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1 Some ltering

(a) View Y as the output of a linear, time-invariant system with input X. For a deterministic input

x to the system, the output y satises j y() = y() + (j 1) x(), so the system transfer

function is H() =

j1

j+1

. Thus, |H()|

2

=

1+

2

1+

2

= 1. Thus, S

Y

= |H|

2

S

X

= S

X

, Y has the same

power spectral density and same total power X.

(b) Letting D

t

= X

t

Y

t

, we can view D as the output of a linear time invariant system with

input X and transfer function K() = 1 H() =

j+1(j1)

j+1

=

2

j+1

. So |K()|

2

=

4

2

+1

. Thus,

E[(X

t

Y

t

)

2

] = (power of D) =

_

S

X

()

4

2

+1

d

2

. |K()|

2

|K(0)|

2

= 4 for all , so the power

of D is maximized over S

X

subject to the given total power of X, by putting all the power at fre-

quency 0. That is, taking S

X

() = 10(2)(), corresponding to X = (X

t

: t R) being constant

in time. Then E[(X

t

Y

t

)

2

] = 40.

(c) Similarly, E[(X

t

Y

t

)

2

] can be made arbitrarily close to zero by selecting S

X

to have its mass far

from zero. For example, if S

X

() = 5(2)((

0

) +( +

0

)) then E[(X

t

Y

t

)

2

] =

40

1+

2

0

which

converges to zero as

0

. This corresponds to X

t

=

20 cos(

0

t + ), where is uniformly

distributed over [0, 2].

2 Synthesizing a random process with specied spectral density

Recall from Example 8.4.2, a Gaussian random process Z with a rectangular spectral density

S

Z

(2f) = I

{f

0

ff

0

}

can be represented as (note, if

1

T

= 2f

o

, then

tnT

T

= 2f

o

t n) :

Z

t

=

n=

A

n

_

_

2f

o

_

sinc(2f

o

t n)

where the A

n

s are independent, N(0, 1) random variables. (To double check that Z is scaled

correctly, note that the total power of Z is equal to both the integral of the psd and to E[Z

2

0

].) The

desired psd S

X

can be represented as the sum of two rectangular psds: S

X

(2f) = I

{20f20}

+

I

{10f10}

, and the psd of the sum of two independent WSS processes is the sum of the psds, so

X could be represented as:

X

t

=

n=

A

n

_

40

_

sinc(40t n) +

n=

B

n

_

20

_

sinc(20t n)

where the As and Bs are independent N(0, 1) random variables. This requires 60 samples per

unit simulation time.

An approach using fewer samples is to generate a random process Y with psd S

Y

() = I

{20f20}

and then lter Y using a lter with impulse response H with |H|

2

= S

X

. For example, we could

simply take H(2f) =

_

S

X

(2f) = I

{20f20}

+

_

2 1

_

I

{10f10}

, so X could be represented

as:

X =

_

n=

A

n

_

40

_

sinc(40t n)

_

h

1

where h(t) = (40)sinc(40t) +

_

2 1

_

(20)sinc(20t). This approach requires 40 samples per unit

simulation time.

3 Some linear transformations of some random processes

(a) Yes, X is the result of passing the stationary process U through the linear time-invariant

system with impulse response function h(k) = a

k

I

{k0}

. Thus X is stationary. Since

U

= and

C

U

(n) =

2

I

{n=0}

, we nd E[X

k

] =

kZ

h(k) =

1a

, and C

X

(n) = h

hC

U

(n) =

2

h

h(n) =

kZ

h(k)h

(k n) =

2

a

|n|

1a

2

. (Think of the case n 0 and n < 0 separately.) (b) Yes. Fix a

time k and view it as the present time. The past of X is determined by (U

j

: j k), and the future

of X is determined by X

k

and (U

j

: j k +1), through the update equations: X

n+1

= aX

n

+U

n+1

for n k. Since (U

j

: j k) and (U

j

: j k + 1) are independent, the Markov property follows.

(c) Yes, X is mean ergodic in the m.s. sense, because C

X

(n) 0 as n . (d) Yes. This is

similar to part (a), but now h is random: h(k) = A

k

I

{k0}

. Y is stationary for the same reason X

is stationary. The mean is

Y

= E[

1

1A

]. To nd C

Y

we rst nd R

Y

as follows:

R

Y

(n) = E

_

R

X

(n)

a=A

=

2

E

_

1

(1 A)

2

_

+E

_

2

A

|n|

1 A

2

_

.

