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 . which results in the mean value of Eq. resulting in the mean square value of X ). 2. E ⎡Xn ⎤ = ⎣ ⎦ ∞ −∞ ∫ x n fX ( x ) d x (2.

2. y ) d x d y X . 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 2.1 Variance Coming back to the central moments.50 Indian Institute of Technology Madras .5. that is.Principles of Communication Prof. if Z = g ( X . This result can be established as follows. then Z = α X + βY . y ) f (x. From Eq.Y ∞ (2.Y ∞ − ∞− ∞ ∫ ∫ ( α x ) fX . y ) d x dy + ∞ − ∞− ∞ ∫ ∫ (β y ) f ( x . Y ) ⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ g (x. we have E [Z ] = ∞ −∞ ∫ α x f (x) d x + ∫ β y f (y ) d y X Y −∞ ∞ = α X + βY 2. 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.Y ( x . V. Venkata Rao E ⎡g ( X . Y ) = α X + βY where α and β are constants. we have the first central moment being always zero because.Y ∞ Integrating out the variable y in the first term and the variable x in the second term. y ) d x dy X . we have E [Z ] = = ∞ − ∞− ∞ ∞ ∞ ∫ ∫ ( α x + β y ) f ( x . y ) d x dy X .43) An important property of the expectation operator is linearity.43.

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

let g ( X ) represent the height of a randomly chosen human being with E ⎡ g ( X ) ⎤ = 1. Chebyshev 2. 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 . We then have. With k = 2 for example. (2.52 Indian Institute of Technology Madras . smaller the standard deviation. let g ( X ) = ( X − m X ) and c = k 2 σ2 in theorem X 2 2.3.45b) To establish 2. 1 2 P ⎡( X − m X ) ≥ k 2 σ 2 ⎤ ≤ 2 X ⎣ ⎦ k In other words. we would take the positive number k to be greater than one to have a meaningful result.45(a). 1 P ⎡ X − mX ≥ k σ X ⎤ ≤ 2 ⎣ ⎦ k which is the desired result. Naturally. where the required probability is concentrated.44 states that the probability of choosing a person over 16 m tall is at most 1 ! (In a population of 1 billion. ⎣ ⎦ Then Eq. By the same token. smaller is the width of the interval around m X . V. 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 .45a) (2. Venkata Rao To see how innocuous (or weak. perhaps) the inequality 2.6m .Principles of Communication Prof. That is.44 is. we expect X to occur within the range ( m X ± 2 σ X ) for more than 75% of the observations. k > 0 ⎣ ⎦ k 1 P ⎡ X − mX < k σ X ⎤ > 1 − 2 ⎣ ⎦ k where σ X is the standard deviation of X . the k2 probability of X − m X ≥ 2 σ X does not exceed 1/4 or 25%.

53 Indian Institute of Technology Madras . Suppose X and Y are independent. V. − ∞ < x < ∞ and α > 0 . E[XY] = = ∞ ∞ − ∞− ∞ ∞ ∞ ∫ ∫ x y f X .46b) The cov [ X .Y ] = E ⎡( X − m X ) (Y − mY ) ⎤ ⎣ ⎦ (2.46a) Using the linearity property of expectation. α +x (This is called Cauchy’s PDF) 2. λ X Y = cov [ X . if α f X ( x ) = 2 π 2 .Principles of Communication Prof.Y ] . 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. That is.5. Note that it is not necessary that variance exists for every PDF. then X = 0 but X 2 is not finite.2 Covariance An important joint expectation is the quantity called covariance which is obtained by letting g ( X . Venkata Rao inequality thus enables us to give a quantitative interpretation to the statement 'variance is indicative of the spread of the random variable'. For example. normalized with respect to the product σ X σY is termed as the correlation coefficient and we denote it by ρ .Y ( x . We use the symbol λ to denote the covariance.47) The correlation coefficient is a measure of dependency between the variables. Y ) = ( X − m X ) (Y − mY ) in Eq. 2.43. ρX Y = E [ X Y ] − mX mY σ X σY (2. That is. we have λ X Y = E [ X Y ] − m X mY (2. Then.

