UNIT V

LINEAR SYSTEMS WITH RANDOM INPUTS

Linear time invariant system - System transfer function – Linear systems with random
inputs – Auto correlation and cross correlation functions of input and output – white noise.

PART – A
1. Define a system. When is it called a linear system? (April/May 2003)(June, 2012)
A system is a functional relationship between the input 𝑋(𝑡) and the output 𝑌(𝑡). The
functional relationship is written as 𝑦(𝑡) = 𝑓[𝑥(𝑡)] .
If 𝑓[𝑎1 𝑋1 (𝑡) ± 𝑎2 𝑋2 (𝑡)] = 𝑎1 𝑓[𝑋1 (𝑡)] ± 𝑎2 𝑓[𝑋2 (𝑡)] then f is called a linear system.

2. Write a note on linear system(Nov./Dec. 2004) (May/June 2007) (April/May

2008)(May/June 2013)
If 𝑓[𝑎1 𝑋1 (𝑡) ± 𝑎2 𝑋2 (𝑡)] = 𝑎1 𝑓[𝑋1 (𝑡)] ± 𝑎2 𝑓[𝑋2 (𝑡)] then f is called a linear
system.
If 𝑌(𝑡 + ℎ) = 𝑓[𝑋(𝑡 + ℎ)] where 𝑌(𝑡) = 𝑓[𝑋(𝑡)] then 𝑓 is called a time – invariant
system or 𝑋(𝑡) and Y(t) are said to form a time invariant system.
If the output 𝑌(𝑡1 ) at a given time 𝑡 = 𝑡1 depends only on 𝑋(𝑡1 ) and not on any other
past or future values of 𝑋(𝑡), then the system 𝑓 is called a memoryless system. If the
value of the output 𝑌(𝑡) at 𝑡 = 𝑡1 depends only on the past values of the input 𝑋(𝑡),
𝑡 ≤ 𝑡. (ie) 𝑌(𝑡1 ) = 𝑓[𝑋(𝑡); 𝑡 ≤ 𝑡1 ], then the system is called a casual system.

3. State the properties of linear system.(april, 2010) (Nov./Dec. 2003)

The properties of linear system are
(i) If a system is such that its input 𝑋(𝑡) and its output 𝑌(𝑡) are related by a
convolution integral, then the system is a linear time invariant system.
(ii) If the input to a time-invariant, stable linear system is a WSS process, the output
will also be a WSS process.
(iii) The power spectral densities of the input and output processes in the system are
connected by the relation sYY (ω) = |H(ω)|2 sXX (ω), where H(ω) is the
Fourier transform of unit impulse response function ℎ(𝑡).
4. Define system weighting function.(APRIL, 2004)
If the output 𝑌(𝑡) of a system is expressed as the convolution of the input 𝑋(𝑡) and a
∞
function ℎ(𝑡) (ie) 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢 then ℎ(𝑡) is called the system
weighting function.

5. What is unit impulse response of a system? Why is it called so?(APRIL, 2004)

∞
If a system is of the form 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢 then the system weighting
function ℎ(𝑡) is also called unit impulse response of the system. It is called so
because the response (output) 𝑌(𝑡) will be ℎ(𝑡), when the input 𝑋(𝑡) = the unit
impulse function 𝛿(𝑡).

6. If the input of a linear system is a Gaussian random process, comment about the output
random process.(April, 2006)
If the input of a linear system is a Gaussian random process, then the output will also
be a Gaussian random process.
∞
7. If the input 𝑋(𝑡) of the system 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢 is the unit impulse
function, (june, 2006)
PANIMALAR INSTITUTE OF TECHNOLOGY DEPARTMENT OF MATHEMATICS
UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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Prove that 𝑌(𝑡) = ℎ(𝑡)
∞
Given 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢
Put 𝑋(𝑡) = 𝛿(𝑡)
Therefore 𝑋(𝑡 − 𝑢) = 𝛿(𝑡 − 𝑢)
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑡 − 𝑢) 𝛿(𝑢)𝑑𝑢 [By the property of convolution]
=ℎ(𝑡 − 0) = ℎ(𝑡)
𝑢
1 ∞
8. If a system is defined as 𝑌(𝑡) = 𝑇 ∫0 𝑋(𝑡 − 𝑢)𝑒 −𝑇 𝑑𝑢, find its unit impulse
function.(june, 2006)
𝑢
1 ∞
Given 𝑌(𝑡) = 𝑇 ∫0 𝑋(𝑡 − 𝑢)𝑒 −𝑇 𝑑𝑢
∞
1 −𝑢
𝑌(𝑡) = ∫ 𝑒 𝑇 𝑋(𝑡 − 𝑢) 𝑑𝑢
0 𝑇

𝑡
− 1
The unit impulse function ℎ(𝑡) = {𝑇 𝑒 𝑡>0 .
𝑇

0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

∞
9. If {𝑋(𝑡)} and {𝑌(𝑡)} in the system 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢 are WSS processes,
how are their autocorrelation functions related?(June, 2007)
𝑅𝑌𝑌 (𝜏) = 𝑅𝑋𝑌 (𝜏) ∗ ℎ(−𝜏)
𝑅𝑋𝑌 (𝜏) = 𝑅𝑋𝑋 (𝜏) ∗ ℎ(−𝜏) , where * denotes convolution.
∞
10. If the input and output of the system 𝑌(𝑡) = ∫−∞ ℎ(𝑢) 𝑋(𝑡 − 𝑢)𝑑𝑢 are WSS processes,
how are their power spectral densities related?(June, 2007)
sYY (ω) = |H(ω)|2 sXX (ω)
Where H(ω) is the Fourier transform of ℎ(𝑡)

11. Define the power transfer function or system function of the system.(April, 2008)
The power transfer function or system function of the system is the Fourier transform of
the unit impulse function of the system.

12. If the system function of a convolution type of linear system is given by

1
𝑓𝑜𝑟 |𝑡| ≤ 𝑐
ℎ(𝑡) = {2𝑐 Find the relation between power spectral density functions of
0 𝑓𝑜𝑟 |𝑡| > 𝑐
the input and output processes. (April, 2011)(April, 2009)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
𝑐 1
𝐻(𝜔) = ∫−𝑐 2𝑐 𝑒 −𝑖𝜔𝑡 𝑑𝑡
1 𝑐
= 2𝑐 ∫−𝑐 𝑒 −𝑖𝜔𝑡 𝑑𝑡
1 𝑐
= 2𝑐 ∫−𝑐 (cos 𝜔 𝑡 − 𝑖𝑠𝑖𝑛 𝜔𝑡) 𝑑𝑡
1 𝑐 𝑖 𝑐
= 2𝑐 ∫−𝑐 cos 𝜔𝑡 𝑑𝑡 + 2𝑐 ∫−𝑐 𝑠𝑖𝑛 𝜔𝑡 𝑑𝑡
1 𝑐 𝑖
= ∫ cos 𝜔𝑡 𝑑𝑡 + (0)
2𝑐 −𝑐 2𝑐
since the first and second integrand are even and odd functions

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PANIMALAR INSTITUTE OF TECHNOLOGY DEPARTMENT OF MATHEMATICS
UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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2 𝑐 1 𝑐 1 𝑠𝑖𝑛𝜔𝑡 𝑐 𝑠𝑖𝑛𝜔𝑐
= ∫ cos 𝜔𝑡 𝑑𝑡 = ∫ cos 𝜔𝑡 𝑑𝑡 = [ ] =
2𝑐 −𝑐 𝑐 −𝑐 𝑐 𝜔 0 𝜔𝑐
sYY (ω) = |H(ω)|2 sXX (ω)
𝑠𝑖𝑛𝜔𝑐 2
sYY (ω) = | | sXX (ω)
𝜔𝑐
sin2 𝜔𝑐
sYY (ω) = s (ω)
𝜔 2 𝑐 2 XX

13. What is thermal noise? By what type of random processes is it represented?(April, 2009)
Thermal noise is the noise because of the random motion of free electrons in conducting
media such as a resistor. It is represented by Gaussian random processes.

14. Define white noise.(April, 2011)(april, 2009)

Let 𝑋(𝑡) be a sample function of a WSS noise process, then {𝑋(𝑡), 𝑡 ∈ 𝑇} is called the
white noise if the power density spectrum of {𝑋(𝑡), 𝑡 ∈ 𝑇} is constant at all frequencies. (ie)
𝑁
𝑠𝑁𝑁 (𝜔) = 20 where 𝑁0 is a real positive constant.
𝑁
15. If the power spectral density of white noise is 20, find its autocorrelation function.(April,
2010)
∞
𝑁0 𝑁0
𝐹 [ 𝛿(𝜏)] = ∫ 𝛿(𝜏) 𝑒 −𝑖𝜔𝜏 𝑑𝜏
2 −∞ 2
𝑁0 ∞ 𝑁0 𝑁0
= ∫ 𝛿(𝜏) 𝑒 −𝑖𝜔𝜏 𝑑𝜏 = (1) =
2 −∞ 2 2
𝑁 0 𝑁0
Therefore 𝑅𝑁𝑁 (𝜏) = 𝐹 −1 [ ] = 𝛿(𝜏)
2 2
∞
∫−∞ 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 = 1

