2
x
=
( ) ( )
2
36
0 9
4
XX
E X t R ( = = =
( ) ( ) { } ( )
2
2
9 4 5 Var X t E X t E X t = = = ( ( (
Problem 5. Define crosscorrelation function and mention two properties.
Solution:
The crosscorrelation of the two process ( ) { }
X t and ( ) { }
Y t is defined by
( ) ( ) ( )
1 2 1 2
,
XY
R t t E X t Y t = (
Properties: The process ( ) { }
X t and ( ) { }
Y t are jointly widesense stationary with the
crosscorrelation function ( )
XY
R t then
( ) ( ) ( )
YX XY
i R R t t =
( ) ( ) ( ) ( ) 0 0
XY XX YY
ii R R R t s
Problem 6. Find the mean square value of the process ( ) { }
X t if its autocorrelation
function is given by ( )
2
2
R e
t
t
= .
Solution:
MeanSquare value ( ) ( )
2
2
2
0
0 1
XX
E X t R e
t
t
=
 
( = = = = 

\ .
Problem 7. Define the power spectral density function (or spectral density or power
spectrum) of a stationary process?
Solution:
If ( ) { }
X t is a stationary process (either in the strict sense or wide sense with auto
correlation function ( ) R t , then the Fourier transform of ( ) R t is called the power
spectral density function of ( ) { }
X t and denoted by ( )
XX
S e or ( ) S e or ( )
X
S e
Thus ( ) ( )
i
S R e d
et
e t t
=
}
Problem 8. State any two properties of the power spectral density function.
Solution:
(i). The spectral density function of a real random process is an even function.
Unit.4. Correlation and spectral densities
3
(ii). The spectral density of a process ( ) { }
X t , real or complex, is a real function of e and
nonnegative.
Problem 9. State WienerKhinchine Theorem.
Solution:
If ( )
T
X e is the Fourier transform of the truncated random process defined as
( )
( )
0
T
X t for t T
X t
for t T
s
=
>
Where ( ) { }
X t is a real WSS Process with power spectral density function ( ) S e , then
( ) ( )
{ }
2 1
2
T
Lt
S E X
T T
e e
(
=
(
Problem 10. If ( )
( ) 2
R e
t
t
= is the auto Correlation function of a random
process ( ) { }
X t , obtain the spectral density of ( ) { }
X t .
Solution:
( ) ( )
i
S R e d
et
e t t
=
}
( )
2
e cos isin d
t
et et t
=
}
2
0
2 e cos d
t
et t
=
}
( )
2
2 2
0
2
2
4
e
cos sin
t
et e et
e
(
= +
(
+
( )
2 2
4
4
S
e
e
=
+
Problem 11. The Power spectral density of a random process
( ) { }
X t is given by
( )
, 1
0,
XX
S
elsewhere
t e
e
<
=
}
1
1
1
2
i
e d
et
t e
t
=
}
1
1
1
2
i
e
i
et
t
(
=
(
1
2
i i
e e
i
t t
t
(
=
(
Unit.4. Correlation and spectral densities
4
1
2
i i
e e
i
t t
t
(
=
(
sint
t
=
Problem 12. Define crossSpectral density.
Solution:
The process ( ) { }
X t and ( ) { }
Y t are jointly widesense stationary with the cross
correlation function ( )
XY
R t , then the Fourier transform of ( )
XY
R T is called the cross
spectral density function of ( ) { }
X t and ( ) { }
Y t denoted as ( )
XY
S e
Thus ( ) ( )
i
XY XY
S R e d
et
e t t
=
}
Problem 13. Find the auto correlation function of a stationary process whose power
spectral density function is given by ( )
2
1
0 1
for
s
for
e e
e
e
s
=
>
.
Solution:
( ) ( )
1
2
i
R S e d
et
t e e
t
=
}
( )
1
2
1
1
cos sin
2
i d e et et e
t
= +
}
1
1
2 2
2 3
1 0
1 sin cos sin
.cos 2 2 d
et et et
e et e e e
t t t t
(      
= = +
   (
\ . \ . \ .
}
( )
2 3
1 sin 2cos 2sin
R
t t t
t
t t t t
(
= +
(
Problem 14. Given the power spectral density : ( )
2
1
4
xx
S e
e
=
+
, find the average power
of the process.
Solution:
( ) ( )
1
2
i
R S e d
et
t e e
t
=
}
2
1 1
2 4
i
e d
et
e
t e
(
=
(
+
}
Hence the average power of the processes is given by
( ) ( )
2
0 E X t R ( =
2
1
2 4
de
t e
=
+
}
2 2
0
1
2
2 2
de
t e
=
+
}
Unit.4. Correlation and spectral densities
5
1
0
1 1
tan
2 2
e
t
(  
=
 (
\ .
1 1
0
4 4
t
t
(
= =
(
.
Problem 15. Find the power spectral density of a random signal with autocorrelation
function e
t
.
Solution:
( ) ( )
i
S R e d
et
e t t
=
}
( ) cos sin e i d
t
et et t
=
}
0
2 cos e d
t
et t
=
}
( )
2 2
0
2 cos sin
e
t
et e et
e
(
= +
(
+
( )
2 2 2 2
1 2
2 0
e e
(
= =
(
+ +
PARTB
Problem 16. a). If ( ) { }
X t is a W.S.S. process with autocorrelation function ( )
XX
R t and
if ( ) ( ) ( ) Y t X t a X t a = + .Show that ( ) ( ) ( ) ( ) 2 2 2
YY XX XX XX
R R R a R a t t t t = + .
Solution:
( ) ( ) ( )
yy
R E y t y t t t = + (
( ) ( ) ( ) ( ) { }
E X t a X t a X t a X t a t t = + + + + ( (