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

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

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 ⎩ . .18 Let a random variable X have the CDF ⎧0 ⎪x ⎪ ⎪8 FX ( x ) = ⎨ 2 ⎪x ⎪16 ⎪ ⎩1 . x < 0 .49) where the meaning of various symbols on the RHS of Eq. We shall now give a few examples based on the theory covered so far in this section. E[X] = 1 1 2 ∫8x dx + ∫8x dx 0 2 2 4 2.56 Indian Institute of Technology Madras . 0 ≤ x ≤ 2 . 2 ≤ x ≤ 4 4 ≤ x Therefore. 2. x < 0 . Example 2. 0 ≤ x ≤ 2 .49 is quite obvious. then 2 i i = 1 ∑k σ2 + 2 ∑∑ k i k j ρi j σi σ j i i j i < j (2. V. Venkata Rao Y = 2 σY = i = 1 ∑k n n i X i .Principles of Communication Prof. .

57 Indian Institute of Technology Madras .Principles of Communication Prof. From Eq.20 Let X and Y have the joint PDF ⎧ x + y .0636 π 1 = 0.5 2 E ⎡Y ⎤ = ⎣ ⎦ 2 2 Hence σY = − 1 2 ∫ cos2 ( π x ) d x = 1 4 − 2 = 0. otherwise ⎩ 2 Let us find E [Y ] and σY . elsewhere ⎩0 2. 2. E [Y ] = 1 2 − 1 2 ∫ cos ( π x ) d x = 1 2 2 = 0. where 1 1 ⎧ ⎪1. V.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. 0 < y < 1 f X .38 we have. − < x < fX ( x ) = ⎨ 2 2 ⎪0.Y ( x . y ) = ⎨ .96 2 π Example 2. 0 < x < 1.

we have E ⎡XY 2⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ ∞ x y 2 f X . y ) dx dy = ∫ ∫ x y ( x + y ) dx dy 2 0 0 1 1 = 17 72 b) To find ρ X Y . Venkata Rao Let us find a) E ⎡ X Y 2 ⎤ and ⎣ ⎦ b) ρ X Y a) From Eq. The quantity. E [ X | Y ] . we require E [ X Y ]. we can define the conditional variance etc. E ⎡g ( X ) | Y = y ⎤ = ⎣ ⎦ ∞ −∞ ∫ g ( x ) f ( x | y ) dx X |Y (2.43. We can easily show that E [ X ] = E [Y ] = 7 11 48 2 and E [ X Y ] = . then we have the conditional mean. E[X | Y = y] = E[X |Y ] = ∞ −∞ ∫ x f X |Y ( x | y ) dx (2. namely. σ X and σY .50) is called the conditional expectation of g ( X ) . 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. given Y = y . If g ( X ) = X . Example 2.Y ( x . We shall illustrate the calculation of conditional mean with the help of an example. 2.51) Similarly. E [ X ]. V. E [Y ] .21 Let the joint PDF of the random variables X and Y be 2.Principles of Communication Prof.58 Indian Institute of Technology Madras .

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

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

2. (Though X the formulae for the mean and the variance of a binomial PDF are simple.52) ⎛n⎞ n−i where Pi = ⎜ ⎟ p i (1 − p ) ⎝i ⎠ As can be seen.61 Indian Institute of Technology Madras .01 = 0. Assume that the probability of a binary digit being in error is 0. Let X be the random variable representing the number of errors per block.01 and that errors in various digit positions within a block are statistically independent. Then X is b (16. V. 0. 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. The following example illustrates the use of binomial PDF in a communication problem. Example 2.01) .16. the algebra to derive them is laborious). We write X is b ( n . i) E [ X ] = n p = 16 × 0.22 A digital communication system transmits binary digits over a noisy channel in blocks of 16 digits. Venkata Rao fX ( x ) = i = 0 ∑ P δ(x − i ) i n (2. p ) to indicate X has a binomial PDF with parameters n and p defined above.Principles of Communication Prof. 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 ) .