16. If the input to a linear time invariant system is white noise {𝑁(𝑡)} what is power spectral
density function of the output?(pril,2009)
If the input to a linear time invariant system is white noise {𝑁(𝑡)}, then the power
spectral density of the output sYY (ω) is given by
sYY (ω) = |H(ω)|2 sXX (ω)
𝑁0
sYY (ω) = |H(ω)|2
2
Where {𝑌(𝑡)} is the output process and 𝐻(𝜔) is the power transfer function.
17. Prove that 𝑌(𝑡) = 2𝑋(𝑡) is linear
18. Check whether the system 𝑌(𝑡) = 𝑥 3 (𝑡)
19. Check whether the system 𝑌(𝑡) = 𝛼 𝑋(𝑡)
Solution: Let 𝑦1 (𝑡) and 𝑦2 (𝑡) be the output signal corresponding to the input signal and
𝑥1 (𝑡) and 𝑥2 (𝑡) respectively
𝑌1 (𝑡) = 𝛼 𝑋1 (𝑡) and 𝑌2 (𝑡) = 𝛼 𝑋2 (𝑡)
For any scalar 𝑐1 and 𝑐2 the output signal for the input signal 𝑋(𝑡) = 𝑐1 𝑋1 (𝑡) + 𝑐2 𝑋2 (𝑡)
𝑌(𝑡) = 𝛼 𝑋(𝑡)
𝑌(𝑡) = 𝛼 [𝑐1 𝑋1 (𝑡) + 𝑐2 𝑋2 (𝑡)]
𝑌(𝑡) = 𝑐1 𝛼𝑋1 (𝑡) + 𝑐2 𝛼𝑋2 (𝑡)
𝑌(𝑡) = 𝑐1 𝑌1 (𝑡) + 𝑐2 𝑌2 (𝑡)
For this we get the given system is linear.
20. check whether the system 𝑌(𝑡) = 𝑋 2 (𝑡)

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PANIMALAR INSTITUTE OF TECHNOLOGY DEPARTMENT OF MATHEMATICS
UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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Solution: Let 𝑦1 (𝑡) and 𝑦2 (𝑡) be the output signal corresponding to the input signal and
𝑥1 (𝑡) and 𝑥2 (𝑡) respectively
𝑌1 (𝑡) = 𝑋12 (𝑡) and 𝑌2 (𝑡) = 𝛼 𝑋22 (𝑡)
For any scalar 𝑐1 and 𝑐2 the output signal for the input signal 𝑋(𝑡) = 𝑐1 𝑋1 (𝑡) + 𝑐2 𝑋2 (𝑡)
𝑌(𝑡) = 𝛼 𝑋(𝑡)
𝑌(𝑡) = 𝛼 [𝑐1 𝑋1 (𝑡) + 𝑐2 𝑋2 (𝑡)]2
2 2 (𝑡)
𝑌(𝑡) = 𝑐1 𝑋1 + 𝑐22 𝑋22 (𝑡) + 2𝑐1 𝑐2 𝑋1 (𝑡)𝑋2 (𝑡)
𝑌(𝑡) ≠ 𝑐1 𝑌1 (𝑡) + 𝑐2 𝑌2 (𝑡)
For this we get the given system is not linear.

PART – B

1. Show that 𝒔𝒀𝒀 (𝝎) = |𝑯(𝝎)|𝟐 𝒔𝑿𝑿 (𝝎) where 𝒔𝑿𝑿 (𝝎)and 𝒔𝒀𝒀 (𝝎) are the power
spectral density functions of the input 𝑿(𝒕) and the output 𝒀(𝒕) and 𝑯(𝝎) is the
system transfer function.
Solution:
We know that linear time invariant system 𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡)
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢 − − − − − (1)
Power spectral density of the out put 𝑌(𝑡) is
∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ 𝑅𝑌𝑌 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 − − − − − (2)
Since 𝑋(𝑡) is a WSS process and 𝑌(𝑡) is also WSS Process.
𝑅𝑌𝑌 (𝜏) = 𝐸[𝑌(𝑡)𝑌(𝑡 + 𝜏)]
∞ ∞
𝑅𝑌𝑌 (𝜏) = 𝐸[∫−∞ ℎ(𝑢1 )𝑋(𝑡 − 𝑢1 ) 𝑑𝑢1 ∫−∞ ℎ(𝑢2 )𝑋(𝑡 + 𝜏 − 𝑢2 ) 𝑑𝑢2 ]
∞ ∞
= 𝐸(∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 )𝑋(𝑡 − 𝑢1 ) 𝑋(𝑡 + 𝜏 − 𝑢2 ) 𝑑𝑢1 𝑑𝑢2 )
∞ ∞
= ∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 )𝐸[𝑋(𝑡 − 𝑢1 ) 𝑋(𝑡 + 𝜏 − 𝑢2 )] 𝑑𝑢1 𝑑𝑢2
Since 𝑋(𝑡) is a WSS process ⇒ 𝑅𝑋𝑋 (𝜏) = 𝐸[𝑋(𝑡)𝑋(𝑡 + 𝜏)]
∞ ∞
𝑅𝑌𝑌 (𝜏) = ∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 ) 𝑅𝑋𝑋 (𝜏 + 𝑢1 − 𝑢2 ) 𝑑𝑢1 𝑑𝑢2 − − − − − (3)
put equation (3) in (2)
∞ ∞ ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ ∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 ) 𝑅𝑋𝑋 (𝜏 + 𝑢1 − 𝑢2 ) 𝑒 −𝑖𝜔𝜏 𝑑𝑢1 𝑑𝑢2 𝑑𝜏
∞ ∞ ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ ℎ(𝑢1 )𝑑𝑢1 ∫−∞ ℎ(𝑢2 ) 𝑑𝑢2 ∫−∞ 𝑅𝑋𝑋 (𝜏 + 𝑢1 − 𝑢2 ) 𝑒 −𝑖𝜔𝜏 𝑑𝜏
by change of variable put 𝑢 = 𝜏 + 𝑢1 − 𝑢2
𝑑𝑢 = 𝑑𝜏 𝑢 = 𝜏 + 𝑢1 − 𝑢2
⇒ 𝜏 = 𝑢 − 𝑢1 + 𝑢2
𝜏 = −∞ ⇒ 𝑢 = −∞ 𝜏 = ∞ ⇒ 𝑢 = ∞
∞ ∞ ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ ℎ(𝑢1 )𝑑𝑢1 ∫−∞ ℎ(𝑢2 ) 𝑑𝑢2 ∫−∞ 𝑅𝑋𝑋 (𝑢) 𝑒 −𝑖𝜔(𝑢−𝑢1 +𝑢2 ) 𝑑𝑢
∞ ∞ ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ ℎ(𝑢1 )𝑑𝑢1 ∫−∞ ℎ(𝑢2 ) 𝑑𝑢2 ∫−∞ 𝑅𝑋𝑋 (𝑢) 𝑒 −𝑖𝜔𝑢 𝑒 𝑖𝜔𝑢1 𝑒 −𝑖𝜔𝑢2 𝑑𝑢

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UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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∞ ∞ ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ ℎ(𝑢1 )𝑒 𝑖𝜔𝑢1 𝑑𝑢1 ∫−∞ ℎ(𝑢2 ) 𝑒 −𝑖𝜔𝑢2 𝑑𝑢2 ∫−∞ 𝑅𝑋𝑋 (𝑢) 𝑒 −𝑖𝜔𝑢 𝑑𝑢
We know that Fourier transform of ℎ(𝑡) is 𝐻(𝜔)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
∞
𝐻 ∗ (𝜔) = ∫−∞ ℎ(𝑡)𝑒 𝑖𝜔𝑡 𝑑𝑡 (Complex conjugate)
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
𝑠𝑌𝑌 (𝜔) = 𝐻(𝜔)𝐻 ∗ (𝜔) 𝑠𝑋𝑋 (𝜔) Using 𝑧𝑧 = |𝑧|2
𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)

2. If the input to a time invariant stable linear system is a wide sense stationary
process, prove that the output will also be a wide sense stationary process.
OR
Show that input 𝑿(𝒕) is a WSS process then output 𝒀(𝒕) also WSS process.
Proof: We know that input and output are related by
𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡) (Convolution)
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢 ------ (1)
∞
𝐸[𝑌(𝑡)] = 𝐸[∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢]
∞
= ∫−∞ ℎ(𝑢)𝐸[𝑋(𝑡 − 𝑢)]𝑑𝑢
Since 𝑋(𝑡) ia a WSS process Mean is constant for any time t
𝐸[𝑋(𝑡 − 𝑢)] = 𝜇𝑥 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡
∞
𝐸[𝑌(𝑡)] = ∫−∞ ℎ(𝑢) 𝜇𝑥 𝑑𝑢
∞
𝐸[𝑌(𝑡)] = 𝜇𝑥 ∫−∞ ℎ(𝑢) 𝑑𝑢 = 𝑓𝑖𝑛𝑖𝑡𝑒
∞
Since the system is stable ∫−∞ ℎ(𝑢) 𝑑𝑢 = 𝑓𝑖𝑛𝑖𝑡𝑒
Since 𝐸[𝑌(𝑡)] Constant
Next we show that the auto correlation
𝑅𝑌𝑌 (𝑡, 𝑡 + 𝜏) Depends on 𝜏
𝑅𝑌𝑌 (𝑡, 𝑡 + 𝜏) = 𝐸[𝑌(𝑡)𝑌(𝑡 + 𝜏)
∞ ∞
𝑅𝑌𝑌 (𝑡, 𝑡 + 𝜏) = 𝐸[∫−∞ ℎ(𝑢1 )𝑋(𝑡 − 𝑢1 ) 𝑑𝑢1 ∫−∞ ℎ(𝑢2 )𝑋(𝑡 + 𝜏 − 𝑢2 ) 𝑑𝑢2 ]
∞ ∞
= 𝐸(∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 )𝑋(𝑡 − 𝑢1 ) 𝑋(𝑡 + 𝜏 − 𝑢2 ) 𝑑𝑢1 𝑑𝑢2 )
∞ ∞
= ∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 )𝐸[𝑋(𝑡 − 𝑢1 ) 𝑋(𝑡 + 𝜏 − 𝑢2 ) ]𝑑𝑢1 𝑑𝑢2
Since 𝑋(𝑡) is a WSS process, auto correlation function is only a function of time
difference 𝐸[𝑋(𝑡 − 𝑢1 )𝑋(𝑡 + 𝜏 − 𝑢2 ) = 𝑅𝑋𝑋 (𝜏 + 𝑢1 − 𝑢2 )
∞ ∞
𝑅𝑌𝑌 (𝑡, 𝑡 + 𝜏) = ∫−∞ ∫−∞ ℎ(𝑢1 )ℎ(𝑢2 ) 𝑅𝑋𝑋 (𝜏 + 𝑢1 − 𝑢2 ) 𝑑𝑢1 𝑑𝑢2