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
E X t a X t a E X t a X t a
E X t a X t a E X t a X t a
t t
t t
= + + + + + ( (
+ + + + ( (
( ) ( ) ( )
( ) ( ) ( )
2
2
xx
xx
R E X t a X t a a
E X t a X t a a R
t t
t t
= + + + (
+ + + (
( ) ( ) ( ) 2 2 2
xx xx xx
R R a R a t t t = +
b). Assume a random signal ( ) ( ) ( ) Y t X t X t a = + where ( ) X t is a random signal and
' ' a is a constant. Find ( )
YY
R t .
Solution:
( ) ( ) ( )
YY
R E Y t Y t t t = + (
( ) ( ) ( ) ( ) { }
E X t X t a X t X t a t t = + + + + ( (
Unit.4. Correlation and spectral densities
6
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
E X t X t E X t X t a
E X t a X t E X t a X t a
t t
t t
= + + + ( (
+ + + + ( (
( ) ( ) ( ) ( )
xx xx xx xx
R R a R a R t t t t = + + + +
( ) ( ) ( ) ( ) 2
yy xx xx xx
R R R a R a t t t t = + + +
Problem 17. a). If ( ) { }
X t and ( ) { }
Y t are independent WSS Processes with zero means,
find the autocorrelation function of ( ) { }
Z t , when ( ) ( ) ( ) ( ) i Z t a bX t CY t = + + ,
( ) ( ) ( ) ( ) ii Z t aX t Y t = .
Solution:
Given ( ) 0 E X t = (
, ( ) 0 E Y t = (
(1)
{ ( )} X t and { ( )} Y t are independent
( ) ( ) { } ( ) ( ) 0 E X t Y t E X t Y t = = (
(2)
(i). ( ) ( ) ( )
ZZ
R E Z t Z t t t = + (
( ) ( ) ( ) ( ) {
E a bX t cY t a bX t cY t t t = + + + + + + ( (
( ) ( ) ( ) ( ) ( ) {
( ) ( ) ( ) ( ) ( ) ( ) ( )}
2 2
2
E a ab X t acY t baX t b X t X t
bc X t Y t caY t cbY t X t c y t y t
t t t
t t t
= + + + + + + +
+ + + + + + +
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( )
2 2
2
E a abE X t acE Y t baE X t b E X t X t
bc E X t y t caE Y t cbE Y t X t c E Y t Y t
t t t
t t t
= + + + + + + + ( ( ( (
+ + + + + + + ( ( ( (
( ) ( )
2 2 2
XX YY
a b R c R t t = + +
( ) ( ) ( )
ZZ
R E Z t Z t t t = + (
( ) ( ) ( ) ( ) E aX t Y t aX t Y t t t = + + (
( ) ( ) ( ) ( )
2
E a X t X t Y t Y t t t ( = + +
( ) ( ) ( ) ( )
2
a E X t X t E Y t Y t t t = + + ( (
( ) ( ) ( )
2
ZZ XX YY
R a R R t t t =
b). If ( ) { }
X t is a random process with mean 3 and autocorrelation ( )
0.2
9 4
xx
R e
t
t
= + .
Determine the mean, variance and covariance of the random variables
( ) 5 Y X = and
( ) 8 Z X = .
Solution:
Given ( ) ( ) ( ) 5 & 8 , 3 Y X Z X E X t = = = (
 (1)
Mean of
  ( ) 5 3 Y E Y E X = = = (
Mean of
  ( ) 8 3 Z E Z E X = = = (
We know that
Unit.4. Correlation and spectral densities
7
( ) ( ) ( )
2
2
Var Y E Y E Y = (
( ) ( ) ( )
2 2
5 E Y E X =
But ( ) ( )
2
0
XX
E X t R ( =
0.2101
9 4e
= +
9 4 13 = + =
Thus ( ) ( )
2
13 3 13 9 4 Var Y = = =
( ) ( ) ( )
2
2
Var Z E Z E Z = (
( ) ( )
2 2
8 8 E Z E X Z X ( ( = = (
( ) 0
XX
R =
9 4 13 = + =
Hence ( ) ( )
2
13 3 13 9 4 Var Z = = =
  ( )
0.25 8
5,8 9 4 E YZ R e
= = +
( )
( )
1 2
0.2
1 2
, 9 4
t t
R t t e
= +
0.6
9 4e
= +
Covariance ( ) ( ) ( )
1 2 1 2
, R t t E X t E X t = ( (
( )     5, 8 5 8 R E E =
( )
0.6 0.6
9 4 3 3 4 2.195 e e
= + = =
Problem 18. a). The autocorrelation function for a stationary process is given by
( ) 9 2
xx
R e
t
t
= + . Find the mean value of the random variable ( )
2
0
Y X t dt =
}
and
variance of ( ) X t .
Solution:
Given ( ) 9 2
xx
R e
t
t = +
Mean of ( ) X t is given by
( ) ( )
2 2
xx
Lt
X E X t R t
t
= = (
( )
9 2
Lt
e
t
t
= +
2
9 X =
3 X =
Also ( ) ( )
0 2
0 9 2 9 2 11
XX
E X t R e ( = = + = + =
( ) { } ( ) ( ) ( )
2
2
Var X t E X t E X t ( ( =
2
11 3 11 9 2 = = =
Mean of ( ) ( ) Y t E Y t = (
Unit.4. Correlation and spectral densities
8
( )
2
0
E X t dt
(
=
(
}
( )
2
0
E X t dt = (
}
2
0
3dt =
}
( )
2
0
3 6 t = =
( ) 6 E Y t = (
b). Find the mean and autocorrelation function of a semi random telegraph signal process.
Solution:
Semi random telegraph signal process.
If ( ) N t represents the number of occurrences of a specified event in ( ) 0, t
and ( ) ( )
( )
1
N t
X t = , then ( ) { }
X t is called the semi random signal process and ( ) N t is a
poisson process with rate .
By the above definition ( ) X t can take the values 1 = and 1 only
( ) ( ) 1 P X t P N t is even = = ( (
( )
!
k
t
K even
e t
K
=
=
( )
2
1 ...
2
t
t
e
(
= + + (
(
( ) 1
t
P X t e cosh t
= = (
( ) ( ) 1 P X t P N t is odd = = ( (
( )
!
k
t
K odd
e t
K
=
=
( )
3
...
3!
t
t
e t
(
= + + (
(
t
e sinh t
=
( ) { } ( ) ( )
1,1 K
Mean X t K P X t K
=
= =
1 ( 1)
t t
e cosh t e sinh t
= +
 
