Telecommunication License S5 / Electronic License S5

Module: Signal processing

Responsible of the module: Mr Azeddine MEHAOUCHI

Signal processing: Series of exercises N°02

Random processes

Exercise N°01: Mean, Correlation Function, Variance, and Stationarity

Consider x(t ) a random process defined by
x(t )  
Where  is a uniformly distributed random variable in   / 8,  / 8 .
1. Calculate the mean value and the autocorrelation function of x(t ) . Deduce its variance.
2. x(t ) is wide-sense stationary.

Exercise N°02: Mean, Correlation Function, Variance, Mean Square, and Stationarity (EMD 19/20)
Part I
Consider x(t ) a random process defined by
x(t )  
Where  is a random variable with the distribution:
 k 2,  2    2
f ( )   avec k  R
0, otherwise
1. Find the value of k and calculate the mean and the autocorrelation functions of x(t ) .
2. Deduce its variance and conclude about its stationarity.
Part II
Consider z (t ) the random process defined by
z (t )  x(t ) cos( w0 t   )
Find the mean square value of the process z (t ) , and determine if is stationary.
1. If   0 .
2. If  is an independent random variable with a uniform distribution in   ,   .

Exercise N°03: Ergodicity in the mean and in the autocorrelation

Consider x(t ) a random process defined by
x(t )  A cos( w0 t   )
Where A and w0 are constants, and  is a random variable uniformly distributed over the
interval 0, 2  .
1. Find the statistical and temporal mean value. Is the process ergodic in the mean?
2. Find the statistical and temporal mean square value. Is the process ergodic in the
autocorrelation?
3. Calculate the power spectral density of x(t ) , and plot its graph.
4. Deduce the power of the process x(t ) .

Signal Processing Page 1 of 3 University Academic Year: 2023/2024

 Telecommunication License S5 / Electronic License S5
Module: Signal processing
Responsible of the module: Mr Azeddine MEHAOUCHI

Exercise N°04: Sum of random processes

Let x(t ) and y (t ) be two random processes assumed to be individually and jointly
stationary. Consider their sum z (t )  x (t )  y (t ) .
1. Find the autocovariance function of the process z (t ) .
2. Find the autocovariance function of z (t ) when x(t ) and y (t ) are uncorrelated.
3. Find the autocovariance function of z (t ) when x(t ) and y (t ) are uncorrelated and
centered.
4. Find the power spectral density of the process for the previous cases.

Exercise N°05: Random linear time-invariant system

A voltage feeds a RL series circuit for t  0 . If the spectral density of the input voltage is
G xx ( f )   / 2 , and y (t ) is the voltage across the resistor R .
Determine the power spectral density G yy ( f ) , autocorrelation function R yy ( ) , and

mean square value E y 2 (t ) . 
Additional Exercises
Exercise N°06: Mean value, mean square value, autocorrelation function and stationarity.
Consider x(t ) a random process defined by
t
x(t )   F ( )d
0

Where F (t ) is a white noise with zero mean and unit variance.

1. Calculate the mean and the mean square values of the process x(t ) .
2. Determine the autocorrelation function of x(t ) . Is x(t ) a stationary process?

Exercise N°07: Mean square value and stationarity.

Consider z (t ) a random process defined by
z (t )  m(t ). cos( w0 t   )
Where m(t ) is a random process with zero mean and variance M 0 . Find the mean square
value of the process z (t ) , and determine if is stationary.
1. If   0 .
2. If  is an independent random variable with uniform distribution in   ,   .

Exercise N°08: Mean, Correlation Function, Variance, Mean Square Value, and Stationarity (RATT 19/20)
Part I
Let A be a random variable with probability density:
k A2 , 1  A  1
f A ( A)   kR
 0, otherw i s e
Find the value of k , mean and mean square values of A . Deduce its variance.

Signal Processing Page 2 of 3 University Academic Year: 2023/2024

 Telecommunication License S5 / Electronic License S5
Module: Signal processing
Responsible of the module: Mr Azeddine MEHAOUCHI

Part II
Consider x(t ) a random process defined by
x(t )  A cos( w0 t   )
Where w0 is a constant, A is a random variable with the same probability density as in Part I,
and  is an independent random variable with a uniform distribution in   ,   .
1. Calculate the mean and the autocorrelation function of x(t ) . Deduce its mean square
value. Is-it wide-sense stationary?
2. Find the mean and the mean square values of x(t ) . Is it ergodic in the mean? Ergodic in
the autocorrelation?

Exercise N°09: Stationarity and ergodicity (RATT 19/20)

Let x and y two random variables with the same zero mean and variance  2 .
1. Find the cross-correlation of the random processes:
v(t )  x cos( w0 t )  y sin( w0 t )
w(t )  y cos( w0 t )  x sin( w0 t )
2. Find the mean and the autocorrelation function of the process v(t ) , is it wide sense
stationary.
3. Find the statistical and temporal mean square values. Is it ergodic.

Exercise N°10: Random linear time-invariant system

The input voltage of a circuit RC , applied for t  0 , is a random process x(t ) with
2 
autocorrelation function R xx ( )  4  e . If y (t ) is the voltage across the capacitor C .
Determine:
1. The mean and the mean square values of x(t ) , and deduce its variance.
2. The mean value, power spectral density, autocorrelation function, and mean square
value of y (t ) .

Exercise N°11: Autocorrelation function and spectral density

Consider the random process defined by
y (t )  x(t )  a x (t  T )
Where a and T are constants, and x(t ) is a wide-sense stationary random process.
1. Express the autocorrelation function of y (t ) in terms of the autocorrelation function of
the process x(t ) .
2. Express the power spectral density of y (t ) in terms of the power spectral density of the
process x(t ) .

Signal Processing Page 3 of 3 University Academic Year: 2023/2024