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Double Integral is evaluated by integrating with respect to 𝑢1 𝑎𝑛𝑑 𝑢2 , the RHS is only a
function of 𝜏.
∞
3. If 𝑿(𝒕) is a WSS process and if 𝒀(𝒕) = ∫−∞ 𝒉(𝒖)𝑿(𝒕 − 𝒖)𝒅𝒖 then
𝑹𝑿𝒀 (𝝉) = 𝑹𝑿𝑿 (𝝉) ∗ 𝒉(𝝉) Where * denote the convolution
Solution: Given
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢
𝑅𝑋𝑌 (𝜏) = 𝐸[𝑋(𝑡). 𝑌(𝑡 + 𝜏)]
∞
𝑅𝑋𝑌 (𝜏) = 𝐸[𝑋(𝑡). ∫−∞ ℎ(𝑢)𝑋(𝑡 + 𝜏 − 𝑢)𝑑𝑢]
∞
= ∫−∞ ℎ(𝑢)𝐸[𝑋(𝑡) 𝑋(𝑡 + 𝜏 − 𝑢)]𝑑𝑢 𝑡+𝜏−𝑢−𝑡 =𝜏−𝑢
∞
= ∫−∞ ℎ(𝑢) 𝑅𝑋𝑋 (𝜏 − 𝑢) 𝑑𝑢 𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡)
𝑅𝑋𝑌 (𝜏) = 𝑅𝑋𝑋 (𝜏) ∗ ℎ(𝜏) by convolution.
∞
4. If 𝑿(𝒕) is a WSS process and if 𝒀(𝒕) = ∫−∞ 𝒉(𝒖)𝑿(𝒕 − 𝒖)𝒅𝒖 then
𝑹𝒀𝒀 (𝝉) = 𝑹𝑿𝒀 (𝝉) ∗ 𝒉(−𝝉) Where * denote the convolution
Solution: Given
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢
𝑅𝑌𝑌 (𝜏) = 𝐸[𝑌(𝑡). 𝑌(𝑡 + 𝜏)]
∞
𝑅𝑌𝑌 (𝜏) = 𝐸(∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢) 𝑌(𝑡 + 𝜏) 𝑑𝑢)
∞
= ∫−∞ 𝐸[𝑋(𝑡 − 𝑢) 𝑌(𝑡 + 𝜏)] ℎ(𝑢)𝑑𝑢 𝑡+𝜏+𝑢−𝑡 =𝜏+𝑢
∞
= ∫−∞ 𝑅𝑋𝑌 (𝜏 + 𝑢) ℎ(𝑢) 𝑑𝑢
Put 𝑢 = −𝛼 ⇒ 𝑑𝑢 = −𝑑𝛼
−∞
= ∫∞ 𝑅𝑋𝑌 (𝜏 − 𝑢) ℎ(−𝑢) (−𝑑𝑢)
∞
= ∫−∞ 𝑅𝑋𝑌 (𝜏 − 𝑢) ℎ(−𝑢) 𝑑𝑢 𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡)
𝑹𝒀𝒀 (𝝉) = 𝑹𝑿𝒀 (𝝉) ∗ 𝒉(−𝝉) by convolution.
∞
5. If the Input 𝑿(𝒕) and output 𝒀(𝒕) are related by 𝒀(𝒕) = ∫−∞ 𝒉(𝒖)𝑿(𝒕 − 𝒖)𝒅𝒖 Then
the system is linear time invariant system.
Solution: Now first we prove the linearity
Consider 𝑋(𝑡) = 𝑎1 𝑋1 (𝑡) + 𝑎2 𝑋2 (𝑡)
∞
Then 𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢
∞
= ∫−∞ ℎ(𝑢)[𝑎1 𝑋1 (𝑡 − 𝑢) + 𝑎2 𝑋2 (𝑡 − 𝑢)]𝑑𝑢
∞ ∞
= 𝑎1 ∫−∞ ℎ(𝑢) 𝑋1 (𝑡 − 𝑢) 𝑑𝑢 + 𝑎2 ∫−∞ ℎ(𝑢)𝑋2 (𝑡 − 𝑢)𝑑𝑢
= 𝑎1 𝑌1 (𝑡) + 𝑎2 𝑌2 (𝑡)

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Hence the system is linear
Now we prove that the system is a time invariant system
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢
Replacing 𝑡 by 𝑡 + 𝑘
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 + 𝑘 − 𝑢)𝑑𝑢
= 𝑌(𝑡 + 𝑘)
6. A system has an impulse response function 𝒉(𝒕) = 𝒆−𝜷𝒕 𝒖(𝒕) find the power spectral
density of the output 𝒀(𝒕) corresponding to the input 𝑿(𝒕).
Solution.
Let 𝑋(𝑡) be the input and 𝑌(𝑡) be the output, the power spectral density of out put 𝑌(𝑡)
𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
0 𝑡<0
We know that unit step function 𝑢(𝑡) = {
1 𝑡≥0
Given ℎ(𝑡) = 𝑒 −𝛽𝑡 𝑢(𝑡)
0 𝑡<0
ℎ(𝑡) = { −𝛽𝑡
𝑒 𝑡≥0
𝐻(𝜔) is the Fourier transform of the function ℎ(𝑡)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
∞
𝐻(𝜔) = ∫0 𝑒 −𝛽𝑡 𝑒 −𝑖𝜔𝑡 𝑑𝑡 since ℎ(𝑡) = 𝑒 −𝛽𝑡 𝑡≥0
∞
𝐻(𝜔) = ∫0 𝑒 −(𝛽+𝑖𝜔)𝑡 𝑑𝑡
∞
𝑒 −(𝛽+𝑖𝜔)𝑡
= [ −(𝛽+𝑖𝜔) ]
0
1 1
= 0 − −(𝛽+𝑖𝜔) = (𝛽+𝑖𝜔)
1 𝛽−𝑖𝜔 𝛽−𝑖𝜔
𝐻(𝜔) = (𝛽+𝑖𝜔) = (𝛽+𝑖𝜔)(𝛽−𝑖𝜔) = (𝛽2 +𝜔2)

𝛽 2 +𝜔2 1
|𝐻(𝜔|2 = (𝛽2 2 )2 =
+𝜔 𝛽 2 +𝜔2

Power spectral density of the output 𝑌(𝑡) is 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
1
𝑠𝑌𝑌 (𝜔) = 𝛽2 +𝜔2 𝑠𝑋𝑋 (𝜔) Hence proved

7. A wide sense stationary random process 𝑿(𝒕). With autocorrelation

function 𝑹𝑿𝑿 (𝝉) = 𝑨𝒆−𝜶|𝝉| . Where 𝑨 and 𝜶 are real positive constants is applied to
the input of a linearly time invariant system with impulse response 𝒉(𝒕) = 𝒆−𝒃𝒕 𝒖(𝒕)
where 𝒃 is a real positive constant. Find the power spectral density of the output
𝒀(𝒕) of the system.
Solution

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Let 𝑋(𝑡) be the input and 𝑌(𝑡) be the output, the power spectral density of out put 𝑌(𝑡)
𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
0 𝑡<0
We know that unit step function 𝑢(𝑡) = {
1 𝑡≥0
Given ℎ(𝑡) = 𝑒 −𝑏𝑡 𝑢(𝑡)
0 𝑡<0
ℎ(𝑡) = {
𝑒 −𝑏𝑡 𝑡≥0
𝐻(𝜔) is the Fourier transform of the function ℎ(𝑡)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
∞
𝐻(𝜔) = ∫0 𝑒 −𝑏𝑡 𝑒 −𝑖𝜔𝑡 𝑑𝑡 since ℎ(𝑡) = 𝑒 −𝑏𝑡 𝑡≥0
∞
= ∫0 𝑒 −(𝑏+𝑖𝜔)𝑡 𝑑𝑡
∞
𝑒 −(𝑏+𝑖𝜔)𝑡
= [ −(𝑏+𝑖𝜔) ]
0
1 1
=0− =
−(𝑏+𝑖𝜔) (𝑏+𝑖𝜔)
1 𝑏−𝑖𝜔 𝑏−𝑖𝜔
𝐻(𝜔) = (𝑏+𝑖𝜔) = (𝑏+𝑖𝜔)(𝑏−𝑖𝜔) = (𝑏2+𝜔2 )
𝑏 2 +𝜔2 1
|𝐻(𝜔|2 = (𝑏2 2)2 =
+𝜔 𝑏 2 +𝜔2

Power spectral density of the in put 𝑋(𝑡) is

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏

Given 𝑅𝑋𝑋 (𝜏) = 𝐴𝑒 −𝛼|𝜏| .