t
e cosh t sinh t
=
2 t t
e cosh t sinh t e
( = =
( ) ( ) ( ) R E X t X t t t = + (
( ) ( ) ( ) ( ) 1 1 1 1 P X t X t P X t X t t t = + = + + = ( (
Unit.4. Correlation and spectral densities
9
( ) ( )
! !
n n
t t
n even n odd
e e
n n
t t
= =
=
e cosh e sinh
t t
t t
=
  e cosh sinh
t
t t
=
e e
t t
=
( )
2
R e
t
t
=
Problem 19. a). Find Given the power spectral density of a continuous process as
( )
2
4 2
9
5 4
XX
S
e
e
e e
+
=
+ +
find the mean square value of the process.
Solution:
We know that mean square value of ( ) { }
X t
( ) { } ( )
2
1
2
XX
E X t S d e e
t
= =
}
( )
2
4 2
1 9
2 5 4
d
e
e
t e e
+
=
+ +
}
2
4 2
0
1 9
.2
2 5 4
d
e
e
t e e
+
=
+ +
}
2
4 2 2
0
1 9
4 4
d
e
e
t e e e
+
=
+ + +
}
( ) ( )
2
2 2 2
0
1 9
1 4 1
d
e
e
t e e e
+
=
+ + +
}
i.e., ( ) { }
( )( )
2
2
2 2
0
1 9
4 1
E X t d
e
e
t e e
+
=
+ +
}
let
2
u e =
We have
( )( )
( )( )
2
2 2
9 9
4 1 4 1
u
u u
e
e e
+ +
=
+ + + +
( ) ( )
4 9 1 9
5 8
4 1 1 4
4 1 3 4 3 1 u u u u
+ +
+ +
= + = +
+ + + +
.Partial fractions
i.e.,
( )( ) ( ) ( )
2
2 2 2 2
9 5 8
4 1 3 4 3 1
e
e e e e
+
= +
+ + + +
From (1),
( ) { }
( ) ( )
2
2 2
0
1 1 5 8
3 4 1
E X t de
t e e
( = +
+ +
(
}
Unit.4. Correlation and spectral densities
10
1 1
0
1 1
5. 8
3 2 2
tan tan
e
e
t
(
= +
(
1 5
8 0
3 2 2 2
t t
t
(    
= +
  (
\ . \ .
1 5 1 11
. 8
3 2 2 6 2
t
t
   
