0 Up votes0 Down votes

8 views2 pagesMay 08, 2014

© © All Rights Reserved

PDF, TXT or read online from Scribd

© All Rights Reserved

8 views

© All Rights Reserved

- Hidden Figures: The American Dream and the Untold Story of the Black Women Mathematicians Who Helped Win the Space Race
- Hidden Figures Young Readers' Edition
- The Law of Explosive Growth: Lesson 20 from The 21 Irrefutable Laws of Leadership
- The E-Myth Revisited: Why Most Small Businesses Don't Work and
- The Wright Brothers
- The Power of Discipline: 7 Ways it Can Change Your Life
- The Other Einstein: A Novel
- The Kiss Quotient: A Novel
- State of Fear
- State of Fear
- The 10X Rule: The Only Difference Between Success and Failure
- Being Wrong: Adventures in the Margin of Error
- Algorithms to Live By: The Computer Science of Human Decisions
- The Black Swan
- Prince Caspian
- The Art of Thinking Clearly
- A Mind for Numbers: How to Excel at Math and Science Even If You Flunked Algebra
- The Last Battle
- The 6th Extinction
- HBR's 10 Must Reads on Strategy (including featured article "What Is Strategy?" by Michael E. Porter)

You are on page 1of 2

4. Random processes, including Poisson, Wiener, Markov, and martingale processes

Assigned Reading: Chapter 4 of the notes.

Reminder: Exam 1, covering lectures, reading, and homework for problem sets 2 and 3 will be held on

Monday, October 10, 7-8:15 p.m., in Room 269 Everitt Lab.. You may bring a sheet of notes, two-sided, font

size 10 or larger or equivalent handwriting size, to consult during the exam. Otherwise the exam is closed

notes.

Problems to be handed in:

1 A randomly scaled logistic function

Let X

t

=

tU

V

, where () =

1

1+e

the N(0, 1) distribution and V has the exponential distribution with parameter one.

(a) Briey describe the possible sample paths of X.

(b) In which of the sense(s), a.s., m.s., p., or d., does lim

t

X

t

exist?

(c) Show that E[X

t

] is strictly increasing with E[X

0

] = 0.5, lim

t

E[X

t

] = 1, and lim

t

E[X

t

] = 0.

(d) Is (X

t

: t 0) a stationary random process? Justify your answer.

(e) Is (X

t

: t 0) a Markov process? Justify your answer.

2 A simple model of a neural spike train

Consider a counting process (N

t

: t 0) that models the spike times of a neuron. The sodium ions of a

neuron need to be replenished between spikes, so one spike suppresses the intensity of additional spikes for

a short time. The particular example we use is the following. The intensity of spikes at time t, denoted by

t

, is given by

t

=

1 if N(t) = N(t 1)

1

4

if N(t) > N(t 1)

In words, the intensity is one if there have been no spikes within the last unit of time, and the intensity

is 0.25 otherwise. For initialization purposes, suppose there were no spikes in the interval [1, 0] (i.e. set

N(t) = 0 for 1 t 0.) Some thought shows that, for this particular model, the times between spikes are

independent and identically distributed.

(a) Find the distribution of the time between two consecutive spikes. (Hint: The theory of failure rate

functions is helpfulsee ECE 313 notes.)

(b) Find the long term average rate that spikes happen (by the law of large numbers, it is equal to one over

the mean time between spikes).

3 A compound Poisson process with mean zero

Let J

1

, J

2

, . . . be independent and identically distributed with mean zero, variance

2

J

, and characteristic

function

J

(u), and let (N

t

: t 0) be a Poisson counting process with rate > 0, which is statistically

independent of the Js. Dene Y

t

for t 0 by Y

t

=

N(t)

i=1

J

i

.

(a) Show that E[Y

t

] = 0 for t 0. (Hint: E[Y

t

] is the average of E[Y

t

|N

t

= n] over n using the pmf of N

t

.)

(b) Briey explain why Y has independent increments. (Note: (a), (b), and the fact Y

0

= 0 imply (Y

t

: t 0)

is a martingale.)

(c) Express E[Y

2

t

] and the characteristic function E[e

juYt

] for t 0 in terms of ,

2

J

, and

J

. (Hint: See

hint for part (a).)

