TAMS32/TEN1 STOKASTISKA PROCESSER

TENTAMEN TORSDAG 26 AUGUSTI 2021 KL 14.00-18.00.

Examinator och jourhavande lärare: Torkel Erhardsson, tel. 28 14 78.
Permitted exam aids: Formel–och tabellsamling i TAMS32 Stokastiska processer (handed
out during the exam). Mathematics Handbook for Science and Engineering (formerly
BETA), by L. Råde och B. Westergren. Calculator with empty memories.
The exam consists of 6 problems worth 3 points each. Grading limits : 8 points for grade 3,
11.5 points for grade 4, 15 points for grade 5. The results will be communicated by email.

Problem 1
A wide sense stationary stochastic process {X(t); t ∈ R} with mean µX = 0
and autocorrelation function
1
RX (τ ) = ∀τ ∈ R
1 + 4π 2 τ 2
is the input signal to a stable LTI with frequency response
(
1, if |f | ≤ 2;
H(f ) =
0, otherwise.

Let {Y (t); t ∈ R} denote the output signal. Compute the power spectral
density of {Y (t); t ∈ R}, and the “average power” E(Y 2 (t)).

Problem 2
Let {Yt ; t ∈ Z} be the wide sense stationary MA(4) process defined by
1 3 3
Yt = 2Xt − Xt−1 + Xt−2 − Xt−3 + Xt−4 ∀t ∈ Z,
2 2 2
where {Xt ; t ∈ Z} is an i.i.d. process such that Xt ∼ N(0, 1) ∀t ∈ Z.
(a) Compute the covariance matrix of the random variable (Yt , Yt−1 )T .
(b) Compute P (−3 ≤ Yt − Yt−1 ≤ 3).
 Problem 3
Let the random variables X and Y be independent and Exponential(λ) dis-
tributed, where λ > 0. Let U = X − Y .
(a) Show that U is Laplace(λ,0) distributed.
(b) Compute E(U 4 ). You may use the result in part (a), even if you have not
shown it.

Problem 4
Let A and B be two urns. At time t = 0, urn A contais three red balls, and
urn B contains two green balls. At each time t = 1, 2, . . ., a ball is drawn at
random from the urn that contains three balls, and moved to the other urn.
Let X0 = 2, and let Xt be the number of green balls in the urn that contains
two balls immediately after the draw at time t, for each t = 1, 2, . . .. Then,
{Xt ; t = 0, 1, . . .} is a Markov chain (you don’t have to show this).
(a) Write down the transition matrix of {Xt ; t = 0, 1, . . .}. No proof is needed.
(b) Determine if the chain has a stationary and/or asymptotic distribution.
The answer must be supported by an argument. Also, compute these distri-
butions if they exist.
(c) Let Y0 = 0, and let, for each t = 1, 2, . . .,
(
1, if the ball that is drawn at time t is green;
Yt =
0, otherwise.

Is {Yt ; t = 0, 1, . . .} is a Markov chain? The answer must be supported by

an argument. Hint: Compute the conditional probabilities P (Y4 = 1|Y3 =
0, Y2 = 0, Y1 = 0) and P (Y4 = 1|Y3 = 0, Y2 = 1, Y1 = 0).

Problem 5
Let {N (t); t ≥ 0} be a Poisson process with intensity λ > 0. Compute
the LMMSE of N (ct) based on N (t), for t > 0 and 0 < c < 1, and the
corresponding mean square error.

Problem 6
Let {Xi ; i = 1, 2, . . .} be a random sequence, such that each random variable
in the sequence has mean µ ∈ R and variance σ 2 < ∞, and such that
C(Xi , Xj ) ≤ 0 for each i 6= j. Prove that Yn = n1 ni=1 Xi converges in mean
P
square as n → ∞, and find the mean square limit.