Probability and Stochastic Processes

A Friendly Introduction for Electrical and Computer Engineers
SECOND EDITION
MATLAB Function Reference
Roy D. Yates and David J. Goodman
May 22, 2004
This document is a supplemental reference for MATLAB functions described in the text Prob-
ability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers.
This document should be accompanied by matcode.zip, an archive of the corresponding MAT-
LAB .m files. Here are some points to keep in mind in using these functions.
• The actual programs can be found in the archive matcode.zip or in a directory matcode.
To use the functions, you will need to use the MATLAB command addpath to add this
directory to the path that MATLAB searches for executable .m files.
• The matcode archive has both general purpose programs for solving probability problems
as well as specific .m files associated with examples or quizzes in the text. This manual
describes only the general purpose .m files in matcode.zip. Other programs in the archive
are described in main text or in the Quiz Solution Manual.
• The MATLAB functions described here are intended as a supplement the text. The code is
not fully commented. Many comments and explanations relating to the code appear in the
text, the Quiz Solution Manual (available on the web) or in the Problem Solution Manual
(available on the web for instructors).
• The code is instructional. The focus is on MATLAB programming techniques to solve prob-
ability problems and to simulate experiments. The code is definitely not bulletproof; for
example, input range checking is generally neglected.
• This is a work in progress. At the moment (May, 2004), the homework solution manual has
a number of unsolved homework problems. As these solutions require the development of
additional MATLAB functions, these functions will be added to this reference manual.
• There is a nonzero probability (in fact, a probability close to unity) that errors will be found. If
you find errors or have suggestions or comments, please send email to ryates@winlab.rutgers.edu.
When errors are found, revisions both to this document and the collection of MATLAB func-
tions will be posted.
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Functions for Random Variables
bernoullipmf y=bernoullipmf(p,x)
function pv=bernoullipmf(p,x)
%For Bernoulli (p) rv X
%input = vector x
%output = vector pv
%such that pv(i)=Prob(X=x(i))
pv=(1-p)*(x==0) + p*(x==1);
pv=pv(:);
Input: p is the success probability of a Bernoulli
random variable X, x is a vector of possible
sample values
Output: y is a vector with y(i) = P
X
(x(i)).
bernoullicdf y=bernoullicdf(p,x)
function cdf=bernoullicdf(p,x)
%Usage: cdf=bernoullicdf(p,x)
% For Bernoulli (p) rv X,
%given input vector x, output is
%vector pv such that pv(i)=Prob[X<=x(i)]
x=floor(x(:));
allx=0:1;
allcdf=cumsum(bernoullipmf(p,allx));
okx=(x>=0); %x_i < 1 are bad values
x=(okx.*x); %set bad x_i=0
cdf= okx.*allcdf(x); %zeroes out bad x_i
Input: p is the success probability of
a Bernoulli random variable X,
x is a vector of possible sample
values
Output: y is a vector with y(i) =
F
X
(x(i)).
bernoullirv x=bernoullirv(p,m)
function x=bernoullirv(p,m)
%return m samples of bernoulli (p) rv
r=rand(m,1);
x=(r>=(1-p));
Input: p is the success probability of a
Bernoulli random variable X, m is
a positive integer vector of possible
sample values
Output: x is a vector of m independent
sample values of X
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bignomialpmf y=bignomialpmf(n,p,x)
function pmf=bignomialpmf(n,p,x)
%binomial(n,p) rv X,
%input = vector x
%output= vector pmf: pmf(i)=Prob[X=x(i)]
k=(0:n-1)’;
a=log((p/(1-p))*((n-k)./(k+1)));
L0=n*log(1-p);
L=[L0; L0+cumsum(a)];
pb=exp(L);
% pb=[P[X=0] ... P[X=n]]ˆt
x=x(:);
okx =(x>=0).*(x<=n).*(x==floor(x));
x=okx.*x;
pmf=okx.*pb(x+1);
Input: n and p are the parameters of
a binomial (n, p) random vari-
able X, x is a vector of possible
sample values
Output: y is a vector with y(i) =
P
X
(x(i)).
Comment: This function should al-
ways produce the same output
as binomialpmf(n,p,x);
however, the function calcu-
lates the logarithmof the proba-
bility and thismay lead to small
numerical innaccuracy.
binomialcdf y=binomialcdf(n,p,x)
function cdf=binomialcdf(n,p,x)
%Usage: cdf=binomialcdf(n,p,x)
%For binomial(n,p) rv X,
%and input vector x, output is
%vector cdf: cdf(i)=P[X<=x(i)]
x=floor(x(:)); %for noninteger x(i)
allx=0:max(x);
%calculate cdf from 0 to max(x)
allcdf=cumsum(binomialpmf(n,p,allx));
okx=(x>=0); %x(i) < 0 are zero-prob values
x=(okx.*x); %set zero-prob x(i)=0
cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)
Input: n and p are the pa-
rameters of a bino-
mial (n, p) random
variable X, x is a vec-
tor of possible sample
values
Output: y is a vector with
y(i) = F
X
(x(i)).
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binomialpmf y=binomialpmf(n,p,x)
function pmf=binomialpmf(n,p,x)
%binomial(n,p) rv X,
%input = vector x
%output= vector pmf: pmf(i)=Prob[X=x(i)]
if p<0.5
pp=p;
else
pp=1-p;
end
i=0:n-1;
ip= ((n-i)./(i+1))*(pp/(1-pp));
pb=((1-pp)ˆn)*cumprod([1 ip]);
if pp < p
pb=fliplr(pb);
end
pb=pb(:); % pb=[P[X=0] ... P[X=n]]ˆt
x=x(:);
okx =(x>=0).*(x<=n).*(x==floor(x));
x=okx.*x;
pmf=okx.*pb(x+1);
Input: n and p are the parameters of
a binomial (n, p) random vari-
able X, x is a vector of possible
sample values
Output: y is a vector with y(i) =
P
X
(x(i)).
binomialrv x=binomialrv(n,p,m)
function x=binomialrv(n,p,m)
% m binomial(n,p) samples
r=rand(m,1);
cdf=binomialcdf(n,p,0:n);
x=count(cdf,r);
Input: n and p are the parameters of a binomial ran-
dom variable X, m is a positive integer
Output: x is a vector of m independent samples of
random variable X
bivariategausspdf
function f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)
%Usage: f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)
%Evaluate the bivariate Gaussian (muX,muY,sigmaX,sigmaY,rho) PDF
nx=(x-muX)/sigmaX;
ny=(y-muY)/sigmaY;
f=exp(-((nx.ˆ2) +(ny.ˆ2) - (2*rho*nx.*ny))/(2*(1-rhoˆ2)));
f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2));
Input: Scalar parameters muX,muY,sigmaX,sigmaY,rho of the bivariate Gaussian PDF, scalars
x and y.
Output: f the value of the bivariate Gaussian PDF at x,y.
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duniformcdf y=duniformcdf(k,l,x)
function cdf=duniformcdf(k,l,x)
%Usage: cdf=duniformcdf(k,l,x)
% For discrete uniform (k,l) rv X
% and input vector x, output is
% vector cdf: cdf(i)=Prob[X<=x(i)]
x=floor(x(:)); %for noninteger x_i
allx=k:max(x);
%allcdf = cdf values from 0 to max(x)
allcdf=cumsum(duniformpmf(k,l,allx));
%x_i < k are zero prob values
okx=(x>=k);
%set zero prob x(i)=k
x=((1-okx)*k)+(okx.*x);
%x(i)=0 for zero prob x(i)
cdf= okx.*allcdf(x-k+1);
Input: k and l are the parameters of
a discrete uniform (k, l) random
variable X, x is a vector of pos-
sible sample values
Output: y is a vector with y(i) =
F
X
(x(i)).
duniformpmf y=duniformpmf(k,l,x)
function pmf=duniformpmf(k,l,x)
%discrete uniform(k,l) rv X,
%input = vector x
%output= vector pmf: pmf(i)=Prob[X=x(i)]
pmf= (x>=k).*(x<=l).*(x==floor(x));
pmf=pmf(:)/(l-k+1);
Input: k and l are the parameters
of a discrete uniform (k, l) ran-
dom variable X, x is a vector of
possible sample values
Output: y is a vector with y(i) =
P
X
(x(i)).
duniformrv x=duniformrv(k,l,m)
function x=duniformrv(k,l,m)
%returns m samples of a discrete
%uniform (k,l) random variable
r=rand(m,1);
cdf=duniformcdf(k,l,k:l);
x=k+count(cdf,r);
Input: k and l are the parameters of a discrete
uniform (k, l) random variable X, m is a
positive integer
Output: x is a vector of m independent samples
of random variable X
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erlangb pb=erlangb(rho,c)
function pb=erlangb(rho,c);
%Usage: pb=erlangb(rho,c)
%returns the Erlang-B blocking
%probability for sn M/M/c/c
%queue with load rho
pn=exp(-rho)*poissonpmf(rho,0:c);
pb=pn(c+1)/sum(pn);
Input: Offered load rho (ρ = λ/µ), and
the number of servers c of an M/M/c/c
queue.
Output: pb, the blocking probability of the
queue
erlangcdf y=erlangcdf(n,lambda,x)
function F=erlangcdf(n,lambda,x)
F=1.0-poissoncdf(lambda*x,n-1);
Input: n and lambda are the parameters of an
Erlang random variable X, vector x
Output: Vector y such that y
i
= F
X
(x
i
).
erlangpdf y=erlangpdf(n,lambda,x)
function f=erlangpdf(n,lambda,x)
f=((lambdaˆn)/factorial(n))...
*(x.ˆ(n-1)).*exp(-lambda*x);
Input: n and lambda are the parameters of an
Erlang random variable X, vector x
Output: Vector y such that y
i
= f
X
(x
i
) =
λ
n
x
n−1
i
e
−λx
i
/(n − 1)!.
erlangrv x=erlangrv(n,lambda,m)
function x=erlangrv(n,lambda,m)
y=exponentialrv(lambda,m*n);
x=sum(reshape(y,m,n),2);
Input: n and lambda are the parameters of an
Erlang random variable X, integer m
Output: Length m vector x such that each x
i
is a
sample of X
exponentialcdf y=exponentialcdf(lambda,x)
function F=exponentialcdf(lambda,x)
F=1.0-exp(-lambda*x);
Input: lambda is the parameter of an ex-
ponential random variable X, vector x
Output: Vector y such that y
i
= F
X
(x
i
) =
1 − e
−λx
i
.
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exponentialpdf y=exponentialpdf(lambda,x)
function f=exponentialpdf(lambda,x)
f=lambda*exp(-lambda*x);
f=f.*(x>=0);
Input: lambda is the parameter of an ex-
ponential random variable X, vector x
Output: Vector y such that y
i
= f
X
(x
i
) =
λe
−λx
i
.
exponentialrv x=exponentialrv(lambda,m)
function x=exponentialrv(lambda,m)
x=-(1/lambda)*log(1-rand(m,1));
Input: lambda is the parameter of an expo-
nential random variable X, integer m
Output: Length m vector x such that each x
i
is a sample of X
finitecdf y=finitecdf(sx,p,x)
function cdf=finitecdf(s,p,x)
% finite random variable X:
% vector sx of sample space
% elements {sx(1),sx(2), ...}
% vector px of probabilities
% px(i)=P[X=sx(i)]
% Output is the vector
% cdf: cdf(i)=P[X=x(i)]
cdf=[];
for i=1:length(x)
pxi= sum(p(find(s<=x(i))));
cdf=[cdf; pxi];
end
Input: sx is the range of a finite random variable
X, px is the corresponding probability as-
signment, x is a vector of possible sample
values
Output: y is a vector with y(i) = F
X
(x(i)).
finitecoeff rho=finitecoeff(SX,SY,PXY)
function rho=finitecoeff(SX,SY,PXY);
%Usage: rho=finitecoeff(SX,SY,PXY)
%Calculate the correlation coefficient rho of
%finite random variables X and Y
ex=finiteexp(SX,PXY); vx=finitevar(SX,PXY);
ey=finiteexp(SY,PXY); vy=finitevar(SY,PXY);
R=finiteexp(SX.*SY,PXY);
rho=(R-ex*ey)/sqrt(vx*vy);
Input: Grids SX, SY and
probability grid PXY de-
scribing the finite ran-
dom variables X and Y.
Output: rho, the correlation
coefficient of X and Y
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finitecov covxy=finitecov(SX,SY,PXY)
function covxy=finitecov(SX,SY,PXY);
%Usage: cxy=finitecov(SX,SY,PXY)
%returns the covariance of
%finite random variables X and Y
%given by grids SX, SY, and PXY
ex=finiteexp(SX,PXY);
ey=finiteexp(SY,PXY);
R=finiteexp(SX.*SY,PXY);
covxy=R-ex*ey;
Input: Grids SX, SY and probability grid
PXY describing the finite random
variables X and Y.
Output: covxy, the covariance of X and
Y.
finiteexp ex=finiteexp(sx,px)
function ex=finiteexp(sx,px);
%Usage: ex=finiteexp(sx,px)
%returns the expected value E[X]
%of finite random variable X described
%by samples sx and probabilities px
ex=sum((sx(:)).*(px(:)));
Input: Probability vector px, vector
of samples sx describing random
variable X.
Output: ex, the expected value E[X].
finitepmf y=finitepmf(sx,p,x)
function pmf=finitepmf(sx,px,x)
% finite random variable X:
% vector sx of sample space
% elements {sx(1),sx(2), ...}
% vector px of probabilities
% px(i)=P[X=sx(i)]
% Output is the vector
% pmf: pmf(i)=P[X=x(i)]
pmf=zeros(size(x(:)));
for i=1:length(x)
pmf(i)= sum(px(find(sx==x(i))));
end
Input: sx is the range of a finite random
variable X, px is the corresponding
probability assignment, x is a vector
of possible sample values
Output: y is a vector with y(i) =
P[X = x(i)].
finiterv x=finiterv(sx,p,m)
function x=finiterv(s,p,m)
% returns m samples
% of finite (s,p) rv
%s=s(:);p=p(:);
r=rand(m,1);
cdf=cumsum(p);
x=s(1+count(cdf,r));
Input: sx is the range of a finite random variable X, p
is the corresponding probability assignment, m is
positive integer
Output: x is a vector of m sample values y(i) =
F
X
(x(i)).
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finitevar v=finitevar(sx,px)
function v=finitevar(sx,px);
%Usage: ex=finitevar(sx,px)
% returns the variance Var[X]
% of finite random variables X described by
% samples sx and probabilities px
ex2=finiteexp(sx.ˆ2,px);
ex=finiteexp(sx,px);
v=ex2-(exˆ2);
Input: Probability vector px
and vector of samples
sx describing random
variable X.
Output: v, the variance
Var[X].
gausscdf y=gausscdf(mu,sigma,x)
function f=gausscdf(mu,sigma,x)
f=phi((x-mu)/sigma);
Input: mu and sigma are the parameters of an
Guassian random variable X, vector x
Output: Vector y such that y
i
= F
X
(x
i
) =
((x
i
− µ)/σ).
gausspdf y=gausspdf(mu,sigma,x)
function f=gausspdf(mu,sigma,x)
f=exp(-(x-mu).ˆ2/(2*sigmaˆ2))/...
sqrt(2*pi*sigmaˆ2);
Input: mu and sigma are the parameters of an
Guassian random variable X, vector x
Output: Vector y such that y
i
= f
X
(x
i
).
gaussrv x=gaussrv(mu,sigma,m)
function x=gaussrv(mu,sigma,m)
x=mu +(sigma*randn(m,1));
Input: mu and sigma are the parameters of an
Gaussian random variable X, integer m
Output: Length m vector x such that each x
i
is a
sample of X
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gaussvector x=gaussvector(mu,C,m)
function x=gaussvector(mu,C,m)
%output: m Gaussian vectors,
%each with mean mu
%and covariance matrix C
if (min(size(C))==1)
C=toeplitz(C);
end
n=size(C,2);
if (length(mu)==1)
mu=mu*ones(n,1);
end
[U,D,V]=svd(C);
x=V*(Dˆ(0.5))*randn(n,m)...
+(mu(:)*ones(1,m));
Input: For a Gaussian (µ
X
, C
X
) random vector X,
gaussvector can be called in two ways:
• C is the n × n covariance matrix, mu is
either a length n vector, or a length 1
scalar, m is an integer.
• C is the length n vector equal to the first
row of a symmetric Toeplitz covariance
matrix C
X
, mu is either a length n vec-
tor, or a length 1 scalar, m is an integer.
If mu is a length n vector, then mu is the ex-
pected value vector; otherwise, each element
of X is assumed to have mean mu.
Output: n × m matrix x such that each column
x(:,i) is a sample vector of X
gaussvectorpdf f=gaussvector(mu,C,x)
function f=gaussvectorpdf(mu,C,x)
n=length(x);
z=x(:)-mu(:);
f=exp(-z’*inv(C)*z)/...
sqrt((2*pi)ˆn*det(C));
Input: For a Gaussian (µ
X
, C
X
) random vec-
tor X, mu is a length n vector, C is the
n × n covariance matrix, x is a length n
vector.
Output: f is the Gaussian vector PDF f
X
(x)
evaluated at x.
geometriccdf y=geometriccdf(p,x)
function cdf=geometriccdf(p,x)
% for geometric(p) rv X,
%For input vector x, output is vector
%cdf such that cdf_i=Prob(X<=x_i)
x=(x(:)>=1).*floor(x(:));
cdf=1-((1-p).ˆx);
Input: p is the parameter of a geometric
random variable X, x is a vector of
possible sample values
Output: y is a vector with y(i) =
F
X
(x(i)).
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geometricpmf y=geometricpmf(p,x)
function pmf=geometricpmf(p,x)
%geometric(p) rv X
%out: pmf(i)=Prob[X=x(i)]
x=x(:);
pmf= p*((1-p).ˆ(x-1));
pmf= (x>0).*(x==floor(x)).*pmf;
Input: p is the parameter of a geometric random
variable X, x is a vector of possible sample
values
Output: y is a vector with y(i) = P
X
(x(i)).
geometricrv x=geometricrv(p,m)
function x=geometricrv(p,m)
%Usage: x=geometricrv(p,m)
% returns m samples of a geometric (p) rv
r=rand(m,1);
x=ceil(log(1-r)/log(1-p));
Input: p is the parameters of a
geometric random variable
X, m is a positive integer
Output: x is a vector of m inde-
pendent samples of random
variable X
icdfrv x=icdfrv(@icdf,m)
function x=icdfrv(icdfhandle,m)
%Usage: x=icdfrv(@icdf,m)
%returns m samples of rv X
%with inverse CDF icdf.m
u=rand(m,1);
x=feval(icdfhandle,u);
Input: @icdfrv is a “handle” (a kind of pointer)
to a MATLAB function icdf.m that is
MATLAB’s representation of an inverse
CDF F
−1
X
(x) of a random variable X, inte-
ger m
Output: Length m vector x such that each x
i
is a
sample of X
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pascalcdf y=pascalcdf(k,p,x)
function cdf=pascalcdf(k,p,x)
%Usage: cdf=pascalcdf(k,p,x)
%For a pascal (k,p) rv X
%and input vector x, the output
%is a vector cdf such that
% cdf(i)=Prob[X<=x(i)]
x=floor(x(:)); % for noninteger x(i)
allx=k:max(x);
%allcdf holds all needed cdf values
allcdf=cumsum(pascalpmf(k,p,allx));
%x_i < k have zero-prob,
% other values are OK
okx=(x>=k);
%set zero-prob x(i)=k,
%just so indexing is not fouled up
x=(okx.*x) +((1-okx)*k);
cdf= okx.*allcdf(x-k+1);
Input: k and p are the parameters of a Pas-
cal (k, p) random variable X, x is a
vector of possible sample values
Output: y is a vector with y(i) =
F
X
(x(i)).
pascalpmf y=pascalpmf(k,p,x)
function pmf=pascalpmf(k,p,x)
%For Pascal (k,p) rv X, and
%input vector x, output is a
%vector pmf: pmf(i)=Prob[X=x(i)]
x=x(:);
n=max(x);
i=(k:n-1)’;
ip= [1 ;(1-p)*(i./(i+1-k))];
%pb=all n-k+1 pascal probs
pb=(pˆk)*cumprod(ip);
okx=(x==floor(x)).*(x>=k);
%set bad x(i)=k to stop bad indexing
x=(okx.*x) + k*(1-okx);
% pmf(i)=0 unless x(i) >= k
pmf=okx.*pb(x-k+1);
Input: k and p are the parameters of a Pas-
cal (k, p) random variable X, x is a
vector of possible sample values
Output: y is a vector with y(i) =
P
X
(x(i)).
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pascalrv x=pascalrv(k,p,m)
function x=pascalrv(k,p,m)
% return m samples of pascal(k,p) rv
r=rand(m,1);
rmax=max(r);
xmin=k;
xmax=ceil(2*(k/p)); %set max range
sx=xmin:xmax;
cdf=pascalcdf(k,p,sx);
while cdf(length(cdf)) <=rmax
xmax=2*xmax;
sx=xmin:xmax;
cdf=pascalcdf(k,p,sx);
end
x=xmin+countless(cdf,r);
Input: k and p are the parameters of a Pas-
cal random variable X, m is a posi-
tive integer
Output: x is a vector of m independent
samples of random variable X
phi y=phi(x)
function y=phi(x)
sq2=sqrt(2);
y= 0.5 + 0.5*erf(x/sq2);
Input: Vector x
Output: Vector y such that y(i) = (x(i)).
poissoncdf y=poissoncdf(alpha,x)
function cdf=poissoncdf(alpha,x)
%output cdf(i)=Prob[X<=x(i)]
x=floor(x(:));
sx=0:max(x);
cdf=cumsum(poissonpmf(alpha,sx));
%cdf from 0 to max(x)
okx=(x>=0);%x(i)<0 -> cdf=0
x=(okx.*x);%set negative x(i)=0
cdf= okx.*cdf(x+1);
%cdf=0 for x(i)<0
Input: alpha is the parameter of a Poisson
(α) random variable X, x is a vector of
possible sample values
Output: y is a vector with y(i) =
F
X
(x(i)).
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poissonpmf y=poissonpmf(alpha,x)
function pmf=poissonpmf(alpha,x)
%Poisson (alpha) rv X,
%out=vector pmf: pmf(i)=P[X=x(i)]
x=x(:);
k=(1:max(x))’;
logfacts =cumsum(log(k));
pb=exp([-alpha; ...
-alpha+ (k*log(alpha))-logfacts]);
okx=(x>=0).*(x==floor(x));
x=okx.*x;
pmf=okx.*pb(x+1);
%pmf(i)=0 for zero-prob x(i)
Input: alpha is the parameter of a
Poisson (α) random variable X, x
is a vector of possible sample val-
ues
Output: y is a vector with y(i) =
P
X
(x(i)).
poissonrv x=poissonrv(alpha,m)
function x=poissonrv(alpha,m)
%return m samples of poisson(alpha) rv X
r=rand(m,1);
rmax=max(r);
xmin=0;
xmax=ceil(2*alpha); %set max range
sx=xmin:xmax;
cdf=poissoncdf(alpha,sx);
%while ( sum(cdf <=rmax) ==(xmax-xmin+1) )
while cdf(length(cdf)) <=rmax
xmax=2*xmax;
sx=xmin:xmax;
cdf=poissoncdf(alpha,sx);
end
x=xmin+countless(cdf,r);
Input: alpha is the parameter of
a Poisson (α) random vari-
able X, m is a positive inte-
ger
Output: x is a vector of m inde-
pendent samples of random
variable X
uniformcdf y=uniformcdf(a,b,x)
function F=uniformcdf(a,b,x)
%Usage: F=uniformcdf(a,b,x)
%returns the CDF of a continuous
%uniform rv evaluated at x
F=x.*((x>=a) & (x<b))/(b-a);
F=f+1.0*(x>=b);
Input: a and ( b) are parameters for continuous
uniform random variable X, vector x
Output: Vector y such that y
i
= F
X
(x
i
)
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uniformpdf y=uniformpdf(a,b,x)
function f=uniformpdf(a,b,x)
%Usage: f=uniformpdf(a,b,x)
%returns the PDF of a continuous
%uniform rv evaluated at x
f=((x>=a) & (x<b))/(b-a);
Input: a and ( b) are parameters for continuous
uniform random variable X, vector x
Output: Vector y such that y
i
= f
X
(x
i
)
uniformrv x=uniformrv(a,b,m)
function x=uniformrv(a,b,m)
%Usage: x=uniformrv(a,b,m)
%Returns m samples of a
%uniform (a,b) random varible
x=a+(b-a)*rand(m,1);
Input: a and ( b) are parameters for continuous uni-
form random variable X, positive integer m
Output: m element vector x such that each x(i) is
a sample of X.
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Functions for Stochastic Processes
brownian w=brownian(alpha,t)
function w=brownian(alpha,t)
%Brownian motion process
%sampled at t(1)<t(2)< ...
t=t(:);
n=length(t);
delta=t-[0;t(1:n-1)];
x=sqrt(alpha*delta).*gaussrv(0,1,n);
w=cumsum(x);
Input: t is a vector holding an ordered se-
quence of inspection times, alpha
is the scaling constant of a Brownian
motion process such that the i th in-
crement has variance α(t
i
− t
i −1
).
Output: w is a vector such that w(i) is
the position at time t(i) of the par-
ticle in Brownian motion.
cmcprob pv=cmcprob(Q,p0,t)
function pv = cmcprob(Q,p0,t)
%Q has zero diagonal rates
%initial state probabilities p0
K=size(Q,1)-1; %max no. state
%check for integer p0
if (length(p0)==1)
p0=((0:K)==p0);
end
R=Q-diag(sum(Q,2));
pv= (p0(:)’*expm(R*t))’;
Input: n × n state transition matrix Q for a
continuous-time finite Markov chain, length
n vector p0 denoting the initial state proba-
bilities, nonengative scalar t
Output: Length n vector pv such that pv(t) is
the state probability vector at time t of the
Markov chain
Comment: If p0 is a scalar integer, then the sim-
ulation starts in state p0
cmcstatprob pv=cmcstatprob(Q)
function pv = cmcstatprob(Q)
%Q has zero diagonal rates
R=Q-diag(sum(Q,2));
n=size(Q,1);
R(:,1)=ones(n,1);
pv=([1 zeros(1,n-1)]*Rˆ(-1))’;
Input: State transition matrix Q for a continuous-
time finite Markov chain
Output: pv is the stationary probability vector for
the continuous-time Markov chain
dmcstatprob pv=dmcstatprob(P)
function pv = dmcstatprob(P)
n=size(P,1);
A=(eye(n)-P);
A(:,1)=ones(n,1);
pv=([1 zeros(1,n-1)]*Aˆ(-1))’;
Input: n × n stochastic matrix P representing
a discrete-time aperiodic irreducible finite
Markov chain
Output: pv is the stationary probability vector.
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poissonarrivals s=poissonarrivals(lambda,T)
function s=poissonarrivals(lambda,T)
%arrival times s=[s(1) ... s(n)]
% s(n)<= T < s(n+1)
n=ceil(1.1*lambda*T);
s=cumsum(exponentialrv(lambda,n));
while (s(length(s))< T),
s_new=s(length(s))+ ...
cumsum(exponentialrv(lambda,n));
s=[s; s_new];
end
s=s(s<=T);
Input: lambda is the arrival rate of a
Poisson process, T marks the end of
an observation interval [0, T].
Output: s=[s(1), ..., s(n)]’ is
a vector such that s(i) is i th arrival
time. Note that length n is a Poisson
random variable with expected value
λT.
Comment: This code is pretty stupid.
There are decidedly better ways to
create a set of arrival times; see Prob-
lem 10.13.5.
poissonprocess N=poissonprocess(lambda,t)
function N=poissonprocess(lambda,t)
%input: rate lambda>0, vector t
%For a sample function of a
%Poisson process of rate lambda,
%N(i) = no. of arrivals by t(i)
s=poissonarrivals(lambda,max(t));
N=count(s,t);
Input: lambda is the arrival rate of a Pois-
son process, t is a vector of “inspec-
tion times’.’
Output: N is a vector such that N(i) is the
number of arrival by inspection time
t(i).
simcmc ST=simcmc(Q,p0,T)
function ST=simcmc(Q,p0,T);
K=size(Q,1)-1; max no. state
%calc average trans. rate
ps=cmcstatprob(Q);
v=sum(Q,2); R=ps’*v;
n=ceil(0.6*T/R);
ST=simcmcstep(Q,p0,2*n);
while (sum(ST(:,2))<T),
s=ST(size(ST,1),1);
p00=Q(1+s,:)/v(1+s);
S=simcmcstep(Q,p00,n);
ST=[ST;S];
end
n=1+sum(cumsum(ST(:,2))<T);
ST=ST(1:n,:);
%truncate last holding time
ST(n,2)=T-sum(ST(1:n-1,2));
Input: state transition matrix Q for a continuous-time
finite Markov chain, vector p0 denoting the ini-
tial state probabilities, integer n
Output: A simulation of the Markov chain system
over the time interval [0, T]: The output is an
n × 2 matrix ST such that the first column
ST(:,1) is the sequence of system states and
the second column ST(:,2) is the amount of
time spent in each state. That is, ST(i,2) is
the amount of time the system spends in state
ST(i,1).
Comment: If p0 is a scalar integer, then the simula-
tion starts in state p0. Note that n, the number
of state occupancy periods, is random.
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simcmcstep S=simcmcstep(Q,p0,n)
function S=simcmcstep(Q,p0,n);
%S=simcmcstep(Q,p0,n)
% Simulate n steps of a cts
% Markov Chain, rate matrix Q,
% init. state probabilities p0
K=size(Q,1)-1; %max no. state
S=zeros(n+1,2);%init allocation
%check for integer p0
if (length(p0)==1)
p0=((0:K)==p0);
end
v=sum(Q,2); %state dep. rates
t=1./v;
P=diag(t)*Q;
S(:,1)=simdmc(P,p0,n);
S(:,2)=t(1+S(:,1)) ...
.*exponentialrv(1,n+1);
Input: State transition matrix Q for a continuous-
time finite Markov chain, vector p0 denot-
ing the initial state probabilities, integer n
Output: A simulation of n steps of the
continuous-time Markov chain system:
The output is an n × 2 matrix ST such that
the first column ST(:,1) is the length n
sequence of system states and the second
column ST(:,2) is the amount of time
spent in each state. That is, ST(i,2) is
the amount of time the system spends in
state ST(i,1).
Comment: If p0 is a scalar integer, then the sim-
ulation starts in state p0. This program is
the basis for simcmc.
simdmc x=simdmc(P,p0,n)
function x=simdmc(P,p0,n)
K=size(P,1)-1; %highest no. state
sx=0:K; %state space
x=zeros(n+1,1); %initialization
if (length(p0)==1) %convert integer p0 to prob vector
p0=((0:K)==p0);
end
x(1)=finiterv(sx,p0,1); %x(m)= state at time m-1
for m=1:n,
x(m+1)=finiterv(sx,P(x(m)+1,:),1);
end
Input: n×n stochastic matrix P which is the state transition matrix of a discrete-time finite Markov
chain, length n vector p0 denoting the initial state probabilities, integer n.
Output: A simulation of the Markov chain system such that for the length n vector x, x(m) is the
state at time m-1 of the Markov chain.
Comment: If p0 is a scalar integer, then the simulation starts in state p0
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Random Utilities
count n=count(x,y)
function n=count(x,y)
%Usage n=count(x,y)
%n(i)= # elements of x <= y(i)
[MX,MY]=ndgrid(x,y);
%each column of MX = x
%each row of MY = y
n=(sum((MX<=MY),1))’;
Input: Vectors x and y
Output: Vector n such that n(i ) is the number of
elements of x less than or equal to y(i).
countequal n=countequal(x,y)
function n=countequal(x,y)
%Usage: n=countequal(x,y)
%n(j)= # elements of x = y(j)
[MX,MY]=ndgrid(x,y);
%each column of MX = x
%each row of MY = y
n=(sum((MX==MY),1))’;
Input: Vectors x and y
Output: Vector n such that n(i ) is the number of
elements of x equal to y(i).
countless n=countless(x,y)
function n=countless(x,y)
%Usage: n=countless(x,y)
%n(i)= # elements of x < y(i)
[MX,MY]=ndgrid(x,y);
%each column of MX = x
%each row of MY = y
n=(sum((MX<MY),1))’;
Input:
Input: Vectors x and y
Output: Vector n such that n(i ) is the number of
elements of x strictly less than y(i).
dftmat F=dftmat(N)
function F = dftmat(N);
Usage: F=dftmat(N)
%F is the N by N DFT matrix
n=(0:N-1)’;
F=exp((-1.0j)*2*pi*(n*(n’))/N);
Input: Integer N.
Output: F is the N by N discrete Fourier trans-
form matrix
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freqxy fxy=freqxy(xy,SX,SY)
function fxy = freqxy(xy,SX,SY)
%Usage: fxy = freqxy(xy,SX,SY)
%xy is an m x 2 matrix:
%xy(i,:)= ith sample pair X,Y
%Output fxy is a K x 3 matrix:
% [fxy(k,1) fxy(k,2)]
% = kth unique pair [x y] and
% fxy(k,3)= corresp. rel. freq.
%extend xy to include a sample
%for all possible (X,Y) pairs:
xy=[xy; SX(:) SY(:)];
[U,I,J]=unique(xy,’rows’);
N=hist(J,1:max(J))-1;
N=N/sum(N);
fxy=[U N(:)];
%reorder fxy rows to match
%rows of [SX(:) SY(:) PXY(:)]:
fxy=sortrows(fxy,[2 1 3]);
Input: For random variables X and Y, xy is
an m × 2 matrix holding a list of sample
values pairs; yy(i,:) is the i th sample
pair (X, Y). Grids SX and SY represent-
ing the sample space.
Output: fxy is a K × 3 matrix. In each row
[fxy(k,1) fxy(k,2) fxy(k,3)]
[fxy(k,1) fxy(k,2)] is a unique
(X, Y) pair with relative frequency
fxy(k,3).
Comment: Given the grids SX, SY and the
probability grid PXY, a list of random
sample value pairs xy can be simulated
by the commands
S=[SX(:) SY(:)];
xy=finiterv(S,PXY(:),m);
The output fxy is ordered so that the
rows match the ordering of rows in the
matrix
[SX(:) SY(:) PXY(:)].
fftc S=fftc(r,N); S=fftc(r)
function S=fftc(varargin);
%DFT for a signal r
%centered at the origin
%Usage:
% fftc(r,N): N point DFT of r
% fftc(r): length(r) DFT of r
r=varargin{1};
L=1+floor(length(r)/2);
if (nargin>1)
N=varargin{2}(1);
else
N=(2*L)-1;
end
R=fft(r,N);
n=reshape(0:(N-1),size(R));
phase=2*pi*(n/N)*(L-1);
S=R.*exp((1.0j)*phase);
Input: Vector r=[r(1) ... r(2k+1)]
holding the time sequence r
−k
, . . . , r
0
, . . . , r
k
centered around the origin.
Output: S is the DFT of r
Comment: Supports the same calling conventions
as fft.
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pmfplot pmfplot(sx,px,’x’,’y axis text’)
function h=pmfplot(sx,px,xls,yls)
%Usage: pmfplot(sx,px,xls,yls)
%sx and px are vectors, px is the PMF
%xls and yls are x and y label strings
nonzero=find(px);
sx=sx(nonzero); px=px(nonzero);
sx=(sx(:))’; px=(px(:))’;
XM = [sx; sx];
PM=[zeros(size(px)); px];
h=plot(XM,PM,’-k’);
set(h,’LineWidth’,3);
if (nargin==4)
xlabel(xls);
ylabel(yls,’VerticalAlignment’,’Bottom’);
end
xmin=min(sx); xmax=max(sx);
xborder=0.05*(xmax-xmin);
xmax=xmax+xborder;
xmin=xmin-xborder;
ymax=1.1*max(px);
axis([xmin xmax 0 ymax]);
Input: Sample space vector sx
and PMF vector px for fi-
nite random variable PXY,
optional text strings xls
and yls
Output: A plot of the PMF
P
X
(x) in the bar style used
in the text.
rect y=rect(x)
function y=rect(x);
%Usage:y=rect(x);
y=1.0*(abs(x)<0.5);
Input: Vector x
Output: Vector y such that
y
i
= rect(x
i
) =