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝐴𝑒 −𝛼|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
= ∫−∞ 𝐴𝑒 −𝛼|𝜏| (𝑐𝑜𝑠𝜔𝜏 − 𝑖𝑠𝑖𝑛𝜔𝜏) 𝑑𝜏
∞ ∞
= 𝐴 ∫−∞ 𝑒 −𝛼|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 − 𝑖𝐴 ∫−∞ 𝑒 −𝛼|𝜏| 𝑠𝑖𝑛𝜔𝜏 𝑑𝜏
Even Odd
∞
= 𝐴 ∫−∞ 𝑒 −𝛼|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 − 0
∞ ∞ 𝑎
= 2𝐴 ∫0 𝑒 −𝛼𝜏 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 ∴ ∫0 𝑒 −𝑎𝑥 𝑐𝑜𝑠𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2
𝛼 2𝐴𝛼
= 2𝐴 =
𝛼2 +𝜔2 𝛼2 +𝜔2

Power spectral density of the output 𝑌(𝑡) is 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
1 2𝐴𝛼 2𝐴𝛼
𝑆𝑌𝑌 (𝜔) = 𝑏2 +𝜔2 𝛼2 +𝜔2 = (𝑏2 +𝜔2)(𝛼2 +𝜔2 )

8. If 𝑿(𝒕) Is the input voltage to a circuit and 𝒀(𝒕) is the output voltage. 𝑿(𝒕) 𝒊𝒔 𝒂
Stationary random process with mean zero 𝝁𝒙 = 𝟎. And autocorrelation

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function 𝑹𝑿𝑿 (𝝉) = 𝒆−𝟐|𝝉| . Find the mean 𝝁𝒀 and power spectrum 𝑺𝒀𝒀 (𝝎) of the
𝟏
output if the system transfer function is given by 𝑯(𝝎) =
𝝎+𝟐𝒊

Solution:
Given 𝜇𝑥 = 0
𝑅𝑋𝑋 (𝜏) = 𝑒 −2|𝜏|
1
𝐻(𝜔) = 𝜔+2𝑖

We know that for a linear time invariant system

𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡)
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢
∞
Mean 𝐸[𝑌(𝑡)] = 𝐸[∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢]
∞
𝐸[𝑌(𝑡)] = ∫−∞ ℎ(𝑢)𝐸[𝑋(𝑡 − 𝑢)]𝑑𝑢
Given 𝐸[𝑋(𝑡)} = 𝜇𝑥 = 0 𝑋(𝑡) is stationary for al t
𝐸[𝑋(𝑡 − 𝑢)] = 𝜇𝑥 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡
∞ ∞
𝐸[𝑌(𝑡)] = ∫−∞ ℎ(𝑢) 𝜇𝑥 𝑑𝑢 = ∫−∞ ℎ(𝑢) 0 𝑑𝑢 = 0
Mean of 𝑌(𝑡) is zero
Power spectral density of the in put 𝑋(𝑡) is
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏

Given 𝑅𝑋𝑋 (𝜏) = 𝑒 −2|𝜏|

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑒 −2|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏 -
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑒 −2|𝜏| (𝑐𝑜𝑠𝜔𝜏 − 𝑖𝑠𝑖𝑛𝜔𝜏) 𝑑𝜏
∞ ∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑒 −2|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 −𝑖 ∫−∞ 𝑒 −2|𝜏| 𝑠𝑖𝑛𝜔𝜏 𝑑𝜏
Even Odd
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑒 −2|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 - 0
∞ ∞ 𝑎
𝑆𝑋𝑋 (𝜔) = 2 ∫0 𝑒 −2𝜏 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 ∴ ∫0 𝑒 −𝑎𝑥 𝑐𝑜𝑠𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2
2 4
=2 =
22 +𝜔2 4+𝜔 2
1 𝜔−2𝑖 𝜔−2𝑖
Given 𝐻(𝜔) = 𝜔+2𝑖 = (𝜔+2𝑖)(𝜔−2𝑖) = (𝜔2 +22 )

𝜔 2 +22 1
|𝐻(𝜔)|2 = (𝜔2 2)2 =
+2 (𝜔 2 +22 )

Power spectral density of the output 𝑌(𝑡) is 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
1 4 4
𝑆𝑌𝑌 (𝜔) = (𝜔2 +4) 4+𝜔2 = (4+𝜔2)(4+𝜔2 )

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4
𝑆𝑌𝑌 (𝜔) = (4+𝜔2)2
𝟏
𝟎<𝒕<𝑻
9. A circuit has unit impulse response given by 𝒉(𝒕) = { 𝑻 Evaluate
𝟎 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
𝒔𝒀𝒀 (𝝎) in terms of 𝒔𝑿𝑿 (𝝎)
Solution:
Let 𝑋(𝑡) be the input and 𝑌(𝑡) be the output, the power spectral density of out put 𝑌(𝑡)
𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
𝐻(𝜔) is the Fourier transform of the functions ℎ(𝑡)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
𝑇1
= ∫0 𝑒 −𝑖𝜔𝑡 𝑑𝑡
𝑇
1 𝑇
= 𝑇 ∫0 𝑒 −𝑖𝜔𝑡 𝑑𝑡
1 𝑇
= 𝑇 ∫0 (𝑐𝑜𝑠𝜔𝑡 − 𝑖𝑠𝑖𝑛𝜔𝑡) 𝑑𝑡
1 𝑠𝑖𝑛𝜔𝑡 𝑐𝑜𝑠𝜔𝑡 𝑇
= 𝑇[ +𝑖 ]
𝜔 𝜔 0
1 𝑠𝑖𝑛𝜔𝑇 𝑐𝑜𝑠𝜔𝑇 1
= 𝑇( +𝑖 − 0 − 𝑖 𝜔)
𝜔 𝜔
1
𝐻(𝜔) = 𝜔𝑇 (𝑠𝑖𝑛𝜔𝑇 + 𝑖(𝑐𝑜𝑠𝜔𝑇 − 1))
1
|𝐻(𝜔)|2 = 2 2 (sin2 𝜔𝑇 + (𝑐𝑜𝑠𝜔𝑇 − 1)2 )
𝜔 𝑇
1
|𝐻(𝜔)|2 = (sin2 𝜔𝑇 + 𝑐𝑜𝑠 2 𝜔𝑇 + 1 − 2 cos 𝜔𝑇)
𝜔2 𝑇2
1
|𝐻(𝜔)|2 = 2 2 (1 + 1 − 2 cos 𝜔𝑇)
𝜔 𝑇
1
|𝐻(𝜔)|2 = 2 2 (2 − 2 cos 𝜔𝑇)
𝜔 𝑇
𝜔𝑇 𝜔𝑇 𝜔𝑇 𝜔𝑇 2
2 2 2(sin2 ) 4sin2 sin2 𝑠𝑖𝑛
|𝐻(𝜔)|2 = 𝜔2 𝑇2 (1 − cos 𝜔𝑇) = 2 2
2
= 2
= (𝜔𝑇)2
2
=[ 𝜔𝑇
2
]
𝜔 𝑇 𝜔2 𝑇2
4 2

Power spectral density of the output 𝑌(𝑡) is 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
𝜔𝑇 2
𝑠𝑖𝑛
2
𝑠𝑌𝑌 (𝜔) = [ 𝜔𝑇 ] 𝑠𝑋𝑋 (𝜔)
2

10. Let 𝑿(𝒕)be the input voltage to a circuit system and 𝒀(𝒕) be the output voltage .If
𝑿(𝒕) is stationary Random process with mean zero 𝝁𝒙 = 𝟎. And Auto correlation
function 𝑹𝑿𝑿 (𝝉) = 𝒆−𝜶|𝝉| .Find (1) 𝑬[𝒀(𝒕)] (2) 𝑺𝑿𝑿 (𝝎) (3) The spectral density of
𝑹
𝒀(𝒕) If the power Transfer function 𝑯(𝝎) = 𝑹+𝒊𝑳𝝎 (4) auto correlation of 𝒀(𝒕)

Solution:
We know that input and output are related by

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𝑌(𝑡) = ℎ(𝑡) ∗ 𝑋(𝑡) (Convolution)
∞
𝑌(𝑡) = ∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢 ------ (1)
∞
𝐸[𝑌(𝑡)] = 𝐸[∫−∞ ℎ(𝑢)𝑋(𝑡 − 𝑢)𝑑𝑢]
∞
= ∫−∞ ℎ(𝑢)𝐸[𝑋(𝑡 − 𝑢)]𝑑𝑢
Since 𝑋(𝑡) is a Stationary with zero mean for any time t
𝜇𝑥 = 𝐸[𝑋(𝑡)] = 0
𝐸[𝑋(𝑡 − 𝑢)] = 0
∞
𝐸[𝑌(𝑡)] = ∫−∞ ℎ(𝑢) 0 𝑑𝑢 = 0
𝐸[𝑌(𝑡)] = 0 Mean of 𝑌(𝑡) is zero 𝜇𝑦 = 𝐸[𝑌(𝑡)] = 0
(2) ⟹ Given 𝑅𝑋𝑋 (𝜏) = 𝑒 −𝛼|𝜏| .
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
= ∫−∞ 𝑒 −𝛼|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏 -
∞
= ∫−∞ 𝑒 −𝛼|𝜏| (𝑐𝑜𝑠𝜔𝜏 − 𝑖𝑠𝑖𝑛𝜔𝜏) 𝑑𝜏
∞ ∞
= ∫−∞ 𝑒 −𝛼|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 −𝑖 ∫−∞ 𝑒 −𝛼|𝜏| 𝑠𝑖𝑛𝜔𝜏 𝑑𝜏
Even Odd
∞
= ∫−∞ 𝑒 −𝛼|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 - 0
∞ ∞ 𝑎
= 2 ∫0 𝑒 −𝛼|𝜏| 𝑐𝑜𝑠𝜔𝜏 𝑑𝜏 ∴ ∫0 𝑒 −𝑎𝑥 𝑐𝑜𝑠𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2
𝛼
=2 𝛼2 +𝜔2
2𝛼
𝑆𝑋𝑋 (𝜔) = 𝛼2 +𝜔 2
𝑅 𝑅(𝑅−𝑖𝐿𝜔) 𝑅(𝑅−𝑖𝐿𝜔)
3) ⟹ Given 𝐻(𝜔) = 𝑅+𝑖𝐿𝜔 = (𝑅+𝑖𝐿𝜔)(𝑅−𝑖𝐿𝜔) = 𝑅 2 +𝐿2 𝜔2