(d) Show that (Z

t

: t 0) dened by Z

t

= Y

2

t

ct is a martingale for some constant c, and identify c. (Hint:

For s < t, Y

t

= Y

s

+(Y

t

Y

s

). It suces to show that E[Z

tn+1

|Y

t1

, . . . , Y

tn

] = Z

tn

whenever t

1

< < t

n+1

.)

1

4 Hitting the corners of a triangle

Consider a discrete-time Markov process (X

k

: k 0), with state space {1, 2, 3, 4, 5, 6}. Suppose the states

are arranged in the triangle shown,

6

1

2

3 4 5

and given X

k

= i, the next state X

k+1

is one of the two neighbors of i, selected with probability 0.5 each.

Suppose P{X

0

= 1} = 1.

(a) Let

B

= min{k : X

k

{3, 4, 5}}. So

B

is the time the base of the triangle is rst reached. Find E[

B

].

(b) Let

3

= min{k : X

k

= 3}. Find E[

3

].

(c) Let

C

be the rst time k 1 such that both states 3 and 5 have been visited by time k. Find E[

C

].

(Hint: Use results of (a) and (b) and symmetry.)

(d) Let

R

denote the rst time k

C

such that X

k

= 1. That is,

R

is the rst time the process returns to

vertex 1 of the triangle after reaching both of the other vertices. Find E[

R

]. (Hint: Use results of (c) and

(b) and symmetry.)

5 Marginal distributions for a continuous-time three state Markov process

Consider a continuous time Markov process for the transition rate diagram shown, for positive constants

and .

1 0 2

(a) Give the generator matrix Q.

(b) Find the equilibrium probability distribution, ().

(c) Find the marginal distribution (t) for t 0, for the initial distribution (0) = (1, 0, 0). (Hint: Focus on

dierential equations for

1

(t) and

0

(t)

2

(t).)

6 Conditioning a Gauss-Markov process

Let X = (X

t

: t R) denote a mean zero, stationary Gaussian process with R

X

() = e

||

. Note that X

is a Markov process. This problem focuses on the conditional distribution of X given X

0

= 0. Since all the

coordinates of X are jointly Gaussian, the conditional distribution of X is also the distribution of a Gaussian

random process, and it is uniquely determined by the mean function

o

(t)

= E[X

t

|X

0

= 0] and correlation

function R

o

X

(s, t)

= Cov(X

s

, X

t

|X

0

). Here, Cov(X

s

, X

t

|X

0

) represents the covariance between X

s

and X

t

computed under the joint conditional distribution of X

s

and X

t

given X

0

, and by an important property of

joint Gaussian distributions it does not depend on the value of X

0

.

(a) Find

o

X

(t) for t R.

(b) Find R

o

X

(s, t) for s, t R.

(b) Is the conditional distribution Markovian? That is, is a Gaussian random process with mean function

o

X

and correlation function R

o

X

Markov? Justify your answer.

2

- TC-2007 Sillabi EngUploaded byJose Lozano
- Statistics Midterm 1623 3 AnswerUploaded byWolf's Rain
- Masanao Aoki New Approaches to Macroeconomic Modeling Evolutionary Stochastic Dynamics, Multiple Equilibria, And Externalities as Field EffectsUploaded byLucas Carvalho
- MtUploaded byLuis Alberto Fuentes
- Probability TheoryUploaded byilhammka
- Bayesian Estimation for Continuous-TimeUploaded byjagadeesh jagade
- UT Dallas Syllabus for stat7345.501.10f taught by Robert Serfling (serfling)Uploaded byUT Dallas Provost's Technology Group
- Week 5 Markov Chains AlohaUploaded byKarina Sengupta
- 9780521781336 WsUploaded byRocio Gill
- psol-ch6Uploaded byAl Farabi
- Iron Ore Body ModelingUploaded byNurul Magfirah
- Cognitive Music Modelling Info Dynamics Approach.pdfUploaded bydiana
- SEM11 for Permeability SimulationUploaded byAlejandro Lopez
- ss_introUploaded byLovely Babu
- Slide 12Uploaded byMann Ot
- Syllabus M.tech Extc-1Uploaded byswapnil
- KKUploaded byandi caiyyah
- Excel PDF Max Min Gaussian DistributionUploaded byRicky Gunawan
- u 0134650Uploaded byInternational Organization of Scientific Research (IOSR)
- Algebra.pdfUploaded bymk3chan
- AFE-3-CAPM-2012Uploaded bypicadillycircus
- Mauch LyUploaded byFaizin Kamali
- Primary StructureUploaded byjuanpapo
- precificação de com futuraEduardo S. SchwartzUploaded byTricia Thaíse
- UntitledUploaded byArun
- MIT6_436JF18_lec06Uploaded byDevendraReddyPoreddy
- Opportunistic Scheduling for Streaming Multimedia Users in High-Speed Downlink Packet Access (HSDPA)Uploaded byAbd El-Rahman Yehia
- Book MainUploaded bytsipple
- Probability theoryUploaded byVenkata Satish
- Probability a small reviewUploaded byDeepika TP