1 |x
i
| < 0.5
0 otherwise
sinc y=sinc(x)
function y=sinc(x);
xx=x+(x==0);
y=sin(pi*xx)./(pi*xx);
y=((1.0-(x==0)).*y)+ (1.0*(x==0));
Input: Vector x
Output: Vector y such that
y
i
= sinc(x
i
) =
sin(πx
i
)
πx
i
Comment: The code is ugly because it makes
sure to produce the right limit value at
x
i
= 0.
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simplot simplot(S,xlabel,ylabel)
function h=simplot(S,xls,yls);
%h=simplot(S,xlabel,ylabel)
% Plots the output of a simulated state sequence
% If S is N by 1, a discrete time chain is assumed
% with visit times of one unit.
% If S is an N by 2 matrix, a cts time Markov chain
% is assumed where
% S(:,1) = state sequence.
% S(:,2) = state visit times.
% The cumulative sum
% of visit times are transition instances.
% h is a handle to a stairs plot of the state sequence
% vs state transition times
%in case of discrete time simulation
if (size(S,2)==1)
S=[S ones(size(S))];
end
Y=[S(:,1) ; S(size(S,1),1)];
X=cumsum([0 ; S(:,2)]);
h=stairs(X,Y);
if (nargin==3)
xlabel(xls);
ylabel(yls,’VerticalAlignment’,’Bottom’);
end
Input: The simulated state sequence vector S generated by S=simdmc(P,p0,n) or the n × 2
state/time matrix ST generated by either
ST=simcmc(Q,p0,T)
or
ST=simcmcstep(Q,p0,n).
Output: A “stairs” plot showing the sequence of simulation states over time.
Comment: If S is just a state sequence vector, then each stair has equal width. If S is n × 2
state/time matrix ST, then the width of the stair is proportional to the time spent in that state.
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Probability and Stochastic Processes
A Friendly Introduction for Electrical and Computer Engineers
Second Edition
Quiz Solutions
Roy D. Yates and David J. Goodman
May 22, 2004
• The MATLAB section quizzes at the end of each chapter use programs available for
download as the archive matcode.zip. This archive has programs of general pur-
pose programs for solving probability problems as well as specific .m files associated
with examples or quizzes in the text. Also available is a manual probmatlab.pdf
describing the general purpose .m files in matcode.zip.
• We have made a substantial effort to check the solution to every quiz. Nevertheless,
there is a nonzero probability (in fact, a probability close to unity) that errors will be
found. If you find errors or have suggestions or comments, please send email to
ryates@winlab.rutgers.edu.
When errors are found, corrected solutions will be posted at the website.
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Quiz Solutions – Chapter 1
Quiz 1.1
In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated
set.
M
O
T
M
O
T
M
O
T
(1) R = T
c
(2) M ∪ O (3) M ∩ O
M
O
T
M
O
T
M
O
T
(4) R ∪ M (4) R ∩ M (6) T
c
− M
Quiz 1.2
(1) A
1
= {vvv, vvd, vdv, vdd}
(2) B
1
= {dvv, dvd, ddv, ddd}
(3) A
2
= {vvv, vvd, dvv, dvd}
(4) B
2
= {vdv, vdd, ddv, ddd}
(5) A
3
= {vvv, ddd}
(6) B
3
= {vdv, dvd}
(7) A
4
= {vvv, vvd, vdv, dvv, vdd, dvd, ddv}
(8) B
4
= {ddd, ddv, dvd, vdd}
Recall that A
i
and B
i
are collectively exhaustive if A
i
∪ B
i
= S. Also, A
i
and B
i
are
mutually exclusive if A
i
∩ B
i
= φ. Since we have written down each pair A
i
and B
i
above,
we can simply check for these properties.
The pair A
1
and B
1
are mutually exclusive and collectively exhaustive. The pair A
2
and
B
2
are mutually exclusive and collectively exhaustive. The pair A
3
and B
3
are mutually
exclusive but not collectively exhaustive. The pair A
4
and B
4
are not mutually exclusive
since dvd belongs to A
4
and B
4
. However, A
4
and B
4
are collectively exhaustive.
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Quiz 1.3
There are exactly 50 equally likely outcomes: s
51
through s
100
. Each of these outcomes
has probability 0.02.
(1) P[{s
79
}] = 0.02
(2) P[{s
100
}] = 0.02
(3) P[A] = P[{s
90
, . . . , s
100
}] = 11 ×0.02 = 0.22
(4) P[F] = P[{s
51
, . . . , s
59
}] = 9 ×0.02 = 0.18
(5) P[T ≥ 80] = P[{s
80
, . . . , s
100
}] = 21 ×0.02 = 0.42
(6) P[T < 90] = P[{s
51
, s
52
, . . . , s
89
}] = 39 ×0.02 = 0.78
(7) P[a C grade or better] = P[{s
70
, . . . , s
100
}] = 31 ×0.02 = 0.62
(8) P[student passes] = P[{s
60
, . . . , s
100
}] = 41 ×0.02 = 0.82
Quiz 1.4
We can describe this experiment by the event space consisting of the four possible
events V B, V L, DB, and DL. We represent these events in the table:
V D
L 0.35 ?
B ? ?
In a roundabout way, the problem statement tells us how to fill in the table. In particular,
P [V] = 0.7 = P [V L] + P [V B] (1)
P [L] = 0.6 = P [V L] + P [DL] (2)
Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 −
0.35 = 0.25. This allows us to fill in two more table entries:
V D
L 0.35 0.25
B 0.35 ?
The remaining table entry is filled in by observing that the probabilities must sum to 1.
This implies P[DB] = 0.05 and the complete table is
V D
L 0.35 0.25
B 0.35 0.05
Finding the various probabilities is now straightforward:
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(1) P[DL] = 0.25
(2) P[D ∪ L] = P[V L] + P[DL] + P[DB] = 0.35 +0.25 +0.05 = 0.65.
(3) P[V B] = 0.35
(4) P[V ∪ L] = P[V] + P[L] − P[V L] = 0.7 +0.6 −0.35 = 0.95
(5) P[V ∪ D] = P[S] = 1
(6) P[LB] = P[LL
c
] = 0
Quiz 1.5
(1) The probability of exactly two voice calls is
P [N
V
= 2] = P [{vvd, vdv, dvv}] = 0.3 (1)
(2) The probability of at least one voice call is
P [N
V
≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] (2)
= 6(0.1) +0.2 = 0.8 (3)
An easier way to get the same answer is to observe that
P [N
V
≥ 1] = 1 − P [N
V
< 1] = 1 − P [N
V
= 0] = 1 − P [{ddd}] = 0.8 (4)
(3) The conditional probability of two voice calls followed by a data call given that there
were two voice calls is
P [{vvd} |N
V
= 2] =
P [{vvd} , N
V
= 2]
P [N
V
= 2]
=
P [{vvd}]
P [N
V
= 2]
=
0.1
0.3
=
1
3
(5)
(4) The conditional probability of two data calls followed by a voice call given there
were two voice calls is
P [{ddv} |N
V
= 2] =
P [{ddv} , N
V
= 2]
P [N
V
= 2]
= 0 (6)
The joint event of the outcome ddv and exactly two voice calls has probability zero
since there is only one voice call in the outcome ddv.
(5) The conditional probability of exactly two voice calls given at least one voice call is
P [N
V
= 2|N
v
≥ 1] =
P [N
V
= 2, N
V
≥ 1]
P [N
V
≥ 1]
=
P [N
V
= 2]
P [N
V
≥ 1]
=
0.3
0.8
=
3
8
(7)
(6) The conditional probability of at least one voice call given there were exactly two
voice calls is
P [N
V
≥ 1|N
V
= 2] =
P [N
V
≥ 1, N
V
= 2]
P [N
V
= 2]
=
P [N
V
= 2]
P [N
V
= 2]
= 1 (8)
Given that there were two voice calls, there must have been at least one voice call.
4
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 1.6
In this experiment, there are four outcomes with probabilities
P[{vv}] = (0.8)
2
= 0.64 P[{vd}] = (0.8)(0.2) = 0.16
P[{dv}] = (0.2)(0.8) = 0.16 P[{dd}] = (0.2)
2
= 0.04
When checking the independence of any two events A and B, it’s wise to avoid intuition
and simply check whether P[AB] = P[A]P[B]. Using the probabilities of the outcomes,
we now can test for the independence of events.
(1) First, we calculate the probability of the joint event:
P [N
V
= 2, N
V
≥ 1] = P [N
V
= 2] = P [{vv}] = 0.64 (1)
Next, we observe that
P [N
V
≥ 1] = P [{vd, dv, vv}] = 0.96 (2)
Finally, we make the comparison
P [N
V
= 2] P [N
V
≥ 1] = (0.64)(0.96) = P [N
V
= 2, N
V
≥ 1] (3)
which shows the two events are dependent.
(2) The probability of the joint event is
P [N
V
≥ 1, C
1
= v] = P [{vd, vv}] = 0.80 (4)
From part (a), P[N
V
≥ 1] = 0.96. Further, P[C
1
= v] = 0.8 so that
P [N
V
≥ 1] P [C
1
= v] = (0.96)(0.8) = 0.768 = P [N
V
≥ 1, C
1
= v] (5)
Hence, the events are dependent.
(3) The problem statement that the calls were independent implies that the events the
second call is a voice call, {C
2
= v}, and the first call is a data call, {C
1
= d} are
independent events. Just to be sure, we can do the calculations to check:
P [C
1
= d, C
2
= v] = P [{dv}] = 0.16 (6)
Since P[C
1
= d]P[C
2
= v] = (0.2)(0.8) = 0.16, we confirm that the events are
independent. Note that this shouldn’t be surprising since we used the information that
the calls were independent in the problem statement to determine the probabilities of
the outcomes.
(4) The probability of the joint event is
P [C
2
= v, N
V
is even] = P [{vv}] = 0.64 (7)
Also, each event has probability
P [C
2
= v] = P [{dv, vv}] = 0.8, P [N
V
is even] = P [{dd, vv}] = 0.68 (8)
Thus, P[C
2
= v]P[N
V
is even] = (0.8)(0.68) = 0.544. Since P[C
2
= v, N
V
is even] =
0.544, the events are dependent.
5
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 1.7
Let F
i
denote the event that that the user is found on page i . The tree for the experiment
is
¨
¨
¨
¨
¨
¨
F
1
0.8
F
c
1
0.2
¨
¨
¨
¨
¨
¨
F
2
0.8
F
c
2
0.2
¨
¨
¨
¨
¨
¨
F
3
0.8
F
c
3
0.2
The user is found unless all three paging attempts fail. Thus the probability the user is
found is
P [F] = 1 − P
_
F
c
1
F
c
2
F
c
3
_
= 1 −(0.2)
3
= 0.992 (1)
Quiz 1.8
(1) We can view choosing each bit in the code word as a subexperiment. Each subex-
periment has two possible outcomes: 0 and 1. Thus by the fundamental principle of
counting, there are 2 ×2 ×2 ×2 = 2
4
= 16 possible code words.
(2) An experiment that can yield all possible code words with two zeroes is to choose
which 2 bits (out of 4 bits) will be zero. The other two bits then must be ones. There
are
_
4
2
_
= 6 ways to do this. Hence, there are six code words with exactly two zeroes.
For this problem, it is also possible to simply enumerate the six code words:
1100, 1010, 1001, 0101, 0110, 0011.
(3) When the first bit must be a zero, then the first subexperiment of choosing the first
bit has only one outcome. For each of the next three bits, we have two choices. In
this case, there are 1 ×2 ×2 ×2 = 8 ways of choosing a code word.
(4) For the constant ratio code, we can specify a code word by choosing M of the bits to
be ones. The other N −M bits will be zeroes. The number of ways of choosing such
a code word is
_
N
M
_
. For N = 8 and M = 3, there are
_
8
3
_
= 56 code words.
Quiz 1.9
(1) In this problem, k bits received in error is the same as k failures in 100 trials. The
failure probability is = 1 − p and the success probability is 1 − = p. That is, the
probability of k bits in error and 100 −k correctly received bits is
P
_
S
k,100−k
_
=
_
100
k
_

k
(1 −)
100−k
(1)
6
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
For = 0.01,
P
_
S
0,100
_
= (1 −)
100
= (0.99)
100
= 0.3660 (2)
P
_
S
1,99
_
= 100(0.01)(0.99)
99
= 0.3700 (3)
P
_
S
2,98
_
= 4950(0.01)
2
(0.99)
9
8 = 0.1849 (4)
P
_
S
3,97
_
= 161, 700(0.01)
3
(0.99)
97
= 0.0610 (5)
(2) The probability a packet is decoded correctly is just
P [C] = P
_
S
0,100
_
+ P
_
S
1,99
_
+ P
_
S
2,98
_
+ P
_
S
3,97
_
= 0.9819 (6)
Quiz 1.10
Since the chip works only if all n transistors work, the transistors in the chip are like
devices in series. The probability that a chip works is P[C] = p
n
.
The module works if either 8 chips work or 9 chips work. Let C
k
denote the event that
exactly k chips work. Since transistor failures are independent of each other, chip failures
are also independent. Thus each P[C
k
] has the binomial probability
P [C
8
] =
_
9
8
_
(P [C])
8
(1 − P [C])
9−8
= 9p
8n
(1 − p
n
), (1)
P [C
9
] = (P [C])
9
= p
9n
. (2)
The probability a memory module works is
P [M] = P [C
8
] + P [C
9
] = p
8n
(9 −8p
n
) (3)
Quiz 1.11
R=rand(1,100);
X=(R<= 0.4) ...
+ (2*(R>0.4).*(R<=0.9)) ...
+ (3*(R>0.9));
Y=hist(X,1:3)
For a MATLAB simulation, we first gen-
erate a vector R of 100 random numbers.
Second, we generate vector X as a func-
tion of R to represent the 3 possible out-
comes of a flip. That is, X(i)=1 if flip i
was heads, X(i)=2 if flip i was tails, and
X(i)=3) is flip i landed on the edge.
To see how this works, we note there are three cases:
• If R(i) <= 0.4, then X(i)=1.
• If 0.4 < R(i) and R(i)<=0.9, then X(i)=2.
• If 0.9 < R(i), then X(i)=3.
These three cases will have probabilities 0.4, 0.5 and 0.1. Lastly, we use the hist function
to count how many occurences of each possible value of X(i).
7
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 2
Quiz 2.1
The sample space, probabilities and corresponding grades for the experiment are
Outcome P[·] G
BB 0.36 3.0
BC 0.24 2.5
CB 0.24 2.5
CC 0.16 2
Quiz 2.2
(1) To find c, we recall that the PMF must sum to 1. That is,
3

n=1
P
N
(n) = c
_
1 +
1
2
+
1
3
_
= 1 (1)
This implies c = 6/11. Now that we have found c, the remaining parts are straight-
forward.
(2) P[N = 1] = P
N
(1) = c = 6/11
(3) P[N ≥ 2] = P
N
(2) + P
N
(3) = c/2 +c/3 = 5/11
(4) P[N > 3] =


n=4
P
N
(n) = 0
Quiz 2.3
Decoding each transmitted bit is an independent trial where we call a bit error a “suc-
cess.” Each bit is in error, that is, the trial is a success, with probability p. Now we can
interpret each experiment in the generic context of independent trials.
(1) The random variable X is the number of trials up to and including the first success.
Similar to Example 2.11, X has the geometric PMF
P
X
(x) =
_
p(1 − p)
x−1
x = 1, 2, . . .
0 otherwise
(1)
(2) If p = 0.1, then the probability exactly 10 bits are sent is
P [X = 10] = P
X
(10) = (0.1)(0.9)
9
= 0.0387 (2)
8
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
The probability that at least 10 bits are sent is P[X ≥ 10] =


x=10
P
X
(x). This
sum is not too hard to calculate. However, its even easier to observe that X ≥ 10 if
the first 10 bits are transmitted correctly. That is,
P [X ≥ 10] = P [first 10 bits are correct] = (1 − p)
10
(3)
For p = 0.1, P[X ≥ 10] = 0.9
10
= 0.3487.
(3) The random variable Y is the number of successes in 100 independent trials. Just as
in Example 2.13, Y has the binomial PMF
P
Y
(y) =
_
100
y
_
p
y
(1 − p)
100−y
(4)
If p = 0.01, the probability of exactly 2 errors is
P [Y = 2] = P
Y
(2) =
_
100
2
_
(0.01)
2
(0.99)
98
= 0.1849 (5)
(4) The probability of no more than 2 errors is
P [Y ≤ 2] = P
Y
(0) + P
Y
(1) + P
Y
(2) (6)
= (0.99)
100
+100(0.01)(0.99)
99
+
_
100
2
_
(0.01)
2
(0.99)
98
(7)
= 0.9207 (8)
(5) Random variable Z is the number of trials up to and including the third success. Thus
Z has the Pascal PMF (see Example 2.15)
P
Z
(z) =
_
z −1
2
_
p
3
(1 − p)
z−3
(9)
Note that P
Z
(z) > 0 for z = 3, 4, 5, . . ..
(6) If p = 0.25, the probability that the third error occurs on bit 12 is
P
Z
(12) =
_
11
2
_
(0.25)
3
(0.75)
9
= 0.0645 (10)
Quiz 2.4
Each of these probabilities can be read off the CDF F
Y
(y). However, we must keep in
mind that when F
Y
(y) has a discontinuity at y
0
, F
Y
(y) takes the upper value F
Y
(y
+
0
).
(1) P[Y < 1] = F
Y
(1

) = 0
9
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) P[Y ≤ 1] = F
Y
(1) = 0.6
(3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − F
Y
(2) = 1 −0.8 = 0.2
(4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − F
Y
(2

) = 1 −0.6 = 0.4
(5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = F
Y
(1
+
) − F
Y
(1

) = 0.6
(6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = F
Y
(3
+
) − F
Y
(3

) = 0.8 −0.8 = 0
Quiz 2.5
(1) With probability 0.7, a call is a voice call and C = 25. Otherwise, with probability
0.3, we have a data call and C = 40. This corresponds to the PMF
P
C
(c) =



0.7 c = 25
0.3 c = 40
0 otherwise
(1)
(2) The expected value of C is
E [C] = 25(0.7) +40(0.3) = 29.5 cents (2)
Quiz 2.6
(1) As a function of N, the cost T is
T = 25N +40(3 − N) = 120 −15N (1)
(2) To find the PMF of T, we can draw the following tree:
¨
¨
¨
¨
¨
¨
¨
N=0
0.1
r
r
r
r
r
r
r
N=3
0.3
$
$
$
$
$
$
$N=1 0.3
ˆ
ˆ
ˆ
ˆ
ˆ
ˆ
ˆ
N=2 0.3
•T=120
•T=105
•T=90
•T=75
From the tree, we can write down the PMF of T:
P
T
(t ) =



0.3 t = 75, 90, 105
0.1 t = 120
0 otherwise
(2)
From the PMF P
T
(t ), the expected value of T is
E [T] = 75P
T
(75) +90P
T
(90) +105P
T
(105) +120P
T
(120) (3)
= (75 +90 +105)(0.3) +120(0.1) = 62 (4)
10
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 2.7
(1) Using Definition 2.14, the expected number of applications is
E [A] =
4

a=1
aP
A
(a) = 1(0.4) +2(0.3) +3(0.2) +4(0.1) = 2 (1)
(2) The number of memory chips is M = g(A) where
g(A) =