𝑅 2 (𝑅 2 +(𝐿𝜔)2 ) 𝑅2
|𝐻(𝜔)|2 = =
(𝑅 2 +𝐿2 𝜔2 )2 (𝑅 2 +𝐿2 𝜔2 )

Power spectral density of the output 𝑌(𝑡) is 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
𝑅2
𝑆𝑌𝑌 (𝜔) = (𝑅2 +𝐿2 𝜔2 ) 𝑠𝑋𝑋 (𝜔)
𝑅2 2𝛼 2𝑅 2 𝛼
𝑆𝑌𝑌 (𝜔) = (𝑅2 +𝐿2 𝜔2 ) = (𝑅2 +𝐿2𝜔2 )(𝛼2 +𝜔2 )
𝛼2 +𝜔 2

4) ⟹ Auto correlation of 𝑌(𝑡)

1 ∞
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 2𝑅 2 𝛼
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ (𝑅2 +𝐿2 𝜔2)(𝛼2 +𝜔2) 𝑒 𝑖𝜔𝜏 𝑑𝜔

2𝑅 2 𝛼 ∞ 𝑒 𝑖𝜔𝜏
𝑅𝑌𝑌 (𝜏) = ∫−∞ (𝑅2 +𝐿2 𝜔2 )(𝛼2 +𝜔2 ) 𝑑𝜔
2𝜋

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Method of partial fraction
1 𝐴 𝐵
(𝑅 2 +𝐿2 𝜔2 )(𝛼2 +𝜔2 )
= (𝑅 2 +𝐿2 𝜔2 )
+
(𝛼2 +𝜔2 )

1 = 𝐴(𝛼 2 + 𝜔2 ) + 𝐵(𝑅 2 + 𝐿2 𝜔2 )
Put 𝜔2 = − 𝛼 2 ⇒ 1 = 𝐵(𝑅 2 − 𝐿2 𝛼 2 )
1
⇒ 𝐵 = (𝑅2 −𝐿2𝛼2 )

𝑅2 𝑅2
Put 𝜔2 = − 𝐿2 ⇒ 1 = 𝐴 (𝛼 2 − 𝐿2 )
1
⇒ 𝐴= 𝑅2
(𝛼2 − 2 )
𝐿

2𝑅 2 𝛼 ∞ 𝑒 𝑖𝜔𝜏 2𝑅 2 𝛼 ∞ 𝑒 𝑖𝜔𝜏
𝑅𝑌𝑌 (𝜏) = 𝑅2
∫−∞ (𝑅2 +𝐿2𝜔2 ) 𝑑𝜔 + 2𝜋(𝑅2 −𝐿2 𝛼2 ) ∫−∞ (𝛼2 +𝜔2) 𝑑𝜔
2𝜋(𝛼2 − 2 )
𝐿

2𝑅 2 𝛼 ∞ 𝑒 𝑖𝜔𝜏 2𝑅 2 𝛼 ∞ 𝑒 𝑖𝜔𝜏
= 𝑅2
∫−∞ 𝑅 2
𝑑𝜔 + 2𝜋(𝑅2 −𝐿2𝛼2 ) ∫−∞ (𝛼2 +𝜔2 ) 𝑑𝜔
2𝜋𝐿2 (𝛼2 − 2 ) (( ) +𝜔2 )
𝐿 𝐿

𝑅
𝑅2 𝛼 1 𝑅2 𝛼 1 ∞ 𝑒 𝑖𝑚𝑧 𝜋
= 𝑅2 𝑅
𝑒 −|𝜏| 𝐿 + (𝑅2 −𝐿2𝛼2 ) 𝛼 𝑒 −|𝜏|𝛼 ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎
𝐿2 (𝛼2 − 2 ) 𝐿
𝐿

𝑅
𝑅𝛼 𝑅2
= 𝑅2
𝑒 −|𝜏| 𝐿 + (𝑅2 −𝐿2 𝛼2 ) 𝑒 −|𝜏|𝛼
𝐿(𝛼2 − 2 )
𝐿

𝑵𝟎
11. Consider the white noise of zero mean and power spectral density applied to a low
𝟐
𝟏
pass RC filter where transfer function 𝑯(𝒇) = 𝟏+𝟐𝝅𝒊𝒇𝑹𝑪 .Find the output spectral

density and auto correlation function of the output.

Solution:
1
Given 𝐻(𝑓) = 1+2𝜋𝑖𝑓𝑅𝐶 𝜔 = 2𝜋𝑓
1
Given 𝐻(𝜔) = 1+𝑖𝜔𝑅𝐶 𝜔 = 2𝜋𝑓 Angular function
𝑁0
Spectral density function of the input of filter is = 𝑆𝑋𝑋 (𝜔)
2

Relation between the input and output spectral density is given by

𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
1 1−𝑖𝜔𝑅𝐶 1−𝑖𝜔𝑅𝐶
𝐻(𝜔) = 1+𝑖𝜔𝑅𝐶 = (1+𝑖𝜔𝑅𝐶)(1− 𝑖𝜔𝑅𝐶) = (1+𝜔2 𝑅 2 𝐶 2 )

𝜔2𝑅2𝐶 2 1
|𝐻(𝜔)| = (1+𝜔2 =1+𝜔2𝑅2 𝐶 2
𝑅2 𝐶 2 )2

Output spectral density is given by 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)

1 𝑁0
𝑆𝑌𝑌 (𝜔) = 1+𝜔2 𝑅2𝐶 2 2
1 ∞
Auto correlation of the output 𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔

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1 ∞ 1 𝑁0
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 1+𝜔2 𝑅2 𝐶 2 𝑒 𝑖𝜔𝜏 𝑑𝜔
2
1 𝑁0 ∞ 1
= 2𝜋 ∫−∞ 1+𝜔2 𝑅2𝐶 2 𝑒 𝑖𝜔𝜏 𝑑𝜔
2

𝑁0 ∞ 𝑒 𝑖𝜔𝜏 𝑁 ∞ 𝑒 𝑖𝜔𝜏
= ∫−∞ 1+𝜔2 𝑅2𝐶 2 𝑑𝜔 = 4𝜋𝑅20𝐶 2 ∫−∞ 1 𝑑𝜔
4𝜋 ( 2 2 +𝜔2 )
𝑅 𝐶

𝑁0 𝜋 1 ∞ 𝑒 𝑖𝑚𝑧 𝜋
= 1 𝑒 −|𝜏| ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎
4𝜋𝑅 2 𝐶 2 𝑅𝐶
𝑅𝐶

𝑁0 |𝜏|
= 𝑒−
4𝑅𝐶 𝑅𝐶

This is the auto correlation function of the output function.

𝑵𝟎
12. A White Gaussian noise 𝑋(𝑡) with zero mean and spectral density is applied to low-
𝟐

pass RC filter shown in the figure

Determine the auto correlation of the output 𝑌(𝑡)

Solution
1
The transfer function of the Rc filter is given by 𝐻(𝜔) = 1+𝑖𝜔𝑅𝐶
𝑁0
Spectral density function of the input of filter is = 𝑆𝑋𝑋 (𝜔)
2

Relation between the input and output spectral density is given by

𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
1 1−𝑖𝜔𝑅𝐶 1−𝑖𝜔𝑅𝐶
𝐻(𝜔) = 1+𝑖𝜔𝑅𝐶 = (1+𝑖𝜔𝑅𝐶)(1− 𝑖𝜔𝑅𝐶) = (1+𝜔2 𝑅 2 𝐶 2 )

𝜔2𝑅2𝐶 2 1
|𝐻(𝜔)| = (1+𝜔2 =
𝑅2 𝐶 2 )2 1+𝜔 2 𝑅 2 𝐶 2

Output spectral density is given by 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)

1 𝑁0
𝑆𝑌𝑌 (𝜔) = 1+𝜔2 𝑅2𝐶 2 2
1 ∞
Auto correlation of the output 𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 1 𝑁0
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 1+𝜔2 𝑅2 𝐶 2 𝑒 𝑖𝜔𝜏 𝑑𝜔
2
1 𝑁0 ∞ 1
= 2𝜋 ∫−∞ 1+𝜔2 𝑅2𝐶 2 𝑒 𝑖𝜔𝜏 𝑑𝜔
2

𝑁0 ∞ 𝑒 𝑖𝜔𝜏 𝑁 ∞ 𝑒 𝑖𝜔𝜏
= ∫−∞ 1+𝜔2 𝑅2𝐶 2 𝑑𝜔 = 4𝜋𝑅20𝐶 2 ∫−∞ 1 𝑑𝜔
4𝜋 ( 2 2 +𝜔2 )
𝑅 𝐶

𝑁0 𝜋 1 ∞ 𝑒 𝑖𝑚𝑧 𝜋
= 𝑒 −|𝜏| ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎
4𝜋𝑅 2 𝐶 2 1 𝑅𝐶
𝑅𝐶

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𝑁0 |𝜏|
= 𝑒−
4𝑅𝐶 𝑅𝐶

This is the auto correlation function of the output function.

