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PRP V Unit (1 - 5)
PRP V Unit (1 - 5)
in
Department of Mathematics
2-marks Semester IV
Unit I Probability and Random Variable
3.E(aX+b)=aE(X)+b
Proof:
n
E(X)= xi pi
i 1
n n n n n
E(aX+b)= (ax
i 1
i b) pi = (axi ) pi b pi a xi pi b pi
i 1 i 1 i 1 i 1
n
E(aX+b) =a E(X)+b { p i 1 }
i 1
4.E(X+Y)=E(X)+E(Y)
5. E(XY)=E(X).E(Y), if X and Y are random variables.
6. E(X- X )=E(X)- X = X - X =0
c = 3/8
2
3 8
E ( X ) xf ( x )dx x(4 x 2 x 2 )dx
0
8 3
8. A continuous RV X that can assume any value between x = 2 and x = 5 has a density
function given by f ( x) k (1 x). Fnd P(X<4).
Solution:
We know that f ( x)dx 1
5
k (1 x)dx 1
2
k = 2/27
4
2 16
P ( X 4) (1 x)dx
2
27 27
9. A RV X has the density function
1
k , x
f ( x) 1 x 2 . Find k .
0 , otherwise
Solution:
We know that f ( x)dx 1
1
k 1 x 2
dx 1
k (tan 1 x) 1
k 1
2 2
1
k
1
, 2 X 2
10. If the p.d.f of a RV .X is given by f ( x) 4 .Find P X 1 .
0, elsewhere
Answer:
1 1 1 1 1
P X 1 1 P X 1 1 dx 1 [1 1] 1
1 4 4 2 2
x
11. If the pdf of a RV X is f ( x) in 0 x 2 ,find P[ X 1.5 / X 1]
2
Answer:
x
2
dx
p[ X 1.5] 1 .52 4 2.25
P[ X 1.5 / X 1] = 0.5833
P[ X 1] 2 x 4 1
1 2 dx
12. Determine the Binomial distribution whose mean is 9 and whose SD is 3/2
npq 1
Ans : np = 9 and npq = 9/4 q =
np 4
3 4
p = 1- q = . np = 9 n = 9 =12.
4 3
r 12 r
3 1
P [x = r] = 12Cr , r = 0,1,2,…,12.
4 4
13. Find the M.G.F n
of a Binomial distribution
n
M x (t ) e tx n C x p x q n x n C r ( pe t ) x q n x (q pe t ) n
i 0 x0
14. The mean and variance of the Binomial distribution are 4 and 3 respectively.
Find P(X=0).
Ans :
mean = np = 4, Variance = npq = 3
3 3 1
q= , p 1 , np = 4 n = 16
4 4 4
0 16 16
0 n 0 = 0 16 0 1 3 3
P (X=0) = n C0 p q 16C 0 p q = =
4 4 4
15. For a Binomial distribution mean is 6 and standard deviation is 2 . Find the first two
terms of the distribution.
Ans : Given np = 6, npq = 2 2 2
2 1 2 2
q= , p = 1 q , np = 6 n 6 n 9
6 3 3 3
0 9 0 9
2 1 = 1
P (X= 0) = n C 0 p 0 q n 0 = 9C 0
3 3 3
8 8
2 1 1
P (X=1) = n C1 p1 q n1 9 6
3 3 3
4
16. The mean and variance of a binomial variate are 4 and respectively,
3
find P X 1.
4 1 2
Ans : np = 4, npq = q ,p
3 3 3
6
1
P X 1= 1- P[X<1] = 1 – P[X = 0] =1- 0.9986
3
1 t
17. For a R.V X, M x (t ) (e 2) 4 . Find P( X 2) .
81
4
1 et 2
Sol: Given M x (t ) (e t 2) 4 ------------------- (1)
81 3 3
For Binomial Distribution, M x (t ) ( q pe t ) n . ------------------------- (2)
Comparing (1)&(2),
2 1
n 4, q , p .