4 A = 1, 2
6 A = 3
8 A = 4
(2)
(3) By Theorem 2.10, the expected number of memory chips is
E [M] =
4

a=1
g(A)P
A
(a) = 4(0.4) +4(0.3) +6(0.2) +8(0.1) = 4.8 (3)
Since E[A] = 2, g(E[A]) = g(2) = 4. However, E[M] = 4.8 = g(E[A]). The two
quantities are different because g(A) is not of the form αA +β.
Quiz 2.8
The PMF P
N
(n) allows to calculate each of the desired quantities.
(1) The expected value of N is
E [N] =
2

n=0
nP
N
(n) = 0(0.1) +1(0.4) +2(0.5) = 1.4 (1)
(2) The second moment of N is
E
_
N
2
_
=
2

n=0
n
2
P
N
(n) = 0
2
(0.1) +1
2
(0.4) +2
2
(0.5) = 2.4 (2)
(3) The variance of N is
Var[N] = E
_
N
2
_
−(E [N])
2
= 2.4 −(1.4)
2
= 0.44 (3)
(4) The standard deviation is σ
N
=

Var[N] =

0.44 = 0.663.
11
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 2.9
(1) From the problem statement, we learn that the conditional PMF of N given the event
I is
P
N|I
(n) =
_
0.02 n = 1, 2, . . . , 50
0 otherwise
(1)
(2) Also from the problem statement, the conditional PMF of N given the event T is
P
N|T
(n) =
_
0.2 n = 1, 2, 3, 4, 5
0 otherwise
(2)
(3) The problem statement tells us that P[T] = 1 − P[I ] = 3/4. From Theorem 1.10
(the law of total probability), we find the PMF of N is
P
N
(n) = P
N|T
(n) P [T] + P
N|I
(n) P [I ] (3)
=



0.2(0.75) +0.02(0.25) n = 1, 2, 3, 4, 5
0(0.75) +0.02(0.25) n = 6, 7, . . . , 50
0 otherwise
(4)
=



0.155 n = 1, 2, 3, 4, 5
0.005 n = 6, 7, . . . , 50
0 otherwise
(5)
(4) First we find
P [N ≤ 10] =
10

n=1
P
N
(n) = (0.155)(5) +(0.005)(5) = 0.80 (6)
By Theorem 2.17, the conditional PMF of N given N ≤ 10 is
P
N|N≤10
(n) =
_
P
N
(n)
P[N≤10]
n ≤ 10
0 otherwise
(7)
=



0.155/0.8 n = 1, 2, 3, 4, 5
0.005/0.8 n = 6, 7, 8, 9, 10
0 otherwise
(8)
=



0.19375 n = 1, 2, 3, 4, 5
0.00625 n = 6, 7, 8, 9, 10
0 otherwise
(9)
(5) Once we have the conditional PMF, calculating conditional expectations is easy.
E [N|N ≤ 10] =

n
nP
N|N≤10
(n) (10)
=
5

n=1
n(0.19375) +
10

n=6
n(0.00625) (11)
= 3.15625 (12)
12
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
0 50 100
0
2
4
6
8
10
0 500 1000
0
2
4
6
8
10
(a) samplemean(100) (b) samplemean(1000)
Figure 1: Two examples of the output of samplemean(k)
(6) To find the conditional variance, we first find the conditional second moment
E
_
N
2
|N ≤ 10
_
=

n
n
2
P
N|N≤10
(n) (13)
=
5

n=1
n
2
(0.19375) +
10

n=6
n
2
(0.00625) (14)
= 55(0.19375) +330(0.00625) = 12.71875 (15)
The conditional variance is
Var[N|N ≤ 10] = E
_
N
2
|N ≤ 10
_
−(E [N|N ≤ 10])
2
(16)
= 12.71875 −(3.15625)
2
= 2.75684 (17)
Quiz 2.10
The function samplemean(k) generates and plots five m
n
sequences for n = 1, 2, . . . , k.
The i th column M(:,i) of M holds a sequence m
1
, m
2
, . . . , m
k
.
function M=samplemean(k);
K=(1:k)’;
M=zeros(k,5);
for i=1:5,
X=duniformrv(0,10,k);
M(:,i)=cumsum(X)./K;
end;
plot(K,M);
Examples of the function calls (a) samplemean(100) and (b) samplemean(1000)
are shown in Figure 1. Each time samplemean(k) is called produces a random output.
What is observed in these figures is that for small n, m
n
is fairly random but as n gets
13
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large, m
n
gets close to E[X] = 5. Although each sequence m
1
, m
2
, . . . that we generate is
random, the sequences always converges to E[X]. This random convergence is analyzed
in Chapter 7.
14
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Quiz Solutions – Chapter 3
Quiz 3.1
The CDF of Y is
0 2 4
0
0.5
1
y
F
Y
(
y
)
F
Y
(y) =



0 y < 0
y/4 0 ≤ y ≤ 4
1 y > 4
(1)
From the CDF F
Y
(y), we can calculate the probabilities:
(1) P[Y ≤ −1] = F
Y
(−1) = 0
(2) P[Y ≤ 1] = F
Y
(1) = 1/4
(3) P[2 < Y ≤ 3] = F
Y
(3) − F
Y
(2) = 3/4 −2/4 = 1/4
(4) P[Y > 1.5] = 1 − P[Y ≤ 1.5] = 1 − F
Y
(1.5) = 1 −(1.5)/4 = 5/8
Quiz 3.2
(1) First we will find the constant c and then we will sketch the PDF. To find c, we use
the fact that
_

−∞
f
X
(x) dx = 1. We will evaluate this integral using integration by
parts:
_

−∞
f
X
(x) dx =
_

0
cxe
−x/2
dx (1)
= −2cxe
−x/2
¸
¸
¸

0
. ,, .
=0
+
_

0
2ce
−x/2
dx (2)
= −4ce
−x/2
¸
¸
¸

0
= 4c (3)
Thus c = 1/4 and X has the Erlang (n = 2, λ = 1/2) PDF
0 5 10 15
0
0.1
0.2
x
f
X
(
x
)
f
X
(x) =
_
(x/4)e
−x/2
x ≥ 0
0 otherwise
(4)
15
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(2) To find the CDF F
X
(x), we first note X is a nonnegative random variable so that
F
X
(x) = 0 for all x < 0. For x ≥ 0,
F
X
(x) =
_
x
0
f
X
(y) dy =
_
x
0
y
4
e
−y/2
dy (5)
= −
y
2
e
−y/2
¸
¸
¸
x
0

_
x
0

1
2
e
−y/2
dy (6)
= 1 −
x
2
e
−x/2
−e
−x/2
(7)
The complete expression for the CDF is
0 5 10 15
0
0.5
1
x
F
X
(
x
)
F
X
(x) =
_
1 −
_
x
2
+1
_
e
−x/2
x ≥ 0
0 otherwise
(8)
(3) From the CDF F
X
(x),
P [0 ≤ X ≤ 4] = F
X
(4) − F
X
(0) = 1 −3e
−2
. (9)
(4) Similarly,
P [−2 ≤ X ≤ 2] = F
X
(2) − F
X
(−2) = 1 −3e
−1
. (10)
Quiz 3.3
The PDF of Y is
−2 0 2
0
1
2
3
y
f
Y
(
y
)
f
Y
(y) =
_
3y
2
/2 −1 ≤ y ≤ 1,
0 otherwise.
(1)
(1) The expected value of Y is
E [Y] =
_

−∞
y f
Y
(y) dy =
_
1
−1
(3/2)y
3
dy = (3/8)y
4
¸
¸
¸
1
−1
= 0. (2)
Note that the above calculation wasn’t really necessary because E[Y] = 0 whenever
the PDF f
Y
(y) is an even function (i.e., f
Y
(y) = f
Y
(−y)).
(2) The second moment of Y is
E
_
Y
2
_
=
_

−∞
y
2
f
Y
(y) dy =
_
1
−1
(3/2)y
4
dy = (3/10)y
5
¸
¸
¸
1
−1
= 3/5. (3)
16
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(3) The variance of Y is
Var[Y] = E
_
Y
2
_
−(E [Y])
2
= 3/5. (4)
(4) The standard deviation of Y is σ
Y
=

Var[Y] =

3/5.
Quiz 3.4
(1) When X is an exponential (λ) random variable, E[X] = 1/λ and Var[X] = 1/λ
2
.
Since E[X] = 3 and Var[X] = 9, we must have λ = 1/3. The PDF of X is
f
X
(x) =
_
(1/3)e
−x/3
x ≥ 0,
0 otherwise.
(1)
(2) We know X is a uniform (a, b) random variable. To find a and b, we apply Theo-
rem 3.6 to write
E [X] =
a +b
2
= 3 Var[X] =
(b −a)
2
12
= 9. (2)
This implies
a +b = 6, b −a = ±6

3. (3)
The only valid solution with a < b is
a = 3 −3

3, b = 3 +3

3. (4)
The complete expression for the PDF of X is
f
X
(x) =
_
1/(6

3) 3 −3

3 ≤ x < 3 +3

3,
0 otherwise.
(5)
Quiz 3.5
Each of the requested probabilities can be calculated using (z) function and Table 3.1
or Q(z) and Table 3.2. We start with the sketches.
(1) The PDFs of X and Y are shown below. The fact that Y has twice the standard
deviation of X is reflected in the greater spread of f
Y
(y). However, it is important
to remember that as the standard deviation increases, the peak value of the Gaussian
PDF goes down.
−5 0 5
0
0.2
0.4
x y
f
X
(
x
)









f
Y
(
y
)
← f
X
(x)
← f
Y
(y)
17
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) Since X is Gaussian (0, 1),
P [−1 < X ≤ 1] = F
X
(1) − F
X
(−1) (1)
= (1) −(−1) = 2(1) −1 = 0.6826. (2)
(3) Since Y is Gaussian (0, 2),
P [−1 < Y ≤ 1] = F
Y
(1) − F
Y
(−1) (3)
=
_
1
σ
Y
_

_
−1
σ
Y
_
= 2
_
1
2
_
−1 = 0.383. (4)
(4) Again, since X is Gaussian (0, 1), P[X > 3.5] = Q(3.5) = 2.33 ×10
−4
.
(5) Since Y is Gaussian (0, 2), P[Y > 3.5] = Q(
3.5
2
) = Q(1.75) = 1 − (1.75) =
0.0401.
Quiz 3.6
The CDF of X is
−2 0 2
0
0.5
1
x
F
X
(
x
)
F
X
(x) =



0 x < −1,
(x +1)/4 −1 ≤ x < 1,
1 x ≥ 1.
(1)
The following probabilities can be read directly from the CDF:
(1) P[X ≤ 1] = F
X
(1) = 1.
(2) P[X < 1] = F
X
(1

) = 1/2.
(3) P[X = 1] = F
X
(1
+
) − F
X
(1

) = 1 −1/2 = 1/2.
(4) We find the PDF f
Y
(y) by taking the derivative of F
Y
(y). The resulting PDF is
−2 0 2
0
0.5
x
f
X
(
x
)
0.5
f
X
(x) =



1/4 −1 ≤ x < 1,
(1/2)δ(x −1) x = 1,
0 otherwise.
(2)
Quiz 3.7
18
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(1) Since X is always nonnegative, F
X
(x) = 0 for x < 0. Also, F
X
(x) = 1 for x ≥ 2
since its always true that x ≤ 2. Lastly, for 0 ≤ x ≤ 2,
F
X
(x) =
_
x
−∞
f
X
(y) dy =
_
x
0
(1 − y/2) dy = x − x
2
/4. (1)
The complete CDF of X is
−1 0 1 2 3
0
0.5
1
x
F
X
(
x
)
F
X
(x) =



0 x < 0,
x − x
2
/4 0 ≤ x ≤ 2,
1 x > 2.
(2)
(2) The probability that Y = 1 is
P [Y = 1] = P [X ≥ 1] = 1 − F
X
(1) = 1 −3/4 = 1/4. (3)
(3) Since X is nonnegative, Y is also nonnegative. Thus F
Y
(y) = 0 for y < 0. Also,
because Y ≤ 1, F
Y
(y) = 1 for all y ≥ 1. Finally, for 0 < y < 1,
F
Y
(y) = P [Y ≤ y] = P [X ≤ y] = F
X
(y) . (4)
Using the CDF F
X
(x), the complete expression for the CDF of Y is
−1 0 1 2 3
0
0.5
1
y
F
Y
(
y
)
F
Y
(y) =



0 y < 0,
y − y
2
/4 0 ≤ y < 1,
1 y ≥ 1.
(5)
As expected, we see that the jump in F
Y
(y) at y = 1 is exactly equal to P[Y = 1].
(4) By taking the derivative of F
Y
(y), we obtain the PDF f
Y
(y). Note that when y < 0
or y > 1, the PDF is zero.
−1 0 1 2 3
0
0.5
1
1.5
y
f
Y
(
y
)
0.25
f
Y
(y) =
_
1 − y/2 +(1/4)δ(y −1) 0 ≤ y ≤ 1
0 otherwise
(6)
Quiz 3.8
(1) P[Y ≤ 6] =
_
6
−∞
f
Y
(y) dy =
_
6
0
(1/10) dy = 0.6 .
19
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) From Definition 3.15, the conditional PDF of Y given Y ≤ 6 is
f
Y|Y≤6
(y) =
_
f
Y
(y)
P[Y≤6]
y ≤ 6,
0 otherwise,
=
_
1/6 0 ≤ y ≤ 6,
0 otherwise.
(1)
(3) The probability Y > 8 is
P [Y > 8] =
_
10
8
1
10
dy = 0.2 . (2)
(4) From Definition 3.15, the conditional PDF of Y given Y > 8 is
f
Y|Y>8
(y) =
_
f
Y
(y)
P[Y>8]
y > 8,
0 otherwise,
=
_
1/2 8 < y ≤ 10,
0 otherwise.
(3)
(5) From the conditional PDF f
Y|Y≤6
(y), we can calculate the conditional expectation
E [Y|Y ≤ 6] =
_

−∞
y f
Y|Y≤6
(y) dy =
_
6
0
y
6
dy = 3. (4)
(6) From the conditional PDF f
Y|Y>8
(y), we can calculate the conditional expectation
E [Y|Y > 8] =
_

−∞
y f
Y|Y>8
(y) dy =
_
10
8
y
2
dy = 9. (5)
Quiz 3.9
A natural way to produce random variables with PDF f
T|T>2
(t ) is to generate samples
of T with PDF f
T
(t ) and then to discard those samples which fail to satisfy the condition
T > 2. Here is a MATLAB function that uses this method:
function t=t2rv(m)
i=0;lambda=1/3;
t=zeros(m,1);
while (i<m),
x=exponentialrv(lambda,1);
if (x>2)
t(i+1)=x;
i=i+1;
end
end
A second method exploits the fact that if T is an exponential (λ) random variable, then
T

= T +2 has PDF f
T
(t ) = f
T|T>2
(t ). In this case the command
t=2.0+exponentialrv(1/3,m)
generates the vector t.
20
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 4
Quiz 4.1
Each value of the joint CDF can be found by considering the corresponding probability.
(1) F
X,Y
(−∞, 2) = P[X ≤ −∞, Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on
the value −∞.
(2) F
X,Y
(∞, ∞) = P[X ≤ ∞, Y ≤ ∞] = 1. This result is given in Theorem 4.1.
(3) F
X,Y
(∞, y) = P[X ≤ ∞, Y ≤ y] = P[Y ≤ y] = F
Y
(y).
(4) F
X,Y
(∞, −∞) = P[X ≤ ∞, Y ≤ −∞] = 0 since Y cannot take on the value −∞.
Quiz 4.2
From the joint PMF of Q and G given in the table, we can calculate the requested
probabilities by summing the PMF over those values of Q and G that correspond to the
event.
(1) The probability that Q = 0 is
P [Q = 0] = P
Q,G
(0, 0) + P
Q,G
(0, 1) + P
Q,G
(0, 2) + P
Q,G
(0, 3) (1)
= 0.06 +0.18 +0.24 +0.12 = 0.6 (2)
(2) The probability that Q = G is
P [Q = G] = P
Q,G
(0, 0) + P
Q,G
(1, 1) = 0.18 (3)
(3) The probability that G > 1 is
P [G > 1] =
3

g=2
1

q=0
P
Q,G
(q, g) (4)
= 0.24 +0.16 +0.12 +0.08 = 0.6 (5)
(4) The probability that G > Q is
P [G > Q] =
1

q=0
3

g=q+1
P
Q,G
(q, g) (6)
= 0.18 +0.24 +0.12 +0.16 +0.08 = 0.78 (7)
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Quiz 4.3
By Theorem 4.3, the marginal PMF of H is
P
H
(h) =

b=0,2,4
P
H,B
(h, b) (1)
For each value of h, this corresponds to calculating the row sum across the table of the joint
PMF. Similarly, the marginal PMF of B is
P
B
(b) =
1

h=−1
P
H,B
(h, b) (2)
For each value of b, this corresponds to the column sum down the table of the joint PMF.
The easiest way to calculate these marginal PMFs is to simply sum each row and column:
P
H,B
(h, b) b = 0 b = 2 b = 4 P
H
(h)
h = −1 0 0.4 0.2 0.6
h = 0 0.1 0 0.1 0.2
h = 1 0.1 0.1 0 0.2
P
B
(b) 0.2 0.5 0.3
(3)
Quiz 4.4
To find the constant c, we apply
_

−∞
_

−∞
f
X,Y
(x, y) dx dy = 1. Specifically,
_

−∞
_

−∞
f
X,Y
(x, y) dx dy =
_
2
0
_
1
0
cxy dx dy (1)
= c
_
2
0
y
_
x
2
/2
¸
¸
¸
1
0
_
dy (2)
= (c/2)
_
2
0
y dy = (c/4)y
2
¸
¸
¸
2
0
= c (3)
Thus c = 1. To calculate P[A], we write
P [A] =
__
A
f
X,Y
(x, y) dx dy (4)
To integrate over A, we convert to polar coordinates using the substitutions x = r cos θ,
y = r sin θ and dx dy = r dr dθ, yielding
Y
X
1
1
2
A
P [A] =
_
π/2
0
_
1
0
r
2
sin θ cos θ r dr dθ (5)
=
_
_
1
0
r
3
dr
__
_
π/2
0
sin θ cos θ dθ
_
(6)
=
_
r
4
/4
¸
¸
¸
1
0
_


sin
2
θ
2
¸
¸
¸
¸
¸
π/2
0


= 1/8 (7)
22
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 4.5
By Theorem 4.8, the marginal PDF of X is
f
X
(x) =
_

−∞
f
X,Y
(x, y) dy (1)
For x < 0 or x > 1, f
X
(x) = 0. For 0 ≤ x ≤ 1,
f
X
(x) =
6
5
_
1
0
(x + y
2
) dy =
6
5
_
xy + y
3
/3

¸
¸
y=1
y=0
=
6
5
(x +1/3) =
6x +2
5
(2)
The complete expression for the PDf of X is
f
X
(x) =
_
(6x +2)/5 0 ≤ x ≤ 1
0 otherwise
(3)
By the same method we obtain the marginal PDF for Y. For 0 ≤ y ≤ 1,
f
Y
(y) =
_

−∞
f
X,Y
(x, y) dy (4)
=
6
5
_
1
0
(x + y
2
) dx =
6
5
_
x
2
/2 + xy
2

¸
¸
x=1
x=0
=
6
5
(1/2 + y
2
) =
3 +6y
2
5
(5)
Since f
Y
(y) = 0 for y < 0 or y > 1, the complete expression for the PDF of Y is
f
Y
(y) =
_
(3 +6y
2
)/5 0 ≤ y ≤ 1
0 otherwise
(6)
Quiz 4.6
(A) The time required for the transfer is T = L/B. For each pair of values of L and B,
we can calculate the time T needed for the transfer. We can write these down on the
table for the joint PMF of L and B as follows:
P
L,B
(l, b) b = 14, 400 b = 21, 600 b = 28, 800
l = 518, 400 0.20 (T=36) 0.10 (T=24) 0.05 (T=18)
l = 2, 592, 000 0.05 (T=180) 0.10 (T=120) 0.20 (T=90)
l = 7, 776, 000 0.00 (T=540) 0.10 (T=360) 0.20 (T=270)
From the table, writing down the PMF of T is straightforward.
P
T
(t ) =























0.05 t = 18
0.1 t = 24
0.2 t = 36, 90
0.1 t = 120
0.05 t = 180
0.2 t = 270
0.1 t = 360
0 otherwise
(1)
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(B) First, we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1, W = XY satisfies
0 ≤ W ≤ 1. Thus f
W
(0) = 0 and f
W
(1) = 1. For 0 < w < 1, we calculate the
CDF F
W
(w) = P[W ≤ w]. As shown below, integrating over the region W ≤ w
is fairly complex. The calculus is simpler if we integrate over the region XY > w.
Specifically,
Y
X
1
1
XY > w
w
w
XY = w
F
W
(w) = 1 − P [XY > w] (2)
= 1 −
_
1
w
_
1
w/x
dy dx (3)
= 1 −
_
1
w
(1 −w/x) dx (4)
= 1 −
_
x −wln x|
x=1
x=w
_
(5)
= 1 −(1 −w +wln w) = w −wln w (6)
The complete expression for the CDF is
F
W
(w) =



0 w < 0
w −wln w 0 ≤ w ≤ 1
1 w > 1
(7)
By taking the derivative of the CDF, we find the PDF is
f
W
(w) =
d F
W
(w)
dw
=



0 w < 0
−ln w 0 ≤ w ≤ 1
0 w > 1
(8)
Quiz 4.7
(A) It is helpful to first make a table that includes the marginal PMFs.
P
L,T
(l, t ) t = 40 t = 60 P
L
(l)
l = 1 0.15 0.1 0.25
l = 2 0.3 0.2 0.5
l = 3 0.15 0.1 0.25
P
T
(t ) 0.6 0.4
(1) The expected value of L is
E [L] = 1(0.25) +2(0.5) +3(0.25) = 2. (1)
Since the second moment of L is
E
_
L
2
_
= 1
2
(0.25) +2
2
(0.5) +3
2
(0.25) = 4.5, (2)
the variance of L is
Var [L] = E
_
L
2
_
−(E [L])
2
= 0.5. (3)
24
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) The expected value of T is
E [T] = 40(0.6) +60(0.4) = 48. (4)
The second moment of T is
E
_
T
2
_
= 40
2
(0.6) +60
2
(0.4) = 2400. (5)
Thus
Var[T] = E
_
T
2
_
−(E [T])
2
= 2400 −48
2
= 96. (6)
(3) The correlation is
E [LT] =

t =40,60
3

l=1
lt P
LT
(lt ) (7)
= 1(40)(0.15) +2(40)(0.3) +3(40)(0.15) (8)
+1(60)(0.1) +2(60)(0.2) +3(60)(0.1) (9)
= 96 (10)
(4) From Theorem 4.16(a), the covariance of L and T is
Cov [L, T] = E [LT] − E [L] E [T] = 96 −2(48) = 0 (11)
(5) Since Cov[L, T] = 0, the correlation coefficient is ρ
L,T
= 0.
(B) As in the discrete case, the calculations become easier if we first calculate the marginal
PDFs f
X
(x) and f
Y
(y). For 0 ≤ x ≤ 1,
f
X
(x) =
_

−∞
f
X,Y
(x, y) dy =
_
2
0
xy dy =
1
2
xy
2
¸
¸
¸
¸
y=2
y=0
= 2x (12)
Similarly, for 0 ≤ y ≤ 2,
f
Y
(y) =
_

−∞
f
X,Y
(x, y) dx =
_
2
0
xy dx =
1
2
x
2
y
¸
¸
¸
¸
x=1
x=0
=
y
2
(13)
The complete expressions for the marginal PDFs are
f
X
(x) =
_
2x 0 ≤ x ≤ 1
0 otherwise
f
Y
(y) =
_
y/2 0 ≤ y ≤ 2
0 otherwise
(14)
From the marginal PDFs, it is straightforward to calculate the various expectations.
25
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(1) The first and second moments of X are
E [X] =
_

−∞
x f
X
(x) dx =
_
1
0
2x
2
dx =
2
3
(15)
E
_
X
2
_
=
_

−∞
x
2
f
X
(x) dx =
_
1
0
2x
3
dx =
1
2
(16)
(17)
The variance of X is Var[X] = E[X
2
] −(E[X])
2
= 1/18.
(2) The first and second moments of Y are
E [Y] =
_

−∞
y f
Y
(y) dy =
_
2
0
1
2
y
2
dy =
4
3
(18)
E
_
Y
2
_
=
_

−∞
y
2
f
Y
(y) dy =
_
2
0
1
2
y
3
dy = 2 (19)
The variance of Y is Var[Y] = E[Y
2
] −(E[Y])
2
= 2 −16/9 = 2/9.
(3) The correlation of X and Y is
E [XY] =
_

−∞
_

−∞
xy f
X,Y
(x, y) dx, dy (20)
=
_
1
0
_
2
0
x
2
y
2
dx, dy =
x
3
3
¸
¸
¸
¸
1
0
y
3
3
¸
¸
¸
¸
2
0
=
8
9
(21)
(4) The covariance of X and Y is
Cov [X, Y] = E [XY] − E [X] E [Y] =
8
9

_
2
3
__
4
3
_
= 0. (22)
(5) Since Cov[X, Y] = 0, the correlation coefficient is ρ
X,Y
= 0.
Quiz 4.8
(A) Since the event V > 80 occurs only for the pairs (L, T) = (2, 60), (L, T) = (3, 40)
and (L, T) = (3, 60),
P [A] = P [V > 80] = P
L,T
(2, 60) + P
L,T
(3, 40) + P
L,T
(3, 60) = 0.45 (1)
By Definition 4.9,
P
L,T| A
(l, t ) =
_
P
L,T
(l,t )
P[A]
lt > 80
0 otherwise
(2)
26
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We can represent this conditional PMF in the following table:
P
L,T| A
(l, t ) t = 40 t = 60
l = 1 0 0
l = 2 0 4/9
l = 3 1/3 2/9
The conditional expectation of V can be found from the conditional PMF.
E [V| A] =

l

t
lt P
L,T| A
(l, t ) (3)
= (2 · 60)
4
9
+(3 · 40)
1
3
+(3 · 60)
2
9
= 133
1
3
(4)
For the conditional variance Var[V| A], we first find the conditional second moment
E
_
V
2
| A
_
=

l

t
(lt )
2
P
L,T| A
(l, t ) (5)
= (2 · 60)
2
4
9
+(3 · 40)
2
1
3
+(3 · 60)
2
2
9
= 18, 400 (6)
It follows that
Var [V| A] = E
_
V
2
| A
_
−(E [V| A])
2
= 622
2
9
(7)
(B) For continuous random variables X and Y, we first calculate the probability of the
conditioning event.
P [B] =
__
B
f
X,Y
(x, y) dx dy =
_
60
40
_
3
80/y
xy
4000
dx dy (8)
=
_
60
40
y
4000
_
x
2
2
¸
¸
¸
¸
3
80/y
_
dy (9)
=
_
60
40
y
4000
_
9
2

3200
y
2
_
dy (10)
=
9
8

4
5
ln
3
2
≈ 0.801 (11)
The conditional PDF of X and Y is
f
X,Y|B
(x, y) =
_
f
X,Y
(x, y) /P [B] (x, y) ∈ B
0 otherwise
(12)
=
_
Kxy 40 ≤ y ≤ 60, 80/y ≤ x ≤ 3
0 otherwise
(13)
27
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
where K = (4000P[B])
−1
. The conditional expectation of W given event B is
E [W|B] =
_

