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Random Processes: Version 2 ECE IIT, Kharagpur
Random Processes: Version 2 ECE IIT, Kharagpur
2
Random Processes
The cdf Fy(b) of the new random variable Y, so formed, is the probability of the
event { y ≤ b} , consisting of all outcomes ‘s’ such that y ( s ) = g[ x ( s )] ≤ b .
This means,
Fy (b) = P{ y ≤ b} = P{g ( s ) ≤ b 2.6.1
For a specific b, there may be multiple values of ‘a’ for which g ( a ) ≤ b . Let us
assume that all these values of ‘a’ for which g ( a ) ≤ b , form a set on the a-axis and let us
denote this set as Iy. This set is known as the point set.
So, g[ x ( s )] ≤ b if x(s) is a number in the set Iy, i.e. Fy (b) = P{x ∈ Iy} 2.6.2
Now, g(a) must have the following properties so that g(x) is a random variable :
a) The domain of g(a) must include the range of the random variable X.
b) For every b such that g ( a ) ≤ b , the set Iy must consist of the union and
intersection of a countable number of intervals since then only { y ≤ b} is an
event.
c) The events {g(x) = ± ∞} must have zero probability.
Example #2.6.1
Example #2.6.3
Let us consider the following function g(a):
⎧ a + c, a < − c ⎫
⎪ ⎪
g (a) = ⎨0, − c ≤ a ≤ c ⎬
⎪ a − c, a > c ⎪
⎩ ⎭
It is a good idea to sketch g(a) versus ‘a’ to gain a closer look at the function.
Note that, Fy(b) is discontinuous at b = g ( a ) = 0 by the amount Fx (c) − Fx (−c)
Further,
for b ≥ 0, P{ y ≤ b} = P{x ≤ b + c} = Fx (b + c)
& for b < 0, P{ y ≤ b} = P{x ≤ b − c} = Fx (b − c)
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Example #2.6.4
While we will discuss more about linear and non-linear quantizers in the next Module,
let us consider the simple transfer characteristics of a linear quantizer here:
Let, g ( a ) = n.s, (n − a ) s < a ≤ ns where ‘s’ is a constant, indicating a fixed step size and
‘n’ is an integer, representing the n-th quantization level.
Then for y = g ( x ), the random variable Y takes values
bn = ns with
P{ y = ns} = P{(n − 1) s < x ≤ ns} = Fx (ns ) − Fx (ns − s)
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An important step while dealing with functions of random variables is to find the
point set Iy and thereby the cdf FY(Y) when the functions g(x) and FX(X) are known. In
terms of probability, it is equivalent to finding the values of the random variable X such
that, FY ( y ) = P{Y ≤ y} = P{ X ∈ I y } . We now briefly discuss about a concise and
convenient relationship for determination of the pdf of Y, i.e fY(Y).
In either case, we can write (following the basic definition of pdf), that,
Pr. of an event = (pdf at x = xi). dxi
So, for the above disjoint events {Ei}, we may, approximately write,
P{Ei } = Probability of event Ei = f X ( xi ) dxi
Here, xi is the i-th real root of y = g(x) and g ' ( xi ) ≠ 0. If, for a given y, y = g(x)
has no real root, then fY ( y ) = 0 as X being a random variable and ‘x’ being real, it can
not take imaginary values with non-zero probability.
Following similar procedure for the range -1 ≤ y < 0, it can ultimately be shown that,
⎧1 1
⎪π . , y <1
fY ( y ) = ⎨ 1− y2
⎪0, otherwise
⎩
Problems
Q2.6.1) Let, y=2x2 + 3x+1. If pdf is x is fX(x), determine an expression for pdf of
y.
Q2.6.2) Sketch the pdf of y of problem 2.6.1, if X has u form distribution between
-1 and +1.