- sol7Uploaded byThinh
- sol6Uploaded byThinh
- sol5Uploaded byThinh
- sol4Uploaded byThinh
- sol3Uploaded byThinh
- sol2Uploaded byThinh
- sol1Uploaded byThinh
- Quiz SolUploaded byThinh
- FinalUploaded byThinh
- exam2solUploaded byThinh
- QuizUploaded byThinh
- ps7Uploaded byThinh
- ps6Uploaded byThinh
- ps5Uploaded byThinh
- ps3Uploaded byThinh
- ps2Uploaded byThinh
- ps1Uploaded byThinh
- Final SolUploaded byThinh
- exam2Uploaded byThinh
- exam1Uploaded byThinh
- exam1solUploaded byThinh
- 534 CoversUploaded byThinh
- Minimax OptimizationUploaded byThinh

- Sop Jcem 2013Uploaded byLeonard Mendonça
- Vintage Toys Design BriefUploaded byArdo Sarofa Putra
- Excel VBA and the ImageBox ControlUploaded byReaper's Scythe
- Construction GrammarUploaded byramlohani
- SNOASIS Installation Guide - Part II - Server Integration In The FarmUploaded byapi-3761139
- Olean notetakingUploaded byLouChan
- Assessment of the Nuclear Power Industry Final ReportUploaded byKazim Raza
- Getting Started With CAELinuxUploaded byajd.nanthakumar
- 150-at002_-en-pUploaded byAlvaro Gastañadui
- Unlocking the ColdFusion Server Black BoxUploaded byJohn Kelly
- Edited - tugas chapter 4 ChemSketch.pdfUploaded bySeptian Eka Trueno
- Concept of StrategyUploaded byvikasmishraelex
- IBO 2004 pract 1-2Uploaded bypdbiocomp
- body fluidsUploaded byAris Resurreccion
- MANZANA Case Solution (105,109,114,115)Uploaded byPranjal Saiwal
- The Principle of Primacy of ‘Existence’ over ‘Quiddity’ and its Philosophical Results in the Ontological System of Mulla SadraUploaded bySaleem Andrew McGroarty
- material lenghtUploaded byasdf
- Ck t BreakerUploaded byextremedownloadings
- Key Responsibilities - Head Coach SquadUploaded byJames Devlin
- algebra 1-spring2017Uploaded byapi-351497794
- Textbook - Primary and Secondary Cell and Corrosion Q'sUploaded byBookAddict721
- soal-soalUploaded byGyanNurmaindahHendianti
- OpenEMIS Core Manual EnUploaded byEdmund Ocado Jr
- Thermodynamics of Tin smeltingUploaded byYuriansyah
- Grass Mann Algebra BookUploaded bywoodbrent7
- Bolt 18f2550 System Hardware ManualUploaded byw4w4n_s3mk4n1s4
- 198948917-Time Travel Theory Avoids Grandfather ParadoxUploaded bysmss_proe5945
- 21 Things Every Girl Should Know_revised(1)Uploaded bySeraph
- sdfgg dfg fgfgUploaded bysekarkmech
- Gut Microbiome ArticleUploaded byAnonymous NF4dEU

## Much more than documents.

Discover everything Scribd has to offer, including books and audiobooks from major publishers.

Cancel anytime.