−∞
_

−∞
xy f
X,Y|B
(x, y) dx dy (14)
=
_
60
40
_
3
80/y
Kx
2
y
2
dx dy (15)
= (K/3)
_
60
40
y
2
x
3
¸
¸
¸
x=3
x=80/y
dy (16)
= (K/3)
_
60
40
_
27y
2
−80
3
/y
_
dy (17)
= (K/3)
_
9y
3
−80
3
ln y

¸
¸
60
40
≈ 120.78 (18)
The conditional second moment of K given B is
E
_
W
2
|B
_
=
_

−∞
_

−∞
(xy)
2
f
X,Y|B
(x, y) dx dy (19)
=
_
60
40
_
3
80/y
Kx
3
y
3
dx dy (20)
= (K/4)
_
60
40
y
3
x
4
¸
¸
¸
x=3
x=80/y
dy (21)
= (K/4)
_
60
40
_
81y
3
−80
4
/y
_
dy (22)
= (K/4)
_
(81/4)y
4
−80
4
ln y

¸
¸
60
40
≈ 16, 116.10 (23)
It follows that the conditional variance of W given B is
Var [W|B] = E
_
W
2
|B
_
−(E [W|B])
2
≈ 1528.30 (24)
Quiz 4.9
(A) (1) The joint PMF of A and B can be found from the marginal and conditional
PMFs via P
A,B
(a, b) = P
B| A
(b|a)P
A
(a). Incorporating the information from
the given conditional PMFs can be confusing, however. Consequently, we can
note that A has range S
A
= {0, 2} and B has range S
B
= {0, 1}. A table of the
joint PMF will include all four possible combinations of A and B. The general
form of the table is
P
A,B
(a, b) b = 0 b = 1
a = 0 P
B| A
(0|0)P
A
(0) P
B| A
(1|0)P
A
(0)
a = 2 P
B| A
(0|2)P
A
(2) P
B| A
(1|2)P
A
(2)
28
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Substituting values from P
B| A
(b|a) and P
A
(a), we have
P
A,B
(a, b) b = 0 b = 1
a = 0 (0.8)(0.4) (0.2)(0.4)
a = 2 (0.5)(0.6) (0.5)(0.6)
or
P
A,B
(a, b) b = 0 b = 1
a = 0 0.32 0.08
a = 2 0.3 0.3
(2) Given the conditional PMF P
B| A
(b|2), it is easy to calculate the conditional
expectation
E [B| A = 2] =
1

b=0
bP
B| A
(b|2) = (0)(0.5) +(1)(0.5) = 0.5 (1)
(3) From the joint PMF P
A,B
(a, b), we can calculate the the conditional PMF
P
A|B
(a|0) =
P
A,B
(a, 0)
P
B
(0)
=



0.32/0.62 a = 0
0.3/0.62 a = 2
0 otherwise
(2)
=



16/31 a = 0
15/31 a = 2
0 otherwise
(3)
(4) We can calculate the conditional variance Var[A|B = 0] using the conditional
PMF P
A|B
(a|0). First we calculate the conditional expected value
E [A|B = 0] =

a
aP
A|B
(a|0) = 0(16/31) +2(15/31) = 30/31 (4)
The conditional second moment is
E
_
A
2
|B = 0
_
=

a
a
2
P
A|B
(a|0) = 0
2
(16/31) +2
2
(15/31) = 60/31 (5)
The conditional variance is then
Var[A|B = 0] = E
_
A
2
|B = 0
_
−(E [A|B = 0])
2
=
960
961
(6)
(B) (1) The joint PDF of X and Y is
f
X,Y
(x, y) = f
Y|X
(y|x) f
X
(x) =
_
6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1
0 otherwise
(7)
(2) From the given conditional PDF f
Y|X
(y|x),
f
Y|X
(y|1/2) =
_
8y 0 ≤ y ≤ 1/2
0 otherwise
(8)
29
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(3) The conditional PDF of Y given X = 1/2 is f
X|Y
(x|1/2) = f
X,Y
(x, 1/2)/f
Y
(1/2).
To find f
Y
(1/2), we integrate the joint PDF.
f
Y
(1/2) =
_

−∞
f
X,1/2
( ) dx =
_
1
1/2
6(1/2) dx = 3/2 (9)
Thus, for 1/2 ≤ x ≤ 1,
f
X|Y
(x|1/2) =
f
X,Y
(x, 1/2)
f
Y
(1/2)
=
6(1/2)
3/2
= 2 (10)
(4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X
is uniform (1/2, 1). Thus, by the definition of the uniform (a, b) PDF,
Var [X|Y = 1/2] =
(1 −1/2)
2
12
=
1
48
(11)
Quiz 4.10
(A) (1) For random variables X and Y from Example 4.1, we observe that P
Y
(1) =
0.09 and P
X
(0) = 0.01. However,
P
X,Y
(0, 1) = 0 = P
X
(0) P
Y
(1) (1)
Since we have found a pair x, y such that P
X,Y
(x, y) = P
X
(x)P
Y
(y), we can
conclude that X and Y are dependent. Note that whenever P
X,Y
(x, y) = 0,
independence requires that either P
X
(x) = 0 or P
Y
(y) = 0.
(2) For random variables Q and G from Quiz 4.2, it is not obvious whether they
are independent. Unlike X and Y in part (a), there are no obvious pairs q, g
that fail the independence requirement. In this case, we calculate the marginal
PMFs from the table of the joint PMF P
Q,G
(q, g) in Quiz 4.2.
P
Q,G
(q, g) g = 0 g = 1 g = 2 g = 3 P
Q
(q)
q = 0 0.06 0.18 0.24 0.12 0.60
q = 1 0.04 0.12 0.16 0.08 0.40
P
G
(g) 0.10 0.30 0.40 0.20
Careful study of the table will verify that P
Q,G
(q, g) = P
Q
(q)P
G
(g) for every
pair q, g. Hence Q and G are independent.
(B) (1) Since X
1
and X
2
are independent,
f
X
1
,X
2
(x
1
, x
2
) = f
X
1
(x
1
) f
X
2
(x
2
) (2)
=
_
(1 − x
1
/2)(1 − x
2
/2) 0 ≤ x
1
≤ 2, 0 ≤ x
2
≤ 2
0 otherwise
(3)
30
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) Let F
X
(x) denote the CDF of both X
1
and X
2
. The CDF of Z = max(X
1
, X
2
)
is found by observing that Z ≤ z iff X
1
≤ z and X
2
≤ z. That is,
P [Z ≤ z] = P [X
1
≤ z, X
2
≤ z] (4)
= P [X
1
≤ z] P [X
2
≤ z] = [F
X
(z)]
2
(5)
To complete the problem, we need to find the CDF of each X
i
. From the PDF
f
X
(x), the CDF is
F
X
(x) =
_
x
−∞
f
X
(y) dy =



0 x < 0
x − x
2
/4 0 ≤ x ≤ 2
1 x > 2
(6)
Thus for 0 ≤ z ≤ 2,
F
Z
(z) = (z − z
2
/4)
2
(7)
The complete expression for the CDF of Z is
F
Z
(z) =



0 z < 0
(z − z
2
/4)
2
0 ≤ z ≤ 2
1 z > 1
(8)
Quiz 4.11
This problem just requires identifying the various terms in Definition 4.17 and Theo-
rem 4.29. Specifically, from the problem statement, we know that ρ = 1/2,
µ
1
= µ
X
= 0, µ
2
= µ
Y
= 0, (1)
and that
σ
1
= σ
X
= 1, σ
2
= σ
Y
= 1. (2)
(1) Applying these facts to Definition 4.17, we have
f
X,Y
(x, y) =
1


2
e
−2(x
2
−xy+y
2
)/3
. (3)
(2) By Theorem 4.30, the conditional expected value and standard deviation of X given
Y = y are
E [X|Y = y] = y/2 ˜ σ
X
= σ
2
1
(1 −ρ
2
) =
_
3/4. (4)
When Y = y = 2, we see that E[X|Y = 2] = 1 and Var[X|Y = 2] = 3/4. The
conditional PDF of X given Y = 2 is simply the Gaussian PDF
f
X|Y
(x|2) =
1

3π/2
e
−2(x−1)
2
/3
. (5)
31
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Quiz 4.12
One straightforward method is to follow the approach of Example 4.28. Instead, we use
an alternate approach. First we observe that X has the discrete uniform (1, 4) PMF. Also,
given X = x, Y has a discrete uniform (1, x) PMF. That is,
P
X
(x) =
_
1/4 x = 1, 2, 3, 4,
0 otherwise,
P
Y|X
(y|x) =
_
1/x y = 1, . . . , x
0 otherwise
(1)
Given X = x, and an independent uniform (0, 1) random variable U, we can generate a
sample value of Y with a discrete uniform (1, x) PMF via Y = xU. This observation
prompts the following program:
function xy=dtrianglerv(m)
sx=[1;2;3;4];
px=0.25*ones(4,1);
x=finiterv(sx,px,m);
y=ceil(x.*rand(m,1));
xy=[x’;y’];
32
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 5
Quiz 5.1
We find P[C] by integrating the joint PDF over the region of interest. Specifically,
P [C] =
_
1/2
0
dy
2
_
y
2
0
dy
1
_
1/2
0
dy
4
_
y
4
0
4dy
3
(1)
= 4
_
_
1/2
0
y
2
dy
2
__
_
1/2
0
y
4
dy
4
_
= 1/4. (2)
Quiz 5.2
By definition of A, Y
1
= X
1
, Y
2
= X
2
−X
1
and Y
3
= X
3
−X
2
. Since 0 < X
1
< X
2
<
X
3
, each Y
i
must be a strictly positive integer. Thus, for y
1
, y
2
, y
3
∈ {1, 2, . . .},
P
Y
(y) = P [Y
1
= y
1
, Y
2
= y
2
, Y
3
= y
3
] (1)
= P [X
1
= y
1
, X
2
− X
1
= y
2
, X
3
− X
2
= y
3
] (2)
= P [X
1
= y
1
, X
2
= y
2
+ y
1
, X
3
= y
3
+ y
2
+ y
1
] (3)
= (1 − p)
3
p
y
1
+y
2
+y
3
(4)
By defining the vector a =
_
1 1 1
_

, the complete expression for the joint PMF of Y is
P
Y
(y) =
_
(1 − p) p
a

y
y
1
, y
2
, y
3
∈ {1, 2, . . .}
0 otherwise
(5)
Quiz 5.3
First we note that each marginal PDF is nonzero only if any subset of the x
i
obeys the
ordering contraints 0 ≤ x
1
≤ x
2
≤ x
3
≤ 1. Within these constraints, we have
f
X
1
,X
2
(x
1
, x
2
) =
_

−∞
f
X
(x) dx
3
=
_
1
x
2
6 dx
3
= 6(1 − x
2
), (1)
f
X
2
,X
3
(x
2
, x
3
) =
_

−∞
f
X
(x) dx
1
=
_
x
2
0
6 dx
1
= 6x
2
, (2)
f
X
1
,X
3
(x
1
, x
3
) =
_

−∞
f
X
(x) dx
2
=
_
x
3
x
1
6 dx
2
= 6(x
3
− x
1
). (3)
In particular, we must keep in mind that f
X
1
,X
2
(x
1
, x
2
) = 0 unless 0 ≤ x
1
≤ x
2
≤ 1,
f
X
2
,X
3
(x
2
, x
3
) = 0 unless 0 ≤ x
2
≤ x
3
≤ 1, and that f
X
1
,X
3
(x
1
, x
3
) = 0 unless 0 ≤ x
1

33
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
x
3
≤ 1. The complete expressions are
f
X
1
,X
2
(x
1
, x
2
) =
_
6(1 − x
2
) 0 ≤ x
1
≤ x
2
≤ 1
0 otherwise
(4)
f
X
2
,X
3
(x
2
, x
3
) =
_
6x
2
0 ≤ x
2
≤ x
3
≤ 1
0 otherwise
(5)
f
X
1
,X
3
(x
1
, x
3
) =
_
6(x
3
− x
1
) 0 ≤ x
1
≤ x
3
≤ 1
0 otherwise
(6)
Now we can find the marginal PDFs. When 0 ≤ x
i
≤ 1 for each x
i
,
f
X
1
(x
1
) =
_

−∞
f
X
1
,X
2
(x
1
, x
2
) dx
2
=
_
1
x
1
6(1 − x
2
) dx
2
= 3(1 − x
1
)
2
(7)
f
X
2
(x
2
) =
_

−∞
f
X
2
,X
3
(x
2
, x
3
) dx
3
=
_
1
x
2
6x
2
dx
3
= 6x
2
(1 − x
2
) (8)
f
X
3
(x
3
) =
_

−∞
f
X
2
,X
3
(x
2
, x
3
) dx
2
=
_
x
3
0
6x
2
dx
2
= 3x
2
3
(9)
The complete expressions are
f
X
1
(x
1
) =
_
3(1 − x
1
)
2
0 ≤ x
1
≤ 1
0 otherwise
(10)
f
X
2
(x
2
) =
_
6x
2
(1 − x
2
) 0 ≤ x
2
≤ 1
0 otherwise
(11)
f
X
3
(x
3
) =
_
3x
2
3
0 ≤ x
3
≤ 1
0 otherwise
(12)
Quiz 5.4
In the PDF f
Y
(y), the components have dependencies as a result of the ordering con-
straints Y
1
≤ Y
2
and Y
3
≤ Y
4
. We can separate these constraints by creating the vectors
V =
_
Y
1
Y
2
_
, W =
_
Y
3
Y
4
_
. (1)
The joint PDF of V and W is
f
V,W
(v, w) =
_
4 0 ≤ v
1
≤ v
2
≤ 1, 0 ≤ w
1
≤ w
2
≤ 1
0 otherwise
(2)
34
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
We must verify that V and W are independent. For 0 ≤ v
1
≤ v
2
≤ 1,
f
V
(v) =
__
f
V,W
(v, w) dw
1
dw
2
(3)
=
_
1
0
_
_
1
w
1
4 dw
2
_
dw
1
(4)
=
_
1
0
4(1 −w
1
) dw
1
= 2 (5)
Similarly, for 0 ≤ w
1
≤ w
2
≤ 1,
f
W
(w) =
__
f
V,W
(v, w) dv
1
dv
2
(6)
=
_
1
0
_
_
1
v
1
4 dv
2
_
dv
1
= 2 (7)
It follows that V and W have PDFs
f
V
(v) =
_
2 0 ≤ v
1
≤ v
2
≤ 1
0 otherwise
, f
W
(w) =
_
2 0 ≤ w
1
≤ w
2
≤ 1
0 otherwise
(8)
It is easy to verify that f
V,W
(v, w) = f
V
(v) f
W
(w), confirming that V and W are indepen-
dent vectors.
Quiz 5.5
(A) Referring to Theorem 1.19, each test is a subexperiment with three possible out-
comes: L, A and R. In five trials, the vector X =
_
X
1
X
2
X
3
_

indicating the
number of outcomes of each subexperiment has the multinomial PMF
P
X
(x) =



_
5
x
1
,x
2
,x
3
_
(0.3)
x
1
(0.6)
x
2
(0.1)
x
3
x
1
+ x
2
+ x
3
= 5;
x
1
, x
2
, x
3
∈ {0, 1, . . . , 5}
0 otherwise
(1)
We can find the marginal PMF for each X
i
from the joint PMF P
X
(x); however it
is simpler to just start from first principles and observe that X
1
is the number of
occurrences of L in five independent tests. If we view each test as a trial with success
probability P[L] = 0.3, we see that X
1
is a binomial (n, p) = (5, 0.3) random
variable. Similarly, X
2
is a binomial (5, 0.6) random variable and X
3
is a binomial
(5, 0.1) random variable. That is, for p
1
= 0.3, p
2
= 0.6 and p
3
= 0.1,
P
X
i
(x) =
_ _
5
x
_
p
x
i
(1 − p
i
)
5−x
x = 0, 1, . . . , 5
0 otherwise
(2)
35
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
From the marginal PMFs, we see that X
1
, X
2
and X
3
are not independent. Hence, we
must use Theorem 5.6 to find the PMF of W. In particular, since X
1
+ X
2
+ X
3
= 5
and since each X
i
is non-negative, P
W
(0) = P
W
(1) = 0. Furthermore,
P
W
(2) = P
X
(1, 2, 2) + P
X
(2, 1, 2) + P
X
(2, 2, 1) (3)
=
5![0.3(0.6)
2
(0.1)
2
+0.3
2
(0.6)(0.1)
2
+0.3
2
(0.6)
2
(0.1)]
2!2!1!
(4)
= 0.1458 (5)
In addition, for w = 3, w = 4, and w = 5, the event W = w occurs if and only if
one of the mutually exclusive events X
1
= w, X
2
= w, or X
3
= w occurs. Thus,
P
W
(3) = P
X
1
(3) + P
X
2
(3) + P
X
3
(3) = 0.486 (6)
P
W
(4) = P
X
1
(4) + P
X
2
(4) + P
X
3
(4) = 0.288 (7)
P
W
(5) = P
X
1
(5) + P
X
2
(5) + P
X
3
(5) = 0.0802 (8)
(B) Since each Y
i
= 2X
i
+4, we can apply Theorem 5.10 to write
f
Y
(y) =
1
2
3
f
X
_
y
1
−4
2
,
y
2
−4
2
,
y
3
−4
2
_
(9)
=
_
(1/8)e
−(y
3
−4)/2
4 ≤ y
1
≤ y
2
≤ y
3
0 otherwise
(10)
Note that for other matrices A, the constraints on y resulting from the constraints
0 ≤ X
1
≤ X
2
≤ X
3
can be much more complicated.
Quiz 5.6
We start by finding the components E[X
i
] =
_

−∞
x f
X
i
(x) dx of µ
X
. To do so, we use
the marginal PDFs f
X
i
(x) found in Quiz 5.3:
E [X
1
] =
_
1
0
3x(1 − x)
2
dx = 1/4, (1)
E [X
2
] =
_
1
0
6x
2
(1 − x) dx = 1/2, (2)
E [X
3
] =
_
1
0
3x
3
dx = 3/4. (3)
To find the correlation matrix R
X
, we need to find E[X
i
X
j
] for all i and j . We start with
36
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
the second moments:
E
_
X
2
1
_
=
_
1
0
3x
2
(1 − x)
2
dx = 1/10. (4)
E
_
X
2
2
_
=
_
1
0
6x
3
(1 − x) dx = 3/10. (5)
E
_
X
2
3
_
=
_
1
0
3x
4
dx = 3/5. (6)
Using marginal PDFs from Quiz 5.3, the cross terms are
E [X
1
X
2
] =
_

−∞
_

−∞
x
1
x
2
f
X
1
,X
2
(x
1
, x
2
) , dx
1
dx
2
(7)
=
_
1
0
_
_
1
x
1
6x
1
x
2
(1 − x
2
) dx
2
_
dx
1
(8)
=
_
1
0
[x
1
−3x
3
1
+2x
4
1
] dx
1
= 3/20. (9)
E [X
2
X
3
] =
_
1
0
_
1
x
2
6x
2
2
x
3
dx
3
dx
2
(10)
=
_
1
0
[3x
2
2
−3x
4
2
] dx
2
= 2/5 (11)
E [X
1
X
3
] =
_
1
0
_
1
x
1
6x
1
x
3
(x
3
− x
1
) dx
3
dx
1
. (12)
=
_
1
0
_
(2x
1
x
3
3
−3x
2
1
x
2
3
)
¸
¸
¸
x
3
=1
x
3
=x
1
_
dx
1
(13)
=
_
1
0
[2x
1
−3x
2
1
+ x
4
1
] dx
1
= 1/5. (14)
Summarizing the results, X has correlation matrix
R
X
=


1/10 3/20 1/5
3/20 3/10 2/5
1/5 2/5 3/5


. (15)
Vector X has covariance matrix
C
X
= R
X
− E [X] E [X]

(16)
=


1/10 3/20 1/5
3/20 3/10 2/5
1/5 2/5 3/5





1/4
1/2
3/4


_
1/4 1/2 3/4
_
(17)
=


1/10 3/20 1/5
3/20 3/10 2/5
1/5 2/5 3/5





1/16 1/8 3/16
1/8 1/4 3/8
3/16 3/8 9/16


=
1
80


3 2 1
2 4 2
1 2 3


. (18)
37
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
This problemshows that even for fairly simple joint PDFs, computing the covariance matrix
by calculus can be a time consuming task.
Quiz 5.7
We observe that X = AZ +b where
A =
_
2 1
1 −1
_
, b =
_
2
0
_
. (1)
It follows from Theorem 5.18 that µ
X
= b and that
C
X
= AA

=
_
2 1
1 −1
_ _
2 1
1 −1
_
=
_
5 1
1 2
_
. (2)
Quiz 5.8
First, we observe that Y = AT where A =
_
1/31 1/31 · · · 1/31
_

. Since T is a
Gaussian random vector, Theorem 5.16 tells us that Y is a 1 dimensional Gaussian vector,
i.e., just a Gaussian random variable. The expected value of Y is µ
Y
= µ
T
= 80. The
covariance matrix of Y is 1 × 1 and is just equal to Var[Y]. Thus, by Theorem 5.16,
Var[Y] = AC
T
A

.
function p=julytemps(T);
[D1 D2]=ndgrid((1:31),(1:31));
CT=36./(1+abs(D1-D2));
A=ones(31,1)/31.0;
CY=(A’)*CT*A;
p=phi((T-80)/sqrt(CY));
In julytemps.m, the first two lines gen-
erate the 31 ×31 covariance matrix CT, or
C
T
. Next we calculate Var[Y]. The final
step is to use the (·) function to calculate
P[Y < T].
Here is the output of julytemps.m:
>> julytemps([70 75 80 85 90 95])
ans =
0.0000 0.0221 0.5000 0.9779 1.0000 1.0000
Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.0000. Its
just that the MATLAB’s short format output, invoked with the command format short,
rounds off those probabilities. Here is the long format output:
>> format long
>> julytemps([70 75 80 85 90 95])
ans =
Columns 1 through 4
0.00002844263128 0.02207383067604 0.50000000000000 0.97792616932396
Columns 5 through 6
0.99997155736872 0.99999999922010
38
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
The ndgrid function is a useful to way calculate many covariance matrices. However, in
this problem, C
X
has a special structure; the i, j th element is
C
T
(i, j ) = c
|i −j |
=
36
1 +|i − j |
. (1)
If we write out the elements of the covariance matrix, we see that
C
T
=





c
0
c
1
· · · c
30
c
1
c
0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
. c
1
c
30
· · · c
1
c
0





. (2)
This covariance matrix is known as a symmetric Toeplitz matrix. We will see in Chap-
ters 9 and 11 that Toeplitz covariance matrices are quite common. In fact, MATLAB has a
toeplitz function for generating them. The function julytemps2 use the toeplitz
to generate the correlation matrix C
T
.
function p=julytemps2(T);
c=36./(1+abs(0:30));
CT=toeplitz(c);
A=ones(31,1)/31.0;
CY=(A’)*CT*A;
p=phi((T-80)/sqrt(CY));
39
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 6
Quiz 6.1
Let K
1
, . . . , K
n
denote a sequence of iid random variables each with PMF
P
K
(k) =
_
1/4 k = 1, . . . , 4
0 otherwise
(1)
We can write W
n
in the form of W
n
= K
1
+ · · · + K
n
. First, we note that the first two
moments of K
i
are
E [K
i
] = (1 +2 +3 +4)/4 = 2.5 (2)
E
_
K
2
i
_
= (1
2
+2
2
+3
2
+4
2
)/4 = 7.5 (3)
Thus the variance of K
i
is
Var[K
i
] = E
_
K
2
i
_
−(E [K
i
])
2
= 7.5 −(2.5)
2
= 1.25 (4)
Since E[K
i
] = 2.5, the expected value of W
n
is
E [W
n
] = E [K
1
] +· · · + E [K
n
] = nE [K
i
] = 2.5n (5)
Since the rolls are independent, the random variables K
1
, . . . , K
n
are independent. Hence,
by Theorem 6.3, the variance of the sum equals the sum of the variances. That is,
Var[W
n
] = Var[K
1
] +· · · +Var[K
n
] = 1.25n (6)
Quiz 6.2
Random variables X and Y have PDFs
f
X
(x) =
_
3e
−3x
x ≥ 0
0 otherwise
f
Y
(y) =
_
2e
−2y
y ≥ 0
0 otherwise
(1)
Since X and Y are nonnegative, W = X +Y is nonnegative. By Theorem 6.5, the PDF of
W = X +Y is
f
W
(w) =
_

−∞
f
X
(w − y) f
Y
(y) dy = 6
_
w
0
e
−3(w−y)
e
−2y
dy (2)
Fortunately, this integral is easy to evaluate. For w > 0,
f
W
(w) = e
−3w
e
y
¸
¸
w
0
= 6
_
e
−2w
−e
−3w
_
(3)
Since f
W
(w) = 0 for w < 0, a conmplete expression for the PDF of W is
f
W
(w) =
_
6e
−2w
_
1 −e
−w
_
w ≥ 0,
0 otherwise.
(4)
40
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 6.3
The MGF of K is
φ
K
(s) = E
_
e
s K
_
==
4

k=0
(0.2)e
sk
= 0.2
_
1 +e
s
+e
2s
+e
3s
+e
4s
_
(1)
We find the moments by taking derivatives. The first derivative of φ
K
(s) is

K
(s)
ds
= 0.2(e
s
+2e
2s
+3e
3s
+4e
4s
) (2)
Evaluating the derivative at s = 0 yields
E [K] =

K
(s)
ds
¸
¸
¸
¸
s=0
= 0.2(1 +2 +3 +4) = 2 (3)
To find higher-order moments, we continue to take derivatives:
E
_
K
2
_
=
d
2
φ
K
(s)
ds
2
¸
¸
¸
¸
s=0
= 0.2(e
s
+4e
2s
+9e
3s
+16e
4s
)
¸
¸
¸
s=0
= 6 (4)
E
_
K
3
_
=
d
3
φ
K
(s)
ds
3
¸
¸
¸
¸
s=0
= 0.2(e
s
+8e
2s
+27e
3s
+64e
4s
)
¸
¸
¸
s=0
= 20 (5)
E
_
K
4
_
=
d
4
φ
K
(s)
ds
4
¸
¸
¸
¸
s=0
= 0.2(e
s
+16e
2s
+81e
3s
+256e
4s
)
¸
¸
¸
s=0
= 70.8 (6)
(7)
Quiz 6.4
(A) Each K
i
has MGF
φ
K
(s) = E
_
e
s K
i
_
=
e
s
+e
2s
+· · · +e
ns
n
=
e
s
(1 −e
ns
)
n(1 −e
s
)
(1)
Since the sequence of K
i
is independent, Theorem 6.8 says the MGF of J is
φ
J
(s) = (φ
K
(s))
m
=
e
ms
(1 −e
ns
)
m
n
m
(1 −e
s
)
m
(2)
(B) Since the set of α
j
X
j
are independent Gaussian random variables, Theorem 6.10
says that W is a Gaussian random variable. Thus to find the PDF of W, we need
only find the expected value and variance. Since the expectation of the sum equals
the sum of the expectations:
E [W] = αE [X
1
] +α
2
E [X
2
] +· · · +α
n
E [X
n
] = 0 (3)
41
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Since the α
j
X
j
are independent, the variance of the sum equals the sum of the vari-
ances:
Var[W] = α
2
Var[X
1
] +α
4
Var[X
2
] +· · · +α
2n
Var[X
n
] (4)
= α
2
+2(α
2
)
2
+3(α
2
)
3
+· · · +n(α
2
)
n
(5)
Defining q = α
2
, we can use Math Fact B.6 to write
Var[W] =
α
2
−α
2n+2
[1 +n(1 −α
2
)]
(1 −α
2
)
2
(6)
With E[W] = 0 and σ
2
W
= Var[W], we can write the PDF of W as
f
W
(w) =
1
_
2πσ
2
W
e
−w
2
/2σ
2
W
(7)
Quiz 6.5
(1) From Table 6.1, each X
i
has MGF φ
X
(s) and random variable N has MGF φ
N
(s)
where
φ
X
(s) =
1
1 −s
, φ
N
(s) =
1
5
e
s
1 −
4
5
e
s
. (1)
From Theorem 6.12, R has MGF
φ
R
(s) = φ
N
(ln φ
X
(s)) =
1
5
φ
X
(s)
1 −
4
5
φ
X
(s)
(2)
Substituting the expression for φ
X
(s) yields
φ
R
(s) =
1
5
1
5
−s
. (3)
(2) From Table 6.1, we see that R has the MGF of an exponential (1/5) random variable.
The corresponding PDF is
f
R
(r) =
_
(1/5)e
−r/5
r ≥ 0
0 otherwise
(4)
This quiz is an example of the general result that a geometric sum of exponential
random variables is an exponential random variable.
42
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 6.6
(1) The expected access time is
E [X] =
_