3 3
0 4 1 3 2
1 2 1 2 1 2
P( X 2) P( X 0) P( X 1) P( X 2) 4C 0 4C1 4C 2
3 3 3 3 3 3
1 72
= (16 32 24) 0.8889.
81 81
18. If a R.V X takes the values -1,0,1 with equal probability find the M.G.F of X.
Sol: P[X= -1]=1/3 , P[X=0]=1/3, P[X=1]=1/3
1 1 1 1
M x(t ) e tx P ( X x) e t e t (1 e t e t ) .
x 3 3 3 3
19. A die is thrown 3 times. If getting a 6 is considered as success find the
probability of atleast 2 success.
1 5
Sol: p , q n 3.
6 6
P(at least 2 success)=P(X 2) = P(X=2)+P(X=3)
2 3
1 5 1 2
= 3C 2 3C 3 .
6 6 6 27
20. Find p for a Binimial variate X if n=6,and 9P(X=4)=P(X=2).
Sol: 9 P ( X 4) P ( X 2) 9 6 C 4 p 4 q 2 6 C 2 p 2 q 4
9 p 2 q 2 (1 p) 2 8 p 2 2 p 1 0
1 1
p p
4 2
21. Comment on the following
“The mean of a BD is 3 and variance is 4”
For B.D, Variance< mean
The given statement is wrongs
24. It is known that 5% of the books bound at a certain bindery have defective bindings.
find the probability that 2 of 100 books bound by this bindery will have defective
bindings.
Ans : Let X denote the number of defective bindings.
5
p= n = 100 np 5
100
e 2 e 5 (25)
P [X =2] = = = 0.084
2! 2
3 1
26. If X is a Poisson variate such that P( X 1) and P( X 2) .
10 5
Find P ( X 0) and P ( X 3) .
3 e 3
Sol: P ( X 1) ………..(1)
10 1 10
1 e 2 1
P ( X 2) …………….(2)
5 2 5
4 0
4
e 3
( 2) 10 4 3 0.2636
P ( X 0)
(1) 2 15 3 0!
4 3
4
3
e
P ( X 3) 3
3!
28. A Certain Blood Group type can be find only in 0.05% of the people. If the
population of a randomly selected group is 3000.What is the Probability that
atleast a people in the group have this rare blood group.
Sol: p=0.05% =0.0005 n=3000 np 1.5
P( X 2) 1 P( X 2) 1 P( X 0) P( X 1)
1.5
1 e 1.5 1 0.4422 .
1
t
31. A discrete RV X has M.G.F Mx(t) = e 2( e 1) . Find E (X), var (X) and P(X=0)
t
Ans :MX(t) = e 2 ( e 1) X follows Poisson Distribution = 2
Mean = E (X) = 2 Var (X) = 2
e 0 e 2 2 0
P [X = 0] = e 2
0! 0!
32. If the probability that a target is destroyed on any one shot is 0.5, what is the
probability that it would be destroyed on 6th attempt?
Ans : Given p = 0.5 q = 0.5
By Geometric distribution
P [X =x] = qx p, x = 0,1,2………
since the target is destroyed on 6th attempt x = 5
Required probability = qx p = (0.5)6 = 0.0157
36. If a boy is throwing stones at a target, what is the probability that his 10 th throw is his
5th hit, if the probability of hitting the target at any trial is ½?
Solution:
Since 10th throw should result in the 5 th successes ,the first 9 throws ought to have resulted in
4 successes and 5 faliures.
1
n = 5,r = 5, p q
2
Required probability = P(X=5)= (5+5-1)C5 (1/2)5 (1/2)5
=9C4 (1/210) = 0.123
42. If X is Uniformly distributed in , .Find the p.d.f of Y=tan X.
2 2
1 dx 1
Sol: f X ( x) ; X tan 1 Y .
dy 1 y 2
dx 1
f Y ( y ) f X( x ) fY ( y) , y
dy (1 y 2 )
x
43. If X is uniformly distributed in (-1,1).Find the p.d.f of y sin .
2
Sol:
1
,1 x 1
f X (x) 2 ,
0, otherwise
2 sin 1 y dx 2 1
x for 1 y 1
dy 1 y 2
12 1 2 1
f Y ( y) f Y ( y) for 1 y 1
2 1 y 2 1 y2
45. The time (in hours) required to repair a machine is exponentially distributed
1
with parameter what is the probability that the repair time exceeds 3
3
hours?
