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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

Indian Institute of Technology Madras

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

Indian Institute of Technology Madras

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

Indian Institute of Technology Madras

Principles of Communication

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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For example. Two of the most popular definitions are: i) the relative frequency definition. Venkata Rao Def. then the probability of A . Def. it is likely that ⎜ A ⎟ will fluctuate quite badly. But ⎝ n ⎠ ⎛n ⎞ as n becomes larger and larger. denoted by P ( A ) .2.Principles of Communication Prof. ⎜ A ⎟ to tend to a definite limiting ⎝ n ⎠ value.5 Indian Institute of Technology Madras . let the experiment be that of tossing a coin and A the event ⎛n ⎞ 'outcome of a toss is Head'. Def. we expect. and ii) the classical definition. S 2. denoted φ . V. then A B = φ and vice versa). is an event with no sample points. If the event A occurs nA times. If n is the order of 100. 2. 2. 2. ⎝ ⎠ (2.10: Null event The null event. ⎜ A ⎟ may not deviate from ⎝ n ⎠ 2.1) ⎛n ⎞ For small values of n . Thus φ = (note that if A and B are disjoint events. denoted by A is the event containing all points in S but not in A .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 .2 Probability of an Event The probability of an event has been defined in several ways. is defined as ⎛n ⎞ P ( A ) = lim ⎜ A ⎟ n → ∞ ⎝ n ⎠ ⎛ nA ⎞ ⎜ n ⎟ represents the fraction of occurrence of A in n trials.

V. In the classical approach. it is possible for us to derive some additional relationships: i) If A B ≠ φ . then P ( A) = NA N (2.5a) 2.3c) (Note that in Eq. A2 . 2 ⎝ n ⎠ Def.3. 2. 2.12: The classical definition: The relative frequency definition given above has empirical flavor. we 2 1 ⎛n ⎞ expect ⎜ A ⎟ to converge to . to denote the union of A and B and to denote the addition of two real numbers). say ten percent and as n becomes larger and larger.4) ii) Let A1 .Principles of Communication Prof.. 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 .6 Indian Institute of Technology Madras ..3a) (2. namely.3(c). for i ≠ j and (2.. 2. Using Eq... then P ( A + B ) = P ( A ) + P ( B ) − P ( A B ) (2...2) where it is assumed that all outcomes are equally likely! Whatever may the definition of probability. the probability of the event A is found without experimentation. the symbol + is used to mean two different things. Venkata Rao 1 by more than. 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 . then P ( A + B ) = P ( A ) + P ( B ) (2. This is done by counting the total number N of the possible outcomes of the experiment.3b) (2.

Venkata Rao b) A1 + A2 + . V..6) Then. denoted P ( B | A ) .7 Indian Institute of Technology Madras . (2. This relation can be arrived at by using either the relative frequency definition of probability or the classical definition..5b)... P ( A ) = P ( A A1 ) + P ( A A2 ) + ..7 is left as an exercise. we have ⎛ nAB ⎞ P ( AB ) = lim ⎜ ⎟ n → ∞ ⎝ n ⎠ ⎛n ⎞ P ( A ) = lim ⎜ A ⎟ n → ∞ ⎝ n ⎠ 2.5a) and exhaustive (Eq. 2..6 and 2.5b) (2. it represents the probability of B occurring. In a real world random experiment. An are said to be mutually exclusive (Eq. Using the former. iii) P ( A ) = 1 − P ( A ) The derivation of Eq.4.. + 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.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 . 2. To give a simple example. A2 .7) A very useful concept in probability theory is that of conditional probability. ⋅ ⋅ ⋅. it is quite likely that the occurrence of the event B is very much influenced by the occurrence of the event A . + P ( A An ) where A is any event on the sample space.. 2. Note: A1 . 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 ) . (2..

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

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

a) b) Picture the sample space Let the event A stand for “P1 and P2 meet”. 2.m. Unfortunately. c) Find the probability that the lovebirds will get married and (hopefully) will live happily ever after. much against the wishes of the parents on both the sides. a) The sample space is the rectangle. Example 2.Principles of Communication Prof. They agree to meet at the office of registrar of marriages at 11:30 a. before leaving in a huff never to meet again. Mark this event on the sample space. V.1 Priya (P1) and Prasanna (P2). However. both are also very short tempered and will wait only 10 min. after seeing each other for some time (and after a few tiffs) decide to get married. 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. 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. shown in Fig. Also arrival of one person is independent of the other. 2. on the ensuing Friday (looks like they are not aware of Rahu Kalam or they don’t care about it).1(a).10 Indian Institute of Technology Madras .

V. 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. 2. indicating the possibility of P1 and P2 meeting. 2.1(a): S of Example 2. Assuming that P1 arrives at 11: x . 2. Venkata Rao Fig.1(b): The event A of Example 2.1 2. as shown in the figure.Principles of Communication Prof. The event A . Fig. is shown in Fig.1(b).11 Indian Institute of Technology Madras .

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

say X . Venkata Rao treated to be equally likely. that is.2. X assigns a real number. as shown in Fig. 2. X ( si ) . A and B are dependent events. to each si ∈ S .13 Indian Institute of Technology Madras .3 Random Variables Let us introduce a transformation or function. 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 .2.2: A mapping X ( ) from S to the real line. The six faces of the die can be treated as the six sample points in S . 2. that is. Fig. let the random experiment be that of throwing a die.3. a2 ] . 3 1 . 2 3 2. V.Principles of Communication Prof. whose domain is the sample space (of a random experiment) and whose range is in the real line.1 Distribution function: Taking a specific case. 2. This implies that the outcome T1 T2 given 3 1 1 and P ( B | A ) = . namely 'not H1 H2 '. which falls on the real line segment [a1 .

. As an example of a distribution function (also called Cumulative Distribution Function CDF). FX ( a1 ) etc.15) That is. FX ( x ) is the probability of the event. P ( s3 ) = and P ( s4 ) = .5. .) Evidently. for convenience. let S consist of four sample points. 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. it could be any ) is a function other symbol and we may use FX ( α ) .. i = 1. 1] ). 4 . V. 3.. . 2. If X ( si ) = i − 1. (Note that.Principles of Communication Prof. But. provided we know the Distribution Function of X. will be as shown in Fig. 2. denoted by FX ( FX ( x ) = P ⎡{s : X ( s ) ≤ x}⎤ ⎣ ⎦ ) which is given by (2. Venkata Rao Fi = si ..14 Indian Institute of Technology Madras . Let X ( si ) = i . FX ( whose domain is the real line and whose range is the interval [0. 2.3. i = 1. comprising all those sample points which are transformed by X into real numbers less than or equal to x . 2. then the events on the sample space will become transformed into appropriate segments of the real line. 6 . Once the transformation is induced.. then 8 8 2 the distribution function FX ( x ) . we use x as the argument of FX ( ) . s1 to s4 . 4 each with sample point representing an event with the probabilities P ( s1 ) = P ( s2 ) = 1 1 1 . with 1 .