−∞
x f
X
(x) dx =
_
12
0
x
12
dx = 6 msec (1)
(2) The second moment of the access time is
E
_
X
2
_
=
_

−∞
x
2
f
X
(x) dx =
_
12
0
x
2
12
dx = 48 (2)
The variance of the access time is Var[X] = E[X
2
] −(E[X])
2
= 48 −36 = 12.
(3) Using X
i
to denote the access time of block i , we can write
A = X
1
+ X
2
+· · · + X
12
(3)
Since the expectation of the sum equals the sum of the expectations,
E [A] = E [X
1
] +· · · + E [X
12
] = 12E [X] = 72 msec (4)
(4) Since the X
i
are independent,
Var[A] = Var[X
1
] +· · · +Var[X
12
] = 12 Var[X] = 144 (5)
Hence, the standard deviation of A is σ
A
= 12
(5) To use the central limit theorem, we write
P [A > 75] = 1 − P [A ≤ 75] (6)
= 1 − P
_
A − E [A]
σ
A

75 − E [A]
σ
A
_
(7)
≈ 1 −
_
75 −72
12
_
(8)
= 1 −0.5987 = 0.4013 (9)
Note that we used Table 3.1 to look up (0.25).
(6) Once again, we use the central limit theorem and Table 3.1 to estimate
P [A < 48] = P
_
A − E [A]
σ
A
<
48 − E [A]
σ
A
_
(10)

_
48 −72
12
_
(11)
= 1 −(2) = 1 −0.9773 = 0.0227 (12)
43
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 6.7
Random variable K
n
has a binomial distribution for n trials and success probability
P[V] = 3/4.
(1) The expected number of voice calls out of 48 calls is E[K
48
] = 48P[V] = 36.
(2) The variance of K
48
is
Var[K
48
] = 48P [V] (1 − P [V]) = 48(3/4)(1/4) = 9 (1)
Thus K
48
has standard deviation σ
K
48
= 3.
(3) Using the ordinary central limit theorem and Table 3.1 yields
P [30 ≤ K
48
≤ 42] ≈
_
42 −36
3
_

_
30 −36
3
_
= (2) −(−2) (2)
Recalling that (−x) = 1 −(x), we have
P [30 ≤ K
48
≤ 42] ≈ 2(2) −1 = 0.9545 (3)
(4) Since K
48
is a discrete random variable, we can use the De Moivre-Laplace approx-
imation to estimate
P [30 ≤ K
48
≤ 42] ≈
_
42 +0.5 −36
3
_

_
30 −0.5 −36
3
_
(4)
= 2(2.16666) −1 = 0.9687 (5)
Quiz 6.8
The train interarrival times X
1
, X
2
, X
3
are iid exponential (λ) random variables. The
arrival time of the third train is
W = X
1
+ X
2
+ X
3
. (1)
In Theorem 6.11, we found that the sum of three iid exponential (λ) random variables is an
Erlang (n = 3, λ) random variable. From Appendix A, we find that W has expected value
and variance
E [W] = 3/λ = 6 Var[W] = 3/λ
2
= 12 (2)
(1) By the Central Limit Theorem,
P [W > 20] = P
_
W −6

12
>
20 −6

12
_
≈ Q(7/

3) = 2.66 ×10
−5
(3)
44
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
(2) To use the Chernoff bound, we note that the MGF of W is
φ
W
(s) =
_
λ
λ −s
_
3
=
1
(1 −2s)
3
(4)
The Chernoff bound states that
P [W > 20] ≤ min
s≥0
e
−20s
φ
X
(s) = min
s≥0
e
−20s
(1 −2s)
3
(5)
To minimize h(s) = e
−20s
/(1 −2s)
3
, we set the derivative of h(s) to zero:
dh(s)
ds
=
−20(1 −2s)
3
e
−20s
+6e
−20s
(1 −2s)
2
(1 −2s)
6
= 0 (6)
This implies 20(1 − 2s) = 6 or s = 7/20. Applying s = 7/20 into the Chernoff
bound yields
P [W > 20] ≤
e
−20s
(1 −2s)
3
¸
¸
¸
¸
s=7/20
= (10/3)
3
e
−7
= 0.0338 (7)
(3) Theorem 3.11 says that for any w > 0, the CDF of the Erlang (λ, 3) random variable
W satisfies
F
W
(w) = 1 −
2

k=0
(λw)
k
e
−λw
k!
(8)
Equivalently, for λ = 1/2 and w = 20,
P [W > 20] = 1 − F
W
(20) (9)
= e
−10
_
1 +
10
1!
+
10
2
2!
_
= 61e
−10
= 0.0028 (10)
Although the Chernoff bound is relatively weak in that it overestimates the proba-
bility by roughly a factor of 12, it is a valid bound. By contrast, the Central Limit
Theorem approximation grossly underestimates the true probability.
Quiz 6.9
One solution to this problem is to follow the approach of Example 6.19:
%unifbinom100.m
sx=0:100;sy=0:100;
px=binomialpmf(100,0.5,sx); py=duniformpmf(0,100,sy);
[SX,SY]=ndgrid(sx,sy); [PX,PY]=ndgrid(px,py);
SW=SX+SY; PW=PX.*PY;
sw=unique(SW); pw=finitepmf(SW,PW,sw);
pmfplot(sw,pw,’\itw’,’\itP_W(w)’);
A graph of the PMF P
W
(w) appears in Figure 2 With some thought, it should be apparent
that the finitepmf function is implementing the convolution of the two PMFs.
45
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
0 20 40 60 80 100 120 140 160 180 200
0
0.002
0.004
0.006
0.008
0.01
w
P
W
(
w
)
Figure 2: From Quiz 6.9, the PMF P
W
(w) of the independent sum of a binomial (100, 0.5)
random variable and a discrete uniform (0, 100) random variable.
46
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 7
Quiz 7.1
An exponential random variable with expected value 1 also has variance 1. By Theo-
rem 7.1, M
n
(X) has variance Var[M
n
(X)] = 1/n. Hence, we need n = 100 samples.
Quiz 7.2
The arrival time of the third elevator is W = X
1
+ X
2
+ X
3
. Since each X
i
is uniform
(0, 30),
E [X
i
] = 15, Var [X
i
] =
(30 −0)
2
12
= 75. (1)
Thus E[W] = 3E[X
i
] = 45, and Var[W] = 3 Var[X
i
] = 225.
(1) By the Markov inequality,
P [W > 75] ≤
E [W]
75
=
45
75
=
3
5
(2)
(2) By the Chebyshev inequality,
P [W > 75] = P [W − E [W] > 30] (3)
≤ P [|W − E [W]| > 30] ≤
Var [W]
30
2
=
225
900
=
1
4
(4)
Quiz 7.3
Define the random variable W = (X − µ
X
)
2
. Observe that V
100
(X) = M
100
(W). By
Theorem 7.6, the mean square error is
E
_
(M
100
(W) −µ
W
)
2
_
=
Var[W]
100
(1)
Observe that µ
X
= 0 so that W = X
2
. Thus,
µ
W
= E
_
X
2
_
=
_
1
−1
x
2
f
X
(x) dx = 1/3 (2)
E
_
W
2
_
= E
_
X
4
_
=
_
1
−1
x
4
f
X
(x) dx = 1/5 (3)
Therefore Var[W] = E[W
2
] − µ
2
W
= 1/5 − (1/3)
2
= 4/45 and the mean square error is
4/4500 = 0.000889.
47
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 7.4
Assuming the number n of samples is large, we can use a Gaussian approximation for
M
n
(X). SinceE[X] = p and Var[X] = p(1 − p), we apply Theorem 7.13 which says that
the interval estimate
M
n
(X) −c ≤ p ≤ M
n
(X) +c (1)
has confidence coefficient 1 −α where
α = 2 −2
_
c

n
p(1 − p)
_
. (2)
We must ensure for every value of p that 1 − α ≥ 0.9 or α ≤ 0.1. Equivalently, we must
have

_
c

n
p(1 − p)
_
≥ 0.95 (3)
for every value of p. Since (x) is an increasing function of x, we must satisfy c

n ≥
1.65p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that
c ≥
1.65
4

n
=
0.41

n
. (4)
The 0.9 confidence interval estimate of p is
M
n
(X) −
0.41

n
≤ p ≤ M
n
(X) +
0.41

n
. (5)
For the 0.99 confidence interval, we have α ≤ 0.01, implying (c

n/( p(1−p))) ≥ 0.995.
This implies c

n ≥ 2.58p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that
c ≥ (0.25)(2.58)/

n. In this case, the 0.99 confidence interval estimate is
M
n
(X) −
0.645

n
≤ p ≤ M
n
(X) +
0.645

n
. (6)
Note that if M
100
(X) = 0.4, then the 0.99 confidence interval estimate is
0.3355 ≤ p ≤ 0.4645. (7)
The interval is wide because the 0.99 confidence is high.
Quiz 7.5
Following the approach of bernoullitraces.m, we generate m = 1000 sample
paths, each sample path having n = 100 Bernoulli traces. at time k, OK(k) counts the
fraction of sample paths that have sample mean within one standard error of p. The pro-
gram bernoullisample.m generates graphs the number of traces within one standard
error as a function of the time, i.e. the number of trials in each trace.
48
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
function OK=bernoullisample(n,m,p);
x=reshape(bernoullirv(p,m*n),n,m);
nn=(1:n)’*ones(1,m);
MN=cumsum(x)./nn;
stderr=sqrt(p*(1-p))./sqrt((1:n)’);
stderrmat=stderr*ones(1,m);
OK=sum(abs(MN-p)<stderrmat,2)/m;
plot(1:n,OK,’-s’);
The following graph was generated by bernoullisample(100,5000,0.5):
0 10 20 30 40 50 60 70 80 90 100
0.4
0.5
0.6
0.7
0.8
0.9
1
As we would expect, as m gets large, the fraction of traces within one standard error ap-
proaches 2(1) −1 ≈ 0.68. The unusual sawtooth pattern, though perhaps unexpected, is
examined in Problem 7.5.2.
49
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 8
Quiz 8.1
From the problem statement, each X
i
has PDF and CDF
f
X
i
(x) =
_
e
−x
x ≥ 0
0 otherwise
F
X
i
(x) =
_
0 x < 0
1 −e
−x
x ≥ 0
(1)
Hence, the CDF of the maximum of X
1
, . . . , X
15
obeys
F
X
(x) = P [X ≤ x] = P [X
1
≤ x, X
2
≤ x, · · · , X
15
≤ x] = [P [X
i
≤ x]]
15
. (2)
This implies that for x ≥ 0,
F
X
(x) =
_
F
X
i
(x)
_
15
=
_
1 −e
−x
_
15
(3)
To design a significance test, we must choose a rejection region for X. A reasonable choice
is to reject the hypothesis if X is too small. That is, let R = {X ≤ r}. For a significance
level of α = 0.01, we obtain
α = P [X ≤ r] = (1 −e
−r
)
15
= 0.01 (4)
It is straightforward to show that
r = −ln
_
1 −(0.01)
1/15
_
= 1.33 (5)
Hence, if we observe X < 1.33, then we reject the hypothesis.
Quiz 8.2
From the problem statement, the conditional PMFs of K are
P
K|H
0
(k) =
_
10
4k
e
−10
4
k!
k = 0, 1, . . .
0 otherwise
(1)
P
K|H
1
(k) =
_
10
6k
e
−10
6
k!
k = 0, 1, . . .
0 otherwise
(2)
Since the two hypotheses are equally likely, the MAP and ML tests are the same. From
Theorem 8.6, the ML hypothesis rule is
k ∈ A
0
if P
K|H
0
(k) ≥ P
K|H
1
(k) ; k ∈ A
1
otherwise. (3)
This rule simplifies to
k ∈ A
0
if k ≤ k

=
10
6
−10
4
ln 100
= 214, 975.7; k ∈ A
1
otherwise. (4)
Thus if we observe at least 214, 976 photons, then we accept hypothesis H
1
.
50
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 8.3
For the QPSK system, a symbol error occurs when s
i
is transmitted but (X
1
, X
2
) ∈ A
j
for some j = i . For a QPSK system, it is easier to calculate the probability of a correct
decision. Given H
0
, the conditional probability of a correct decision is
P [C|H
0
] = P [X
1
> 0, X
2
> 0|H
0
] = P
_

E/2 + N
1
> 0,

E/2 + N
2
> 0
_
(1)
Because of the symmetry of the signals, P[C|H
0
] = P[C|H
i
] for all i . This implies the
probability of a correct decision is P[C] = P[C|H
0
]. Since N
1
and N
2
are iid Gaussian
(0, σ) random variables, we have
P [C] = P [C|H
0
] = P
_

E/2 + N
1
> 0
_
P
_

E/2 + N
2
> 0
_
(2)
=
_
P
_
N
1
> −

E/2
__
2
(3)
=
_
1 −
_


E/2
σ
__
2
(4)
Since (−x) = 1 − (x), we have P[C] =
2
(
_
E/2σ
2
). Equivalently, the probability
of error is
P
ERR
= 1 − P [C] = 1 −
2
_
_
E

2
_
(5)
Quiz 8.4
To generate the ROC, the existing program sqdistor already calculates this miss
probability P
MISS
= P
01
and the false alarm probability P
FA
= P
10
. The modified pro-
gram, sqdistroc.m is essentially the same as sqdistor except the output is a ma-
trix FM whose columns are the false alarm and miss probabilities. Next, the program
sqdistrocplot.m calls sqdistroc three times to generate a plot that compares the
receiver performance for the three requested values of d. Here is the modified code:
function FM=sqdistroc(v,d,m,T)
%square law distortion recvr
%P(error) for m bits tested
%transmit v volts or -v volts,
%add N volts, N is Gauss(0,1)
%add d(v+N)ˆ2 distortion
%receive 1 if x>T, otherwise 0
%FM = [P(FA) P(MISS)]
x=(v+randn(m,1));
[XX,TT]=ndgrid(x,T(:));
P01=sum((XX+d*(XX.ˆ2)< TT),1)/m;
x= -v+randn(m,1);
[XX,TT]=ndgrid(x,T(:));
P10=sum((XX+d*(XX.ˆ2)>TT),1)/m;
FM=[P10(:) P01(:)];
function FM=sqdistrocplot(v,m,T);
FM1=sqdistroc(v,0.1,m,T);
FM2=sqdistroc(v,0.2,m,T);
FM5=sqdistroc(v,0.3,m,T);
FM=[FM1 FM2 FM5];
loglog(FM1(:,1),FM1(:,2),’-k’, ...
FM2(:,1),FM2(:,2),’--k’, ...
FM5(:,1),FM5(:,2),’:k’);
legend(’\it d=0.1’,’\it d=0.2’,...
’\it d=0.3’,3)
ylabel(’P_{MISS}’);
xlabel(’P_{FA}’);
51
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
To see the effect of d, the commands
T=-3:0.1:3; sqdistrocplot(3,100000,T);
generated the plot shown in Figure 3.
10
−5
10
−4
10
−3
10
−2
10
−1
10
0
10
−5
10
−4
10
−3
10
−2
10
−1
10
0
P
M
I
S
S
P
FA
d=0.1
d=0.2
d=0.3
T=-3:0.1:3; sqdistrocplot(3,100000,T);
Figure 3: The receiver operating curve for the communications system of Quiz 8.4 with
squared distortion.
52
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz Solutions – Chapter 9
Quiz 9.1
(1) First, we calculate the marginal PDF for 0 ≤ y ≤ 1:
f
Y
(y) =
_
y
0
2(y + x) dx = 2xy + x
2
¸
¸
¸
x=y
x=0
= 3y
2
(1)
This implies the conditional PDF of X given Y is
f
X|Y
(x|y) =
f
X,Y
(x, y)
f
Y
(y)
=
_
2
3y
+
2x
3y
2
0 ≤ x ≤ y
0 otherwise
(2)
(2) The minimum mean square error estimate of X given Y = y is
ˆ x
M
(y) = E [X|Y = y] =
_
y
0
_
2x
3y
+
2x
2
3y
2
_
dx = 5y/9 (3)
Thus the MMSE estimator of X given Y is
ˆ
X
M
(Y) = 5Y/9.
(3) To obtain the conditional PDF f
Y|X
(y|x), we need the marginal PDF f
X
(x). For
0 ≤ x ≤ 1,
f
X
(x) =
_
1
x
2(y + x) dy = y
2
+2xy
¸
¸
¸
y=1
y=x
= 1 +2x −3x
2
(4)
(5)
For 0 ≤ x ≤ 1, the conditional PDF of Y given X is
f
Y|X
(y|x) =
_
2(y+x)
1+2x−3x
2
x ≤ y ≤ 1
0 otherwise
(6)
(4) The MMSE estimate of Y given X = x is
ˆ y
M
(x) = E [Y|X = x] =
_
1
x
2y
2
+2xy
1 +2x −3x
2
dy (7)
=
2y
3
/3 + xy
2
1 +2x −3x
2
¸
¸
¸
¸
y=1
y=x
(8)
=
2 +3x −5x
3
3 +6x −9x
2
(9)
53
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 9.2
(1) Since the expectation of the sum equals the sum of the expectations,
E [R] = E [T] + E [X] = 0 (1)
(2) Since T and X are independent, the variance of the sum R = T + X is
Var[R] = Var[T] +Var[X] = 9 +3 = 12 (2)
(3) Since T and R have expected values E[R] = E[T] = 0,
Cov [T, R] = E [T R] = E [T(T + X)] = E
_
T
2
_
+ E [T X] (3)
Since T and X are independent and have zero expected value, E[T X] = E[T]E[X] =
0 and E[T
2
] = Var[T]. Thus Cov[T, R] = Var[T] = 9.
(4) From Definition 4.8, the correlation coefficient of T and R is
ρ
T,R
=
Cov [T, R]

Var[R] Var[T]
=
σ
T
σ
R
=

3/2 (4)
(5) From Theorem 9.4, the optimum linear estimate of T given R is
ˆ
T
L
(R) = ρ
T,R
σ
T
σ
R
(R − E [R]) + E [T] (5)
Since E[R] = E[T] = 0 and ρ
T,R
= σ
T

R
,
ˆ
T
L
(R) =
σ
2
T
σ
2
R
R =
σ
2
T
σ
2
T

2
X
R =
3
4
R (6)
Hence a

= 3/4 and b

= 0.
(6) By Theorem 9.4, the mean square error of the linear estimate is
e

L
= Var[T](1 −ρ
2
T,R
) = 9(1 −3/4) = 9/4 (7)
Quiz 9.3
When R = r, the conditional PDF of X = Y −40−40 log
10
r is Gaussian with expected
value −40 −40 log
10
r and variance 64. The conditional PDF of X given R is
f
X|R
(x|r) =
1

128π
e
−(x+40+40 log
10
r)
2
/128
(1)
54
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
From the conditional PDF f
X|R
(x|r), we can use Definition 9.2 to write the ML estimate
of R given X = x as
ˆ r
ML
(x) = arg max
r≥0
f
X|R
(x|r) (2)
We observe that f
X|R
(x|r) is maximized when the exponent (x + 40 + 40 log
10
r)
2
is
minimized. This minimum occurs when the exponent is zero, yielding
log
10
r = −1 − x/40 (3)
or
ˆ r
ML
(x) = (0.1)10
−x/40
m (4)
If the result doesn’t look correct, note that a typical figure for the signal strength might be
x = −120 dB. This corresponds to a distance estimate of ˆ r
ML
(−120) = 100 m.
For the MAP estimate, we observe that the joint PDF of X and R is
f
X,R
(x, r) = f
X|R
(x|r) f
R
(r) =
1
10
6

32π
re
−(x+40+40 log
10
r)
2
/128
(5)
From Theorem 9.6, the MAP estimate of R given X = x is the value of r that maximizes
f
X,R
(x, r). That is,
ˆ r
MAP
(x) = arg max
0≤r≤1000
f
X,R
(x, r) (6)
Note that we have included the constraint r ≤ 1000 in the maximization to highlight the
fact that under our probability model, R ≤ 1000 m. Setting the derivative of f
X,R
(x, r)
with respect to r to zero yields
e
−(x+40+40 log
10
r)
2
/128
_
1 −
80 log
10
e
128
(x +40 +40 log
10
r)
_
= 0 (7)
Solving for r yields
r = 10
_
1
25 log
10
e
−1
_
10
−x/40
= (0.1236)10
−x/40
(8)
This is the MAP estimate of R given X = x as long as r ≤ 1000 m. When x ≤ −156.3 dB,
the above estimate will exceed 1000 m, which is not possible in our probability model.
Hence, the complete description of the MAP estimate is
ˆ r
MAP
(x) =
_
1000 x < −156.3
(0.1236)10
−x/40
x ≥ −156.3
(9)
For example, if x = −120dB, then ˆ r
MAP
(−120) = 123.6 m. When the measured signal
strength is not too low, the MAP estimate is 23.6% larger than the ML estimate. This re-
flects the fact that large values of R are a priori more probable than small values. However,
for very low signal strengths, the MAP estimate takes into account that the distance can
never exceed 1000 m.
55
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Quiz 9.4
(1) From Theorem 9.4, the LMSE estimate of X
2
given Y
2
is
ˆ
X
2
(Y
2
) = a

Y
2
+b

where
a

=
Cov [X
2
, Y
2
]
Var[Y
2
]
, b

= µ
X
2
−a

µ
Y
2
. (1)
Because E[X] = E[Y] = 0,
Cov [X
2
, Y
2
] = E [X
2
Y
2
] = E [X
2
(X
2
+ W
2
)] = E
_
X
2
2
_
= 1 (2)
Var[Y
2
] = Var[X
2
] +Var[W
2
] = E
_
X
2
2
_
+ E
_
W
2
2
_
= 1.1 (3)
It follows that a

= 1/1.1. Because µ
X
2
= µ
Y
2
= 0, it follows that b

= 0. Finally,
to compute the expected square error, we calculate the correlation coefficient
ρ
X
2
,Y
2
=
Cov [X
2
, Y
2
]
σ
X
2
σ
Y
2
=
1

1.1
(4)
The expected square error is
e

L
= Var[X
2
](1 −ρ
2
X
2
,Y
2
) = 1 −
1
1.1
=
1
11
= 0.0909 (5)
(2) Since Y = X + W and E[X] = E[W] = 0, it follows that E[Y] = 0. Thus we can
apply Theorem 9.7. Note that X and W have correlation matrices
R
X
=
_
1 −0.9
−0.9 1
_
, R
W
=
_
0.1 0
0 0.1
_
. (6)
In terms of Theorem 9.7, n = 2 and we wish to estimate X
2
given the observation
vector Y =
_
Y
1
Y
2
_

. To apply Theorem 9.7, we need to find R
Y
and R
YX
2
.
R
Y
= E
_
YY

_
= E
_
(X +W)(X

+W

)
_
(7)
= E
_
XX

+XW

+WX

+WW

_
. (8)
Because Xand Ware independent, E[XW

] = E[X]E[W

] = 0. Similarly, E[WX

] =
0. This implies
R
Y
= E
_
XX

_
+ E
_
WW

_
= R
X
+R
W
=
_
1.1 −0.9
−0.9 1.1
_
. (9)
In addition, we need to find
R
YX
2
= E [YX
2
] =
_
E [Y
1
X
2
]
E [Y
2
X
2
]
_
=
_
E [(X
1
+ W
1
)X
2
]
E [(X
2
+ W
2
)X
2
]
_
. (10)
56
Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901
Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
Since Xand Ware independent vectors, E[W
1
X
2
] = E[W
1
]E[X
2
] = 0 and E[W
2
X
2
] =
0. Thus
R
YX
2
=
_
E[X
1
X
2
]
E
_
X
2
2
_
_
=
_
−0.9
1
_
. (11)
By Theorem 9.7,
ˆ a = R
−1
Y
R
YX
2
=
_
−0.225
0.725
_
(12)
Therefore, the optimum linear estimator of X
2
given Y
1
and Y
2
is
ˆ
X
L
= ˆ a

Y = −0.225Y
1
+0.725Y
2
. (13)
The mean square error is
Var [X
2
] − ˆ a

R
YX
2
= Var [X] −a
1
r
Y
1
,X
2
−a
2
r
Y
2
,X
2
= 0.0725. (14)
Quiz 9.5
Since X and W have zero expected value, Y also has zero expected value. Thus, by
Theorem 9.7,
ˆ
X
L
(Y) = ˆ a

Y where ˆ a = R
−1
Y
R
YX
. Since X and W are independent,
E[WX] = 0 and E[XW

] = 0

. This implies
R
YX
= E [YX] = E [(1X +W)X] = 1E
_
X
2
_
= 1. (1)
By the same reasoning, the correlation matrix of Y is
R
Y
= E
_
YY

_
= E
_
(1X +W)(1

X +W

)
_
(2)
= 11

E
_
X
2
_
+1E
_
XW

_
+ E [WX] 1

+ E
_
WW

_
(3)
= 11

+R
W
(4)
Note that 11

is a 20 ×20 matrix with every entry equal to 1. Thus,
ˆ a = R
−1
Y
R
YX
=
_
11

+R
W
_
−1
1 (5)
and the optimal linear estimator is
ˆ
X
L
(Y) = 1

_
11

+R
W
_
−1
Y (6)
The mean square error is
e

L
= Var[X] − ˆ a

R
YX
= 1 −1

_
11

+R
W
_
−1
1 (7)
Now we note that R
W
has i, j th entry R
W
(i, j ) = c
|i −j |−1
. The question we must address
is what value c minimizes e