= + =
 
\ . \ .
( ) { }
2
11
12
E X t = .
b). If the 2n random variables
r
A and
r
B are uncorrelated with zero mean and
( ) ( )
2 2 2
r r r
E A E B o = = . Find the mean and autocorrelation of the process
( )
1
cos sin
n
r r r r
r
X t A t B t e e
=
= +
.
Solution:
Given ( ) ( ) ( ) ( )
2 2 2
0 &
r r r r r
E A E B E A E B o = = = =
Mean: ( )
1
n
r r r r
r
E X t A cos t B sin t e e
=
(
= + (
(
( ) ( )
1
n
r r r r
r
E A cos t E B sin t e e
=
= + (
( ) 0 E X t = (
( ) ( ) 0
r r
E A E B = =
Autocorrelation function:
( ) ( ) ( ) R E X t X t t t = + (
( ) ( ) ( ) ( )
1 1
n n
r r r r s s s s
r s
E A cos t B sin t A cos t B sin t e e e t e t
= =
= + + + +
( )
2
1
n
r r
r
cos t t o e t
=
=
( )
2
1
n
r r
r
cos o e t
=
=
( )
2
1
n
r r
r
R cos t o e t
=
=
( )
2
sin t t o e t =
( )
2
sin o e t =
( ) ( )
2
XY
R sin t sin sin t o e u u = = (
( )
9
2
XX
R cos t et =
( )
9
0
2
XX
R =
( ) ( ) ( )
YY
R E Y t Y t t t = + (
2 2
2 2
E cos t cos t
t t
e u e et u
(    
= + + +
  (
\ . \ .
( )
4
2 2
2
E cos t cos e et u t et = + + + (
( )
2
0
1
2 2 2
2
cos cos d
t
et et u t et u
t
= + + + (
}
( )
2
0
2 2 1
2
sin t
cos
t
e et u t
u et
t
+ + (
= +
(
2coset =
Unit.4. Correlation and spectral densities
14
Similarly, ( ) 3
2
XY
R cos
t
t et
 
=

\ .
( )
max
3
XY
R t =
By property (2) i.e., ( ) ( ) ( ) 0 0
XX YY XY
R R R t >
9
.2 3 ,
2 2
cos
t
et t
 
>

\ .
In this care ( )
XY
R t takes on its maximum possible value of 3 at
2
,
2
n
n
t t
t
e e
= +
Since it is periodic
( ) ( ) ( )
2
max
0 0
XX YY XY
R R R t =
b). State and prove Wiener Khinchine Theorem
Solution:
Statement:
If ( )
T
X e is the Fourier transform of the truncated random process defined as
( )
( ),
0 ,
T
X t T t T
X t
otherwise
s s
Where ( ) { }
X t is a real WSS process with power spectral function ( ) ,
XX
S e then
( ) ( )
{ }
2 lim
1
2
XX T
S E X
T T
e e
(
=
(
Proof:
Given ( ) ( )
i t
T T
X X t e dt
e
e
=
}
( )
T
i t
T
X t e dt
e
=
}
Now
( ) ( ) ( )
2
T T T
X X X e e e =
( ) ( )
1 2
1 1 2 2
T T
i t i t
T T
X t e dt X t e dt
e e
=
} }
( ) ( )
( )
1 2
1 2 1 2
T T
i t t
T T
X t X t e dt dt
e
=
} }
( )
{ }
( ) ( )
( )
1 2
2
1 2 1 2
T T
i t t
T
T T
E X E X t X t e dt dt
e
e
= (
} }
( )
( )
1 2
1 2 1 2
T T
i t t
T T
R t t e dt dt
e
=
} }
Unit.4. Correlation and spectral densities
15
( )
1 2 1 2
0
T T
T T
t t dt dt
=
} }
 (1)
{ ( )} X t is WSS its autocorrelation is a function of time difference ie.,
1 2
t t =
T
( ) , A T T B
T T
Q
1 2
t t = d
S
P
D R ( ) , C T T
T
The double integral (1) is evaluated over the area of the square ABCD bounded by the
1
, t T T = &
2
, t T T = as shown in the figure
We divide the area of the square into a number of strips like PQRS, where PQ is given by
1 2
t t t = and RS is given by
1 2
t t d t t = + .
When PQRS is at A,
1 2
2 t t T T T = = and
1 2
2 t t T = and at C
t varies from 2T to 2T such that the area ABCD is covered.
Now
1 2
dt dt = elemental area of the
1 2
, t t plane
=Area of the strip PQRS (2)
At P ,
2
t T = ,
1 2
t t T t t = + =
At Q,
1
t T = ,
2 1
t t T = =
2 , 0 PC CQ T t t = = >
2 , 0 PC CQ T t t = = + <
2 , 0 RC SC T d t t t = = >
When 0 t > ,
Area of PQRS PCQ RCS = A A
( ) ( )
2 2 1 1
2 2 2
2 2
T T t t t =
( ) 2T d t t = Omitting ( )
2
dt  (3)
From (2) & (3)
Unit.4. Correlation and spectral densities
16
( )
1 2
2 (4) dt dt T d t t =
Using (4) in (1)
( )
{ }
( )( )
2
2
2
0 2
T
T
T
E X T d e t t t
=
}
( )
{ }
( )
2
2
2
1
0 1
2 2
T
T
T
E X d
T T
t
e t t
 