− ∞ < x < ∞ FX ( − ∞ ) = 0 FX ( ∞ ) = 1 If a > b .3: An example of a distribution function FX ( ) satisfies the following properties: i) ii) iii) iv) v) FX ( x ) ≥ 0.16) 2. there is a discontinuity in FX of magnitude Pa at a point x = a . 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. there is a discontinuity of 4 4 x = − 0. Venkata Rao Fig.15 Indian Institute of Technology Madras . then ⎡FX ( a ) − FX ( b ) ⎤ = P ⎡{s : b < X ( s ) ≤ a}⎤ ⎣ ⎦ ⎣ ⎦ If a > b . 2.3.Principles of Communication Prof. 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. 2.5 . In other words.5 whereas FX ( − 0. V. if and only if P ⎡{s : X ( s ) = a}⎤ = Pa ⎣ ⎦ (2. In general.5 ) = 1 1 at the point .

s1 to s6 . 1 TP PT Let x = a .) However. Then the distribution function fails to exist because P [s : 3. 2. In other words. We see that the probabilities for the 6 2 6 various unions and intersections of A . For example. The only events that have been identified on the sample space are: A = {s1 . and has a step of size Pa at point a if and if Eq. F X ( x ) is continuous to the right. s5 } and C = {s6 } and their probabilities are P ( A ) = 2 1 1 . is continuous to the right at each point x 1.16 Indian Institute of Technology Madras . Hence. s2 }. let S consist of six sample points. B and C can be obtained. s4 . B = {s3 . Let the transformation X be X ( si ) = i . Venkata Rao The properties of the distribution function are summarized by saying that Fx ( TP PT ) is monotonically non-decreasing. P ( B ) = and P (C ) = . lim P ⎡a < X ( s ) ≤ a + ∆ ⎤ = lim ⎡FX ( a + ∆ ) − FX ( a ) ⎤ ⎣ ⎦ ⎣ ⎦ ∆ → 0 ∆ → 0 We intuitively feel that as ∆ → 0 . (The term “random variable” is somewhat misleading because an RV is a well defined function from S into the real line. V. every transformation from S into the real line need not be a random variable. 2. F X { } ( a+ ) − FX ( a ) = 0 . {s : X ( s ) ≤ x} should be an event in the sample space with some assigned probability.5 < x ≤ 4.Principles of Communication Prof. where a + = ∆ → 0 lim (a + ∆ ) That is. Functions such as X ( ) for which distribution functions exist are called Random Variables (RV). the limit of the set s : a < X ( s ) ≤ a + ∆ is the null set and can be proved to be so.16 is satisfied.5 ] = P ( s4 ) is not known as s4 is not an event on the sample space. for any real x . Consider. with ∆ > 0 .

2. 5 ⎪3 .2 Probability density function Though the CDF is a very fundamental concept. i = 3. in practice we find it more convenient to deal with Probability Density Function (PDF). 2. 4. P ( B ) = and P (C ) = . that is fX ( x ) = or FX ( x ) = d FX ( x ) dx (2. The events on S are the same as above. s4 . 2 ⎪ = ⎨2 . s5 } and C = {s6 } with P ( A ) = 1 1 1 . 2. i = 6 ⎩ Y ( si ) Show that Y ( ) is a random variable by finding FY ( y ) . f X ( x ) is defined as the derivative of the CDF. B = {s3 . namely.3. Venkata Rao Exercise 2.17 Indian Institute of Technology Madras .Principles of Communication Prof.4. Sketch FY ( y ) .2 Let identified S be a sample space with six sample points. s2 } . The PDF.17a) −∞ ∫ f (α) d α X x (2. i = 1. 3 2 6 Let Y ( ) be the transformation.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. s1 to s6 . A = {s1 . ⎧1. V.

) The second case is taken care of by introducing the impulse in the probability domain. 2. (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 = ⎥ = . FX ( x ) has a discontinuous slope at x = 1 and a step discontinuity at x = 2 .3.4: A CDF without a continuous derivative As can be seen from the figure. Venkata Rao Fig.18. we include an impulse Pa δ ( x − a ) in the PDF. 2. For example. V. 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. if there is a discontinuity in FX at x = a of magnitude Pa . for the CDF shown in Fig. 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. we resolve the ambiguity by taking f X to be a derivative on the right. That is. the PDF will be.18 Indian Institute of Technology Madras .Principles of Communication Prof. In the first case. 2.18) In Eq.

then we have a set of k co-existing random variables. 2.Principles of Communication Prof.19b) Based on the behavior of CDF. 2. If we induce k such transformations. lim ε → 0 1 −ε 2 ∫ f X ( x ) dx = 1 . This ensures. We say that X is a mixed random variable if FX ( x ) is discontinuous but not a staircase.3 Joint distribution and density functions Consider the case of two random variables. a random variable can be classified as: i) continuous (ii) discrete and (iii) mixed. y ) = P ⎡{s : X ( s ) ≤ x . Later on in this lesson. Y ( s ) ≤ y }⎤ ⎣ ⎦ 1 TP PT (2. 8 1 1 ⎧2 ⎪8 . Venkata Rao 1 2 However. If FX ( x ) is a TP PT staircase.20) As the domain of the random variable X ( ) is known. As FX is non-decreasing and FX ( ∞ ) = 1.19 Indian Institute of Technology Madras . We can induce more than one transformation on a given sample space. then X 1 is a continuous random variable.19a) = 1 −∞ ∫ f ( x ) dx X (2. If the CDF. we have i) ii) fX ( x ) ≥ 0 ∞ (2. FX ( x ) . − 2 ≤ x < 2 ⎪ FX ( x ) = ⎨ ⎪3 . say X and Y .3. then X corresponds to a discrete variable.Y ( x . They can be characterized by the (two-dimensional) joint distribution function. we shall discuss some examples of these three types of variables. 1 ≤ x < 3 ⎪8 2 2 ⎩ Such an impulse is referred to as the left-sided delta function. it is convenient to denote the variable simply by X . V. is a continuous function of x for all x . given by FX .

