EE 325: Probability and Random Processes

Stochastic Processes Problems

Instructions

ˆ The problems are for practice, and need not be submitted.

Questions

1. Let y = T [x()] be a linear system. Find an expression for the third-order moment
Ryyy (t1 , t2 , t3 ) in terms of the third order moment Rxxx of x(t).

2. Suppose x(t) is a stochastic process and y(t) is defined by a2 y (2) (t) + a1 y (1) (t) + a0 y(t) =
x(t) where y (i) (t) is the i’th derivative in time and the ai are given constants. Assume
the initial conditions are 0. Find differential equations characterizing the mean ηy (t) and
the crosscorrelation Rxy (t1 , t2 ) of y(t). Assume the mean ηx (t) and the autocorrelation
Rxx of x(t) are known. What if x(t) is a Gaussian process?

3. Find the average power of the output of a system driven by white noise.

4. Consider y(t) = x0 (t) where x(t) is a stochastic process. Then find the mean and auto-
00 (τ ).
correlation of y(t). Further assume x(t) is WSS, and show that Rx0 x0 (τ ) = −Rxx

5. Suppose x(t) is a normal stationary process with zero mean and autocorrelation Rx (τ ).
If y(t) = x2 (t) then show that Ry (τ ) = Rx2 (0) + 2Rx2 (τ ).

6. Given a random variable ω with density f (ω) and a random variable φ uniform in (−π, π)
and independent of ω, we form the process x(t) = a cos(ωt + φ). Show that x(t) is WSS
with zero mean and find its autocorrelation R(τ )

7. Consider x(t) = a cos ωt + b sin ωt where ω is fixed and a, b are random variables. Show
that x(t) is WSS iff E{a} = E{b} = 0 and E{ab} = 0 and E{a2 } = E{b2 }. Calculate
√
R(τ ) in this case. Show that x(t) is SSS iff the joint density f (a, b) = f ( a2 + b2 ).

8. Suppose x(t) is normal with η(t) = 3 and C(t1 , t2 ) = 4 exp−0.2|t1 −t2 | . (a) Find the
probability that x(5) ≤ 2. (b) Find the probability that |x(8) − x(5)| ≤ 1.