L
. This problem is atypical in that one does not usually get
57
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to choose the correlation structure of the noise. However, we will see that the answer is
somewhat instructive.
We note that the answer is not obviously apparent from Equation (7). In particular, we
observe that Var[W
i
] = R
W
(i, i ) = 1/c. Thus, when c is small, the noises W
i
have high
variance and we would expect our estimator to be poor. On the other hand, if c is large
W
i
and W
j
are highly correlated and the separate measurements of X are very dependent.
This would suggest that large values of c will also result in poor MSE. If this argument is
not clear, consider the extreme case in which every W
i
and W
j
have correlation coefficient
ρ
i j
= 1. In this case, our 20 measurements will be all the same and one measurement is as
good as 20 measurements.
To find the optimal value of c, we write a MATLAB function mquiz9(c) to calculate
the MSE for a given c and second function that finds plots the MSE for a range of values
of c.
function [mse,af]=mquiz9(c);
v1=ones(20,1);
RW=toeplitz(c.ˆ((0:19)-1));
RY=(v1*(v1’)) +RW;
af=(inv(RY))*v1;
mse=1-((v1’)*af);
function cmin=mquiz9minc(c);
msec=zeros(size(c));
for k=1:length(c),
[msec(k),af]=mquiz9(c(k));
end
plot(c,msec);
xlabel(’c’);ylabel(’e_Lˆ*’);
[msemin,optk]=min(msec);
cmin=c(optk);
Note in mquiz9 that v1 corresponds to the vector 1 of all ones. The following commands
finds the minimum c and also produces the following graph:
>> c=0.01:0.01:0.99;
>> mquiz9minc(c)
ans =
0.4500
0 0.5 1
0.2
0.4
0.6
0.8
1
c
e
L *
As we see in the graph, both small values and large values of c result in large MSE.
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Quiz Solutions – Chapter 10
Quiz 10.1
There are many correct answers to this question. A correct answer specifies enough
random variables to specify the sample path exactly. One choice for an alternate set of
random variables that would specify m(t, s) is
• m(0, s), the number of ongoing calls at the start of the experiment
• N, the number of new calls that arrive during the experiment
• X
1
, . . . , X
N
, the interarrival times of the N new arrivals
• H, the number of calls that hang up during the experiment
• D
1
, . . . , D
H
, the call completion times of the H calls that hang up
Quiz 10.2
(1) We obtain a continuous time, continuous valued process when we record the temper-
ature as a continuous waveform over time.
(2) If at every moment in time, we round the temperature to the nearest degree, then we
obtain a continuous time, discrete valued process.
(3) If we sample the process in part (a) every T seconds, then we obtain a discrete time,
continuous valued process.
(4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time,
discrete valued process.
Quiz 10.3
(1) Each resistor has resistance R in ohms with uniform PDF
f
R
(r) =
_
0.01 950 ≤ r ≤ 1050
0 otherwise
(1)
The probability that a test produces a 1% resistor is
p = P [990 ≤ R ≤ 1010] =
_
1010
990
(0.01) dr = 0.2 (2)
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(2) In t seconds, exactly t resistors are tested. Each resistor is a 1% resistor with proba-
bility p, independent of any other resistor. Consequently, the number of 1% resistors
found has the binomial PMF
P
N(t )
(n) =
_ _
t
n
_
p
n
(1 − p)
t −n
n = 0, 1, . . . , t
0 otherwise
(3)
(3) First we will find the PMF of T
1
. This problem is easy if we view each resistor test
as an independent trial. A success occurs on a trial with probability p if we find a
1% resistor. The first 1% resistor is found at time T
1
= t if we observe failures on
trials 1, . . . , t − 1 followed by a success on trial t . Hence, just as in Example 2.11,
T
1
has the geometric PMF
P
T
1
(t ) =
_
(1 − p)
t −1
p t = 1, 2, . . .
9 otherwise
(4)
Since p = 0.2, the probability the first 1% resistor is found in exactly five seconds is
P
T
1
(5) = (0.8)
4
(0.2) = 0.08192.
(4) From Theorem 2.5, a geometric random variable with success probability p has ex-
pected value 1/p. In this problem, E[T
1
] = 1/p = 5.
(5) Note that once we find the first 1% resistor, the number of additional trials needed to
find the second 1% resistor once again has a geometric PMF with expected value 1/p
since each independent trial is a success with probability p. That is, T
2
= T
1
+ T

where T

is independent and identically distributed to T
1
. Thus
E [T
2
|T
1
= 10] = E [T
1
|T
1
= 10] + E
_
T

|T
1
= 10
_
(5)
= 10 + E
_
T

_
= 10 +5 = 15 (6)
Quiz 10.4
Since each X
i
is a N(0, 1) random variable, each X
i
has PDF
f
X(i )
(x) =
1


e
−x
2
/2
(1)
By Theorem 10.1, the joint PDF of X =
_
X
1
· · · X
n
_

is
f
X
(x) = f
X(1),...,X(n)
(x
1
, . . . , x
n
) =
k

i =1
f
X
(x
i
) =
1
(2π)
n/2
e
−(x
2
1
+···+x
2
n
)/2
(2)
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Quiz 10.5
The first and second hours are nonoverlapping intervals. Since one hour equals 3600
sec and the Poisson process has a rate of 10 packets/sec, the expected number of packets
in each hour is E[M
i
] = α = 36, 000. This implies M
1
and M
2
are independent Poisson
random variables each with PMF
P
M
i
(m) =
_
α
m
e
−α
m!
m = 0, 1, 2, . . .
0 otherwise
(1)
Since M
1
and M
2
are independent, the joint PMF of M
1
and M
2
is
P
M
1
,M
2
(m
1
, m
2
) = P
M
1
(m
1
) P
M
2
(m
2
) =







α
m
1
+m
2
e
−2α
m
1
!m
2
!
m
1
= 0, 1, . . . ;
m
2
= 0, 1, . . . ,
0 otherwise.
(2)
Quiz 10.6
To answer whether N

(t ) is a Poisson process, we look at the interarrival times. Let
X
1
, X
2
, . . . denote the interarrival times of the N(t ) process. Since we count only even-
numbered arrival for N

(t ), the time until the first arrival of the N

(t ) is Y
1
= X
1
+ X
2
.
Since X
1
and X
2
are independent exponential (λ) random variables, Y
1
is an Erlang (n =
2, λ) random variable; see Theorem 6.11. Since Y
i
(t ), the i th interarrival time of the N

(t )
process, has the same PDF as Y
1
(t ), we can conclude that the interarrival times of N

(t )
are not exponential random variables. Thus N

(t ) is not a Poisson process.
Quiz 10.7
First, we note that for t > s,
X(t ) − X(s) =
W(t ) − W(s)

α
(1)
Since W(t ) −W(s) is a Gaussian random variable, Theorem 3.13 states that W(t ) −W(s)
is Gaussian with expected value
E [X(t ) − X(s)] =
E [W(t ) − W(s)]

α
= 0 (2)
and variance
E
_
(W(t ) − W(s))
2
_
=
E
_
(W(t ) − W(s))
2
_
α
=
α(t −s)
α
(3)
Consider s

≤ s < t . Since s ≥ s

, W(t ) − W(s) is independent of W(s

). This implies
[W(t ) − W(s)]/

α is independent of W(s

)/

α for all s ≥ s

. That is, X(t ) − X(s) is
independent of X(s

) for all s ≥ s

. Thus X(t ) is a Brownian motion process with variance
Var[X(t )] = t .
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Quiz 10.8
First we find the expected value
µ
Y
(t ) = µ
X
(t ) +µ
N
(t ) = µ
X
(t ). (1)
To find the autocorrelation, we observe that since X(t ) and N(t ) are independent and since
N(t ) has zero expected value, E[X(t )N(t

)] = E[X(t )]E[N(t

)] = 0. Since R
Y
(t, τ) =
E[Y(t )Y(t +τ)], we have
R
Y
(t, τ) = E [(X(t ) + N(t )) (X(t +τ) + N(t +τ))] (2)
= E [X(t )X(t +τ)] + E [X(t )N(t +τ)]
+ E [X(t +τ)N(t )] + E [N(t )N(t +τ)] (3)
= R
X
(t, τ) + R
N
(t, τ). (4)
Quiz 10.9
From Definition 10.14, X
1
, X
2
, . . . is a stationary random sequence if for all sets of
time instants n
1
, . . . , n
m
and time offset k,
f
X
n
1
,...,X
n
m
(x
1
, . . . , x
m
) = f
X
n
1
+k
,...,X
n
m
+k
(x
1
, . . . , x
m
) (1)
Since the random sequence is iid,
f
X
n
1
,...,X
n
m
(x
1
, . . . , x
m
) = f
X
(x
1
) f
X
(x
2
) · · · f
X
(x
m
) (2)
Similarly, for time instants n
1
+k, . . . , n
m
+k,
f
X
n
1
+k
,...,X
n
m
+k
(x
1
, . . . , x
m
) = f
X
(x
1
) f
X
(x
2
) · · · f
X
(x
m
) (3)
We can conclude that the iid random sequence is stationary.
Quiz 10.10
We must check whether each function R(τ) meets the conditions of Theorem 10.12:
R(τ) ≥ 0 R(τ) = R(−τ) |R(τ)| ≤ R(0) (1)
(1) R
1
(τ) = e
−|τ|
meets all three conditions and thus is valid.
(2) R
2
(τ) = e
−τ
2
also is valid.
(3) R
3
(τ) = e
−τ
cos τ is not valid because
R
3
(−2π) = e

cos 2π = e

> 1 = R
3
(0) (2)
(4) R
4
(τ) = e
−τ
2
sin τ also cannot be an autocorrelation function because
R
4
(π/2) = e
−π/2
sin π/2 = e
−π/2
> 0 = R
4
(0) (3)
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Quiz 10.11
(1) The autocorrelation of Y(t ) is
R
Y
(t, τ) = E [Y(t )Y(t +τ)] (1)
= E [X(−t )X(−t −τ)] (2)
= R
X
(−t −(−t −τ)) = R
X
(τ) (3)
Since E[Y(t )] = E[X(−t )] = µ
X
, we can conclude that Y(t ) is a wide sense
stationary process. In fact, we see that by viewing a process backwards in time, we
see the same second order statistics.
(2) Since X(t ) and Y(t ) are both wide sense stationary processes, we can check whether
they are jointly wide sense stationary by seeing if R
XY
(t, τ) is just a function of τ.
In this case,
R
XY
(t, τ) = E [X(t )Y(t +τ)] (4)
= E [X(t )X(−t −τ)] (5)
= R
X
(t −(−t −τ)) = R
X
(2t +τ) (6)
Since R
XY
(t, τ) depends on both t and τ, we conclude that X(t ) and Y(t ) are not
jointly wide sense stationary. To see why this is, suppose R
X
(τ) = e
−|τ|
so that
samples of X(t ) far apart in time have almost no correlation. In this case, as t gets
larger, Y(t ) = X(−t ) and X(t ) become less and less correlated.
Quiz 10.12
From the problem statement,
E [X(t )] = E [X(t +1)] = 0 (1)
E [X(t )X(t +1)] = 1/2 (2)
Var[X(t )] = Var[X(t +1)] = 1 (3)
The Gaussian random vector X =
_
X(t ) X(t +1)
_

has covariance matrix and corre-
sponding inverse
C
X
=
_
1 1/2
1/2 1
_
C
−1
X
=
4
3
_
1 −1/2
−1/2 1
_
(4)
Since
x

C
−1
X
x =
_
x
0
x
1
_

4
3
_
1 −1/2
−1/2 1
_ _
x
0
x
1
_
=
4
3
_
x
2
0
− x
0
x
+
x
2
1
_
(5)
the joint PDF of X(t ) and X(t +1) is the Gaussian vector PDF
f
X(t ),X(t +1)
(x
0
, x
1
) =
1
(2π)
n/2
[det (C
X
)]
1/2
exp
_

1
2
x

C
−1
X
x
_
(6)
=
1


2
e

2
3
_
x
2
0
−x
0
x
1
+x
2
1
_
(7)
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0 10 20 30 40 50 60 70 80 90 100
0
20
40
60
80
100
120
t

M
(
t
)
Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10.13.
Quiz 10.13
The simple structure of the switch simulation of Example 10.28 admits a deceptively
simple solution in terms of the vector of arrivals A and the vector of departures D. With the
introduction of call blocking. we cannot generate these vectors all at once. In particular,
when an arrival occurs at time t , we need to know that M(t ), the number of ongoing calls,
satisfies M(t ) < c = 120. Otherwise, when M(t ) = c, we must block the call. Call
blocking can be implemented by setting the service time of the call to zero so that the call
departs as soon as it arrives.
The blocking switch is an example of a discrete event system. The system evolves via
a sequence of discrete events, namely arrivals and departures, at discrete time instances. A
simulation of the system moves from one time instant to the next by maintaining a chrono-
logical schedule of future events (arrivals and departures) to be executed. The program
simply executes the event at the head of the schedule. The logic of such a simulation is
1. Start at time t = 0 with an empty system. Schedule the first arrival to occur at S
1
, an
exponential (λ) random variable.
2. Examine the head-of-schedule event.
• When the head-of-schedule event is the kth arrival is at time t , check the state
M(t ).
– If M(t ) < c, admit the arrival, increase the system state n by 1, and sched-
ule a departure to occur at time t + S
n
, where S
k
is an exponential (λ)
random variable.
– If M(t ) = c, block the arrival, do not schedule a departure event.
• If the head of schedule event is a departure, reduce the system state n by 1.
3. Delete the head-of-schedule event and go to step 2.
After the head-of-schedule event is completed and any new events (departures in this sys-
tem) are scheduled, we know the system state cannot change until the next scheduled event.
64
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Thus we know that M(t ) will stay the same until then. In our simulation, we use the vector
t as the set of time instances at which we inspect the system state. Thus for all times t(i)
between the current head-of-schedule event and the next, we set m(i) to the current switch
state.
The complete program is shown in Figure 5. In most programming languages, it is
common to implement the event schedule as a linked list where each item in the list has
a data structure indicating an event timestamp and the type of the event. In MATLAB, a
simple (but not elegant) way to do this is to have maintain two vectors: time is a list
of timestamps of scheduled events and event is a the list of event types. In this case,
event(i)=1 if the i th scheduled event is an arrival, or event(i)=-1 if the i th sched-
uled event is a departure.
When the program is passed a vector t, the output [m a b] is such that m(i) is the
number of ongoing calls at time t(i) while a and b are the number of admits and blocks.
The following instructions
t=0:0.1:5000;
[m,a,b]=simblockswitch(10,0.1,120,t);
plot(t,m);
generated a simulation lasting 5,000 minutes. A sample path of the first 100 minutes of
that simulation is shown in Figure 4. The 5,000 minute full simulation produced a=49658
admitted calls and b=239 blocked calls. We can estimate the probability a call is blocked
as
ˆ
P
b
=
b
a +b
= 0.0048. (1)
In Chapter 12, we will learn that the exact blocking probability is given by Equation (12.93),
a result known as the “Erlang-B formula.” From the Erlang-B formula, we can calculate
that the exact blocking probability is P
b
= 0.0057. One reason our simulation underesti-
mates the blocking probability is that in a 5,000 minute simulation, roughly the first 100
minutes are needed to load up the switch since the switch is idle when the simulation starts
at time t = 0. However, this says that roughly the first two percent of the simulation time
was unusual. Thus this would account for only part of the disparity. The rest of the gap
between 0.0048 and 0.0057 is that a simulation that includes only 239 blocks is not all that
likely to give a very accurate result for the blocking probability.
Note that in Chapter 12, we will learn that the blocking switch is an example of an
M/M/c/c queue, a kind of Markov chain. Chapter 12 develops techniques for analyzing
and simulating systems described by Markov chains that are much simpler than the discrete
event simulation technique shown here. Nevertheless, for very complicated systems, the
discrete event simulation is widely-used and often very efficient simulation method.
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function [M,admits,blocks]=simblockswitch(lam,mu,c,t);
blocks=0; %total # blocks
admits=0; %total # admits
M=zeros(size(t));
n=0; % # in system
time=[ exponentialrv(lam,1) ];
event=[ 1 ]; %first event is an arrival
timenow=0;
tmax=max(t);
while (timenow<tmax)
M((timenow<=t)&(t<time(1)))=n;
timenow=time(1);
eventnow=event(1);
event(1)=[ ]; time(1)= [ ]; % clear current event
if (eventnow==1) % arrival
arrival=timenow+exponentialrv(lam,1); % next arrival
b4arrival=time<arrival;
event=[event(b4arrival) 1 event(˜b4arrival)];
time=[time(b4arrival) arrival time(˜b4arrival)];
if n<c %call admitted
admits=admits+1;
n=n+1;
depart=timenow+exponentialrv(mu,1);
b4depart=time<depart;
event=[event(b4depart) -1 event(˜b4depart)];
time=[time(b4depart) depart time(˜b4depart)];
else
blocks=blocks+1; %one more block, immed departure
disp(sprintf(’Time %10.3d Admits %10d Blocks %10d’,...
timenow,admits,blocks));
end
elseif (eventnow==-1) %departure
n=n-1;
end
end
Figure 5: Discrete event simulation of the blocking switch of Quiz 10.13.
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Quiz Solutions – Chapter 11
Quiz 11.1
By Theorem 11.2,
µ
Y
= µ
X
_

−∞
h(t )dt = 2
_

0
e
−t
dt = 2 (1)
Since R
X
(τ) = δ(τ), the autocorrelation function of the output is
R
Y
(τ) =
_

−∞
h(u)
_

−∞
h(v)δ(τ +u −v) dv du =
_

−∞
h(u)h(τ +u) du (2)
For τ > 0, we have
R
Y
(τ) =
_

0
e
−u
e
−τ−u
du = e
−τ
_

0
e
−2u
du =
1
2
e
−τ
(3)
For τ < 0, we can deduce that R
Y
(τ) =
1
2
e
−|τ|
by symmetry. Just to be safe though, we
can double check. For τ < 0,
R
Y
(τ) =
_

−τ
h(u)h(τ +u) du =
_

−τ
e
−u
e
−τ−u
du =
1
2
e
τ
(4)
Hence,
R
Y
(τ) =
1
2
e
−|τ|
(5)
Quiz 11.2
The expected value of the output is
µ
Y
= µ
X

n=−∞
h
n
= 0.5(1 +−1) = 0 (1)
The autocorrelation of the output is
R
Y
[n] =
1

i =0
1

j =0
h
i
h
j
R
X
[n +i − j ] (2)
= 2R
X
[n] − R
X
[n −1] − R
X
[n +1] =
_
1 n = 0
0 otherwise
(3)
Since µ
Y
= 0, The variance of Y
n
is Var[Y
n
] = E[Y
2
n
] = R
Y
[0] = 1.
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−15 −10 −5 0 5 10 15
0
0.2
0.4
0.6
f

S
X
(
f
)
−1500−1000 −500 0 500 1000 1500
0
2
4
6
8
x 10
f

S
X
(
f
)
−0.2 −0.1 0 0.1 0.2
−5
0
5
10
τ

R
X
(
τ
)
−2 −1 0 1 2
x 10
−3
−5
0
5
10
τ

R
X
(
τ
)
(a) W = 10 (b) W = 1000
Figure 6: The autocorrelation R
X
(τ) and power spectral density S
X
( f ) for process X(t ) in
Quiz 11.5.
Quiz 11.3
By Theorem 11.8, Y =
_
Y
33
Y
34
Y
35
_

is a Gaussian random vector since X
n
is
a Gaussian random process. Moreover, by Theorem 11.5, each Y
n
has expected value
E[Y
n
] = µ
X


n=−∞
h
n
= 0. Thus E[Y] = 0. Fo find the PDF of the Gaussian vector
Y, we need to find the covariance matrix C
Y
, which equals the correlation matrix R
Y
since
Y has zero expected value. One way to find the R
Y
is to observe that R
Y
has the Toeplitz
structure of Theorem 11.6 and to use Theorem 11.5 to find the autocorrelation function
R
Y
[n] =

i =−∞

j =−∞
h
i
h
j
R
X
[n +i − j ]. (1)
Despite the fact that R
X
[k] is an impulse, using Equation (1) is surprisingly tedious because
we still need to sum over all i and j such that n +i − j = 0.
In this problem, it is simpler to observe that Y = HX where
X =
_
X
30
X
31
X
32
X
33
X
34
X
35
_

(2)
and
H =
1
4


1 1 1 1 0 0
0 1 1 1 1 0
0 0 1 1 1 1


. (3)
In this case, following Theorem 11.7, or by directly applying Theorem 5.13 with µ
X
= 0
and A = H, we obtain R
Y
= HR
X
H

. Since R
X
[n] = δ
n
, R
X
= I, the identity matrix.
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Thus
C
Y
= R
Y
= HH

=
1
16


4 3 2
3 4 3
2 3 4


. (4)
It follows (very quickly if you use MATLAB for 3 ×3 matrix inversion) that
C
−1
Y
= 16


7/12 −1/2 1/12
−1/2 1 −1/2
1/12 −1/2 7/12


. (5)
Thus, the PDF of Y is
f
Y
(y) =
1
(2π)
3/2
[det (C
Y
)]
1/2
exp
_

1
2
y

C
−1
Y
y
_
. (6)
A disagreeable amount of algebra will show det(C
Y
) = 3/1024 and that the PDF can be
“simplified” to
f
Y
(y) =
16


3
exp
_
−8
_
7
12
y
2
33
+ y
2
34
+
7
12
y
2
35
− y
33
y
34
+
1
6
y
33
y
35
− y
34
y
35
__
. (7)
Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution
is that y

C
−1
Y
y is a very concise representation of the cross-terms in the exponent of f
Y
(y).
Quiz 11.4
This quiz is solved using Theorem 11.9 for the case of k = 1 and M = 2. In this case,
X
n
=
_
X
n−1
X
n
_

and
R
X
n
=
_
R
X
[0] R
X
[1]
R
X
[1] R
X
[0]
_
=
_
1.1 0.9
0.9 1.1
_
(1)
and
R
X
n
X
n+1
= E
__
X
n−1
X
n
_
X
n+1
_
=
_
R
X
[2]
R
X
[1]
_
=
_
0.81
0.9
_
. (2)
The MMSE linear first order filter for predicting X
n+1
at time n is the filter h such that
←−
h = R
−1
X
n
R
X
n
X
n+1
=
_
1.1 0.9
0.9 1.1
_
−1
_
0.81
0.9
_
=
1
400
_
81
261
_
. (3)
It follows that the filter is h =
_
261/400 81/400
_

and the MMSE linear predictor is
ˆ
X
n+1
=
81
400
X
n−1
+
261
400
X
n
. (4)
to find the mean square error, one approach is to follow the method of Example 11.13 and
to directly calculate
e

L
= E
_
(X
n+1

ˆ
X
n+1
)
2
_
. (5)
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This method is workable for this simple problem but becomes increasingly tedious for
higher order filters. Instead, we can derive the mean square error for an arbitary prediction
filter h. Since
ˆ
X
n+1
=
←−
h

X
n
,
e

L
= E
_
_
X
n+1

←−
h

X
n
_
2
_
(6)
= E
_
(X
n+1

←−
h

X
n
)(X
n+1

←−
h

X
n
)

_
(7)
= E
_
(X
n+1

←−
h

X
n
)(X
n+1
−X

n
←−
h )
_
(8)
After a bit of algebra, we obtain
e

L
= R
X
[0] −2
←−
h

R
X
n
X
n+1
+
←−
h

R
X
n
←−
h (9)
(10)
with the substitution
←−
h = R
−1
X
n
R
X
n
X
n+1
, we obtain
e

L
= R
X
[0] −R

X
n
X
n+1
R
−1
X
n
R
X
n
X
n+1
(11)
= R
X
[0] −
←−
h

R
X
n
X
n+1
(12)
Note that this is essentially the same result as Theorem 9.7 with Y = X
n
, X = X
n+1
and
ˆ a

=
←−
h

. It is noteworthy that the result is derived in a much simpler way in the proof of
Theorem 9.7 by using the orthoginality property of the LMSE estimator.
In any case, the mean square error is
e

L
= R
X
[0] −
←−
h

R
X
n
X
n+1
= 1.1 −
1
400
_
81 261
_
_
0.81
0.9
_
=
506
1451
= 0.3487. (13)
recalling that the blind estimate would yield a mean square error of Var[X] = 1.1, we see
that observing X
n−1
and X
n
improves the accuracy of our prediction of X
n+1
.
Quiz 11.5
(1) By Theorem 11.13(b), the average power of X(t ) is
E
_
X
2
(t )
_
=
_

−∞
S
X
( f ) d f =
_
W
−W
5
W
d f = 10 Watts (1)
(2) The autocorrelation function is the inverse Fourier transform of S
X
( f ). Consulting
Table 11.1, we note that
S
X
( f ) = 10
1
2W
rect
_
f
2W
_
(2)
It follows that the inverse transform of S
X
( f ) is
R
X
(τ) = 10 sinc(2Wτ) = 10
sin(2πWτ)
2πWτ
(3)
(3) For W = 10 Hz and W = 1 kHZ, graphs of S
X
( f ) and R
X
(τ) appear in Figure 6.
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Quiz 11.6
In a sampled system, the discrete time impulse δ[n] has a flat discrete Fourier transform.
That is, if R
X
[n] = 10δ[n], then
S
X
(φ) =

n=−∞
10δ[n]e
−j 2πφn
= 10 (1)
Thus, R
X
[n] = 10δ[n]. (This quiz is really lame!)
Quiz 11.7
Since Y(t ) = X(t −t
0
),
R
XY
(t, τ) = E [X(t )Y(t +τ)] = E [X(t )X(t +τ −t
0
)] = R
X
(τ −t
0
) (1)
We see that R
XY
(t, τ) = R
XY
(τ) = R
X
(τ − t
0
). From Table 11.1, we recall the prop-
erty that g(τ − τ
0
) has Fourier transform G( f )e
−j 2π f τ
0
. Thus the Fourier transform of
R
XY
(τ) = R
X
(τ −t
0
) = g(τ −t
0
) is
S
XY
( f ) = S
X
( f )e
−j 2π f t
0
. (2)
Quiz 11.8
We solve this quiz using Theorem 11.17. First we need some preliminary facts. Let
a
0
= 5,000 so that
R
X
(τ) =
1
a
0
a
0
e
−a
0
|τ|
. (1)
Consulting with the Fourier transforms in Table 11.1, we see that
S
X
( f ) =
1
a
0
2a
2
0
a
2
0
+(2π f )
2
=
2a
0
a
2
0
+(2π f )
2
(2)
The RC filter has impulse response h(t ) = a
1
e
−a
1
t
u(t ), where u(t ) is the unit step function
and a
1
= 1/RC where RC = 10
−4
is the filter time constant. From Table 11.1,
H( f ) =
a
1
a
1
+ j 2π f
(3)
(1) Theorem 11.17,
S
XY
( f ) = H( f )S
X
( f ) =
2a
0
a
1
[a
1
+ j 2π f ]
_
a
2
0
+(2π f )
2
_. (4)
(2) Again by Theorem 11.17,
S
Y
( f ) = H

( f )S
XY
( f ) = |H( f )|
2
S
X
( f ). (5)
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Note that
|H( f )|
2
= H( f )H

( f ) =
a
1
(a
1
+ j 2π f )
a
1
(a
1
− j 2π f )
=
a
2
1
a
2
1
+(2π f )
2
(6)
Thus,
S
Y
( f ) = |H( f )|
2
S
X
( f ) =
2a
0
a
2
1
_
a
2
1
+(2π f )
2
_ _
a
2
0
+(2π f )
2
_ (7)
(3) To find the average power at the filter output, we can either use basic calculus and
calculate
_