2. Y ( s )} corresponding to FX .Principles of Communication Prof. − ∞ ) = 0 FX . y ) = FY ( y ) FX . V.5. Fig. ∞ ) = FX ( x ) 2.20 Indian Institute of Technology Madras .5: Space of { X ( s ) .Y ( ∞ . the transformed values will be less than or equal to y . y ) ≥ 0 . FX . under Y . let A be the set of all those sample S such that X ( s ) ≤ x1 . −∞ < y < ∞ FX . then F ( x1 . Similarly. 2. 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.Y ( x1 . y1 ) Looking at the sample space points s ∈ S. In other words. y ) is the probability associated with the set of all those sample points such that under X . their transformed values will be less than or equal to x and at the same time. Venkata Rao That is. Properties of the two dimensional distribution function are: i) ii) iii) iv) v) FX .Y ( x1 .Y ( x . y1 ) is the probability sample points s ∈ associated with the event AB .Y ( − ∞ .Y ( x . if B is comprised of all those S such that Y ( s ) ≤ y1 . ∞ ) = 1 FX . y ) = FX . FX . −∞ < x < ∞.Y ( x .Y ( ∞ .Y ( x .

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

26b) 2.25d) f X .Y ( x . we might as well drop the subscript on y and denote it by f X |Y ( x | y ) . but fixed. We might also be interested in the PDF of X given a specific value of y = y1 . f X |Y ( x | y ) = fY | X ( y | x ) = f X . it satisfies all the requirements of an ordinary PDF.25a) and or (2. denoted f X |Y ( x | y1 ) and defined as f X |Y ( x | y1 ) = f X . FY ( y ) and fY ( y ) are similarly referred to.22 Indian Institute of Technology Madras . y ) fY ( y ) f X .) 2.26a) = 1 and −∞ ∫ f ( x | y ) dx X |Y (2.Principles of Communication Prof.25c) (2.3.24) where it is assumed that fY ( y1 ) ≠ 0 . Venkata Rao distribution function of X and f X ( x ) as the marginal density function. that is. y1 ) fY ( y1 ) (2. f X |Y ( x | y ) ≥ 0 ∞ (2. This is called the conditional PDF of X .Y ( x . 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. we have the pair of equations. Accordingly. y ) . An analogous relation can be defined for fY | X ( y | x ) . Once we understand the meaning of conditional PDF.4 Conditional density Given f X . given y = y1 . y ) fX ( x ) (2.25b) (2. V.Y ( x .Y ( x . we know how to obtain f X ( x ) or fY ( y ) . That is.Y ( x .

30(a) and 2. iff f X . Z are independent. f X . Venkata Rao 2.3 A random variable X has ⎧ 0 . the k -dimensional joint PDF factors into the product i = 1 ∏ f X i ( xi ) k (2. We shall now give a few examples to illustrate the concepts discussed in sec. Z ( x .30(b) are alternate expressions for the statistical independence between X and Y .Principles of Communication Prof. fY | X ( y | x ) = fY ( y ) Eq. .5 Statistical independence In the case of random variables.27) Hence. Let X and Y be independent. Y . We call k random variables X1 . 2.23 Indian Institute of Technology Madras .. 2. V.Y ( x . .30a) (2. the definition of statistical independence is somewhat simpler than in the case of events. iff. x > 10 ⎩ i) ii) Find the constant K Evaluate P ( X ≤ 5 ) and P ( 5 < X ≤ 7 ) 2. y ) = f X ( x ) fY ( y ) Making use of Eq. f X .Y ... x < 0 ⎪ FX ( x ) = ⎨ K x 2 .3. Example 2.25(c).Y ( x .30b) Similarly. X k statistically independent iff. 2. Then..28) and three random variables X .29) Statistical independence can also be expressed in terms of conditional PDF. y ) = f X ( x ) fY ( y ) (2. z ) = f X ( x ) fY ( y ) fz ( z ) (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. y ...3. two random variables X and Y are statistically independent.. 0 ≤ x ≤ 10 ⎪100 K . X 2 ..

hence b = 2 a . Example 2. ⎧0 ⎪ = ⎨0.24 Indian Institute of Technology Madras . − ∞ < x < ∞ where a and b are positive constants. ∫ a e − b x dx = 0 −∞ ∫ ae −bx dx = 2 ∫ a e − b x dx = 1 .Principles of Communication Prof. 0 ∞ ∞ 1 .4 Consider the random variable X defined by the PDF fX ( x ) = a e −bx . we require That is. ⎩ 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.25 ⎝ 100 ⎠ P ( 5 < X ≤ 7 ) = FX ( 7 ) − FX ( 5 ) = 0. As can be seen f X ( x ) ≥ 0 for − ∞ < x < ∞ . 2 ii) the given PDF can be written as ⎧a e b x . i) ii) iii) Determine the relation between a and b so that f X ( x ) is a PDF. In order for f X ( x ) to ∞ i) represent a legitimate PDF.24 fX ( x ) = d FX ( x ) dx . ⎪0 . 2. Determine the corresponding FX ( x ) Find P [1 < X ≤ 2] . ⎩ x < 0 x ≥ 0. ⎪ fX ( x ) = ⎨ − b x ⎪a e .02 x . V. 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 .

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

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

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

We see that the equation y 1 = g ( x ) has three roots namely. for the specific y . 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 ) .. Denoting its real roots by xn ...... = g ( xn ) = . y = g ( x1 ) = . Let Y be the new random variable. To find fY ( y ) ...1 Functions of one random variable Assume that X is the given random variable of the continuous type with the PDF.. we will show that fY ( y ) = g ' ( x1 ) f X ( x1 ) + .1). ...7...Principles of Communication Prof... (2.31) where g ' ( x ) is the derivative of g ( x ) . x2 and x3 ... Proof: Consider the transformation shown in Fig. solve the equation y = g ( x ) .28 Indian Institute of Technology Madras .. f X ( x ) .. Theorem 2... + g ' ( xn ) f X ( xn ) + .. Venkata Rao 2. 2. ..1 Let Y = g ( X ) ..4. obtained from X by the transformation Y = g ( X ) . V. x1 . 2.. 2....... This can be obtained with the help of the following theorem (Thm.

d x 3 = dy g ' ( x2 ) dy g ' ( x3 ) 2.1 We know that fY ( y ) d y = P [ y < Y ≤ y + d y ] .7. As we see from the figure. 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.7: X − Y transformation used in the proof of theorem 2.Principles of Communication Prof. 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 x3 > 0 . 2. d x1 = dy g ' ( x1 ) P [ x2 + d x2 < x ≤ x2 ] = f X ( x2 ) d x2 . this set consists of the following intervals: x1 < x ≤ x1 + d x1 . x3 < x ≤ x3 + d x3 where d x1 > 0 . x2 + d x2 < x ≤ x2 .29 Indian Institute of Technology Madras . 2. From the above. Therefore. P [ x1 < X ≤ x1 + d x1 ] = f X ( x1 ) d x1 . for any given y 1 . but d x2 < 0 . Venkata Rao Fig. d x2 = P [ x3 < X ≤ x3 + d x 3 ] = f X ( x 3 ) d x3 . V.