Ans : X – represents the time to repair the machine
1
f ( x) e x / 3 0
3
1
P (X > 3) = e x / 3 dx e 1 0.3679
3
3
48. If X has a exponential distribution with parameter ,find the p.d.f of Y=log X.
dx
Sol: Y=log X e y x ey
dy
dx y
f Y ( y ) f X( x ) . f Y ( y ) e y e e .
dy
49. If X has Exponential Distribution with parameter 1,find the p.d.f of Y X.
Sol: Y X X Y 2 f X ( x ) e x , x 0.
dx 2
f Y ( y) f X ( x) 2 ye x 2 ye y , y 0.
dy
x
57.. If X is a RV with p.d.f f ( x) in 1 < x < 5 and =0, otherwise.Find the p.d.f
12
of Y=2X-3.
dx 1
Sol: Y=2X-3
dy 2
dx y 3
f Y ( y ) f X( x ) ,. in -1<y<7.
dy 4
58.. If X is a Normal R.V with mean zero and variance 2 Find the p.d.f of Y e X .
dx 1
Sol: Y e X log Y X
dy y
dx 1
f Y ( y ) f X( x ) f X (log y )
dy y
1
exp log y 2 / 2 2
y 2
x ,0 x 1
59. If X has the p.d.f f (x) = find the p.d.f of Y 8X 3 .
0 , otherwise
1 2
1 dx 1 3
Sol: Y 8X 3 X Y 3 y
2 dy 6
dx 1 23 1 13
f Y ( y) f X ( x) x Y Y , Y 0
dy 6 12
60. The p.d.f of a R.V X is f ( x ) 2 x,0 x 1. Find the p.d.f of Y 3 X 1.
Y 1
Sol: Y 3X 1 X
3
dx 1 y 1 1 2( y 1)
f Y ( y) f X ( x) 2 x 2 .,1 y 4.
dy 3 3 3 9
E XX x X
n
f ( x)dx n , n 1
3..Define Variance
2
The second moment about the mean is called variance and is represented as x
2
x E X 2 E ( X )2 2 1
2
The positive square root x of the variance is called the standard deviation.
ax , 0 x 1
a , 1 x 2
6. If the density function of a continuous RV X is given by f ( x )
3a ax, 2 x 3
0, Otherwise
Find i)a ii)CDF of X.
7. A continuous RV X that can assume any value between x=2 and x=5 has a density
function given by f ( x) k (1 x). Fnd P(X<4).
The set of triples (xi,yj, pij) i=1,2,3……. And j=1,2,3……is called the Joint probability
distribution of (X,Y)
3.Joint probability density function
If (X,Y) is a two-dimensional continuous RV such that
dx dx dy dy
P x X x andy Y y f ( x, y )dxdy
2 2 2 2
Then f(x,y) is called the joint pdf of (X,Y) provided the following conditions satisfied.
1. f ( x, y) 0 for all ( x, y ) (, )
2. f ( x, y )dxdy 1 and f ( x, y ) 0 for all ( x, y ) ( , )
5. The following table gives the joint probability distribution of X and Y. Find the
mariginal density functions of X and Y.
Y /X 1 2 3
1 0.1 0.1 0.2
2 0.2 0.3 0.1
Answer:
The marginal density of X The marginal density of Y
P( X xi ) pi pij P(Y y j ) p j pij
j i
X 1 2 3 Y 1 2
P(X) 0.3 0.4 0.3 P(Y) 0.4 0.6
2
y2 )
6.If f ( x, y ) kxye ( x , x 0, y 0 is the joint pdf, find k .