=

\ .
}
( )
{ }
( )
2
2
2
lim lim lim
1
0
2 2
T
T
T
E X w d d
T T T T T
t
t t t
=
} }
( ) 0 d t t
=
}
( )
i
R e d
et
t t
=
}
( ) S e =
This theorem provides an alternative method for finding ( ) S e for a WSS Process.
Problem 23. a). Define the spectral density ( ) S e of a real valued stochastic
processes ( ) { }
: 0 X t t > , obtain the spectral density of ( ) { } ( ) ( ) : 0 , Y t t Y t X t o > = when
o is increment of
( ) X t such that ( ) ( )
1
1 1
2
P P o o = = = = .
Solution:
If ( ) X t is a stationary process {either in the strict serve or wide sense with
autocorrelation function R t , then the Fourier transform of R t is called the Power
spectral density function of ( ) X t denoted by ( ) S
Thus ( ) ( )
i
S R e d
et
e t t
=
}
Given { } { }
1
1 1
2
P P o o = = = =
( ) ( )
1 1
1. 1 . 0
2 2
E o = + =
( ) ( ) ( )
2 2
2
1 1
1 . 1 . 1
2 2
E o = + =
( ) ( ) E Y t E X t o = ( (
( ) ( ) E E X t o = (
( ) X t areindependent o (
( ) ( ) 0 0 E Y t E o = = ( (
( ) ( ) ( )
YY
R E Y t Y t t t = + (
( ) ( ) E X t X t o o t = + (
Unit.4. Correlation and spectral densities
17
( ) ( )
2
E X t X t o t ( = +
( ) ( )
2
E E X t X t o t ( = + (
( ) ( ) 1 E X t X t t = + (
( ) ( ) ( )( ) (1) 1 ( 1) 1 P X t t P X t t t t = + = + + = ( (
( ) ( )
(1) ( 1)
! !
n
T T
n even n odd
e T e T
n n
= =
= +
T T
e cosh e sinh
t t
=
  e cosh T sinh T
t
=
2 T T T
e e e
= =
( ) ( )
i
S R e d
et
e t t
=
}
2 i
e e d
t et
t
=
}
0
2 2
0
i i
e e d e e d
t et t et
t t
= +
} }
( ) ( )
0
2 2
0
i i
e d e d
e t e t
t t
= +
} }
( ) ( )
( )
0
2 2
0
2 2
i i
e e
i i
e t e t
e e
( (
= +
( (
+
1 1
2 2 i i e e
= +
+
2 2
2 2
4
i i e e
e
+
=
2 2
4
4
e
=
+
b). Show that (i) ( ) 0 S e > & (ii) ( ) ( ) S S e e = where ( ) S e is the spectral density of a
real valued stochastic process.
Solution:
(i) ( ) 0 S e >
Proof:
If possible let
( ) 0 S e < at
0
e e =
i.e., let ( ) 0 S e < in
0 0
2 2
c c
e e e < < + , where c is very small
Let us assume that the system function of the convolution type linear system is
Unit.4. Correlation and spectral densities
18
( )
0 0
1 ,
2 2
0 ,
H
elsewhere
c c
e e e
e
< < +
Now
( ) ( ) ( )
2
YY XX
S H S e e e =
( )
0 0
,
2 2
0 ,
XX
S
elsewhere
c c
e e e e
< < +
( ) ( )
2
0
YY
E Y t R ( =
( )
1
2
YY
S d e e
t
=
}
( )
0
0
2
2
1
2
XX
S d
c
e
c
e
e e
t
+
=
}
( )
0
2
XX
S
c
e
t
=
[ ( )
XX
S e Considered a constant ( )
0 XX
S e band is
narrow] ( ) ( )
2
0
0, 0
xx
E Y t S e ( > >
which is contrary to our initial assumption.
( ) 0
XX
S e > everywhere, since
0
e e = is arbitrary
(ii) ( ) ( ) S S e e =
Proof:
Consider ( ) ( )
i
S R e d
et
e t t
=
}
Let u t = then d du t = and u varies from and
( ) ( ) ( )
i u
S R u e du
e
e
=
}
( )
i u
R u e du
e
=
}
( ) ( )
i u
R u e du R is aneven functionof
e
t t
= (
}
( ) S e =
Hence ( ) S e is even function of e
Problem 24. a). An autocorrelation function R (t ) of
( ) { }
; X t t < < in given by
, 0, 0 ce c
o t
o
=
}
i
ce e d
o t et
t
=
}
( ) ( )
0
i i
ce e d ce e d
o t o t et et
t t
= +
} }
( ) ( )
0
0
i i
c e d e d
o e t o e t
t t
(
= +
(
} }
( ) ( )
( )
0
0
i i
e e
c
i i
o e t o e t
o e o e
( (
= +
` ( (
+
)
1 1
c
i i o e o e
(
= +
(
+
2 2
i i
c
o e o e
o e
+ + (
=
(
( )
2 2
2 c
S
o
e
o e
=
+
b). Given that a process ( ) X t has the autocorrelation function
( ) ( )
0
cos
XX
R Ae
o t
t e t
= where 0 A , 0 and
0
e are real constants, find the power
spectrum of ( ) X t .
Solution:
By definition ( ) ( )
i
S R e d
et
e t t
=
}
( )
0
i
Ae cos e d
o t et
e t t
=
}
( )  
0
A e cos cos isin d
o t
e t et et t
=
}
( )
0 0
A e cos cos A e cos sin d
o t o t
e t et e t et t
= +
} }
0
0
2A e cos cos d
ot
e t et t
=
}
( ) ( )
0 0
2
2
cos cos
A e d
ot
e e t e e t
t
+ + (
=
(
}
Using
2 2
0
ax
a
e cosbxdx
a b
=
+
}
Unit.4. Correlation and spectral densities
20
( )
( ) ( )
2 2
2 2
0 0
S A
o o
e
o e e o e e
(
= + (
+ + +
(
( ) ( )
2 2
2 2
0 0
1 1
Ao
o e e o e e
(
= + (
+ + +
(
Problem 25. a). Find the power spectral density of the random binary transmission
process whose autocorrelation function is ( )
1 for 1
0 elsewhere
R
t t
t
s
.
Solution:
By definition ( ) ( )
i
S R e d
et
e t t
=
}
1
1
1
i
e d
et
t t
= (
}
   