that is FY ( y ) is discontinuous at y = y1 . where a is a constant. For a given y . We shall take up a few examples. we have the range of y as ( − 2. x1 ) . elsewhere ⎩ and a = − 1 Then. fY ( y ) = 1 − y + 1 As y = x − 1. 2. We have g ' ( x ) = 1 and x = y − a . and x ranges from the interval ( − 1. δ ( y − y1 ) of area FX ( x1 ) − FX ( x0 ) .30 Indian Institute of Technology Madras . 2. there is a unique x satisfying the above transformation. we have fY ( y ) = f X ( y − a ) ⎧1 − x .31 follows. then we have P [Y = y1 ] = P ( x0 < X ≤ x1 ) = FX ( x1 ) − FX ( x0 ) . by canceling d y from the Eq. Let us find fY ( y ) . Hence. fY ( y ) d y = g '(x) fX ( x ) d y and as g ' ( x ) = 1.32) and Eq. 1) . Example 2. Note that if g ( x ) = y1 = constant for every x in the interval ( x0 . V. 0 ) .32. 2.Principles of Communication Prof. 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. x ≤ 1 ⎪ Let f X ( x ) = ⎨ ⎪ 0 . Hence fY ( y ) contains an impulse.6 Y = g ( X ) = X + a .

we have X = 1 Y .8: FX ( x ) and FY ( y ) of example 2. then 1 ⎛y⎞ fX ⎜ ⎟ . V. Fig. there is a unique b x . Venkata Rao ⎧1 − y + 1 .Principles of Communication Prof. b ⎝b⎠ 2. 0 ≤ x ≤ 2 Let f X ( x ) = ⎨ 2 ⎪ 0 . Again for a given y . the transformation of adding a constant to the given variable simply results in the translation of its PDF. Let us find fY ( y ) . where b is a constant. Solving for X . − 2 ≤ y ≤ 0 ⎪ Hence fY ( y ) = ⎨ 0 .8. Example 2. As g ' ( x ) = b . elsewhere ⎪ ⎩ FX ( x ) and FY ( y ) are shown in Fig. we have fY ( y ) = x ⎧ ⎪1 − . otherwise ⎩ and b = − 2 . 2.6 As can be seen.7 Let Y = b X . 2.31 Indian Institute of Technology Madras .

2. Example 2. Let us find fY ( y ) .2.32 Indian Institute of Technology Madras . − 4 ≤ y ≤ 0 ⎣ ⎦ 0 .9: f X ( x ) and fY ( y ) of example 2.9.4 Let Y = a X + b . 2. Venkata Rao ⎧1 ⎪ fY ( y ) = ⎨ 2 ⎪ ⎩ y⎤ ⎡ ⎢1 + 4 ⎥ .7 Exercise 2. and b = 1. compute and sketch fY ( y ) for a = − 2 . Show that fY ( y ) = 1 ⎛y − b⎞ fX ⎜ ⎟. V. otherwise f X ( x ) and fY ( y ) are sketched in Fig.Principles of Communication Prof. where a and b are constants. Fig.8.8 Y = a X 2 . a > 0 . 2. a ⎝ a ⎠ If f X ( x ) is as shown in Fig.

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

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

Principles of Communication Prof. we have P1 = has the sketches f X ( x ) and fY ( y ) . X < 0 Let Y = ⎨ ⎩+ 1. a continuous RV is transformed into a mixed RV. Fig. namely ±1.10 ⎧− 1.35 Indian Institute of Technology Madras . Venkata Rao Note that X .9. V.11 4 4 Fig. X ≥ 0 a) b) Let us find the general expression for fY ( y ) . Hence the PDF of Y has only two impulses. 2. 2. Y assumes only two values. 3 1 and P− 1 = . In this case.9. Example 2. 2. 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. Y . We shall compute and sketch fY ( x ) assuming that f X ( x ) is the same as that of Example 2.11: f X ( x ) and fY ( y ) for the example 2.10 Note that this transformation has converted a continuous random variable X into a discrete random variable Y .

2.12(b).6 The random variable X of exercise 2. 2. 2. 2.Principles of Communication Prof.36 Indian Institute of Technology Madras . Compute and sketch fY ( y ) . Venkata Rao Exercise 2.12(a) be the input to a device with the input-output characteristic shown in Fig. V. Fig.5 Let a random variable X with the PDF shown in Fig. 2.5 (b) Input-output transformation Exercise 2.5 is applied as input to the X − Y transformation shown in Fig. Compute and sketch fY ( y ) .13.12: (a) Input PDF for the transformation of exercise 2.

then Y takes the 6 a) If X takes the values (1. 6 ) with probability of values 12 .. y k = g ( x ) for x = xk and x = xm . ∑ 3 6 b) 1 6 i = −2 δ ( x − i ) .. then 6 Y takes the values 0. 1. 62 with probability 1 1 . 2. 0... then P [Y = y k ] = P [ X = xk ] = Pk . 2. If however. . That is. 4.. 6 3 3 6 1 1 ⎡δ ( y ) + δ ( y − 9 ) ⎤ + ⎡δ ( y − 1) + δ ( y − 4 ) ⎤ ⎣ ⎦ 3⎣ ⎦ 6 2. Z and W are defined using the transformation Z = g ( X . 22 . In this case. 1. respectively.... fY ( y ) = 1 1 1 1 .Principles of Communication Prof.. . If y k = g ( x ) for only one x = xk . 3 with probability 1 .. find fY ( y ) . − 1. V. find fY ( y ) . the RV. fY ( y ) = 6 6 i = 1 ∑ δ(x − i ) .4.. 6 2 b) If. 9 with probabilities That is... 1 . then P [Y = y k ] = Pk + Pm . Y = g ( X ) is also discrete. .11 Let Y = X 2 . a) 1 If f X ( x ) = 6 If f X ( x ) = i = 1 ∑ δ ( x − i ) . Y ) 2.2 Functions of two random variables Given two random variables X and Y (assumed to be continuous type). Y ) and W = h ( X . Venkata Rao We now assume that the random variable X is of discrete type taking on the value x k with probability Pk . . however. two new random variables.. X takes the values − 2. assuming the value Yk = g ( x k ) with probability Pk . Example 2.37 Indian Institute of Technology Madras .