−∞
S
Y
( f ) d f directly or we can find R
Y
(τ) as an inverse transform of
S
Y
( f ). Using partial fractions and the Fourier transform table, the latter method is
actually less algebra. In particular, some algebra will show that
S
Y
( f ) =
K
0
a
2
0
+(2π f )
2
+
K
1
a
1
+(2π f )
2
(8)
where
K
0
=
2a
0
a
2
1
a
2
1
−a
2
0
, K
1
=
−2a
0
a
2
1
a
2
1
−a
2
0
. (9)
Thus,
S
Y
( f ) =
K
0
2a
2
0
2a
2
0
a
2
0
+(2π f )
2
+
K
1
2a
2
1
2a
2
1
a
1
+(2π f )
2
. (10)
Consulting with Table 11.1, we see that
R
Y
(τ) =
K
0
2a
2
0
a
0
e
−a
0
|τ|
+
K
1
2a
2
1
a
1
e
−a
1
|τ|
(11)
Substituting the values of K
0
and K
1
, we obtain
R
Y
(τ) =
a
2
1
e
−a
0
|τ|
−a
0
a
1
e
−a
1
|τ|
a
2
1
−a
2
0
. (12)
The average power of the Y(t ) process is
R
Y
(0) =
a
1
a
1
+a
0
=
2
3
. (13)
Note that the input signal has average power R
X
(0) = 1. Since the RC filter has a 3dB
bandwidth of 10,000 rad/sec and the signal X(t ) has most of its its signal energy below
5,000 rad/sec, the output signal has almost as much power as the input.
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Quiz 11.9
This quiz implements an example of Equations (11.146) and (11.147) for a system in
which we filter Y(t ) = X(t ) + N(t ) to produce an optimal linear estimate of X(t ). The
solution to this quiz is just to find the filter
ˆ
H( f ) using Equation (11.146) and to calculate
the mean square error e
L
∗ using Equation (11.147).
Comment: Since the text omitted the derivations of Equations (11.146) and (11.147), we
note that Example 10.24 showed that
R
Y
(τ) = R
X
(τ) + R
N
(τ), R
Y X
(τ) = R
X
(τ). (1)
Taking Fourier transforms, it follows that
S
Y
( f ) = S
X
( f ) + S
N
( f ), S
Y X
( f ) = S
X
( f ). (2)
Now we can go on to the quiz, at peace with the derivations.
(1) Since µ
N
= 0, R
N
(0) = Var[N] = 1. This implies
R
N
(0) =
_

−∞
S
N
( f ) d f =
_
B
−B
N
0
d f = 2N
0
B (3)
Thus N
0
= 1/(2B). Because the noise process N(t ) has constant power R
N
(0) = 1,
decreasing the single-sided bandwidth B increases the power spectral density of the
noise over frequencies | f | < B.
(2) Since R
X
(τ) = sinc(2Wτ), where W = 5,000 Hz, we see from Table 11.1 that
S
X
( f ) =
1
10
4
rect
_
f
10
4
_
. (4)
The noise power spectral density can be written as
S
N
( f ) = N
0
rect
_
f
2B
_
=
1
2B
rect
_
f
2B
_
, (5)
From Equation (11.146), the optimal filter is
ˆ
H( f ) =
S
X
( f )
S
X
( f ) + S
N
( f )
=
1
10
4
rect
_
f
10
4
_
1
10
4
rect
_
f
10
4
_
+
1
2B
rect
_
f
2B
_. (6)
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(3) We produce the output
ˆ
X(t ) by passing the noisy signal Y(t ) through the filter
ˆ
H( f ).
From Equation (11.147), the mean square error of the estimate is
e

L
=
_

−∞
S
X
( f )S
N
( f )
S
X
( f ) + S
N
( f )
d f (7)
=
_

−∞
1
10
4
rect
_
f
10
4
_
1
2B
rect
_
f
2B
_
1
10
4
rect
_
f
10
4
_
+
1
2B
rect
_
f
2B
_ d f. (8)
To evaluate the MSE e

L
, we need to whether B ≤ W. Since the problem asks us to
find the largest possible B, let’s suppose B ≤ W. We can go back and consider the
case B > W later. When B ≤ W, the MSE is
e

L
=
_
B
−B
1
10
4
1
2B
1
10
4
+
1
2B
d f =
1
10
4
1
10
4
+
1
2B
=
1
1 +
5,000
B
(9)
To obtain MSE e

L
≤ 0.05 requires B ≤ 5,000/19 = 263.16 Hz.
Although this completes the solution to the quiz, what is happening may not be obvious.
The noise power is always Var[N] = 1 Watt, for all values of B. As B is decreased, the PSD
S
N
( f ) becomes increasingly tall, but only over a bandwidth B that is decreasing. Thus as
B descreases, the filter
ˆ
H( f ) makes an increasingly deep and narrow notch at frequencies
| f | ≤ B. Two examples of the filter
ˆ
H( f ) are shown in Figure 7. As B shrinks, the filter
suppresses less of the signal of X(t ). The result is that the MSE goes down.
Finally, we note that we can choose B very large and also achieve MSE e

L
= 0.05. In
particular, when B > W = 5000, S
N
( f ) = 1/2B over frequencies | f | < W. In this case,
the Wiener filter
ˆ
H( f ) is an ideal (flat) lowpass filter
ˆ
H( f ) =



1
10
4
1
10
4
+
1
2B
| f | < 5,000,
0 otherwise.
(10)
Thus increasing B spreads the constant 1 watt of power of N(t ) over more bandwidth. The
Wiener filter removes the noise that is outside the band of the desired signal. The mean
square error is
e

L
=
_
5000
−5000
1
10
4
1
2B
1
10
4
+
1
2B
d f =
1
2B
1
10
4
+
1
2B
=
1
B
5000
+1
(11)
In this case, B ≥ 9.5 ×10
4
guarantees e

L
≤ 0.05.
Quiz 11.10
It is fairly straightforward to find S
X
(φ) and S
Y
(φ). The only thing to keep in mind is
to use fftc to transform the autocorrelation R
X
[ f ] into the power spectral density S
X
(φ).
The following MATLAB program generates and plots the functions shown in Figure 8
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−5000 −2000 0 2000 5000
0
0.5
1
f

H
(
f
)
−5000 −2000 0 2000 5000
0
0.5
1
f

H
(
f
)
B = 500 B = 2500
Figure 7: Wiener filter for Quiz 11.9.
%mquiz11.m
N=32;
rx=[2 4 2]; SX=fftc(rx,N); %autocorrelation and PSD
stem(0:N-1,abs(sx));
xlabel(’n’);ylabel(’S_X(n/N)’);
h2=0.5*[1 1]; H2=fft(h2,N); %impulse/filter response: M=2
SY2=SX.* ((abs(H2)).ˆ2);
figure; stem(0:N-1,abs(SY2)); %PSD of Y for M=2
xlabel(’n’);ylabel(’S_{Y_2}(n/N)’);
h10=0.1*ones(1,10); H10=fft(h10,N); %impulse/filter response: M=10
SY10=sx.*((abs(H10)).ˆ2);
figure; stem(0:N-1,abs(SY10));
xlabel(’n’);ylabel(’S_{Y_{10}}(n/N)’);
Relative to M = 2, when M = 10, the filter H(φ) filters out almost all of the high
frequency components of X(t ). In the context of Example 11.26, the low pass moving
average filter for M = 10 removes the high frquency components and results in a filter
output that varies very slowly.
As an aside, note that the vectors SX, SY2 and SY10 in mquiz11 should all be real-
valued vectors. However, the finite numerical precision of MATLAB results in tiny imagi-
nary parts. Although these imaginary parts have no computational significance, they tend
to confuse the stem function. Hence, we generate stem plots of the magnitude of each
power spectral density.
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0 5 10 15 20 25 30 35
0
5
10
n
S
X
(
n
/
N
)
0 5 10 15 20 25 30 35
0
5
10
n
S
Y
2
(
n
/
N
)
0 5 10 15 20 25 30 35
0
5
10
n
S
Y
1
0
(
n
/
N
)
Figure 8: For Quiz 11.10, graphs of S
X
(φ), S
Y
(n/N) for M = 2, and S
φ
(n/N) for M = 10
using an N = 32 point DFT.
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Quiz Solutions – Chapter 12
Quiz 12.1
The system has two states depending on whether the previous packet was received in
error. From the problem statement, we are given the conditional probabilities
P
_
X
n+1
= 0|X
n
= 0
_
= 0.99 P
_
X
n+1
= 1|X
n
= 1
_
= 0.9 (1)
Since each X
n
must be either 0 or 1, we can conclude that
P
_
X
n+1
= 1|X
n
= 0
_
= 0.01 P
_
X
n+1
= 0|X
n
= 1
_
= 0.1 (2)
These conditional probabilities correspond to the transition matrix and Markov chain:
0 1
0.01
0.1
0.99 0.9
P =
_
0.99 0.01
0.10 0.90
_
(3)
Quiz 12.2
From the problem statement, the Markov chain and the transition matrix are
0 1 1
0.6 0.2
0.2 0.6
0.4 0.6 0.4
P =


0.4 0.6 0
0.2 0.6 0.2
0 0.6 0.4


(1)
The eigenvalues of P are
λ
1
= 0 λ
2
= 0.4 λ
3
= 1 (2)
We can diagonalize P into
P = S
−1
DS =


−0.6 0.5 1
0.4 0 1
−0.6 −0.5 1




λ
1
0 0
0 λ
2
0
0 0 λ
3




−0.5 1 −0.5
1 0 −1
0.2 0.6 0.2


(3)
where s
i
, the i th row of S, is the left eigenvector of P satisfying s
i
P = λ
i
s
i
. Algebra will
verify that the n-step transition matrix is
P
n
= S
−1
D
n
S =


0.2 0.6 0.2
0.2 0.6 0.2
0.2 0.6 0.2


+(0.4)
n


0.5 0 −0.5
0 0 0
−0.5 0 0.5


(4)
Quiz 12.3
The Markov chain describing the factory status and the corresponding state transition
matrix are
77
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195
2
0 1
0.9
0.1
1
1
P =


0.9 0.1 0
0 0 1
1 0 0


(1)
With π =
_
π
0
π
1
π
2
_

, the system of equations π

= π

P yields π
1
= 0.1π
0
and
π
2
= π
1
. This implies
π
0

1

2
= π
0
(1 +0.1 +0.1) = 1 (2)
It follows that the limiting state probabilities are
π
0
= 5/6, π
1
= 1/12, π
2
= 1/12. (3)
Quiz 12.4
The communicating classes are
C
1
= {0, 1} C
2
= {2, 3} C
3
= {4, 5, 6} (1)
The states in C
1
and C
3
are aperiodic. The states in C
2
have period 2. Once the system
enters a state in C
1
, the class C
1
is never left. Thus the states in C
1
are recurrent. That
is, C
1
is a recurrent class. Similarly, the states in C
3
are recurrent. On the other hand, the
states in C
2
are transient. Once the system exits C
2
, the states in C
2
are never reentered.
Quiz 12.5
At any time t , the state n can take on the values 0, 1, 2, . . .. The state transition proba-
bilities are
P
n−1,n
= P [K > n|K > n −1] =
P [K > n]
P [K > n −1]
(1)
P
n−1,0
= P [K = n|K > n −1] =
P [K = n]
P [K > n −1]
(2)
(3)
The Markov chain resembles
0 1
P K=2 [ ]
P K= [ 1]
3 4
P K=4 [ ]
2
P K=3 [ ]
P K=5 [ ]
1 1 1 1 1
… ...
78
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The stationary probabilities satisfy
π
0
= π
0
P [K = 1] +π
1
, (4)
π
1
= π
0
P [K = 2] +π
2
, (5)
.
.
.
π
k−1
= π
0
P [K = k] +π
k
, k = 1, 2, . . . (6)
From Equation (4), we obtain
π
1
= π
0
(1 − P [K = 1]) = π
0
P [K > 1] (7)
Similarly, Equation (5) implies
π
2
= π
1
−π
0
P [K = 2] = π
0
(P [K > 1] − P [K = 2]) = π
0
P [K > 2] (8)
This suggests that π
k
= π
0
P[K > k]. We verify this pattern by showing that π
k
=
π
0
P[K > k] satisfies Equation (6):
π
0
P [K > k −1] = π
0
P [K = k] +π
0
P [K > k] . (9)
When we apply


k=0
π
k
= 1, we obtain π
0


n=0
P[K > k] = 1. From Problem 2.5.11,
we recall that


k=0
P[K > k] = E[K]. This implies
π
n
=
P [K > n]
E [K]
(10)
This Markov chain models repeated random countdowns. The system state is the time until
the counter expires. When the counter expires, the system is in state 0, and we randomly
reset the counter to a new value K = k and then we count down k units of time. Since we
spend one unit of time in each state, including state 0, we have k −1 units of time left after
the state 0 counter reset. If we have a random variable W such that the PMF of W satisfies
P
W
(n) = π
n
, then W has a discrete PMF representing the remaining time of the counter at
a time in the distant future.
Quiz 12.6
(1) By inspection, the number of transitions need to return to state 0 is always a multiple
of 2. Thus the period of state 0 is d = 2.
(2) To find the stationary probabilities, we solve the system of equations π = πP and

3
i =0
π
i
= 1:
π
0
= (3/4)π
1
+(1/4)π
3
(1)
π
1
= (1/4)π
0
+(1/4)π
2
(2)
π
2
= (1/4)π
1
+(3/4)π
3
(3)
1 = π
0

1

2

3
(4)
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Solving the second and third equations for π
2
and π
3
yields
π
2
= 4π
1
−π
0
π
3
= (4/3)π
2
−(1/3)π
1
= 5π
1
−(4/3)π
0
(5)
Substituting π
3
back into the first equation yields
π
0
= (3/4)π
1
+(1/4)π
3
= (3/4)π
1
+(5/4)π
1
−(1/3)π
0
(6)
This implies π
1
= (2/3)π
0
. It follows from the first and second equations that
π
2
= (5/3)π
0
and π
3
= 2π
0
. Lastly, we choose π
0
so the state probabilities sum to
1:
1 = π
0

1

2

3
= π
0
_
1 +
2
3
+
5
3
+2
_
=
16
3
π
0
(7)
It follows that the state probabilities are
π
0
=
3
16
π
1
=
2
16
π
2
=
5
16
π
3
=
6
16
(8)
(3) Since the system starts in state 0 at time 0, we can use Theorem 12.14 to find the
limiting probability that the system is in state 0 at time nd:
lim
n→∞
P
00
(nd) = dπ
0
=
3
8
(9)
Quiz 12.7
The Markov chain has the same structure as that in Example 12.22. The only difference
is the modified transition rates:
0 1
1
3 4
( ) 2/3
a
1 - ( ) 2/3
a
( ) 3/4
a
1 - 3/4 ( )
a
( ) 4/5
a
1 - 4/5 ( )
a
2
( ) 1/2
a
1- 1/2 ( )
a

The event T
00
> n occurs if the system reaches state n before returning to state 0, which
occurs with probability
P [T
00
> n] = 1 ×
_
1
2
_
α
×
_
2
3
_
α
×· · · ×
_
n −1
n
_
α
=
_
1
n
_
α
. (1)
Thus the CDF of T
00
satisfies F
T
00
(n) = 1−P[T
00
> n] = 1−1/n
α
. To determine whether
state 0 is recurrent, we observe that for all α > 0
P [V
00
] = lim
n→∞
F
T
00
(n) = lim
n→∞
1 −
1
n
α
= 1. (2)
80
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Thus state 0 is recurrent for all α > 0. Since the chain has only one communicating class,
all states are recurrent. ( We also note that if α = 0, then all states are transient.)
To determine whether the chain is null recurrent or positive recurrent, we need to calcu-
late E[T
00
]. In Example 12.24, we did this by deriving the PMF P
T
00
(n). In this problem,
it will be simpler to use the result of Problem 2.5.11 which says that


k=0
P[K > k] =
E[K] for any non-negative integer-valued random variable K. Applying this result, the
expected time to return to state 0 is
E [T
00
] =

n=0
P [T
00
> n] = 1 +

n=1
1
n
α
. (3)
For 0 < α ≤ 1, 1/n
α
≥ 1/n and it follows that
E [T
00
] ≥ 1 +

n=1
1
n
= ∞. (4)
We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. On the other hand, for
α > 1,
E [T
00
] = 2 +

n=2
1
n
α
. (5)
Note that for all n ≥ 2
1
n
α

_
n
n−1
dx
x
α
(6)
This implies
E [T
00
] ≤ 2 +

n=2
_
n
n−1
dx
x
α
(7)
= 2 +
_

1
dx
x
α
(8)
= 2 +
x
−α+1
−α +1
¸
¸
¸
¸

1
= 2 +
1
α −1
< ∞ (9)
Thus for all α > 1, the Markov chain is positive recurrent.
Quiz 12.8
The number of customers in the ”friendly” store is given by the Markov chain
1 i i+1
p p p
( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q
( ) 1-p q ( ) 1-p q ( ) 1-p q ( ) 1-p q
0
××× ×××
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In the above chain, we note that (1 − p)q is the probability that no new customer arrives,
an existing customer gets one unit of service and then departs the store.
By applying Theorem 12.13 with state space partitioned between S = {0, 1, . . . , i } and
S

= {i +1, i +2, . . .}, we see that for any state i ≥ 0,
π
i
p = π
i +1
(1 − p)q. (1)
This implies
π
i +1
=
p
(1 − p)q
π
i
. (2)
Since Equation (2) holds for i = 0, 1, . . ., we have that π
i
= π
0
α
i
where
α =
p
(1 − p)q
. (3)
Requiring the state probabilities to sum to 1, we have that for α < 1,

i =0
π
i
= π
0

i =0
α
i
=
π
0
1 −α
= 1. (4)
Thus for α < 1, the limiting state probabilities are
π
i
= (1 −α)α
i
, i = 0, 1, 2, . . . (5)
In addition, for α ≥ 1 or, equivalently, p ≥ q/(1 − q), the limiting state probabilities do
not exist.
Quiz 12.9
The continuous time Markov chain describing the processor is
0 1
2
3.01
3 4
2
3
2
3
2
2
3
0.01
0.01
0.01
Note that q
10
= 3.1 since the task completes at rate 3 per msec and the processor reboots
at rate 0.1 per msec and the rate to state 0 is the sum of those two rates. From the Markov
chain, we obtain the following useful equations for the stationary distribution.
5.01p
1
= 2p
0
+3p
2
5.01p
2
= 2p
1
+3p
3
5.01p
3
= 2p
2
+3p
4
3.01p
4
= 2p
3
We can solve these equations by working backward and solving for p
4
in terms of p
3
, p
3
in terms of p
2
and so on, yielding
p
4
=
20
31
p
3
p
3
=
620
981
p
2
p
2
=
19620
31431
p
1
p
1
=
628, 620
1, 014, 381
p
0
(1)
82
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Applying p
0
+ p
1
+ p
2
+ p
3
+ p
4
= 1 yields p
0
= 1, 014, 381/2, 443, 401 and the
stationary probabilities are
p
0
= 0.4151 p
1
= 0.2573 p
2
= 0.1606 p
3
= 0.1015 p
4
= 0.0655 (2)
Quiz 12.10
The M/M/c/∞queue has Markov chain
c c+1 1 0
λ λ λ λ λ
µ 2µ
cµ cµ cµ
From the Markov chain, the stationary probabilities must satisfy
p
n
=
_
(ρ/n) p
n−1
n = 1, 2, . . . , c
(ρ/c) p
n−1
n = c +1, c +2, . . .
(1)
It is straightforward to show that this implies
p
n
=
_
p
0
ρ
n
/n! n = 1, 2, . . . , c
p
0
(ρ/c)
n−c
ρ
c
/c! n = c +1, c +2, . . .
(2)
The requirement that


n=0
p
n
= 1 yields
p
0
=
_
c

n=0
ρ
n
/n! +
ρ
c
c!
ρ/c
1 −ρ/c
_
−1
(3)
83
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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Functions for Random Variables
bernoullipmf y=bernoullipmf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).

function pv=bernoullipmf(p,x) %For Bernoulli (p) rv X %input = vector x %output = vector pv %such that pv(i)=Prob(X=x(i)) pv=(1-p)*(x==0) + p*(x==1); pv=pv(:);

bernoullicdf

y=bernoullicdf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=bernoullicdf(p,x) %Usage: cdf=bernoullicdf(p,x) % For Bernoulli (p) rv X, %given input vector x, output is %vector pv such that pv(i)=Prob[X<=x(i)] x=floor(x(:)); allx=0:1; allcdf=cumsum(bernoullipmf(p,allx)); okx=(x>=0); %x_i < 1 are bad values x=(okx.*x); %set bad x_i=0 cdf= okx.*allcdf(x); %zeroes out bad x_i

bernoullirv

x=bernoullirv(p,m) Input: p is the success probability of a Bernoulli random variable X , m is a positive integer vector of possible sample values Output: x is a vector of m independent sample values of X

function x=bernoullirv(p,m) %return m samples of bernoulli (p) rv r=rand(m,1); x=(r>=(1-p));

2

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

bignomialpmf

y=bignomialpmf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). Comment: This function should always produce the same output as binomialpmf(n,p,x); however, the function calculates the logarithm of the probability and thismay lead to small numerical innaccuracy.

function pmf=bignomialpmf(n,p,x) %binomial(n,p) rv X, %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] k=(0:n-1)’; a=log((p/(1-p))*((n-k)./(k+1))); L0=n*log(1-p); L=[L0; L0+cumsum(a)]; pb=exp(L); % pb=[P[X=0] ... P[X=n]]ˆt x=x(:); okx =(x>=0).*(x<=n).*(x==floor(x)); x=okx.*x; pmf=okx.*pb(x+1);

binomialcdf

y=binomialcdf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=binomialcdf(n,p,x) %Usage: cdf=binomialcdf(n,p,x) %For binomial(n,p) rv X, %and input vector x, output is %vector cdf: cdf(i)=P[X<=x(i)] x=floor(x(:)); %for noninteger x(i) allx=0:max(x); %calculate cdf from 0 to max(x) allcdf=cumsum(binomialpmf(n,p,allx)); okx=(x>=0); %x(i) < 0 are zero-prob values x=(okx.*x); %set zero-prob x(i)=0 cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)

3

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

*(x<=n).rho.p. ip= ((n-i). hot springs. else pp=1-p.ˆ2) +(ny..p) rv X.y) %Usage: f=bivariategausspdf(muX. binomialrv x=binomialrv(n. if pp < p pb=fliplr(pb). f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2)).sigmaX.sigmaX. ny=(y-muY)/sigmaY./(i+1))*(pp/(1-pp)).*ny))/(2*(1-rhoˆ2))).m) % m binomial(n.ˆ2) .p.muY. cdf=binomialcdf(n. f=exp(-((nx.x) Input: n and p are the parameters of a binomial (n.1).rho.0:n).sigmaY.p. pb=((1-pp)ˆn)*cumprod([1 ip]).p) samples r=rand(m.x) %binomial(n.com Phone:5017621195 binomialpmf y=binomialpmf(n. scalars x and y. %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] if p<0.sigmaX. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).muY. % pb=[P[X=0] . Input: Scalar parameters muX.m) Input: n and p are the parameters of a binomial random variable X . us (United States) Zip Code:71901 .x.p. p) random variable X .rho) PDF nx=(x-muX)/sigmaX.r). bivariategausspdf function f=bivariategausspdf(muX. function pmf=binomialpmf(n.*(x==floor(x)).muY. P[X=n]]ˆt x=x(:). x=count(cdf.y) %Evaluate the bivariate Gaussian (muX. end pb=pb(:).*pb(x+1).(2*rho*nx. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=binomialrv(n. okx =(x>=0). Output: f the value of the bivariate Gaussian PDF at x. x=okx.sigmaY.sigmaY. 4 Address:104 pine meadows loop.x.y. AR.*x.sigmaY. end i=0:n-1.sigmaX. pmf=okx.rho of the bivariate Gaussian PDF.muY.Name:joey iwatsuru Email:joeyiwat@yahoo.p..5 pp=p.

l. function pmf=duniformpmf(k. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).l. %x_i < k are zero prob values okx=(x>=k).com Phone:5017621195 duniformcdf y=duniformcdf(k. l) random variable X .l.l) rv X.Name:joey iwatsuru Email:joeyiwat@yahoo.x) % For discrete uniform (k.l.*(x==floor(x)). %set zero prob x(i)=k x=((1-okx)*k)+(okx.l.r). %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] pmf= (x>=k). 5 Address:104 pine meadows loop.m) Input: k and l are the parameters of a discrete uniform (k. AR. duniformrv x=duniformrv(k.x) %discrete uniform(k.allx)). l) random variable X .*x). hot springs.x) Input: k and l are the parameters of a discrete uniform (k. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). %x(i)=0 for zero prob x(i) cdf= okx.1). m is a positive integer Output: x is a vector of m independent samples of random variable X function x=duniformrv(k.l. %for noninteger x_i allx=k:max(x). %allcdf = cdf values from 0 to max(x) allcdf=cumsum(duniformpmf(k. cdf=duniformcdf(k.m) %returns m samples of a discrete %uniform (k.x) Input: k and l are the parameters of a discrete uniform (k.x) %Usage: cdf=duniformcdf(k. function cdf=duniformcdf(k.l.l) random variable r=rand(m. output is % vector cdf: cdf(i)=Prob[X<=x(i)] x=floor(x(:)). l) random variable X .l. us (United States) Zip Code:71901 .l.l) rv X % and input vector x.*(x<=l).*allcdf(x-k+1). pmf=pmf(:)/(l-k+1). duniformpmf y=duniformpmf(k. x=k+count(cdf.k:l).

us (United States) Zip Code:71901 .m*n).x) F=1. exponentialcdf y=exponentialcdf(lambda.lambda.lambda. and the number of servers c of an M/M/c/c queue.com Phone:5017621195 erlangb pb=erlangb(rho.c) %returns the Erlang-B blocking %probability for sn M/M/c/c %queue with load rho pn=exp(-rho)*poissonpmf(rho. function F=erlangcdf(n.2). x=sum(reshape(y. erlangcdf y=erlangcdf(n. vector x Output: Vector y such that yi = FX (xi ). vector x Output: Vector y such that yi = FX (xi ) = 1 − e−λxi .Name:joey iwatsuru Email:joeyiwat@yahoo. erlangrv x=erlangrv(n. pb=pn(c+1)/sum(pn).x) f=((lambdaˆn)/factorial(n)).m.lambda.m) Input: n and lambda are the parameters of an Erlang random variable X .n).c) Input: Offered load rho (ρ = λ/µ). hot springs. function F=exponentialcdf(lambda.c).0:c). AR.m) y=exponentialrv(lambda.ˆ(n-1)).x) Input: n and lambda are the parameters of an Erlang random variable X . function f=erlangpdf(n.0-exp(-lambda*x).n-1).lambda.*exp(-lambda*x).lambda. erlangpdf y=erlangpdf(n..x) Input: n and lambda are the parameters of an Erlang random variable X . *(x. vector x Output: Vector y such that yi = f X (xi ) = λn xin−1 e−λxi /(n − 1)!.. %Usage: pb=erlangb(rho. 6 Address:104 pine meadows loop. the blocking probability of the queue function pb=erlangb(rho. integer m Output: Length m vector x such that each xi is a sample of X function x=erlangrv(n. Output: pb.x) Input: lambda is the parameter of an exponential random variable X .lambda.x) F=1.0-poissoncdf(lambda*x.