0 1
1 0
1 1
i i
e d e d
et et
t t t t
= + +
} }
   
0 1
1 0
1 1
i i
e d e d
et et
t t t t
= + +
} }
( ) ( ) ( )
0 1
2 2 2 2
1 0
1 1 1
i i i i
e e e e
i i i i
et et et et
t t
e e e e
( (
= + +
( (
2 2
2
i i
e e
e e
e e
(
=
(
 
2
1
2 2cose
e
=
( )
2
2
1 cose
e
=
2
2
2
1 1
2
sin
e
e
(  
=
 (
\ .
2
2
2
2
2
sin
e
e
(
=
(
2
4
2
sin
e
e
=
( )
2
2
2
sin
S
e
e
e
(
(
=
(
(
Unit.4. Correlation and spectral densities
21
b). Show that the power spectrum of the autocorrelation function 1 e
o t
o t
+ (
is
( )
3
2
2 2
4
w
o
o +
.
Solution:
By definition, ( ) ( )
i
S R e d
et
e t t
=
}
1
i
e e d
o t et
o t t
= + (
}
( )
( )
( )
( )
0
0
1 1
i i
e d e d
o e t o e t
ot t ot t
= + +
} }
( )
( )
( )
( )
( )
( )
( )
( )
( )
( )
( )
0
2 2
0
1 1
i i i i
e e e e
i i
i i
o e t o e t o e t o e t
ot o ot o
o e o e
o e o e
+ +
( (
= + + ( (
+
+
( (
( ) ( )
2 2
1 1
0
i i
i i
o o
o e o e
o e o e
( (
= + + + + ( (
+
+
( (
( ) ( )
2 2
1 1 1 1
i i
i i
o
o e o e
o e o e
(
(
= + + + (
(
+
+
(
( ) ( )
( )
2 2
2 2 2
2 2
2 i i o e o e o
o
o e
o e
(
+ +
(
= +
( +
+
( )
( )
2 2
2 2 2
2 2
2
2
o o e
o
o e
o e
= +
+
+
( ) ( )
( )
2 2 2 2
2
2 2
2 2 o o e o o e
o e
+ +
=
+
( )
( )
2 2 2 2
2
2 2
2o o e o e
o e
+ +
=
+
( )
3
2
2 2
4o
o e
=
Problem 26. a). Find the spectral density function whose autocorrelation function is
given by
( )
1 ;
0 ; elsewhere
T
R
t
t
t
t
s
=
Solution:
Unit.4. Correlation and spectral densities
22
( ) ( )
i
S R e d
et
e t t
=
}
1
T
i
T
e d
et
t
t
t
(
=
(
}
  1
T
T
cos isin d
T
t
et et t
 
=

\ .
}
1
T
T
cos d
T
t
et t
 
=

\ .
}
0
2 1
T
cos d
T
t
et t
 
=

\ .
}
0
2 1
T
cos d
T
t
et t
 
=

\ .
}
2
0
1
2 1
T
sin cos
T
t et et
e t e
(     
=
   (
\ . \ .\ .
2 2
1
2
cos T
T T
e
e e
(
= +
(
 