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

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

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

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

35) If X and Y are independent.W ( z .14 Let X and Y be two independent random variables. with ⎧1 ⎪ . fZ = f X ∗ fY Example 2.36a) (2. From Eq.Principles of Communication Prof. w ) = f X . otherwise ⎩ ⎧1 ⎪ . we obtain fZ ( z ) as shown in Fig. fZ ( z ) is the convolution of f X ( z ) and fY ( z ) .36(b). let us find P [ Z ≤ − 2] . V.36b) That is.42 Indian Institute of Technology Madras . Carrying out the convolution. otherwise ⎩ If Z = X + Y . 2.15.Y ( z − w . −2 ≤ y ≤ 1 fY ( y ) = ⎨ 3 ⎪0 . Then. Let us introduce a dummy variable W = Y . 2.Y ∞ (2. Venkata Rao Let Z = X + Y and we require fZ ( z ) . 2. then Eq. w ) d w X . w ) and fZ ( z ) = ∞ −∞ ∫ f (z − w . −1 ≤ x ≤ 1 fX ( x ) = ⎨ 2 ⎪0 . and Y = W . As J = 1 .35 becomes fZ ( z ) = −∞ ∫ f ( z − w ) f (w ) d w X Y (2. fZ . 2. X = Z − W .

we have w ∞ fZ ( z ) = −∞ ∫ w f X .Principles of Communication Prof.15: PDF of Z = X + Y of example 2.Y ( x . V. let us find an expression for fZ ( z ) . elsewhere ⎩ Then fZ ( z ) = ∞ −∞ ∫ w 1 + zw 2 dw 4 2. Venkata Rao Fig. 2.15 Let Z = X . 12 Example 2.43 Indian Institute of Technology Madras .14 P [ Z ≤ − 2] is the shaded area = 1 .Y ( zw . y ) = ⎨ 4 ⎪0 . Y Introducing the dummy variable W = Y . y ≤ 1 ⎪ Let f X . x ≤ 1. w ) dw ⎧1 + x y . we have X = ZW Y = W As J = 1 .

w ) ∈ the given transformation. where A is the product space B .Y is non-zero (b) The space where fZ . 2. we have fZ ( z ) = 2 iii) 1 z 1 + zw 2 1⎛ 1 1 ⎞ ∫ 4 w dw = 4 ⎜ z2 + 2 z3 ⎟ ⎝ ⎠ 0 For z < − 1.2.16a). B will be as shown in Fig.16(b).W is non-zero To obtain fZ ( z ) from fZ .Principles of Communication Prof. 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 .Y ( x . we have to integrate out w over the appropriate ranges. i) Let z < 1. y ) is non-zero if (x.44 Indian Institute of Technology Madras .W ( z .16: (a) The space where f X . y ) ∈ A . Fig. V. we have fZ ( z ) = 2 − 1 z ∫ 0 1 + zw 2 1⎛ 1 1 ⎞ w dw = ⎜ 2 + ⎟ 4 4 ⎝z 2 z3 ⎠ 2. Let fZ . Under x ≤ 1 and y ≤ 1 (Fig. w ) . w ) be non-zero if ( z .W ( z . Venkata Rao f X . 2.

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

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

Fig.Y It is not too difficult to see the alternative form for fZ ( z ) . 2. Y ) lying in the shaded area shown in Fig.37a) = −∞ ∫ f (x.Y ( x . FZ ( z ) = ⎡z − x ⎤ d x ⎢ ∫ f X . V.Y ( x . Venkata Rao P [Z ≤ z ] = P [ X + Y ≤ z ] = P [Y ≤ z − x ] This probability is the probability of ( X . y ) d y ⎥ ∫∞ ⎢ − ∞ ⎥ − ⎣ ⎦ ∞ ∞ ⎡z − x ⎤⎤ ∂ ⎡ fZ ( z ) = ⎢ ∫ d x ⎢ ∫ f X . namely.17: Shaded area is the P [ Z ≤ z ] That is. z − x) d x X . y ) d y ⎥ ⎥ ⎦ (2. y ) d y ⎥ ⎥ ∂ z ⎢− ∞ ⎢−∞ ⎥⎥ ⎣ ⎦⎦ ⎣ = ⎡ ∂ ∫∞ d x ⎢ ∂ z ⎢ − ⎣ ∞ ∞ z− x −∞ ∫ ⎤ f X .Principles of Communication Prof. 2.Y ( x .47 Indian Institute of Technology Madras . 2.17.

37(b) is the same as Eq.Y (2. Details can be found in [1.35. 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. A player is to be 2. This can be generalized to the case of functions of n variables. numbered 1.5 Statistical Averages The PDF of a random variable provides a complete statistical characterization of the variable.48 Indian Institute of Technology Madras . the expected value of a function of X . Note that m X is a constant. y ) d y X .38) where E denotes the expectation operator.37b) If X and Y are independent. is defined by E ⎡g ( X ) ⎤ = g ( X ) = ⎣ ⎦ ∞ −∞ ∫ g (x) f (x) d x X (2. We now define a few of these averages and explore their significance.Principles of Communication Prof. Similarly. mathematical expectation or simply expectation) of random variable X is defined as mX = E [ X ] = X = ∞ −∞ ∫ x fX ( x ) d x (2. V. 2]. 2. g ( X ) . Some of these averages do provide a simple and fairly adequate (though incomplete) description of the random variable. We note that Eq. Venkata Rao fZ ( z ) = ∞ −∞ ∫ f (z − y . This can be illustrated as follows: Three small similar discs. However. The mean value (also called the expected value. 2. 2.39) Remarks: The terminology expected value or expectation has its origin in games of chance.2 and 2 respectively are placed in bowl and are mixed. So far we have considered the transformations involving one or two variables. we have fZ ( z ) = f X ( z ) ∗ fY ( z ) .

2. For the special case of g ( X ) = X n . we obtain the n-th moment of the probability distribution of the RV. V. then 3 3 ∞ ⎡ ⎤ E ⎣g ( X ) ⎦ = −∞ ∫ (15 − 6 x ) f ( x ) d x X = 5 That is. His total claim is 9(1/3) + 3(2/3). Y ) . that is.49 Indian Institute of Technology Madras . Consider a function of two random variables. then E ⎡ g ( X ) ⎤ gives n-th central moment. he will receive 3 dollars. which results in the mean value of Eq. if he draws either disc numbered 2. Venkata Rao blindfolded and is to draw a disc from the bowl. Then. the mathematical expectation of g ( X ) is precisely the player's claim or expectation [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 . g ( X .Principles of Communication Prof.38) and the second moment ( n = 2 . or five dollars. It seems reasonable to assume that the player has a '1/3 claim' on the 9 dollars and '2/3 claim' on three dollars.42) We can extend the definition of expectation to the case of functions of k ( k ≥ 2 ) random variables. 2. resulting in the mean square value of X ). he will receive nine dollars. Note that g ( x ) is such that g (1) = 9 and g ( 2 ) = 3 . E ⎡X2⎤ = X2 = ⎣ ⎦ n ∞ −∞ ∫ x 2 fX ( x ) d x (2. ⎣ ⎦ n E ⎡( X − m X ) ⎤ = ⎣ ⎦ ∞ −∞ ∫ (x − m ) X n fX ( x ) d x (2. that is. X .40) The most widely used moments are the first moment ( n = 1. E ⎡Xn ⎤ = ⎣ ⎦ ∞ −∞ ∫ x n fX ( x ) d x (2.41) If g ( X ) = ( X − m X ) . If he draws the disc numbered 1.