we obtain. V.0196 ⎣ ⎦ tight.62 Indian Institute of Technology Madras . 2.53) where λ is a positive constant.02 . Venkata Rao ii) P ( X ≥ 3 ) = 1 − P [ X ≤ 2] = 1− i =0 ⎛ ⎞ ∑ ⎜ i ⎟ ( 0. m = ∞ Since. if ∞ fX ( x ) = m = 0 ∑ δ ( x − m) λm e− λ m! (2.8 Show that for the example 2. ii) Poisson: 0. Note that Chebyshev inequality is not very A random variable X which takes on only integer values is Poisson distributed. λm e = ∑ . Chebyshev inequality results in P ⎡ X ≥ 3 ⎤ ≤ 0.1) (1 − p ) 2 16 i 16 − 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 . 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.002 Exercise 2.Principles of Communication Prof.22.

4 ) . elsewhere ⎩ A plot of f X ( x ) is shown in Fig.Principles of Communication Prof. X ⎣ ⎦ 2.2. V. Therefore.19. Hence σ2 = λ . a ≤ x ≤ b ⎪ fX ( x ) = ⎨ b − a ⎪0 . ⎧ 1 .6.2. Venkata Rao E ⎡ X 2 ⎤ = λ 2 + λ .54) Fig. 2. it has the same variance. whether X is uniform in ( − 1. namely 1 .63 Indian Institute of Technology Madras . (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 ) . 1) or ( 2.2 Continuous random variables i) Uniform: A random variable X is said to be uniformly distributed in the interval a ≤ x ≤ b if. 3 ii) Rayleigh: An RV X is said to be Rayleigh distributed if.

2. ( fR ( r ) of example 2. Venkata Rao ⎧x ⎛ x2 ⎞ exp ⎜ − ⎪ ⎟. V. x ≥ 0 fX ( x ) = ⎨ b ⎝ 2 b⎠ ⎪ . (2.64 Indian Institute of Technology Madras .) Fig.2. elsewhere ⎩0 where b is a positive constant.12 is Rayleigh PDF.2.20: Rayleigh PDF Rayleigh PDF frequently arises in radar and communication problems. We will encounter it later in the study of narrow-band noise processes.55) A typical sketch of the Rayleigh PDF is given in Fig.20.Principles of Communication Prof.

9 a) Let f X ( x ) be as given in Eq. That is. in the context of communication theory is the Gaussian (also called normal) density. 2 πb 2 is Rayleigh distributed.56 is a valid PDF. specified by fX ( x ) = 1 2 π σX ⎡ ( x − m X )2 ⎤ ⎥.65 Indian Institute of Technology Madras . V. m X and σ2 .56) where m X is the mean value and σ2 the variance. 2. As can be seen from the Fig. then Y = 2 ( ) ⎛ X − mX ⎞ ⎜ σ ⎟ is N ( 0. −∞ < x < ∞ exp ⎢− 2 σ2 ⎢ ⎥ X ⎣ ⎦ (2.21. The Gaussian PDF is symmetrical with respect to m X . Hint: Make 0 ∞ the change of variable x 2 = z . then E [ X ] = and iii) Gaussian By far the most widely used PDF. We use the symbol X N ( m X . 1) . Then. In appendix A2. Venkata Rao Exercise 2.3. 1 TP PT In this notation. N ( 0. Show that ∫ f X ( x ) d x = 1. σ X . the Gaussian PDF is X completely specified by the two parameters. 2.Principles of Communication Prof. Note that if X is N m X . ⎝ ⎠ X 2. x d x = b) Show that if X E ⎡X2⎤ = 2 b ⎣ ⎦ dz . σ2 ) to denote the Gaussian density1. 2. 1) denotes the Gaussian PDF with zero mean and unit variance.55. we show that X PT f X ( x ) as given by Eq.