2
2
1 cos T
T
e
e
=
2
2
2
2
2
T
sin
T
e
e
 
=

\ .
( )
2
2
4
2
T
sin
S
T
e
e
e
 

\ .
=
b). Find the power spectral density function whose autocorrelation function is given by
( ) ( )
2
0
2
A
R cos t e t =
Solution:
( ) ( )
i
S R e d
et
e t t
=
}
( )
2
0
2
i
A
cos e d
et
e t t
=
}
( ) 
2
0
2
A
cos cos isin d e t et et t
=
}
( ) ( ) ( ) ( )
2
0 0 0 0
4
A
cos cos d i sin sin d e e t e e t t e e t e e t
(
= + + + + ( (
(
} }
Unit.4. Correlation and spectral densities
23
( ) ( ) ( ) ( )
2
0 0 0 0
4
A
cos isin d cos isin d e e t e e t t e e t e e t t
= + + + ( (
} }
( ) ( )
0 0
2
4
i i
A
e d e d
e e t e e t
t t
+
(
= +
(
} }
By definition of Dirac delta function
( )
1
2
i
S e d
et
e t
t
=
}
( ) 2
i
e d
et
to e t
=
}
(1) reduces to
( ) ( ) ( )
2
0 0
2 2
4
A
S e to e e to e e = + + (
( ) ( ) ( )
2
0 0
4
A
S
t
e o e e o e e = + + (
Problem 27. a). If the power spectral density of a WSS process is given by
( )
( )
;
0 ;
b
a a
a S
a
e e
e
e
>
=
}
( )
1
2
a
i
a
b
a e d
a
et
e t
t
=
}
( )( )
1
2
a
a
b
a cos isin d
a
e et et e
t
= +
}
( )
0
2
2
a
b
a cos d
a
e et e
t
=
}
( )
2
0
a
b sin cos
a
a
et et
e
t t t
(
=
(
2 2
1 b cosa
a
t
t t t
(
= +
(
 
2
1
b
cosa
a
t
t t
=
2
2
2
2
b a
sin
a
t
t t
 
=

\ .
Unit.4. Correlation and spectral densities
24
b).The power spectral density function of a zero mean WSS process ( ) { }
X t is given
by ( )
0
1 ;
0 ; elsewhere
S
e e
e
<
=
}
0
0
1
2
i
e d
e
et
e
e
t
=
}
0
0
1
2
i
e
i
e
et
e
t t
(
=
(
0 0
1
2
i i
e e
e t e t
tt
(
=
(
0
sine t
tt
=
To show that
( ) X t &
0
X t
t
e
 
+

\ .
are uncorrelated we have to show that the auto
covariance is zero.
i.e., ( )
0
0 C X t X t
t
e
(  
+ =
( 
\ .
Consider,
( ) ( )
0 0 0
XX
C X t X t R E X t E X t
t t t
e e e
( (      
+ = + (
( (   
\ . \ . \ .
0
0
XX
R
t
e
 
=

\ .
( )
0
0
sin
C X t X t
t t
e tt
(  
+ = =
( 
\ .
Hence ( ) X t &
0
X t
t
e
 
+

\ .
are uncorrelated.
Problem 28. a). The power spectrum of a WSS process ( ) { }
X t is given
by ( )
( )
2
2
1
1
S e
e
=
+
. Find the autocorrelation function and average power of the process.
Solution:
( ) ( )
1
2
i
R S e d
et
t e e
t
=
}
Unit.4. Correlation and spectral densities
25
( )
2
2
1 1
2
1
i
e d
et
e
t
e
=
+
}
 (1)
The integral in (1) is evaluated by contour integration technique as given below.
Consider
( )
2
,
1
iaz
C
e dz
z +
}
where C is the closed contour consisting of the real axis from R to
R and the upper half of the
le
O , Z R =
2
1 0 Z + =
2
1 Z =
Z i =
Z i = is a double pole.
[Res] Z i =
( )
( ) ( )
2 1
1 !
Lt
d
z i z
z i z dz
(
= +
( )
( )
2
2
2
1
1!
1
iaz
Lt
d e
z i
z i dz
z
(
(
=
(
+
( )
2
iaz
Lt
d e
z i dz
z i
=
+
( ) ( )
( )
2
4
2 .1
iaz iaz
Lt z i i ae e z i
z i
z i
(
+ +
= (
+
(
( )
( )
3
2
iaz iaz
Lt z i i ae e
z i
z i
(
+
= (
+
(
( )
( )
( ) ( ) 2 2 2 1 1
8 8 4
a a a
e a e a e a
i i i
+ +
= = =
=
=
=
_
]
and taking limits R
and using Jordans lemma
( )
( ) ( )
2
2
2 1 1
4 2
1
a a iax
ie a e a
e
dx
i
x
= =
]
 (2)
Using (2) in (1)
( )
( ) ( ) 1 1
1
2 2 4
e e
R
t t
t t t
t
t
+ +
= =
Average power of ( ) { } ( )
0
X t R
t
t
=
= (
( )
0
1 1
0.25
4 4
e
t
t
t
=
( +
= = =
(
Unit.4. Correlation and spectral densities
26
b). Suppose we are given a cross power spectrum defined by
( )
,
0 , elsewhere
XY
jb
a W W
S W
e
e
e
+ < <
=
}
1
2
W
j
W
jb
a e d
W
et
e
e
t
 