43) An important property of the expectation operator is linearity. y ) d x dy X . Venkata Rao E ⎡g ( X . then Z = α X + βY . 2. y ) d x dy X . we have E [Z ] = = ∞ − ∞− ∞ ∞ ∞ ∫ ∫ ( α x + β y ) f ( x . y ) d x dy + ∞ − ∞− ∞ ∫ ∫ (β y ) f ( x . Y ) = α X + βY where α and β are constants. we have the first central moment being always zero because.Y ∞ (2. if Z = g ( X .1 Variance Coming back to the central moments.43. y ) d x d y X . that is.Y ( x . Y ) ⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ g (x. V.50 Indian Institute of Technology Madras . we have E [Z ] = ∞ −∞ ∫ α x f (x) d x + ∫ β y f (y ) d y X Y −∞ ∞ = α X + βY 2. y ) f (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.5.Y ∞ − ∞− ∞ ∫ ∫ ( α x ) fX . From Eq.Y ∞ Integrating out the variable y in the first term and the variable x in the second term. 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. This result can be established as follows.Principles of Communication Prof.

Theorem 2.51 Indian Institute of Technology Madras .Principles of Communication Prof. V. 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. ⎣ ⎦ P ⎡g ( X ) ≥ c ⎤ ≤ ⎣ ⎦ E ⎡g ( X ) ⎤ ⎣ ⎦ c (2.44) Proof: Let A = { x : g ( x ) ≥ c} and B denote the complement of A .3: Let g ( X ) be a non-negative function of the random variable X .3 is useful in establishing similar inequalities involving random variables. Specifying the variance essentially constrains the effective width of the density function. (If necessary. E ⎡ g ( X ) ⎤ ≥ c P ⎡ g ( X ) ≥ c ⎤ . which is the desired result. This can be made more precise with the help of the Chebyshev Inequality which follows as a special case of the following theorem. we use a subscript on σ 2 ) The variance provides a measure of the variable's spread or randomness. then for every positive constant c . The symbol σ 2 is generally used to denote the variance. 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. If E ⎡ g ( X ) ⎤ exists. 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. then g ( x ) ≥ c . ⎣ ⎦ ⎣ ⎦ Note: The kind of manipulations used in proving the theorem 2. 2.

perhaps) the inequality 2. We then have. 1 2 P ⎡( X − m X ) ≥ k 2 σ 2 ⎤ ≤ 2 X ⎣ ⎦ k In other words. Chebyshev 2. 2. (2. k > 0 ⎣ ⎦ k 1 P ⎡ X − mX < k σ X ⎤ > 1 − 2 ⎣ ⎦ k where σ X is the standard deviation of X .Principles of Communication Prof. Venkata Rao To see how innocuous (or weak. Naturally. let g ( X ) represent the height of a randomly chosen human being with E ⎡ g ( X ) ⎤ = 1. we would take the positive number k to be greater than one to have a meaningful result.45b) To establish 2. the k2 probability of X − m X ≥ 2 σ X does not exceed 1/4 or 25%.44 states that the probability of choosing a person over 16 m tall is at most 1 ! (In a population of 1 billion.3.44 is. That is. smaller the standard deviation.45(a). 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 . let g ( X ) = ( X − m X ) and c = k 2 σ2 in theorem X 2 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 . 1 P ⎡ X − mX ≥ k σ X ⎤ ≤ 2 ⎣ ⎦ k which is the desired result. V. With k = 2 for example. we expect X to occur within the range ( m X ± 2 σ X ) for more than 75% of the observations. By the same token.6m . where the required probability is concentrated. ⎣ ⎦ Then Eq.52 Indian Institute of Technology Madras . smaller is the width of the interval around m X .

Y ) = ( X − m X ) (Y − mY ) in Eq. 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 ) 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.2 Covariance An important joint expectation is the quantity called covariance which is obtained by letting g ( X . We use the symbol λ to denote the covariance.Principles of Communication Prof. That is. we have λ X Y = E [ X Y ] − m X mY (2. V.Y ( x .47) The correlation coefficient is a measure of dependency between the variables. Suppose X and Y are independent.46a) Using the linearity property of expectation.53 Indian Institute of Technology Madras .46b) The cov [ X . Note that it is not necessary that variance exists for every PDF. then X = 0 but X 2 is not finite.43.Y ] . ρX Y = E [ X Y ] − mX mY σ X σY (2. For example. normalized with respect to the product σ X σY is termed as the correlation coefficient and we denote it by ρ . 2. λ X Y = cov [ X .Y ] = E ⎡( X − m X ) (Y − mY ) ⎤ ⎣ ⎦ (2. − ∞ < x < ∞ and α > 0 .5. Then. α +x (This is called Cauchy’s PDF) 2. E[XY] = = ∞ ∞ − ∞− ∞ ∞ ∞ ∫ ∫ x y f X . if α f X ( x ) = 2 π 2 .

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

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

18 Let a random variable X have the CDF ⎧0 ⎪x ⎪ ⎪8 FX ( x ) = ⎨ 2 ⎪x ⎪16 ⎪ ⎩1 . Example 2. 2. Venkata Rao Y = 2 σY = i = 1 ∑k n n i X i . 2 ≤ x ≤ 4 4 ≤ x Therefore. 0 ≤ x ≤ 2 .49 is quite obvious. 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 ⎩ . . . x < 0 .49) where the meaning of various symbols on the RHS of Eq.Principles of Communication Prof. x < 0 . 0 ≤ x ≤ 2 . We shall now give a few examples based on the theory covered so far in this section.56 Indian Institute of Technology Madras . 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. V.