Answer:
2
y2 )
f ( x, y )dydx 1 kxye ( x dydx 1
0 0
2 2 k
k xe x dx ye y dx 1 1
0 0 4
k 4
cx(1 x), 0 x y 1
7. Let the joint pdf of X and Y is given by f ( x, y)
0 , otherwise
Marginal distribution of X:
X 0 1 2
P(X) 18/72 24/72 30/72
9. If X and Y are independent RVs with variances 8and 5.find the variance of 3X+4Y.
Answer:
Given Var(X)=8 and Var(Y)=5
To find:var(3X-4Y)
We know that Var(aX - bY)=a2Var(X)+b2Var(Y)
var(3X- 4Y)=32Var(X)+42Var(Y) =(9)(8)+(16)(5)=152
10. Find the value of k if f ( x, y) k (1 x)(1 y) for 0 x, y 1 is to be joint density
function.
Answer:
We know that f ( x, y ) dydx 1
1 1 1 1
k (1 x)(1 y )dxdy 1 k (1 x)dx (1 y )dy 1
0 0 0 0
1 1
x2 y2 k
k x y 1 1 k 4
2 0 2 0 4
11. If X and Y are random variables having the joint p.d.f
1
f ( x, y) (6 x y ), 0 x 2, 2 y 4 , find P(X<1,Y<3)
8
Answer:
1 1 3 1 1 7 3
P X 1, Y 3 (6 x y )dydx x dx
8 0 2 8 20
8
12.Marginal probability distribution(Discrete case )
Let (X,Y) be a two dimensional discrete RV and pij=P(X=xi,Y=yj) then
P( X xi ) pi pij
j
f XY ( x, y )
The Conditional density function of Y given X=x is defined by f (Y X ) ,
f X ( x)
where f(x)=marginal p.d.f of X.
0 ,otherwise.
x x y x
18.The conditional p.d.f of X and Y=y is given by f e ,0 x , 0 y ,
y 1 y
find PX 1 / Y 2.
Answer:
x 2 x
When y =2, f x / y 2 e
3
1 1 1
x 2 x 1 2 4
P X 1 / Y 2 e dx xe x dx e x dx 1 e 1
0
3 30 30 3
.
. .
X+Y 2 3 4
Probability 0.1 0.5 0.4
cov 2 ( X , Y ) E ( XY ) E ( X ) E (Y ) 2 E ( XY ) E ( X ) E (Y )
2 2 2
E ( X ) 2 E (Y ) 2 E ( X ) E (Y ) 2 E ( XY ) E ( X ) E (Y )
2 2
E ( X ) 2 E (Y ) 2 E ( X ) E (Y ) E ( X 2 ) E (Y ) 2 E (Y 2 ) E ( X ) 2
2 2
E ( X 2 ) E ( X ) E (Y 2 ) E (Y ) var( X ) var(Y )
2 2
32.If X and Y are independent random variable find covariance between X+Y and X-Y.
Answer:
cov X Y , X Y E ( X Y )( X Y ) E ( X Y ) E ( X Y )
E[ X 2 ] E[Y 2 ] E ( X ) E (Y )
2 2
var( X ) var(Y )
33. X and Y are independent random variables with variances 2 and 3.Find the
variance 3X+4Y.
Answer:
Given var(X) = 2, var(Y) = 3
We know that var(aX+Y) = a2var(X) + var(Y)
And var(aX+bY) = a2var(X) + b2var(Y)
var(3X+4Y) = 32var(X) + 42var(Y) = 9(2) + 16(3) = 66
37. A R.V X is uniformly distributed over(-1,1) and Y=X2. Check if X and Y are
correlated?
Answer:
1 1
Given X is uniformly distributed in (-1,1),pdf of X is f ( x) , 1 x 1
ba 2
1
1
E ( X ) xdx 0 and E ( XY ) E ( X 3 ) 0
2 1
cov( X , Y ) E ( XY ) E ( X ) E (Y ) 0 r( X ,Y ) 0
Hence X and Y are uncorrelated.