= +

\ .
}
2 2
2 2
W W
j j j
W W
a e jb e e
j W j j
et et et
e
t t t t t
( (
= +
( (
2 2
2 2
jW jW jW jW jW jW
a e e jb We e We e
j W j j
t t t t t t
t t t t t t t
( (
= + + +
( (
( )
2
2 2
jW jW jW jW
asin W bW e e jb e e
W W
t t t t
t
tt t t t t
( (
= + +
( (
( ) ( ) ( )
2
asin W b cos W bsin W
W
t t t
tt tt t t
= +
( ) ( )
2
1 b
a sin W b cos W
W
t t t t
tt
(  
= +
 (
\ .
Problem 29. a). The crosspower spectrum of real Random process ( ) { }
X t and ( ) { }
Y t
is given by ( )
; 1
0 ; elsewhere
XY
a jb
S
e e
e
+ <
=
}
( )
1
1
1
2
j
a jb e d
et
e e
t
= +
}
1 1
2 2
1 1
2 2
j j j
a e b e e
j j j
et et et
e
t t t t t
( (
= +
( (
2 2
2 2
j j j j j j
a e e jb e e e e
j j j
t t t t t t
t t t t t t t
( (
= + + +
( (
 
2
2 2
j j j j
a jb e e jb e e
sin
j
t t t t
t
tt t t t t
( (
= + +
( (
2
asin bcos bsin t t t
tt tt tt
= +
Unit.4. Correlation and spectral densities
27
( )
2
1
a b sin b cos t t t t
tt
= + (
b). Find the power spectral density function of a WSS process with autocorrelation
function. ( )
2
R e
ot
t
= .
Solution:
( ) ( )
i
XX XX
S R e d
et
e t t
=
}
2
a i
e e d
t et
t
=
}
( )
2
a i
e d
t et
t
=
}
2
i
a
a
e d
et
t
t
 
+

\ .
=
}
2
2. .
i
a
a
e d
e
t t
t
 
+

\ .
=
}
2 2 2 2
2
2 2 2 2
2
2 2 2
i i i
a t
a a a
e d
e e e
t
t
(  
+ + ( 

( \ .
=
}
2 2
2
2 4
i
a
a a
e d
e e
t
t
(
 
+ + (

\ . (
=
}
2
2
2 2
4
.
i
a
a
a
e e d
e
e
t
t
(
 
+ (

\ . (
=
}
( )
2
2
2
4
i
a
a
a
XX
S e e d
e
e
t
e t
 
+

\ .
=
}
Now let,
2
2
. .
2 2
i i
a u i e u a
a a
e e
t t
   
+ = = +
 
\ . \ .
du a dt =
and as, , u t and as , u t
( )
2
2
4
u
a
XX
du
S e e
a
e
e
=
}
2
2
4
0
.2
a
u
e
e du
a
e
=
}
2
....
u
e
is even
2
4
2
2
a
e
a
e
t
= ...Standard Result :
2
0
2
X
x
e dx
=
}
Unit.4. Correlation and spectral densities
28
( )
2
4a
XX
S e
a
e
t
e
=
Problem 30. a). The autocorrelation function of the random telegraph signal process is
given by ( )
2 2
R a e
t
t
= . Determine the power density spectrum of the random telegraph
signal.
Solution:
( ) ( )
2 2 i i
XX XX
S R e d a e e d
t et et
e t t t
= =
} }
0
2 2 2 2
0
i i
a e e d a e e d
t t et et
t t
= +
} }
( ) ( )
0
2 2 2 2
0
.
i i
a e e d a e e d
t t et et
t t
= +
} }
( ) ( )
0
2 2 2 2
0
i i
a e d a e d
e t e t
t t
= +
} }
( )
( )
( )
( )
0
2 2
2 2
0
2 2
i i
e e
a a
i i
e t e t
e e
( (
= +
( (
( )
( )
( )
( )
2 2
0 0
2 2
a a
e e e e
i i e e
=
+
( )
( )
( )
2 2
1 0 0 1
2 2
a a
i i e e
=
+
2
1 1
2 2
a
i i e e
(
= +
(
+
( )
2
2
2
2 2
2
i i
a
e e
e
(
+ +
= (
+
(
i.e., ( )
2
2
2 2 2 2
4 4
4 4
XX
a
S a
e
e e
(
= =
(
+ +
b). Find the power spectral density of the random process ( ) { }
x t if ( ) { }
1 E x t =
and ( ) 1
xx
R e
o t
t
= + .
Solution:
( ) ( )
i
XX
S R e d
et
e t t
=
}
1
i
e e d
o t et
t
(
= +
}
0
0
i i i
e d e e d e e d
et ot et ot et
t t t
= + +
} } }
( )
1 1
i i
o e
o e o e
= + +
+
( )
2 2
2o
o e
o e
= +
+
*******