2.38 we have.0636 π 1 = 0. y ) = ⎨ .96 2 π Example 2.5 2 E ⎡Y ⎤ = ⎣ ⎦ 2 2 Hence σY = − 1 2 ∫ cos2 ( π x ) d x = 1 4 − 2 = 0.19 Let Y = cos π X .Principles of Communication Prof. 0 < y < 1 f X . where 1 1 ⎧ ⎪1. − < x < fX ( x ) = ⎨ 2 2 ⎪0.20 Let X and Y have the joint PDF ⎧ x + y . 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 < x < 1. elsewhere ⎩0 2. otherwise ⎩ 2 Let us find E [Y ] and σY .57 Indian Institute of Technology Madras .Y ( x . V. E [Y ] = 1 2 − 1 2 ∫ cos ( π x ) d x = 1 2 2 = 0. From Eq.

then we have the conditional mean. E [ X ]. 2.43. namely. 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. E ⎡g ( X ) | Y = y ⎤ = ⎣ ⎦ ∞ −∞ ∫ g ( x ) f ( x | y ) dx X |Y (2. We can easily show that E [ X ] = E [Y ] = 7 11 48 2 and 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 .50) is called the conditional expectation of g ( X ) . Venkata Rao Let us find a) E ⎡ X Y 2 ⎤ and ⎣ ⎦ b) ρ X Y a) From Eq. we can define the conditional variance etc. we have E ⎡XY 2⎤ = ⎣ ⎦ ∞ − ∞− ∞ ∫ ∫ ∞ x y 2 f X . we require E [ X Y ]. given Y = y . E [ X | Y ] .Principles of Communication Prof.51) Similarly. E [Y ] . Example 2.58 Indian Institute of Technology Madras . If g ( X ) = X .21 Let the joint PDF of the random variables X and Y be 2. E[X | Y = y] = E[X |Y ] = ∞ −∞ ∫ x f X |Y ( x | y ) dx (2. σ X and σY . The quantity.Y ( x . We shall illustrate the calculation of conditional mean with the help of an example. V.

Discrete random variables i) Binomial: Consider a random experiment in which our interest is in the occurrence or nonoccurrence of an event A . Venkata Rao ⎧1 ⎪ .Y ( x . 2. − 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 . We will begin our discussion with discrete random variables.Principles of Communication Prof.6.1.59 Indian Institute of Technology Madras . 0 < x < 1. y ) fY ( y ) ∫x dx y 1 1 = − ln y .Y ( x . 2. we require the conditional PDF. That is. To find E [ X | Y ] . outside ⎩ Let us compute E [ X | Y ] .6 Some Useful Probability Models In the concluding section of this chapter. say. V. f X |Y ( x | y ) = fY ( y ) = f X . ⎪0 . 0 < y < x f X . we are interested in the event A or its complement. Let the experiment be repeated n times and let p be the 2. we shall discuss certain probability distributions which are encountered quite often in the study of communication theory. y ) ≡ ⎨ x . 0 < y < 1 1 1 x f X |Y ( x | y ) = = − . B .

⎝3⎠ In other words.. n .. Fig. 2. V. 1. will map into real number 3 as shown in the Fig. The sample points such as ABAAB .. The sample point s1 could represent the sequence ABBBB . n . Taking a special case.. .. then we can write f X ( x ) . we have the binomial density..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 ) . Let X denote random variable. ‘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 . The sample space (representing the outcomes of these five repetitions) has 32 sample points. let n = 5 and k = 3 .Principles of Communication Prof. . k = 3 . s1 ... as trails are independent.. 1.18.. (Each sample point is actually an element of the five dimensional Cartesian product space)...... X can be equal to 0. 2. 2. ⎛ 5⎞ 2 P [ X = 3] = ⎜ ⎟ p3 (1 − p ) ⎝ 3⎠ Generalizing this to arbitrary n and k ... k = 0.. for n = 5 .. If we can compute P [ X = k ].. given by 2.. s32 . say...60 Indian Institute of Technology Madras ... Venkata Rao probability of occurrence of A on each trial and the trials are independent.. A A A B B etc... .

Venkata Rao fX ( x ) = i = 0 ∑ P δ(x − i ) i n (2.01) . 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 ) . p ) to indicate X has a binomial PDF with parameters n and p defined above.01 and that errors in various digit positions within a block are statistically independent. 0. the algebra to derive them is laborious). Then X is b (16. (Though X the formulae for the mean and the variance of a binomial PDF are simple.Principles of Communication Prof.22 A digital communication system transmits binary digits over a noisy channel in blocks of 16 digits.61 Indian Institute of Technology Madras . Let X be the random variable representing the number of errors per block. 2. i) E [ X ] = n p = 16 × 0.16. V. The following example illustrates the use of binomial PDF in a communication problem. We write X is b ( n . Example 2.52) ⎛n⎞ n−i where Pi = ⎜ ⎟ p i (1 − p ) ⎝i ⎠ As can be seen. 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. Assume that the probability of a binary digit being in error is 0.01 = 0.

Venkata Rao ii) P ( X ≥ 3 ) = 1 − P [ X ≤ 2] = 1− i =0 ⎛ ⎞ ∑ ⎜ i ⎟ ( 0.1) (1 − p ) 2 16 i 16 − i ⎝ ⎠ = 0. if ∞ fX ( x ) = m = 0 ∑ δ ( x − m) λm e− λ m! (2.002 Exercise 2.0196 ⎣ ⎦ tight.8 Show that for the example 2. ii) Poisson: 0. Chebyshev inequality results in P ⎡ X ≥ 3 ⎤ ≤ 0. 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.62 Indian Institute of Technology Madras .22. 2.53) where λ is a positive constant. 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 = ∞ Since. λm e = ∑ . V. we obtain.02 . Note that Chebyshev inequality is not very A random variable X which takes on only integer values is Poisson distributed.Principles of Communication Prof.

X ⎣ ⎦ 2. a ≤ x ≤ b ⎪ fX ( x ) = ⎨ b − a ⎪0 . namely 1 . it has the same variance. 1) or ( 2.2.63 Indian Institute of Technology Madras . (2. 2. 4 ) . 3 ii) Rayleigh: An RV X is said to be Rayleigh distributed if.54) Fig. whether X is uniform in ( − 1.19: 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 ) .6. Hence σ2 = λ .2.2 Continuous random variables i) Uniform: A random variable X is said to be uniformly distributed in the interval a ≤ x ≤ b if.19. V.Principles of Communication Prof. ⎧ 1 . Therefore. Venkata Rao E ⎡ X 2 ⎤ = λ 2 + λ . elsewhere ⎩ A plot of f X ( x ) is shown in Fig.