38. X and Y are discrete random variables. If var( X ) var(Y ) 2 ,
2
cov( X , Y ) , find var(2 X 3Y )
2
Answer:
var(2 X 3Y ) 4 var( X ) 9 var(Y ) 12 cov( X , Y )
2
13 2 12 7 2
2
2
39. If var( X ) var(Y ) 2 , cov( X , Y ) , find the correlation between 2 X 3
2
and 2Y 3
Answer:
ac
r (aX b, cY d ) r ( X , Y ) where a 0, c 0
ac
4 cov( X , Y ) 2 / 2 1
r (2 X 3,2Y 3) r( X ,Y ) r( X ,Y )
4 XY . 2
40. Two independent random variables X and Y have 36 and 16.Find the correlation
co-efficient between X+Y and X-Y
Answer:
X 2 Y 2 36 16 20 4
r( X Y , X Y )
X 2 Y 2 36 16 52 13
41. If the lines of regression of Y on X and X on Y are respectively a1 X b1Y c1 0 and
a 2 X b2Y c 2 0 ,prove that a1b2 a 2 b1 .
Answer:
a b
b yx 1 and bxy 2
b1 a2
a b
Since r 2 b yx b yx 1 1 . 2 1
b1 a 2
a1b2 a 2 b1
42. State the equations of the two regression lines. what is the angle between them?
Answer:
Regression lines:
y x
y y r ( x x ) and x x r ( y y )
x y
1 r 2 x y
Angle tan 1
r x2 y2
43. The regression lines between two random variables X and Y is given by
3 X Y 10 and 3 X 4Y 12 .Find the correlation between X and Y.
Answer:
3
3 X 4Y 12 b yx
4
1
3 X Y 10 bxy
3
3 1 1 1
r 2 r
4 3 4 2
44. Distinguish between correlation and regression.
Answer:
By correlation we mean the casual relationship between two or more variables.
By regression we mean the average relationship between two or more variables.
46. The lifetime of a certain kind of electric bulb may be considered as a RV with mean
1200 hours and S.D 250 hours. Find the probability that the average life time of
exceeds 1250 hours using central limit theorem.
Solution:
Let X denote the life time of the 60 bulbs.
Then µ = E(X)= 1200 hrs. and Var(X)=(S.D)2= σ2=(250)2hrs.
Let X denote the average life time of 60 bulbs.
2
By Central Limit Theorem, X follows N , .
n
X
Let Z be the standard normal variable
/ n
P[ X 1250] P[ Z 1.55]
0.5 P[0 Z 1.55]
0.5 0.4394 0.0606
PART-B
4. If X and Y are RVs having the joint pdf f(x,y)=(1/8)(6-x-y), 0<x<2, 2<y<4.Find
P( X<1∩Y<3), P(X+Y< 3) and P(X<1,Y<3).
5. Two dimensional R.V (X,Y) have the joint pdf f ( x, y ) 8 xy ,0 x 1 and 0, elsewhere
1 1
(i) find P X Y
2 4
(ii) Find the Marginal and Conditional distributions.
(iii) Are X and Y are independent ?
6. Compute the coefficient of correlation between X and Y, using the following data:
X 65 67 66 71 67 70 68 69
Y 67 68 68 70 64 67 72 70
7. Two random variables X and Y have the joint probability density function
k ( 4 x y )
f ( x, y) 0 x 2, 0 y 2 . Find k and Cov(X,Y)and
0
Correlation coefficient between X and Y.
x2
8. If X and Y are RVs having the joint pdf f ( x, y) xy 2 0 x 2, 0 y 1 .Find
8
1 1
P X 1 / Y P Y / X 1 and
2 2
10. A distribution with unknown mean µ has the variance equal to 1.5. Use central limit
theorem, to find how large a sample should be taken from the distribution in order that the
probability will be atleast 0.95 that the sample mean will be within 0.5 of the population
mean.