Then, C

Y

(n) = R

Y

(n)

2

Y

=

2

Var

_

1

1A

_

+ E

_

2

A

|n|

1A

2

_

. (e) No. Fix a time k and view it as

the present time. The past of X would yield a good estimate of the value of A, which cannot be

inferred from X

k

alone. Thus, the future of X, which depends on both X

k

and A, is not condition-

ally independent of the past given X

k

.

(f) No. For A xed, the time average of Y is

1A

, by parts (a) and (c). Since this time average is

not a constant, Y is not mean ergodic in the m.s. sense. Another justication is to note that as

n , C

Y

(n)

2

Var(

1

1A

) = 0.

4 A standard noncausal estimation problem

(a) g() =

_

0

g(t)e

jt

dt +

_

0

g(t)e

jt

dt =

1

+j

+

1

j

=

2

2

+

2

.

(So

_

2

+

2

d

2

=

1

2

.)

(b)

_

1

a+b

2

d

2

=

_

1/b

a/b+

2

d

2

=

1/b

2

a/b

=

1

2

ab

.

(c) By Example 9.1.1 in the notes, H() =

S

X

()

S

X

()+S

N

()

. By the given and part (a),

S

X

() =

2

2

+

2

and S

N

() =

2

. So

H() =

2

2 +

2

(

2

+

2

)

=

2/

2

(2/

2

+

2

) +

2

_

2

2

+ (

2

)

2

exp

_

_

2/

2

+

2

_

(d) By Example 9.1.1 in the notes and part (b),

MSE =

_

H()S

N

()

d

2

=

_

2

(2/

2

+

2

) +

2

d

2

=

_

2/

2

+

2

=

1

_

1 + 2/(

2

)

.

2

MSE0 as

2

0 and MSE1 = E[X

2

t

] as

2

, as expected.

(e) The estimation error D

t

is orthogonal to constants and to Y

s

for all s by the orthogonality

principle, so C

D,Y

0.

5 Linear and nonlinear ltering

The equilibrium distribution is the solution to Q = 0; = (0.25, 0.25.0.25, 0.25). Thus, for each

t, Z

t

takes each of its possible values with probability 0.25. In particular,

Z

=

iS

(0.25)i =

(0.25)(3+113) = 0. The Kolmogorov forward equation

i

i

(t) = 1

for all t yield

i

(t) = 3

i

(t) + (1

i

(t)) = 4

i

(t) + for each state i. Thus, (t) =

+((0))e

4t

. Considering the process starting in state i yields p

i,j

() = 0.25+(

i,j

0.25)e

4

.

Therefore, for 0,

R

Z

() = E[Z()Z(0)] =

iS

jS

ij

i

p

i,j

()

= (0.25)

iS

jS

ij

i,j

e

4

+ (0.25)

2

(1 e

4

)

iS

jS

ij

. .

=0

= (0.25)((3)

2

+ (1)

2

+ 1

2

+ 3

2

)e

4

= 5e

4

.

So R

Z

() = 5e

4||

.

(b) Thus, S

Z

() =

40

16

2

+

2

. Also, S

Y Z

= S

Z

. Thus, the optimal lter is given by

H

opt

() =

S

Z

()

S

Z

() +S

N

()

=

40

40 +

2

(16

2

+

2

)

.

The MSE is given by MSE=

_

H

opt

()S

N

()

d

2

=

5

q

5

2

2

+1

.

(c) It is known that P{|Z

t

| 3} = 1, so by hard limiting the estimator found in (b) to the interval

[3, 3], a smaller MSE results. That is, let

Z

(NL)

t

=

_

_

3 if

Z

t

3

Z

t

if |

Z

t

| 3

3 if

Z

t

3

Then (Z

t

Z

(NL)

t

)

2

(Z

t

Z

t

)

2

, and the inequality is strict on the positive probability event

{|

Z

t

| 3}.

(d) The initial distribution for the hidden Markov model should be the equilibrium distribution,

= (0.25, 0.25.0.25, 0.25). By the denition of the generator matrix Q, the one step transition

probabilities for a length time step are given by p

i,j

() =

i,j

+q

i,j

+o(). So we ignore the

o() term and let a

i,j

= if i = j and a

i,i

= 13 for i, j S. (ALTERNATIVELY, we could

let a

i,j

= p

i,j

(), that is, use the exact transition probability matrix for time duration .) If

is small enough, then Z will be constant over most of the intervals of length . Given Z = i over

the time interval [(k 1), k],

Y

k

= i +

_

k

(k1)

N

t

dt which has the N(i,

2

) distribution.

Thus, we set b

i,y

=

1

2

2

exp

_

(yi)

2

2

2

_

.

3

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