Venkata Rao ⎧x ⎛ x2 ⎞ exp ⎜ − ⎪ ⎟.20: Rayleigh PDF Rayleigh PDF frequently arises in radar and communication problems. elsewhere ⎩0 where b is a positive constant.2.64 Indian Institute of Technology Madras . V.2. We will encounter it later in the study of narrow-band noise processes. x ≥ 0 fX ( x ) = ⎨ b ⎝ 2 b⎠ ⎪ . (2. ( fR ( r ) of example 2.20.55) A typical sketch of the Rayleigh PDF is given in Fig.12 is Rayleigh PDF. 2.) Fig.Principles of Communication Prof.

56) where m X is the mean value and σ2 the variance. In appendix A2. 2. 1) .56 is a valid PDF. Venkata Rao Exercise 2. x d x = b) Show that if X E ⎡X2⎤ = 2 b ⎣ ⎦ dz . then E [ X ] = and iii) Gaussian By far the most widely used PDF.55.21. That is. As can be seen from the Fig.3. in the context of communication theory is the Gaussian (also called normal) density. 1) denotes the Gaussian PDF with zero mean and unit variance. σ2 ) to denote the Gaussian density1. then Y = 2 ( ) ⎛ X − mX ⎞ ⎜ σ ⎟ is N ( 0. m X and σ2 . ⎝ ⎠ X 2. 2. specified by fX ( x ) = 1 2 π σX ⎡ ( x − m X )2 ⎤ ⎥. Hint: Make 0 ∞ the change of variable x 2 = z . σ X . 1 TP PT In this notation. Note that if X is N m X . 2. −∞ < x < ∞ exp ⎢− 2 σ2 ⎢ ⎥ X ⎣ ⎦ (2. Then. V. The Gaussian PDF is symmetrical with respect to m X . 2 πb 2 is Rayleigh distributed. N ( 0.Principles of Communication Prof. we show that X PT f X ( x ) as given by Eq.9 a) Let f X ( x ) be as given in Eq. We use the symbol X N ( m X . Show that ∫ f X ( x ) d x = 1.65 Indian Institute of Technology Madras . the Gaussian PDF is X completely specified by the two parameters.

57 is N ( 0. By making a change of variable ⎛ x − mX ⎞ z = ⎜ ⎟ . 2. 2. Venkata Rao Fig. A small list is given in appendix A2. V. Q( ) function table is available in most of the text books on communication theory as well as in standard mathematical tables. 1) . 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. 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. We have.57) Note that the integrand on the RHS of Eq. 2.21: Gaussian PDF Hence FX ( m X ) = mX −∞ ∫ f (x) d x X = 0.2 at the end of the chapter.Principles of Communication Prof.5 Consider P [ X ≥ a ] .66 Indian Institute of Technology Madras .

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

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

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

Y resembles a (temple) bell. σ2 = σY = 1 and X ρX Y = − 1 . with. positive and (ii) ρ . 2. of course. V. Venkata Rao Fig.70 Indian Institute of Technology Madras .Principles of Communication Prof. we have two cases (i) ρ . Similarly for ρ < 0. Example 2.23.2. Let us find the probability of 2 (X.24 2 Let X and Y be jointly Gaussian with X = − Y = 1 . imagine the bell being compressed along the X = − Y axis so that it elongates along the X = Y axis. f X . negative. 2.22: Bivariate Gaussian PDF ( σ X = σY and ρ = 0 ) For ρ = 0 and σ X = σY . If ρ > 0 . the striker missing! For ρ ≠ 0 .Y) lying in the shaded region D shown in Fig.

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

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

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

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

40 0.0107 0.00007 0.00034 0. V.0968 2.0322 3.0668 3.78 0. y Q (y ) y Q (y ) y Q (y ) y Q (y ) 0.5 .0228 4.0359 3.10 0.80 0.40 0.0013 0.0401 3.0179 0.3821 1.1469 2.85 0.20 0.2578 1.0548 3.60 0.70 0.0885 2.0082 0.0035 0.65 0.50 0.78 Indian Institute of Technology Madras .45 0.2266 1.1251 2.2743 1. Venkata Rao Appendix A2.70 3.85 0.0019 0.35 0.40 0.3632 1.0047 0.00 0.95 0.90 4.0446 3.00 0.27 4.28 3.4013 1.80 0.20 0.70 0.10 0.0606 3.0287 3.4207 1.45 0.15 0.30 0.4801 1.00069 0.1977 1.90 0.20 0.0156 2.70 0.65 0.00003 2.35 0.15 0.60 0.75 0.2420 1.25 0.60 0.95 0.10 0.30 0.00023 0.05 0.0256 3.05 0.00 0. because Q ( − α ) = 1 − Q ( α ) .80 0.90 0.20 0.4405 1.50 0.00016 0.10 3.2119 1.00 0.3085 1.80 0.40 0.1711 1.4602 1.75 0.0495 3.90 0.0808 2.3446 1.60 0.10 0.50 0.30 0.00048 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 .Principles of Communication Prof.1587 2.1357 2.00010 0.55 0.3264 1.2912 1.1151 2.50 0.70 0.90 0.0735 2.55 0.0139 0.30 0.0062 0.25 0. Note that Q ( 0 ) = 0.1841 1.00005 1.0026 0.0010 10− 3 10− 3 2 10− 4 10− 4 2 10− 5 10− 6 3.

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 ⎜ ⎟. the complementary error function which is ∞ erfc ( α ) = 1 − erf ( α ) = and the error function. Venkata Rao Note that some authors use erfc ( given by ) .79 Indian Institute of Technology Madras . 2 ⎝ 2⎠ 2. V.

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 . (Cartesian to Polar coordinate transformation).Principles of Communication Prof. A2.3.3. σ2 is a valid PDF X We will show that f X ( x ) as given by Eq.56. d v = Using Eq. Let v = 1 2π ∞ −∞ ∫e − v2 2 dv = 1 (A2.3. Then. we have the required result. ⎝v ⎠ and d x d y = r d r d θ .3.3.2 and Eq. r = v 2 + y 2 and θ = tan−1 ⎜ ⎟ .3 in Eq.3. (Note that f X ( x ) ≥ 0 for − ∞ < x < ∞ ).1) x − mX σx dx σx (A2. V. Then. A2.3 Proof that N m X .3) Then. 2π ∞ I 2 = ∫ ∫e 0 0 − r2 2 r dr dθ 2π = 2 π or I = That is. Venkata Rao Appendix A2. 2 −y Let I = −∞ ∫e dv = −∞ ∫e 2 dy. is a valid PDF by ∞ ( ) establishing ∞ −∞ 2 −v ∫ f (x) d x X ∞ 2 = 1 .1.80 Indian Institute of Technology Madras . A2.2) (A2. 2. 2.

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

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