Unit III
Classification of Random Process
x
FY cos t if cos t 0
FX ( x )
1 F x if cos t 0
Y
cos t
1 x
f X ( t ) ( x) fY = a function of t
cos t cos t
If {X(t)} is to be a SSS process, its first order density must be independent of t.
Therefore, {X(t)}is not a SSS process.
13.Consider a random variable Z (t ) X 1 cos 0 t X 2 sin 0 t where X 1 and X 2 are
independent Gaussian random variables with zero mean and variance 2 find E(Z) and
E( Z 2 )
Sol: Given E ( X 1 ) 0 E ( X 2 ) & Var ( X 1 ) 2 Var ( X 2 )
2 2
E( X 1 ) 2 E( X 2 )
E ( Z ) E ( X 1 cos 0 t X 2 sin 0 t ) 0
E ( Z 2 ) E ( X 1 cos 0 t X 2 sin 0 t ) 2
2 2
E ( X 1 ) cos 2 0 t E ( X 2 ) sin 2 0 t E ( X 1 X 2 ) cos 0 t sin 0 t
= 2 (cos 2 t sin 2 t ) E ( X 1 ) E ( X 2 ) cos 0 t sin 0 t X1 &X2are
independent
2 0 2.
14. Consider the random process X (t ) cos( 0 t ) where is uniformly distributed
in ( , ) .Check whether X(t) is stationary or not?
Answer:
1 1 1
E[ X (t )] cos( 0 t )d [sin( 0 t ) sin( 0 t )] [ sin( 0 t ) sin( 0 t )] 0
2 2 2
2 1 2 sin( 0 t ) 1
E[ X (t )]
4 2 2
15.When is a random process said to be ergodic? Give an example
Answer: A R.P {X(t)} is ergodic if its ensembled averages equal to appropriate time
averages. Example: X (t ) A cos(t ) where is uniformly distributed in (0,2 ) is
mean ergodic.
0 1
19.The one step tpm of a Markov chain with states 0 and 1 is given as P .Draw
1 0
the Transition diagram. Is it Irreducible Markov chain?
Sol: Yes it is irreducible since each state can be reached from any other state.
0 1 0
20.Prove that the matrix P = 0 0 1 is the tpm of an irreducible Markov chain.
1 2 1 2 0
0 0 1 1 2 12 0
Sol: P 1 2 1 2 0 P 0
2 3
1 2 1 2
0 1 2 1 2 1 4 1 4 1 2
( 3) (2) ( 2) ( 2) (2) (1)
Here P11 0.P13 0, P21 0, P22 0, P33 0 and for all other Pij 0
Therefore the chain is irreducible.
21. State the postulates of a Poisson process.
Let X (t ) = number of times an event A say, occurred up to time ‘t’ so that
the sequence X (t ) , t 0 forms a Poisson process with parameter .
(i) P[1 occurrence in (t , t t ) ]= t
(ii) P[0 occurrence in (t , t t ) ]=1- t
(iii) P[2 or more occurrence in (t , t t ) ]=0
(iv) X(t) is independent of the number of occurrences of the event in any interval
prior and after the interval (0,t).
(v) The probability that the event occurs a specified number of times in (t0,t0+t)
depends only on t, but not on t0.
24.A bank receives on an average 6 bad checks per day, what are the probabilities
that it will receive (i) 4 bad checks on any given day (ii) 10 bad checks over any 2
consecutive days.
e t .(t ) n e 6t (6t ) n
Sol: P( X (t ) n) , n 0,1,2....
n! n!
e 6 (6) 4
(i) P( X (1) 4) 0.1338
4!
e 12 (12)10
(ii) P( X (2) 10) 0.1048
10!
25.Suppose the customers arrive at a bank according to a Poisson process with a mean
rate of 3 per minute. Find the probability that during a time interval of 2 minutes
exactly 4 customers arrive
e 3t (3t ) n
Sol: (i) P( X (t ) n) , n 0,1,2.....
n!
e 6 (6) 4
(ii) P( X (2) 4) 0.1338 .
