MA 2213: Problem Sheet 1: Stochastic Processes

∗ Problems to be submitted as assignment.

1. A discrete-time random process Xn is defined as follows. A fair coin is tossed. If the

outcome is heads, Xn = (−1)n for all n; if the outcome is tails, Xn = (−1)n+1 for all
n.
(a) Find the pmf for Xn .
(b) Find the joint pmf for Xn and Xn+k .
(c) Find the mean and autocovariance functions of Xn .
2. Let Yn = Xn + g(n) where Xn is a zero-mean discrete-time random process and g(n)
is a deterministic function of n.
(a) Find the mean and variance of Yn .
(b) Find the joint cdf of Yn and Yn+1 .
(c) Find the autocovariance function of Yn .
3. Let Yn = c(n)Xn where Xn is a zero-mean discrete-time random process and c(n) is a
deterministic function of n.
(a) Find the mean and variance of Yn .
(b) Find the joint cdf of Yn and Yn+1 .
(c) Find the autocovariance function of Yn .
*4. Let Xn consist of an iid sequence of Poisson random variables with mean α.
(a) Find the pmf of the sum process Sn .
(b) Find the joint pmf of Sn and Sn+k .
5. Let {Mn } be the discrete-time process defined as the sequence of sample means of an
iid sequence {Xn }.
(a) Find the mean, variance, and covariance of Mn .
(b) Does Mn have independent increments? stationary increments?
6. Let X(t) = A cos(ωt) + B sin(ωt), where A and B are iid Gaussian random variables
with zero mean and variance σ 2 .
(a) Find the mean and autocovariance of X(t).
(b) Find the joint pdf of X(t) and X(t + s).
*7. Let X(t) be a zero-mean Gaussian random process with autocovariance function given
by CX (t1 , t2 ) = 4e−2|t1 −t2 | . Find the joint pdf of X(t) and X(t + s).
8. Let Y (t) = X(t + d) − X(t), where X(t) is a Gaussian random process.
(a) Find the mean and autocovariance of Y (t).
(b) Find the pdf of Y (t).
(c) Find the joint pdf of Y (t) and Y (t + s).
(d) Show that Y (t) is a Gaussian random process.

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 *9. Let X(t) be a zero-mean Gaussian random process with autocovariance function given
by CX (t1 , t2 ). If X(t) is the input to a “square law detector”, then the output is
Y (t) = X 2 (t). Find the mean and autocovariance of the output Y (t).

10. Let Y (t) = X(t) + µt, where X(t) is the Wiener process.
(a) Find the pdf of Y (t).
(b) Find the joint pdf of Y (t) and Y (t + s).

11. Let Y (t) = X 2 (t), where X(t) is the Wiener process.

(a) Find the pdf of Y (t).
(b) Find the conditional pdf of Y (t2 ) given Y (t1 ).

*12. Let Z(t) = X(t) − aX(t − s), where X(t) is the Wiener process.
(a) Find the pdf of Z(t).
(b) Find mZ (t) and CZ (t1 , t2 ).

13. Let X(t) be defined by X(t) = A cos(ωt) + B sin(ωt), where A and B are iid random
variables.
(a) Under what conditions is X(t) wide-sense stationary?
(b) Show that X(t) is not stationary.

14. Let Y (t) = X(t + s) − βX(t), where X(t) is a wide-sense stationary random process.
(a) Determine whether Y (t) is also a wide-sense stationary random process.
(b) Find the cross-covariance function of Y (t) and X(t). Are the processes jointly
wide-sense stationary?

15. Let X(t) and Y (t) be independent, WSS random processes with zero means and the
same covariance function CX (τ ). Let Z(t) be defined by Z(t) = 3X(t) − 5Y (t).
(a) Determine whether Z(t) is also WSS.
(b) Determine the pdf of Z(t) if X(t) and Y (t) are also jointly Gaussian zero-mean
random processes with CX (τ ) = 4e−|τ | .
(c) Find the joint pdf of Z(t1 ) and Z(t2 ) in part (b).
(d) Find the cross-covariance between Z(t) and X(t). Are Z(t) and X(t) jointly sta-
tionary random processes?
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*16. Let X(t) have autocorrelation function RX (τ ) = σ 2 e−ατ .
(a) Is X(t) mean square continuous?
(b) Does X(t) have a mean square derivative? If so, find its mean and autocorrelation
functions.
(c) Does X(t) have a mean square integral? If so, find its mean and autocorrelation
functions.
(d) Is X(t) a Gaussian random process?

17. Let Y (t) be the mean square integral of X(t) in the interval (0, t). Show that Y 0 (t) is
equal to X(t) in the mean square sense.

18. A linear system with input Z(t) is described by

X 0 (t) + αX(t) = Z(t), t ≥ 0, X(0) = 0.

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 Find the output X(t) if the input is a zero-mean Gaussian random process with auto-
correlation function given by RX (τ ) = σ 2 e−β|τ | .

19. Let X(t) = A cos(2πωt), where A is a random variable with mean m and variance σ 2 .
(a) Evaluate hX(t)iT , find its limit as T → ∞, and compare to mX (t).
(b) Evaluate hX(t + τ )X(t)iT , find its limit as T → ∞, and compare to RX (t + τ, t).

20. Consider the sum of two complex exponentials with random coefficients:

X(t) = X1 eiω1 t + X2 eiω2 t , where ω1 6= ω2 .

(a) Find the covariance function of X(t).

(b) Find conditions on the complex-valued random variables X1 , and X2 for X(t) to
be a WSS random process.
(c) Show that if we let ω1 = −ω2 , X1 = (U − iV )/2 and X2 = (U + iV )/2, where U
and V are real-valued random variables, then X(t) is a real-valued random process.
Find an expression for X(t) and for the autocorrelation function.
(d) Restate the conditions on X1 and X2 from part (b) in terms of U and V .

21. Let X(t) be a WSS Gaussian random process with RX (τ ) = e−|τ | .

(a) Find the Fourier series expansion for X(t) in the interval [0, T ].
(b) What is the distribution of the coefficients in the Fourier series?

22. Let X(t) be a zero-mean random process with autocovariance RX (τ ) = σ 2 e−α|τ | .

(a) Write the eigenvalue integral equation for the Karhunen-Loeve expansion of X(t)
on the interval [−T, T ].
(b) Differentiate the above integral equation to obtain the differential equation

d2 α2 2


φ(t) = λ − 2σ /α φ(t).
dt2 λ
(c) Show that the solutions to the above differential equation are of the form φ(t) =
A cos bt and φ(t) = B sin bt. Find an expression for b.
(d) Substitute φ(t) from part (c) into the integral equation of part (a) to show that if
φ(t) = A cos bt, then b is the root of tan bT = a/b, and if φ(t) = B sin bt, then b is the
root of tan bT = −b/a.
(e) Find the values of A and B that normalize the eigenfunctions.