−𝑡
1
13. A linear system is described by the impulse response ℎ(𝑡) = 𝑅𝑐 𝑒 𝑅𝑐 𝑢(𝑡) .Assume an
input signal whose autocorrelation function is 𝐵𝛿(𝜏).Find the autocorrelation mean and
power of the output.
Solution:
Let 𝑋(𝑡) be the input and 𝑌(𝑡) be the output, the power spectral density of out put 𝑌(𝑡)
𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑆𝑋𝑋 (𝜔)
0 𝑡<0
We know that unit step function 𝑢(𝑡) = {
1 𝑡≥0
−𝑡
1
Given ℎ(𝑡) = 𝑅𝑐 𝑒 𝑅𝑐 𝑢(𝑡)
0 𝑡<0 1
ℎ(𝑡) = { 1 −𝑡
𝛽 = 𝑅𝐶
𝑒 𝑅𝑐 𝑡≥0
𝑅𝑐
0 𝑡<0
ℎ(𝑡) = { −𝑡
𝛽𝑒 𝛽 𝑡≥0
𝐻(𝜔) is the Fourier transform of the function ℎ(𝑡)
∞
𝐻(𝜔) = ∫−∞ ℎ(𝑡)𝑒 −𝑖𝜔𝑡 𝑑𝑡
−𝑡
∞
𝐻(𝜔) = ∫0 𝑒 −𝛽𝑡 𝑒 −𝑖𝜔𝑡 𝑑𝑡 since ℎ(𝑡) = 𝛽𝑒 𝛽 𝑡≥0
∞
𝐻(𝜔) = 𝛽 ∫0 𝑒 −(𝛽+𝑖𝜔)𝑡 𝑑𝑡
∞
𝑒 −(𝛽+𝑖𝜔)𝑡
= 𝛽 [ −(𝛽+𝑖𝜔) ]
0
𝛽 𝛽
= 0 − −(𝛽+𝑖𝜔) = (𝛽+𝑖𝜔)
𝛽 𝛽(𝛽−𝑖𝜔) 𝛽(𝛽−𝑖𝜔)
𝐻(𝜔) = (𝛽+𝑖𝜔) = (𝛽+𝑖𝜔)(𝛽−𝑖𝜔) = (𝛽2 +𝜔2 )
𝛽 2 (𝛽 2 +𝜔2 ) 𝛽2
|𝐻(𝜔|2 = =
(𝛽 2 +𝜔2 )2 𝛽 2 +𝜔2

Power spectral density of the input 𝑋(𝑡) is

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞ 𝛼
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝐵 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 ∫−𝛼 𝛿(𝜏)𝜙(𝜏)𝑑𝜏 = 𝜙(0)
∞
= 𝐵 ∫−∞ 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 here 𝜙(𝜏) = 𝑒 −𝑖𝜔𝜏 ⇒ 𝜙(0) = 1
= 𝐵(1)
Spectral relation between input and output process 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
𝛽2 𝐵𝛽 2
𝑠𝑌𝑌 (𝜔) = 𝛽2 +𝜔2 (𝐵) = 𝛽2 +𝜔2

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Auto correlation of the output 𝑌(𝑡) is
1 ∞
𝑅𝑌𝑌 (𝜏) = ∫ 𝑆 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
2𝜋 −∞ 𝑌𝑌
1 ∞ 𝐵𝛽 2
= 2𝜋 ∫−∞ 𝛽2 +𝜔2 𝑒 𝑖𝜔𝜏 𝑑𝜔

𝐵𝛽 2 ∞ 𝑒 𝑖𝜔𝜏 ∞ 𝑒 𝑖𝑚𝑧 𝜋
= 2𝜋
∫−∞ 𝛽2 +𝜔2 𝑑𝜔 ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎

𝐵𝛽 2 𝜋
= 𝑒 −|𝜏|𝛽
2𝜋 𝛽
𝐵𝛽
𝑅𝑌𝑌 (𝜏) = 𝑒 −|𝜏|𝛽
2

14. If 𝒀(𝒕) = 𝑨 𝐜𝐨𝐬( 𝝎𝟎 𝒕 + 𝜽) + 𝑵(𝒕) , where 𝑨 is a constant 𝜽 a random variable with a

uniform distribution in (−𝝅, 𝝅) and 𝑵(𝒕) is a band limited Gaussian white noise
𝑵𝟎
𝒇𝒐𝒓|𝝎 − 𝝎𝟎 | < 𝝎𝜷
with a power spectral density𝑺𝑵𝑵 (𝝎) = { 𝟐 . Find the power
𝟎 𝒆𝒍𝒔𝒆 𝒘𝒉𝒆𝒓𝒆
spectral density of 𝒀(𝒕). Assume that 𝑵(𝒕) and 𝜽 are independent.
Solution:
Given 𝑌(𝑡) = 𝐴 cos( 𝜔0 + 𝜃) + 𝑁(𝑡)
𝑁(𝑡) is a band limited Gaussian white noise with a power spectral density
𝑁0
for |𝜔 − 𝜔0 | < 𝜔𝛽
𝑆𝑁𝑁 (𝜔) = { 2 .
0 else where
𝑁0
for − 𝜔𝛽 < (𝜔 − 𝜔0 ) < 𝜔𝛽
𝑆𝑁𝑁 (𝜔) = { 2
0 else where
𝑁0
for 𝜔0 − 𝜔𝛽 < 𝜔 < 𝜔0 + 𝜔𝛽
𝑆𝑁𝑁 (𝜔) = { 2
0 else where
𝑆𝑌𝑌 (𝜔) = Fourier transform of 𝑅𝑌𝑌 (𝜏)
∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ 𝑅𝑌𝑌 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
𝑅𝑌𝑌 (𝜏) = 𝐸[𝑌(𝑡)𝑌(𝑇 + 𝜏)]
𝑌(𝑡) = 𝐴 cos( 𝜔0 𝑡 + 𝜃) + 𝑁(𝑡)
𝑌(𝑡 + 𝜏) = 𝐴 cos( 𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃) + 𝑁(𝑡 + 𝜏)
𝐸[𝑌(𝑡)𝑌(𝑇 + 𝜏)] = 𝐸[𝐴 cos( 𝜔0 𝑡 + 𝜃) + 𝑁(𝑡)] [𝐴 cos( 𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃) + 𝑁(𝑡 + 𝜏)]
= 𝐸[𝐴2 cos( 𝜔0 𝑡 + 𝜃) cos( 𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃) + 𝐴 𝑁(𝑡) cos( 𝜔0 𝑡 +
𝜔0 𝜏 + 𝜃) + 𝐴 cos( 𝜔0 𝑡 + 𝜃)𝑁(𝑡 + 𝜏) + 𝑁(𝑡) 𝑁(𝑡 + 𝜏)]
𝐴2
= 𝐸[ 2 cos( 𝜔0 𝑡 + 𝜃) cos( 𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃)] + 𝐴 𝐸[𝑁(𝑡) cos( 𝜔0 𝑡 +
2

𝜔0 𝜏 + 𝜃)] + 𝐴 E[cos( 𝜔0 𝑡 + 𝜃)𝑁(𝑡 + 𝜏)] + 𝐸[𝑁(𝑡) 𝑁(𝑡 + 𝜏)]

2𝑐𝑜𝑠𝐴𝑐𝑜𝑠𝐵 = cos(𝐴 + 𝐵) + cos(𝐴 − 𝐵)
𝐴2 𝐴2
= 𝐸[cos(2 𝜔0 𝑡 + 2𝜃 + 𝜔0 𝜏)] + 𝐸[cos 𝜔0 𝜏] +
2 2

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𝐴𝐸[𝑁(𝑡) ]AE [cos( 𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃)] + 𝐴 E[cos( 𝜔0 𝑡 + 𝜃)] 𝐴𝐸[𝑁(𝑡 + 𝜏)] +
𝐸[𝑁(𝑡) 𝑁(𝑡 + 𝜏] -------- (A)
Now 𝜃 a Random variable with a uniform distribution in (−𝜋, 𝜋) the probability
distribution of 𝜃 if given by
1
𝑓(𝜃) = 2𝜋 − 𝜋 < 𝜃 < 𝜋
𝜋
E[cos( 𝜔0 𝑡 + 𝜃)] = ∫−𝜋 cos(𝜔0 𝑡 + 𝜃) 𝑓(𝜃) 𝑑𝜃
1 𝜋
= 2𝜋 ∫−𝜋 cos(𝜔0 𝑡 + 𝜃) 𝑑𝜃
1 𝜋
= 2𝜋 [sin(𝜔0 𝑡 + 𝜃) ] −𝜋 =0 − − − − −(1)
𝜋
E[cos( 𝜔0 𝑡 + 𝜔𝜏 + 𝜃)] ∫−𝜋 cos(𝜔0 𝑡 + 𝜔𝜏 + 𝜃) 𝑓(𝜃) 𝑑𝜃
1 𝜋
= 2𝜋 ∫−𝜋 cos(𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃) 𝑑𝜃
1
= 2𝜋 [ sin(𝜔0 𝑡 + 𝜔0 𝜏 + 𝜃) ]𝜋−𝜋 = 0 − − − − −(2)
𝜋
E[cos(2 𝜔0 𝑡 + 𝜔0 𝜏 + 2𝜃)] = ∫−𝜋 cos(2𝜔0 𝑡 + 𝜔0 𝜏 + 2𝜃) 𝑓(𝜃) 𝑑𝜃
1 𝜋
= 2𝜋 ∫−𝜋 cos(2𝜔0 𝑡 + 𝜔0 𝜏 + 2𝜃) 𝑑𝜃
1 sin(2𝜔0 𝑡+𝜔0 𝜏+2𝜃) 𝜋
= 2𝜋 [ ] = 0 − − − − −(3)
2 −𝜋