4!
26.Consider a Markov chain with two states and transition probability matrix
3 4 1 4
P .Find the stationary probabilities of the chain.
1 2 1 2
3 4 1 4
Sol: ( 1 , 2 ) ( 1 , 2 ) 1 2 1
1 2 1 2
3
1 2 1 1 2 0. 1 2 2
4 4 4 2
2 1
1 , 2 .
3 3
27.Customers arrive a large store randomly at an average rate of 240 per hour. What is
the probability that during a two-minute interval no one will arrive.
e 4t .(4t ) n 240
Sol: P( X (t ) n) , n 0,1,2.... since 4
n! 60
P ( X ( 2) 0) e 8 0.0003.
28.The no of arrivals at the reginal computer centre at express service counter between
12 noon and 3 p.m has a Poison distribution with a mean of 1.2 per minute. Find the
probability of no arrivals during a given 1-minute interval.
e 1.2t .(1.2t ) n
Sol: P( X (t ) n) , n 0,1,2....
n!
P ( X (1) 0) e 1.2 0.3012.
(iii)If the input X (t ) of a linear system is a Gaussian process, the output will also be
a Gaussian process.
X (10) 10
P[ X (10) 8] P 0.5 P[ Z 0.5] 0.5 P[ Z 0.5] 0.5 0.1915 0.3085
4
40. If {X(t)} is a Gaussian process with (t ) 10 and C (t1 , t 2 ) 16e t1 t 2 ,Find the mean
and variance of X(10)-X(6).
Answer:
X(10)-X(6) is also a normal R.V with mean (10) (6) 0 and
Var[ X (10) X (6)] var{X (10)} var{X (6)} 2 cov{X (10), X (6)}
C (10,10) C (6,6) 2C (10,6) 16 16 2 16e 4 31.4139
Unit IV Classification and Spectral Densities
1. Define the ACF.
Answer:
Let X(t1) and X(t2) be two random variables. The autocorrelation of the random
process{X(t)} is
R XX (t1 , t 2 ) E[ X (t1 ) X (t 2 )] .
S YY ( ) 2 S XX ( ) R XX ( 2a )e i d R XX ( 2a )e i d
Let 2a u and 2a v
d du d dv
u , v ,
u , v ,
i ( u 2 a )
SYY ( ) 2 S XX ( ) R XX (u )e du R XX (v)e i ( v 2 a ) dv
SYY ( ) 2S XX ( ) e i 2 a S XX ( ) e i 2 a S XX ( )
e i 2a e i 2 a
S YY ( ) 2 S XX ( ) 2 S XX ( )
2
S YY ( ) 2 S XX ( ) 2 cos(2a ) S XX ( ) 4 sin 2 aS XX ( ) .
14. The ACF of the random telegraph signal process is given by
2
R ( ) a 2 e .Determine the power density spectrum of the random telegraph
signal.
Answer:
Given R ( ) a 2 e 2
Power spectral density is
i
S ( ) R( )e d
4a 2
i
S ( ) R( )e d
2 2
.
4
15. Prove that the PSDF of a real WSS is twice the Fourier cosine transform of
its ACF.
Answer:
i
S ( ) R( )e d R( ){cos sin }d 2 R( ) cos d
0
it
it
i ( t u )
y( ) y(t )e dt x (u ) h ( t u )du e dt x (u ) h (t u )e dt e iu du
iu
x(u ) H ( )e
du X ( ).H ( )
15. Find the ACF of the random process {X(t)}, if its power spectral density is given
by
1 2 , for 1
S ( )
0 , for 1
Solution:
1
1
1
1
1
1 e i 1 1
e
i
R( ) S ( ) e d {1 2 }e i d i 2 i
e d 2
cos d
2
2 1 2 1
2 i 1 1
1
Average power
2 S ( ) d R(0)