We have. 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. 2.21: Gaussian PDF Hence FX ( m X ) = mX −∞ ∫ f (x) d x X = 0.57 is N ( 0. Venkata Rao Fig.2 at the end of the chapter. By making a change of variable ⎛ x − mX ⎞ z = ⎜ ⎟ . V.66 Indian Institute of Technology Madras . Q( ) function table is available in most of the text books on communication theory as well as in standard mathematical tables.Principles of Communication Prof. 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. A small list is given in appendix A2.5 Consider P [ X ≥ a ] .57) Note that the integrand on the RHS of Eq. 2. 1) . 2.

a) b) c) Show that Y is log-normal Find E (Y ) If m is such that FY ( m ) = 0. For a more precise statement and a thorough discussion of this theorem. regardless of the distribution of the individual components. We shall develop Gaussian random processes in detail in Chapter 3 and. ⎧ ⎡ ( ln y − α )2 ⎤ 1 ⎪ ⎥. we shall make use of this theory in our studies on the noise performance of various modulation schemes. 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. then FX ( x ) approaches Gaussian as N becomes large. Example 2. y ≥ 0 exp ⎢− ⎪ fY ( y ) = ⎨ 2 π y β 2 β2 ⎢ ⎥ ⎣ ⎦ ⎪ 0 . where each component makes only a small contribution to the sum.Principles of Communication Prof. to the total. otherwise ⎪ ⎩ where α and β are given constants. you may refer [1-3]. find m . Hence the instantaneous value of the noise can be fairly adequately modeled as a Gaussian variable.5 .23 A random variable Y is said to have a log-normal PDF if X = ln Y has a Gaussian (normal) PDF. in Chapter 7. Let Y have the PDF. each particle making an independent contribution of the same amount.67 Indian Institute of Technology Madras . 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. V. Let X = ln Y or x = ln y (Note that the transformation is one-to-one) a) 2.

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

Therefore fZ ( z ) can be written after computing mZ and σ2 with the help of the formulae given in section 2. then the marginal density of X or Y is 2 Gaussian. We can construct examples of a joint PDF fX . in general. 2. This does not imply fX . X is N ( m X . P3) If Z = α X + βY where α and β are constants and X and Y are jointly Gaussian. That is not true. Y is jointly Gaussian.69 Indian Institute of Technology Madras .2). Let fX and fY be obtained from fX . Z Figure 2. 1 TP PT Note that the converse is not necessarily true. if the Gaussian variables are uncorrelated. 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. Y and let fX are and fY be Gaussian. y ) = f X ( x ) fY ( y ) iff ρ = 0 That is. V. σY ) 1 X TP PT P2) f X Y ( x .22 gives the plot of a bivariate Gaussian PDF for the case of ρ = 0 and σ X = σY . which is not Gaussian but results in fX and fY that are Gaussian. σ2 ) and Y is N ( mY .5. Y . 2.5. then they are independent. then Z is Gaussian. unless X and Y independent.Principles of Communication Prof. that is. with respect to non-Gaussian variables (we have already seen an example of this in Sec.

positive and (ii) ρ . V. σ2 = σY = 1 and X ρX Y = − 1 .Principles of Communication Prof. of course.24 2 Let X and Y be jointly Gaussian with X = − Y = 1 . we have two cases (i) ρ . Let us find the probability of 2 (X. If ρ > 0 . negative.2. 2. with.22: Bivariate Gaussian PDF ( σ X = σY and ρ = 0 ) For ρ = 0 and σ X = σY . 2. imagine the bell being compressed along the X = − Y axis so that it elongates along the X = Y axis.Y) lying in the shaded region D shown in Fig. the striker missing! For ρ ≠ 0 .Y resembles a (temple) bell. Similarly for ρ < 0.23. Example 2. f X . Venkata Rao Fig.70 Indian Institute of Technology Madras .

2. y ) ∈ B ⎤ ⎦ ⎣ ⎦ The required probability = P ⎡( x . Hence the required probability is. Venkata Rao Fig.24: (a) Region A and (b) Region B used to obtain region D A ⎤ − P ⎡( x .71 Indian Institute of Technology Madras . we have y ≥ − x + 1 and for the region B . we have 1 x + 2 .Principles of Communication Prof. V. Fig.24(a) and B be the shaded region in Fig. 2.23: The region D of example 2.24 Let A be the shaded region shown in Fig. 2 2. 2.24(b). 2. y ) ∈ ⎣ For the region y ≥ − 1 2 A .