W K T R YY (τ) = E[Y(t)Y(T + τ)]

Similarly
R NN (τ) = E[N(t)N(T + τ)] − − − − − (4)
Put (1) , (2), (3) and (4) by (A)
𝐴2
𝑅𝑌𝑌 (𝜏) = cos 𝜔0 𝜏 + 𝑅𝑁𝑁 (𝜏)
2
∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ 𝑅𝑌𝑌 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏

∞ 𝐴2
𝑆𝑌𝑌 (𝜔) = ∫−∞ ( 2 cos 𝜔0 𝜏 + 𝑅𝑁𝑁 (𝜏)) 𝑒 −𝑖𝜔𝜏 𝑑𝜏

𝐴2 ∞ ∞
𝑆𝑌𝑌 (𝜔) = 2
∫−∞ cos 𝜔0 𝜏 𝑒 −𝑖𝜔𝜏 𝑑𝜏 +∫−∞ 𝑅𝑁𝑁 (𝜏) 𝑒 −𝑖𝜔𝜏 𝑑𝜏
𝐴2 ∞ 𝑒 𝑖𝜏𝜔𝑜 +𝑒 −𝑖𝜏𝜔𝑜 ∞
𝑆𝑌𝑌 (𝜔) = ∫−∞ 𝑒 −𝑖𝜔𝜏 𝑑𝜏 +∫−∞ 𝑅𝑁𝑁 (𝜏) 𝑒 −𝑖𝜔𝜏 𝑑𝜏
2 2
𝐴2 ∞
= 4
∫−∞ 𝑒 −𝑖𝜔𝜏 𝑒 𝑖𝜏𝜔𝑜 + 𝑒 −𝑖𝜔𝜏 𝑒 −𝑖𝜏𝜔𝑜 𝑑𝜏 + 𝑆𝑁𝑁 (𝜔)
𝐴2 ∞
= 4
∫−∞ 𝑒 −(𝜔−𝜔𝑜 )𝑖𝜏 + 𝑒 −𝑖(𝜔+𝜔𝑜 )𝜏 𝑑𝜏 + 𝑆𝑁𝑁 (𝜔)
𝜋𝐴2 1 ∞ 𝜋𝐴2 1 ∞
= 2
∫ 𝑒 −(𝜔−𝜔𝑜)𝑖𝜏 𝑑𝜏 +
2𝜋 −∞ 2
∫ 𝑒 −𝑖(𝜔+𝜔𝑜 )𝜏 𝑑𝜏 + 𝑆𝑁𝑁 (𝜔)
2𝜋 −∞

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𝜋𝐴2 𝜋𝐴2 𝑁
= 𝛿(𝜔 − 𝜔0 ) + 𝛿(𝜔 + 𝜔0 ) + 20
2 2
𝑁0 1 ∞
𝑠𝑁𝑁 (𝜔) = 2
∫ 𝑒 −𝑖𝜔𝜏 𝑑𝜏 = 𝛿(𝜔)
2𝜋 −∞

15. A wide sense stationary noise process 𝑵(𝒕) has an auto correlation function
𝑹𝑵𝑵 (𝝉) = 𝝆𝒆−𝟑|𝝉| where 𝝆 is constant. Find the power spectrum.
Solution: Given auto correlation of noise process 𝑁(𝑡) is 𝑅𝑁𝑁 (𝜏) = 𝜌𝑒 −3|𝜏|
∞
𝑆𝑁𝑁 (𝜔) = ∫−∞ 𝑅𝑁𝑁 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
𝑆𝑁𝑁 (𝜔) = ∫−∞ 𝜌𝑒 −3|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
= ∫−∞ 𝜌𝑒 −3|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
= ∫−∞ 𝜌𝑒 −3|𝜏| (cos 𝜔𝜏 − sin 𝜔𝜏)𝑑𝜏
∞ ∞
= ∫−∞ 𝜌𝑒 −3|𝜏| cos 𝜔𝜏 𝑑𝜏 − ∫−∞ 𝜌𝑒 −3|𝜏| sin 𝜔𝜏 𝑑𝜏
∞ ∞ 𝑎
= 2𝜌 ∫0 𝑒 −3|𝜏| cos 𝜔𝜏 𝑑𝜏 − 0 ∴ ∫0 𝑒 −𝑎𝑥 𝑐𝑜𝑠𝑏𝑥 𝑑𝑥 =
𝑎2 +𝑏2

3
= 2𝜌 32 +𝜔2
6𝜌
𝑆𝑋𝑋 (𝜔) = 32 +𝜔2

16. Find the power spectral density of the random telegraph signal.
Solution:
The Auto correlation function of the random telegraph signal 𝑅𝑋𝑋 (𝜏) = 𝑒 −2𝜆|𝜏|
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑒 −2𝜆|𝜏| 𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞
= ∫−∞ 𝑒 −2𝜆|𝜏| (cos 𝜔𝜏 − sin 𝜔𝜏)𝑑𝜏
∞ ∞
= ∫−∞ 𝑒 −2𝜆|𝜏| cos 𝜔𝜏 𝑑𝜏 − ∫−∞ 𝑒 −2𝜆|𝜏| sin 𝜔𝜏 𝑑𝜏
∞ ∞ 𝑎
= 2 ∫0 𝑒 −2𝜆𝜏 cos 𝜔𝜏 𝑑𝜏 − 0 ∴ ∫0 𝑒 −𝑎𝑥 𝑐𝑜𝑠𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2
4𝜆
= 4𝜆2 +𝜔2

17. Assume a random process 𝑿(𝒕) is given as input to a system with transfer function
𝑯(𝝎) = 𝟏 for −𝝎𝟎 < 𝒙 < 𝝎𝟎 . If the auto correlation function of the input process
𝑵𝟎
is 𝜹(𝝉).Find the auto correlation function of the output process
𝟐

Solution:
𝑵𝟎
Given 𝑅𝑋𝑋 = 𝜹(𝝉)
𝟐

𝐻(𝜔) = 1 for −𝝎𝟎 < 𝒙 < 𝝎𝟎

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞ 𝑅𝑋𝑋 (𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏

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∞ 𝑁0
= ∫−∞ 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏
2
𝑁0 ∞ 𝛼
= 2
∫−∞ 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 ∫−𝛼 𝛿(𝜏)𝜙(𝜏)𝑑𝜏 = 𝜙(0)
𝑁0
𝑆𝑋𝑋 (𝜔) = (1) here 𝜙(𝜏) = 𝑒 −𝑖𝜔𝜏 ⇒ 𝜙(0) = 1
2

Power spectral density of 𝑌(𝑡) 𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)

𝑁0
𝑠𝑌𝑌 (𝜔) = 2
1 ∞
Output of auto correlation function 𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 𝑁0
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑒 𝑖𝜔𝜏 𝑑𝜔
2
𝑁 𝜔
= 4𝜋0 ∫−𝜔0 𝑒 𝑖𝜔𝜏 𝑑𝜔
0

𝑁0 𝜔0
= ∫ cos 𝜔𝜏 + sin 𝜔𝜏 𝑑𝜔
4𝜋 −𝜔0
𝑁 𝜔 𝑁 𝜔
= 4𝜋0 ∫−𝜔0 cos 𝜔𝜏 𝑑𝜔 +4𝜋0 ∫−𝜔0 sin 𝜔𝜏 𝑑𝜔
0 0

2𝑁0 𝜔0
= ∫ cos 𝜔𝜏 𝑑𝜔 +0
4𝜋 0
𝑁 sin 𝜔𝜏 𝜔0
= 2𝜋0 [ ]
𝜏 0
𝑁0 sin 𝜔0 𝜏
𝑅𝑌𝑌 (𝜏) = 2𝜋𝜏

18. Suppose 𝑋(𝑡) be the input process to a linear system with auto correlation 𝑅𝑋𝑋 (𝜏) =
1
3 𝛿(𝜏) , and the impulse response (𝜔) = 6+𝑖𝜔 , then find the (1) auto correlation of the

output process 𝑌(𝑡) (2).Power spectral density 𝑌(𝑡) .

Solution:
Given auto correlation𝑅𝑋𝑋 (𝜏) = 3 𝛿(𝜏)
1 6−𝑖𝜔 6−𝑖𝜔
𝐻(𝜔) = 6+𝑖𝜔 = (6+𝑖𝜔)(6−𝑖𝜔) = 62 +𝜔2
1
|𝐻(𝜔)|2 = 2 2
6 +𝜔
∞ 𝛼
𝑆𝑋𝑋 (𝜔) = ∫−∞ 3 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 ∫−𝛼 𝛿(𝜏)𝜙(𝜏)𝑑𝜏 = 𝜙(0)
∞
= 3 ∫−∞ 𝛿(𝜏)𝑒 −𝑖𝜔𝜏 𝑑𝜏 here 𝜙(𝜏) = 𝑒 −𝑖𝜔𝜏 ⇒ 𝜙(0) = 1
= 3(1)
Spectral relation between input and output process 𝑆𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
1 3
𝑠𝑌𝑌 (𝜔) = 62 +𝜔2 (3) = 62 +𝜔2

Auto correlation of the output of 𝑌(𝑡) is

1 ∞
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 3
= 2𝜋 ∫−∞ 62 +𝜔2 𝑒 𝑖𝜔𝜏 𝑑𝜔

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3 ∞ 𝑒 𝑖𝜔𝜏 ∞ 𝑒 𝑖𝑚𝑧 𝜋
= 2𝜋 ∫−∞ 62 +𝜔2 𝑑𝜔 ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎
3 𝜋
= 2𝜋 6 𝑒 −|𝜏|6
1
𝑅𝑌𝑌 (𝜏) = 4 𝑒 −|𝜏|6
1
19. Consider a system with transfer function . An input signal with auto correlation
1+𝑖𝜔

function 𝑚δ(τ) + m2 is fed as input to the system. Find the mean and mean square value
of the output.
Solution:
Given auto correlation 𝑅𝑋𝑋 (𝜏) = 𝑚δ(τ) + m2
1 1−𝑖𝜔 1−𝑖𝜔
𝐻(𝜔) = 1+𝑖𝜔 = (1+𝑖𝜔)(6−𝑖𝜔) = 1+𝜔2
1
|𝐻(𝜔)|2 =
1+𝜔 2

Spectral density of the output

∞
𝑆𝑋𝑋 (𝜔) = ∫−∞(𝑚δ(τ) + m2 )𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞ ∞
= 𝑚 ∫−∞ δ(τ)𝑒 −𝑖𝜔𝜏 𝑑𝜏 + 𝑚2 ∫−∞ 𝑒 −𝑖𝜔𝜏 𝑑𝜏
∞ 1 ∞
= 𝑚 ∫−∞ δ(τ)𝑒 −𝑖𝜔𝜏 𝑑𝜏 + 2𝜋 𝑚2 ∫ 𝑒 −𝑖𝜔𝜏 𝑑𝜏
2 𝜋 −∞
𝛼
∫−𝛼 𝛿(𝜏)𝜙(𝜏)𝑑𝜏 = 𝜙(0)

𝑆𝑋𝑋 (𝜔) = 𝑚(1) + 2𝜋𝑚2 𝛿(𝜔) here 𝜙(𝜏) = 𝑒 −𝑖𝜔𝜏 ⇒ 𝜙(0) = 1

1 ∞
∫ 𝑒 −𝑖𝜔𝜏
2 𝜋 −∞
𝑑𝜏 = δ(ω)

Spectral relation between input and output process 𝑠𝑌𝑌 (𝜔) = |𝐻(𝜔)|2 𝑠𝑋𝑋 (𝜔)
1
𝑠𝑌𝑌 (𝜔) = 1+𝜔2 (𝑚 + 2𝜋𝑚2 𝛿(𝜔))

𝑅𝑌𝑌 (𝜏) is the Fourier inverse transform of 𝑆𝑌𝑌 (𝜔)

1 ∞
𝑅𝑌𝑌 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑌𝑌 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 1
= 2𝜋 ∫−∞ 1+𝜔2 (𝑚 + 2𝜋𝑚2 𝛿(𝜔)) 𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 𝑚𝑒 𝑖𝜔𝜏 1 ∞
= 2𝜋 ∫−∞ 1+𝜔2 𝑑𝜔 +2𝜋 ∫−∞ 2𝜋𝑚2 𝛿(𝜔)) 𝑒 𝑖𝜔𝜏 𝑑𝜔
𝑚 ∞ 𝑒 𝑖𝜔𝜏 ∞
= 2𝜋 ∫−∞ 1+𝜔2 𝑑𝜔 +𝑚2 ∫−∞ 𝛿(𝜔)) 𝑒 𝑖𝜔𝜏 𝑑𝜔

𝑚 𝜋 ∞ 𝑒 𝑖𝑚𝑧 𝜋
𝑅𝑌𝑌 (𝜏) = 2𝜋 1 𝑒 −|𝜏| + 𝑚2 (1) ∫−∞ 𝑧 2 +𝑎2 𝑑𝑧 = 𝑎 𝑒 −|𝑚|𝑎

∞
∫−∞ 𝛿(𝜔)) 𝑒 𝑖𝜔𝜏 𝑑𝜔 = 1
𝑚
𝑅𝑌𝑌 (𝜏) = 𝑒 −|𝜏| + 𝑚2
2

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PANIMALAR INSTITUTE OF TECHNOLOGY DEPARTMENT OF MATHEMATICS
UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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20. Find the auto correlation function of the Gaussian white noise.
𝑁0
Solution: The power spectral density of the Gaussian white noise is 𝑆𝑋𝑋 (𝜔) = where
2

𝑁0 is the positive real valued constant.

1 ∞
𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞ 𝑁0
= 2𝜋 ∫−∞ 𝑒 𝑖𝜔𝜏 𝑑𝜔
2
𝑁0 1 ∞
= ∫ 𝑒 𝑖𝜔𝜏
2 2 𝜋 −∞
𝑑𝜔
𝑁0 1 ∞
= 2
𝛿(𝜏) ∫ 𝑒 𝑖𝜔𝜏
2 𝜋 −∞
𝑑𝜔 = 𝛿(𝜏)

The system is time invariant. Hence the system is linear time invariant system
21. If 𝑿(𝒕) is a band limited process such that 𝑺𝑿𝑿 (𝝎) = 𝟎 when |𝝎| > 𝜎 prove that
𝟐[𝑹𝑿𝑿 (𝟎) − 𝑹𝑿𝑿 (𝝉)] ≤ 𝝈𝟐 𝝉𝟐 𝑹𝑿𝑿 (𝟎)
Solution: by definition of auto correlation
1 ∞
𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔)𝑒 𝑖𝜔𝜏 𝑑𝜔
1 ∞
𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔)(cos 𝜔𝜏 + 𝑖 sin 𝜔𝜏) 𝑑𝜔
1 ∞ 1 ∞
𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) cos 𝜔𝜏 𝑑𝜔 + 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) sin 𝜔𝜏 𝑑𝜔
1 ∞ 1 ∞
𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) cos 𝜔𝜏 𝑑𝜔 + 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) sin 𝜔𝜏 𝑑𝜔
1 ∞
= 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) cos 𝜔𝜏 𝑑𝜔 + 0 (odd function)
1 ∞
𝑅𝑋𝑋 (0) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) 𝑑𝜔 − − − (∗) cos 0 = 1
1 ∞
𝑅𝑋𝑋 (0) − 𝑅𝑋𝑋 (𝜏) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔)[1 − cos 𝜔𝜏] 𝑑𝜔 Since 𝑆𝑋𝑋 (𝜔) = 0 & |𝜔| > 𝜎
1 ∞ 𝜔𝜏
= 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) (2 sin2 ) 𝑑𝜔 − − − − − (1)
2
𝑠𝑖𝑛𝜃
since | |≤1 |𝑠𝑖𝑛𝜃| ≤ 𝜃
𝜃
∴ sin 𝜃 ≤ 𝜃 2
2

𝜔𝜏 𝜔2𝜏2 𝜔𝜏 𝜔2𝜏2
∴ sin2 ≤ ⇒ 2 sin2 ≤ − − − − − (2)
2 4 2 2
Substituting (2) in (1) we get
1 ∞ 𝜔2𝜏2
𝑅𝑋𝑋 (0) − 𝑅𝑋𝑋 (𝜏) ≤ 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) 𝑑𝜔
2
𝜔 2 𝜏2 1 ∞
≤ ∫ 𝑆 (𝜔) 𝑑𝜔
2 2𝜋 −∞ 𝑋𝑋
2
𝜔 𝜏 2 1 ∞
𝑅𝑋𝑋 (0) − 𝑅𝑋𝑋 (𝜏) ≤ 𝑅𝑋𝑋 (0) by 𝑅𝑋𝑋 (0) = 2𝜋 ∫−∞ 𝑆𝑋𝑋 (𝜔) 𝑑𝜔 − (∗)
2
2[𝑅𝑋𝑋 (0) − 𝑅𝑋𝑋 (𝜏)] ≤ 𝜎 2 𝜏 2 𝑅𝑋𝑋 (0)
22. If the input 𝑥(𝑡) and output 𝑦(𝑡) are connected by the differential equation
𝑑𝑦(𝑡)
𝑇 + 𝑦(𝑡) = 𝑥(𝑡). Prove that they can be related by means of convolution type
𝑑𝑥

integral Assume that 𝑥(𝑡) and 𝑦(𝑡) are zero for 𝑡 ≤ 0.

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PANIMALAR INSTITUTE OF TECHNOLOGY DEPARTMENT OF MATHEMATICS
UNIT 5- PROBABILITY ABD RANDOM PROCESSES – MA 6451
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1. Bernoulli’s Rule ∫ 𝑢 𝑑𝑣 = 𝑢𝑣 − 𝑢1 𝑣 / + 𝑢2 𝑣 // − 𝑢3 𝑣 // + ⋯.
𝑒 𝑎𝑥
2. ∫ 𝑒 𝑎𝑥 cos 𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2 [𝑎 𝑐𝑜𝑠𝑏𝑥 + 𝑏𝑠𝑖𝑛𝑏𝑥]
𝑒 𝑎𝑥
3. ∫ 𝑒 𝑎𝑥 sin 𝑏𝑥 𝑑𝑥 = 𝑎2 +𝑏2 [𝑎 𝑠𝑖𝑛𝑏𝑥 − 𝑏𝑐𝑜𝑠𝑏𝑥]

4. 2 sin 𝐴 cos 𝐵 = sin(𝐴 + 𝐵) + sin(𝐴 − 𝐵)

5. 2 cos 𝐴 sin 𝐵 = sin(𝐴 + 𝐵) − sin(𝐴 − 𝐵)
6. 2 cos 𝐴 𝑐𝑜𝑠 B = cos(𝐴 − 𝐵) + cos(𝐴 + 𝐵)
7. 2 𝑠𝑖𝑛𝐴 𝑠𝑖𝑛 B = cos(𝐴 − 𝐵) − cos(𝐴 + 𝐵)
e x  e x ei   e  i 
8. sinh x  sin  
2 2i

e x  e x ei   e  i 
9. cosh x  cos  
2 2

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