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

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

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

0495 3.10 0.60 0. V.20 0.0322 3.75 0.0287 3.0010 10− 3 10− 3 2 10− 4 10− 4 2 10− 5 10− 6 3.95 0.20 0.45 0.65 0.0606 3.4207 1.00 0.50 0.0548 3.3821 1.10 0.2912 1.78 Indian Institute of Technology Madras .85 0.60 0.0013 0.40 0.1469 2.0026 0.40 0. Note that Q ( 0 ) = 0.00023 0.1251 2.80 0.35 0.0401 3.85 0.3446 1.00010 0.50 0.10 0.0107 0.55 0.28 3.00003 2.15 0.2578 1.2 Q( ) Function Table Q (α) = ∞ ∫ α 1 2π e 2 − x 2 dx It is sufficient if we know Q ( α ) for α ≥ 0 .00034 0.3264 1.70 0.05 0.50 0.4013 1.80 0.30 0.2420 1.4405 1.45 0.00 0.0228 4.2119 1.4801 1. y Q (y ) y Q (y ) y Q (y ) y Q (y ) 0.55 0.80 0.27 4.5 .2743 1.10 0.4602 1.0139 0.00069 0.1357 2.1841 1.95 0.90 0.90 0.05 0.0735 2.00005 1.0446 3.0019 0.35 0.20 0.25 0.90 4.40 0.10 3.0359 3. because Q ( − α ) = 1 − Q ( α ) .Principles of Communication Prof.1587 2.00 0.2266 1.1151 2.0885 2.15 0.00048 0.0808 2.0179 0.0668 3.80 0.3632 1.0256 3.00007 0.65 0.60 0.70 0.0082 0.90 0.60 0.1977 1.30 0.0156 2.70 3.75 0.30 0.1711 1.3085 1.70 0.00016 0.25 0.0035 0.00 0. Venkata Rao Appendix A2.50 0.30 0.0968 2.70 0.40 0.0047 0.90 0.20 0.0062 0.78 0.

Principles of Communication Prof. erf ( α ) = Hence Q ( α ) = 2 π 2 ∫e α 0 − β2 dβ π ∫e α − β2 dβ 1 ⎛ α ⎞ erfc ⎜ ⎟.79 Indian Institute of Technology Madras . V. the complementary error function which is ∞ erfc ( α ) = 1 − erf ( α ) = and the error function. 2 ⎝ 2⎠ 2. Venkata Rao Note that some authors use erfc ( given by ) .

2) (A2.3. A2.3. ⎝v ⎠ and d x d y = r d r d θ . d v = Using Eq. σ2 is a valid PDF X We will show that f X ( x ) as given by Eq. A2. is a valid PDF by ∞ ( ) establishing ∞ −∞ 2 −v ∫ f (x) d x X ∞ 2 = 1 . Let v = 1 2π ∞ −∞ ∫e − v2 2 dv = 1 (A2.1) x − mX σx dx σx (A2.3. (Note that f X ( x ) ≥ 0 for − ∞ < x < ∞ ).3 in Eq.3.2 and Eq.3. Venkata Rao Appendix A2.3 Proof that N m X . Then. we have the required result. 2 −y Let I = −∞ ∫e dv = −∞ ∫e 2 dy. 2.3. 2π ∞ I 2 = ∫ ∫e 0 0 − r2 2 r dr dθ 2π = 2 π or I = That is. 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 . 2.56. (Cartesian to Polar coordinate transformation). V.1. A2.80 Indian Institute of Technology Madras .3) Then.Principles of Communication Prof. Then. r = v 2 + y 2 and θ = tan−1 ⎜ ⎟ .

1991.. M. 1965. and Craig. J. 1965. R. ‘Introduction to Mathematical Statistics”. A. Venkata Rao References 1) Papoulis. John Wiley. The Macmillan Co. T.. ‘Principles of Communication Engineering’. and Jacobs. V. McGraw Hill (3rd edition). P P 2) Wozencraft. 2nd edition. ‘Probability... 3) Hogg. V. Random Variables and Stochastic Processes’. I.Principles of Communication Prof.81 Indian Institute of Technology Madras . P P 2.. A. J.

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