SY.sx(2). f=f. rho=(R-ex*ey)/sqrt(vx*vy).x) Input: sx is the range of a finite random variable X . Output: rho..} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % cdf: cdf(i)=P[X=x(i)] cdf=[]. exponentialrv x=exponentialrv(lambda.SY. . R=finiteexp(SX. px is the corresponding probability assignment.. vy=finitevar(SY. end finitecoeff rho=finitecoeff(SX.PXY) Input: Grids SX. cdf=[cdf.PXY) %Calculate the correlation coefficient rho of %finite random variables X and Y ex=finiteexp(SX.SY.p. %Usage: rho=finitecoeff(SX. vx=finitevar(SX.PXY). function cdf=finitecdf(s. finitecdf y=finitecdf(sx.PXY). pxi].x) Input: lambda is the parameter of an exponential random variable X .x) % finite random variable X: % vector sx of sample space % elements {sx(1). SY and probability grid PXY describing the finite random variables X and Y . the correlation coefficient of X and Y function rho=finitecoeff(SX.PXY).*(x>=0). ey=finiteexp(SY.x) f=lambda*exp(-lambda*x).*SY. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).1)).m) Input: lambda is the parameter of an exponential random variable X . us (United States) Zip Code:71901 . for i=1:length(x) pxi= sum(p(find(s<=x(i)))). vector x Output: Vector y such that yi = f X (xi ) = λe−λxi . integer m Output: Length m vector x such that each xi is a sample of X function x=exponentialrv(lambda. hot springs. 7 Address:104 pine meadows loop.PXY).com Phone:5017621195 exponentialpdf y=exponentialpdf(lambda.PXY). function f=exponentialpdf(lambda. AR.m) x=-(1/lambda)*log(1-rand(m.PXY).p.Name:joey iwatsuru Email:joeyiwat@yahoo.

function covxy=finitecov(SX.SY. R=finiteexp(SX.PXY).Name:joey iwatsuru Email:joeyiwat@yahoo.p.} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % pmf: pmf(i)=P[X=x(i)] pmf=zeros(size(x(:))).p) rv %s=s(:).p=p(:). function pmf=finitepmf(sx. cdf=cumsum(p). for i=1:length(x) pmf(i)= sum(px(find(sx==x(i)))). SY and probability grid PXY describing the finite random variables X and Y . .*(px(:))). function ex=finiteexp(sx.com Phone:5017621195 finitecov covxy=finitecov(SX. p is the corresponding probability assignment.r)). covxy=R-ex*ey. %Usage: ex=finiteexp(sx. ey=finiteexp(SY. the expected value E[X ]. hot springs.x) Input: sx is the range of a finite random variable X .PXY). us (United States) Zip Code:71901 . AR.px).1).PXY).px..p. finiteexp ex=finiteexp(sx. Output: ex.px) %returns the expected value E[X] %of finite random variable X described %by samples sx and probabilities px ex=sum((sx(:)).PXY).p. and PXY ex=finiteexp(SX. Output: covxy. 8 Address:104 pine meadows loop. end finiterv x=finiterv(sx. finitepmf y=finitepmf(sx. x=s(1+count(cdf.SY.px) Input: Probability vector px.x) % finite random variable X: % vector sx of sample space % elements {sx(1)..*SY.sx(2).PXY) %returns the covariance of %finite random variables X and Y %given by grids SX. %Usage: cxy=finitecov(SX. SY.PXY) Input: Grids SX. function x=finiterv(s. m is positive integer Output: x is a vector of m sample values y(i) = FX (x(i)). r=rand(m.m) Input: sx is the range of a finite random variable X .SY. the covariance of X and Y. px is the corresponding probability assignment. vector of samples sx describing random variable X . x is a vector of possible sample values Output: y is a vector with y(i) = P[X = x(i)].m) % returns m samples % of finite (s.

sigma.px) Input: Probability vector px and vector of samples sx describing random variable X .x) f=phi((x-mu)/sigma).px). AR. variance function v=finitevar(sx. vector x Output: Vector y such that yi = FX (xi ) = ((xi − µ)/σ ). %Usage: ex=finitevar(sx.sigma..px).ˆ2. Output: v.px) % returns the variance Var[X] % of finite random variables X described by % samples sx and probabilities px ex2=finiteexp(sx.1)).sigma.x) f=exp(-(x-mu).sigma. the Var[X ].ˆ2/(2*sigmaˆ2))/. gausspdf y=gausspdf(mu. sqrt(2*pi*sigmaˆ2). gausscdf y=gausscdf(mu.com Phone:5017621195 finitevar v=finitevar(sx. integer m Output: Length m vector x such that each xi is a sample of X function x=gaussrv(mu.sigma.x) Input: mu and sigma are the parameters of an Guassian random variable X . us (United States) Zip Code:71901 . vector x Output: Vector y such that yi = f X (xi ).m) x=mu +(sigma*randn(m. ex=finiteexp(sx.m) Input: mu and sigma are the parameters of an Gaussian random variable X . v=ex2-(exˆ2).x) Input: mu and sigma are the parameters of an Guassian random variable X . function f=gausscdf(mu. gaussrv x=gaussrv(mu.px).Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs.sigma. function f=gausspdf(mu. 9 Address:104 pine meadows loop..

or a length 1 scalar. output is vector %cdf such that cdf_i=Prob(X<=x_i) x=(x(:)>=1).V]=svd(C)..*floor(x(:)). us (United States) Zip Code:71901 . CX ) random vector X. hot springs.D. end n=size(C..m) Input: For a Gaussian (µX . f=exp(-z’*inv(C)*z)/. x=V*(Dˆ(0. +(mu(:)*ones(1. m is an integer.m). Output: f is the Gaussian vector PDF f X (x) evaluated at x.. mu is either a length n vector. m is an integer. If mu is a length n vector. mu is either a length n vector. gaussvector can be called in two ways: • C is the n × n covariance matrix. function cdf=geometriccdf(p.C. otherwise.i) is a sample vector of X function x=gaussvector(mu.1). then mu is the expected value vector. Output: n × m matrix x such that each column x(:. geometriccdf y=geometriccdf(p. CX ) random vector X. z=x(:)-mu(:). if (length(mu)==1) mu=mu*ones(n. %each with mean mu %and covariance matrix C if (min(size(C))==1) C=toeplitz(C). gaussvectorpdf f=gaussvector(mu. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). %For input vector x.x) n=length(x).Name:joey iwatsuru Email:joeyiwat@yahoo.x) % for geometric(p) rv X.2).C. cdf=1-((1-p). C is the n × n covariance matrix. mu is a length n vector.x) Input: For a Gaussian (µX .C. end [U. • C is the length n vector equal to the first row of a symmetric Toeplitz covariance matrix CX .m)).C. sqrt((2*pi)ˆn*det(C)).com Phone:5017621195 gaussvector x=gaussvector(mu. function f=gaussvectorpdf(mu.m) %output: m Gaussian vectors..ˆx). or a length 1 scalar.x) Input: p is the parameter of a geometric random variable X . x is a length n vector. AR.5))*randn(n. 10 Address:104 pine meadows loop. each element of X is assumed to have mean mu.

integer m Output: Length m vector x such that each xi is a sample of X function x=icdfrv(icdfhandle.*(x==floor(x)).1). pmf= p*((1-p).1). x=ceil(log(1-r)/log(1-p)).m) %returns m samples of rv X %with inverse CDF icdf.*pmf. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=geometricrv(p.ˆ(x-1)).x) Input: p is the parameter of a geometric random variable X . geometricrv x=geometricrv(p. hot springs.m) %Usage: x=geometricrv(p.m u=rand(m. us (United States) Zip Code:71901 .m) % returns m samples of a geometric (p) rv r=rand(m.com Phone:5017621195 geometricpmf y=geometricpmf(p.u). pmf= (x>0). function pmf=geometricpmf(p. AR. 11 Address:104 pine meadows loop.x) %geometric(p) rv X %out: pmf(i)=Prob[X=x(i)] x=x(:). x=feval(icdfhandle. icdfrv x=icdfrv(@icdf. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).m that is M ATLAB’s representation of an inverse −1 CDF FX (x) of a random variable X .m) Input: @icdfrv is a “handle” (a kind of pointer) to a M ATLAB function icdf.m) Input: p is the parameters of a geometric random variable X .m) %Usage: x=icdfrv(@icdf.Name:joey iwatsuru Email:joeyiwat@yahoo.

/(i+1-k))]. the output %is a vector cdf such that % cdf(i)=Prob[X<=x(i)] x=floor(x(:)). pascalpmf y=pascalpmf(k.Name:joey iwatsuru Email:joeyiwat@yahoo.x) Input: k and p are the parameters of a Pascal (k.x) %Usage: cdf=pascalcdf(k.p. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).p. ip= [1 . % other values are OK okx=(x>=k).x) Input: k and p are the parameters of a Pascal (k.p.com Phone:5017621195 pascalcdf y=pascalcdf(k. AR.*allcdf(x-k+1). cdf= okx. %x_i < k have zero-prob. okx=(x==floor(x)).p.*x) + k*(1-okx).p) rv X. function cdf=pascalcdf(k. p) random variable X . % pmf(i)=0 unless x(i) >= k pmf=okx. 12 Address:104 pine meadows loop. n=max(x). %pb=all n-k+1 pascal probs pb=(pˆk)*cumprod(ip).p.x) %For a pascal (k. output is a %vector pmf: pmf(i)=Prob[X=x(i)] x=x(:). p) random variable X .*(x>=k). and %input vector x.p) rv X %and input vector x.*x) +((1-okx)*k). %set zero-prob x(i)=k. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). hot springs.*pb(x-k+1). %set bad x(i)=k to stop bad indexing x=(okx.x) %For Pascal (k.p. % for noninteger x(i) allx=k:max(x). %allcdf holds all needed cdf values allcdf=cumsum(pascalpmf(k. us (United States) Zip Code:71901 . %just so indexing is not fouled up x=(okx.allx)). function pmf=pascalpmf(k. i=(k:n-1)’.(1-p)*(i.

p.com Phone:5017621195 pascalrv x=pascalrv(k.p. x is a vector of possible sample values Output: y is a vector with y(i) FX (x(i)).sx)). sx=xmin:xmax.p. while cdf(length(cdf)) <=rmax xmax=2*xmax.5*erf(x/sq2).r). cdf=pascalcdf(k.Name:joey iwatsuru Email:joeyiwat@yahoo. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=pascalrv(k. end x=xmin+countless(cdf.*x).sx). xmax=ceil(2*(k/p)).%set negative x(i)=0 cdf= okx.m) Input: k and p are the parameters of a Pascal random variable X . cdf=pascalcdf(k. = function cdf=poissoncdf(alpha. phi y=phi(x) Input: Vector x Output: Vector y such that y(i) = (x(i)).p.%x(i)<0 -> cdf=0 x=(okx.5 + 0. us (United States) Zip Code:71901 . xmin=k.x) %output cdf(i)=Prob[X<=x(i)] x=floor(x(:)).m) % return m samples of pascal(k. sx=0:max(x). function y=phi(x) sq2=sqrt(2). poissoncdf y=poissoncdf(alpha.1). hot springs. AR. %cdf from 0 to max(x) okx=(x>=0). cdf=cumsum(poissonpmf(alpha.*cdf(x+1). rmax=max(r). y= 0.p) rv r=rand(m.x) Input: alpha is the parameter of a Poisson (α) random variable X . %cdf=0 for x(i)<0 13 Address:104 pine meadows loop. %set max range sx=xmin:xmax.sx).

xmin=0.sx).x) Input: a and ( b) are parameters for continuous uniform random variable X . xmax=ceil(2*alpha). -alpha+ (k*log(alpha))-logfacts]).0*(x>=b).. AR.sx). sx=xmin:xmax. cdf=poissoncdf(alpha.b.Name:joey iwatsuru Email:joeyiwat@yahoo. pb=exp([-alpha.1). %set max range sx=xmin:xmax. .m) Input: alpha is the parameter of a Poisson (α) random variable X .*x. %pmf(i)=0 for zero-prob x(i) poissonrv x=poissonrv(alpha. pmf=okx. logfacts =cumsum(log(k)). x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). %out=vector pmf: pmf(i)=P[X=x(i)] x=x(:).com Phone:5017621195 poissonpmf y=poissonpmf(alpha.x) %Usage: F=uniformcdf(a. F=f+1. uniformcdf y=uniformcdf(a.x) %Poisson (alpha) rv X.m) %return m samples of poisson(alpha) rv X r=rand(m. okx=(x>=0). k=(1:max(x))’.b. end x=xmin+countless(cdf.x) Input: alpha is the parameter of a Poisson (α) random variable X . hot springs.. rmax=max(r). x=okx. us (United States) Zip Code:71901 . %while ( sum(cdf <=rmax) ==(xmax-xmin+1) ) while cdf(length(cdf)) <=rmax xmax=2*xmax.*pb(x+1). 14 Address:104 pine meadows loop.*((x>=a) & (x<b))/(b-a).r). function pmf=poissonpmf(alpha.b. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=poissonrv(alpha. cdf=poissoncdf(alpha.x) %returns the CDF of a continuous %uniform rv evaluated at x F=x.*(x==floor(x)). vector x Output: Vector y such that yi = FX (xi ) function F=uniformcdf(a.

b.m) %Returns m samples of a %uniform (a.m) %Usage: x=uniformrv(a. hot springs. us (United States) Zip Code:71901 .x) Input: a and ( b) are parameters for continuous uniform random variable X .Name:joey iwatsuru Email:joeyiwat@yahoo. uniformrv x=uniformrv(a.b.m) Input: a and ( b) are parameters for continuous uniform random variable X . AR.1).b) random varible x=a+(b-a)*rand(m.b.x) %Usage: f=uniformpdf(a.x) %returns the PDF of a continuous %uniform rv evaluated at x f=((x>=a) & (x<b))/(b-a).b.b. 15 Address:104 pine meadows loop. positive integer m Output: m element vector x such that each x(i) is a sample of X . function x=uniformrv(a. vector x Output: Vector y such that yi = f X (xi ) function f=uniformpdf(a.b.com Phone:5017621195 uniformpdf y=uniformpdf(a.

length n vector p0 denoting the initial state probabilities.n). A=(eye(n)-P).p0.1).t) Input: n × n state transition matrix Q for a continuous-time finite Markov chain. x=sqrt(alpha*delta). nonengative scalar t Output: Length n vector pv such that pv(t) is the state probability vector at time t of the Markov chain Comment: If p0 is a scalar integer.t(1:n-1)]... 16 Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo.n-1)]*Aˆ(-1))’.t) %Brownian motion process %sampled at t(1)<t(2)< . n=size(Q. dmcstatprob pv=dmcstatprob(P) Input: n × n stochastic matrix P representing a discrete-time aperiodic irreducible finite Markov chain Output: pv is the stationary probability vector. hot springs. delta=t-[0.1)=ones(n. AR. R(:. alpha is the scaling constant of a Brownian motion process such that the ith increment has variance α(ti − ti−1 ).1. then the simulation starts in state p0 function pv = cmcprob(Q.p0. pv= (p0(:)’*expm(R*t))’. end R=Q-diag(sum(Q. w=cumsum(x). state %check for integer p0 if (length(p0)==1) p0=((0:K)==p0).1).n-1)]*Rˆ(-1))’.*gaussrv(0.1)=ones(n. function w=brownian(alpha.2)).2)). Output: w is a vector such that w(i) is the position at time t(i) of the particle in Brownian motion. us (United States) Zip Code:71901 . n=length(t).t) Input: t is a vector holding an ordered sequence of inspection times. A(:.t) %Q has zero diagonal rates %initial state probabilities p0 K=size(Q.1)-1. cmcstatprob pv=cmcstatprob(Q) Input: State transition matrix Q for a continuoustime finite Markov chain Output: pv is the stationary probability vector for the continuous-time Markov chain function pv = cmcstatprob(Q) %Q has zero diagonal rates R=Q-diag(sum(Q.1). pv=([1 zeros(1. pv=([1 zeros(1.com Phone:5017621195 Functions for Stochastic Processes brownian w=brownian(alpha. %max no. function pv = dmcstatprob(P) n=size(P.1). t=t(:). cmcprob pv=cmcprob(Q.

Name:joey iwatsuru Email:joeyiwat@yahoo. That is.. %truncate last holding time ST(n.p0. while (s(length(s))< T).6*T/R). %N(i) = no. vector t %For a sample function of a %Poisson process of rate lambda. S=simcmcstep(Q. rate ps=cmcstatprob(Q). Comment: This code is pretty stupid. t is a vector of “inspection times’. of arrivals by t(i) s=poissonarrivals(lambda.T) Input: state transition matrix Q for a continuous-time finite Markov chain.2) is the amount of time the system spends in state ST(i. hot springs. us (United States) Zip Code:71901 .2)=T-sum(ST(1:n-1. s_new]..T).S]..T) %arrival times s=[s(1) . ST=ST(1:n. Input: lambda is the arrival rate of a Poisson process. Note that length n is a Poisson random variable with expected value λT . s(n)] % s(n)<= T < s(n+1) n=ceil(1.:)/v(1+s). 17 Address:104 pine meadows loop.5. v=sum(Q. s=cumsum(exponentialrv(lambda.1*lambda*T).2).. poissonprocess N=poissonprocess(lambda. s=[s. Output: s=[s(1).p00.t) Input: lambda is the arrival rate of a Poisson process.n).T) function s=poissonarrivals(lambda. T ]. is random. .2))<T).2))<T). see Problem 10.1)-1. then the simulation starts in state p0. function N=poissonprocess(lambda.2)).max(t)).:).13. s=ST(size(ST. R=ps’*v. There are decidedly better ways to create a set of arrival times. AR. s(n)]’ is a vector such that s(i) is ith arrival time.1)..n)). ST=simcmcstep(Q. Note that n. the number of state occupancy periods. Comment: If p0 is a scalar integer.com Phone:5017621195 poissonarrivals s=poissonarrivals(lambda.t). ST=[ST.’ Output: N is a vector such that N(i) is the number of arrival by inspection time t(i). end n=1+sum(cumsum(ST(:.1) is the sequence of system states and the second column ST(:. state %calc average trans. p00=Q(1+s..p0. K=size(Q.n)). simcmc ST=simcmc(Q. n=ceil(0.p0.1).2*n). integer n Output: A simulation of the Markov chain system over the time interval [0. N=count(s.. cumsum(exponentialrv(lambda. function ST=simcmc(Q.2) is the amount of time spent in each state.1). T ]: The output is an n × 2 matrix ST such that the first column ST(:. max no. end s=s(s<=T). s_new=s(length(s))+ .t) %input: rate lambda>0. while (sum(ST(:. ST(i. T marks the end of an observation interval [0. vector p0 denoting the initial state probabilities.

rates t=1.p0. % init.2). ST(i. integer n Output: A simulation of n steps of the continuous-time Markov chain system: The output is an n × 2 matrix ST such that the first column ST(:. simdmc x=simdmc(P.n+1).2).Name:joey iwatsuru Email:joeyiwat@yahoo.n). x(m+1)=finiterv(sx.1)-1. rate matrix Q.n) % Simulate n steps of a cts % Markov Chain.:). %state space x=zeros(n+1. %x(m)= state at time m-1 for m=1:n. state S=zeros(n+1. S(:.1). end Input: n ×n stochastic matrix P which is the state transition matrix of a discrete-time finite Markov chain. . That is. x(m) is the state at time m-1 of the Markov chain. us (United States) Zip Code:71901 . length n vector p0 denoting the initial state probabilities. hot springs. %initialization if (length(p0)==1) %convert integer p0 to prob vector p0=((0:K)==p0). P=diag(t)*Q.2)=t(1+S(:.1)) .. function S=simcmcstep(Q. integer n.P(x(m)+1. then the simulation starts in state p0. %max no.n) function x=simdmc(P. %state dep.n).*exponentialrv(1.2) is the amount of time the system spends in state ST(i. end x(1)=finiterv(sx.p0.com Phone:5017621195 simcmcstep S=simcmcstep(Q.. then the simulation starts in state p0 18 Address:104 pine meadows loop. %highest no.%init allocation %check for integer p0 if (length(p0)==1) p0=((0:K)==p0).p0.p0. AR.1) is the length n sequence of system states and the second column ST(:. This program is the basis for simcmc.n) Input: State transition matrix Q for a continuoustime finite Markov chain. state probabilities p0 K=size(Q.p0.1). %S=simcmcstep(Q. Comment: If p0 is a scalar integer. S(:.n) K=size(P. state sx=0:K.1)=simdmc(P. Comment: If p0 is a scalar integer.1)-1.p0. Output: A simulation of the Markov chain system such that for the length n vector x. end v=sum(Q. vector p0 denoting the initial state probabilities./v.p0.1).2) is the amount of time spent in each state.1).

hot springs.MY]=ndgrid(x. countequal n=countequal(x. 19 Address:104 pine meadows loop. countless n=countless(x.com Phone:5017621195 Random Utilities count n=count(x.y). Usage: F=dftmat(N) %F is the N by N DFT matrix n=(0:N-1)’.y).y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x less than or equal to y(i). %each column of MX = x %each row of MY = y n=(sum((MX<MY). AR.y) %n(i)= # elements of x < y(i) [MX.MY]=ndgrid(x.y) %Usage: n=countequal(x.1))’.MY]=ndgrid(x.y) Input: Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x strictly less than y(i). dftmat F=dftmat(N) Input: Integer N . function n=countless(x. us (United States) Zip Code:71901 .y) %Usage n=count(x. function n=countequal(x. Output: F is the N by N discrete Fourier transform matrix function F = dftmat(N). F=exp((-1.y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x equal to y(i).y) %Usage: n=countless(x. %each column of MX = x %each row of MY = y n=(sum((MX<=MY).1))’.y) %n(i)= # elements of x <= y(i) [MX.y). %each column of MX = x %each row of MY = y n=(sum((MX==MY).1))’.Name:joey iwatsuru Email:joeyiwat@yahoo.0j)*2*pi*(n*(n’))/N). function n=count(x.y) %n(j)= # elements of x = y(j) [MX.

SY) %Usage: fxy = freqxy(xy. N=N/sum(N).m). Y ). .:) is the ith sample pair (X.0j)*phase). rk centered around the origin. Y ) pair with relative frequency fxy(k.Y %Output fxy is a K x 3 matrix: % [fxy(k. SX(:) SY(:)]. SY and the probability grid PXY. r0 . In each row [fxy(k. xy=finiterv(S. S=fftc(r) Input: Vector r=[r(1) . .’rows’).1) fxy(k. 20 Address:104 pine meadows loop. phase=2*pi*(n/N)*(L-1).J]=unique(xy. Comment: Given the grids SX.SX.SY) Input: For random variables X and Y . function fxy = freqxy(xy. S=R.*exp((1. us (United States) Zip Code:71901 .PXY(:).:)= ith sample pair X. xy is an m × 2 matrix holding a list of sample values pairs.size(R)). . %DFT for a signal r %centered at the origin %Usage: % fftc(r.2)] is a unique (X. . rel.N). freq. if (nargin>1) N=varargin{2}(1).com Phone:5017621195 freqxy fxy=freqxy(xy. N=hist(J.Name:joey iwatsuru Email:joeyiwat@yahoo.N). . . L=1+floor(length(r)/2).I. SY(:) PXY(:)]. . Grids SX and SY representing the sample space.Y) pairs: xy=[xy. else N=(2*L)-1. %reorder fxy rows to match %rows of [SX(:) SY(:) PXY(:)]: fxy=sortrows(fxy. function S=fftc(varargin).1:max(J))-1. Output: S is the DFT of r Comment: Supports the same calling conventions as fft. yy(i.3)..SX.. AR. hot springs.N): N point DFT of r % fftc(r): length(r) DFT of r r=varargin{1}.2)] % = kth unique pair [x y] and % fxy(k.[2 1 3]). Output: fxy is a K × 3 matrix. n=reshape(0:(N-1). The output fxy is ordered so that the rows match the ordering of rows in the matrix [SX(:) fftc S=fftc(r. .1) fxy(k.1) fxy(k.2) fxy(k.SX. end R=fft(r.3)] [fxy(k.3)= corresp. fxy=[U N(:)]. a list of random sample value pairs xy can be simulated by the commands S=[SX(:) SY(:)].SY) %xy is an m x 2 matrix: %xy(i. %extend xy to include a sample %for all possible (X. [U. r(2k+1)] holding the time sequence r−k .

xmin=xmin-xborder.’LineWidth’. rect y=rect(x) Input: Vector x Output: Vector y such that yi = rect(xi ) = 1 |xi | < 0.5). px=(px(:))’. ymax=1. sx=(sx(:))’.5 0 otherwise function y=rect(x).*y)+ (1.xls.’VerticalAlignment’. PM=[zeros(size(px)). axis([xmin xmax 0 ymax]).’-k’). sx]. xmax=max(sx).0-(x==0)). h=plot(XM. XM = [sx. px].com Phone:5017621195 pmfplot pmfplot(sx.’Bottom’).px. xborder=0. 21 Address:104 pine meadows loop. set(h.’x’. end xmin=min(sx).px. xx=x+(x==0).3).px. %Usage:y=rect(x). if (nargin==4) xlabel(xls).yls) %Usage: pmfplot(sx. sx=sx(nonzero). px=px(nonzero). optional text strings xls and yls Output: A plot of the PMF PX (x) in the bar style used in the text. xmax=xmax+xborder.Name:joey iwatsuru Email:joeyiwat@yahoo. y=sin(pi*xx). hot springs. AR. ylabel(yls. us (United States) Zip Code:71901 . y=((1.0*(x==0)). function h=pmfplot(sx./(pi*xx).0*(abs(x)<0.05*(xmax-xmin). px is the PMF %xls and yls are x and y label strings nonzero=find(px).1*max(px).yls) %sx and px are vectors. Comment: The code is ugly because it makes sure to produce the right limit value at xi = 0.xls. y=1. sinc y=sinc(x) Input: Vector x Output: Vector y such that yi = sinc(xi ) = sin(π xi ) π xi function y=sinc(x).PM.’y axis text’) Input: Sample space vector sx and PMF vector px for finite random variable PXY.

Comment: If S is just a state sequence vector. hot springs.p0.yls). %h=simplot(S.xls. S(size(S.com Phone:5017621195 simplot simplot(S.2) = state visit times.n). % The cumulative sum % of visit times are transition instances.1) .xlabel.Y). a cts time Markov chain % is assumed where % S(:.1).2)]). if (nargin==3) xlabel(xls). us (United States) Zip Code:71901 . ylabel(yls. h=stairs(X.1) = state sequence.ylabel) % Plots the output of a simulated state sequence % If S is N by 1. 22 Address:104 pine meadows loop.2)==1) S=[S ones(size(S))]. S(:. AR. % If S is an N by 2 matrix.1)]. % h is a handle to a stairs plot of the state sequence % vs state transition times %in case of discrete time simulation if (size(S.’VerticalAlignment’. If S is n × 2 state/time matrix ST. end Y=[S(:. % S(:.ylabel) function h=simplot(S.p0. Output: A “stairs” plot showing the sequence of simulation states over time. a discrete time chain is assumed % with visit times of one unit. then the width of the stair is proportional to the time spent in that state. X=cumsum([0 .xlabel.n) or the n × 2 state/time matrix ST generated by either ST=simcmc(Q.Name:joey iwatsuru Email:joeyiwat@yahoo.T) or ST=simcmcstep(Q.’Bottom’).p0. end Input: The simulated state sequence vector S generated by S=simdmc(P. then each stair has equal width.

1 Address:104 pine meadows loop. Also available is a manual probmatlab.m files in matcode. a probability close to unity) that errors will be found.com Phone:5017621195 Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers Second Edition Quiz Solutions Roy D. Yates and David J.pdf describing the general purpose . us (United States) Zip Code:71901 . 2004 • The M ATLAB section quizzes at the end of each chapter use programs available for download as the archive matcode. Goodman May 22. When errors are found. This archive has programs of general purpose programs for solving probability problems as well as specific . Nevertheless. If you find errors or have suggestions or comments.zip.edu. corrected solutions will be posted at the website. please send email to ryates@winlab. there is a nonzero probability (in fact.rutgers.Name:joey iwatsuru Email:joeyiwat@yahoo.zip. hot springs.m files associated with examples or quizzes in the text. AR. • We have made a substantial effort to check the solution to every quiz.

vdv. hot springs. Also.1 In the Venn diagrams for parts (a)-(g) below.Name:joey iwatsuru Email:joeyiwat@yahoo. vvd. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . ddd} (3) A2 = {vvv. ddd} (6) B3 = {vdv. dvd. dvv. vvd. M T O M T O M T O (1) R = T c (2) M ∪ O (3) M ∩ O M T O M T O M T O (4) R ∪ M Quiz 1. ddd} (5) A3 = {vvv. we can simply check for these properties. vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. dvd. vdd.2 (1) A1 = {vvv.com Phone:5017621195 Quiz Solutions – Chapter 1 Quiz 1. dvd. 2 Address:104 pine meadows loop. However. AR. ddv. vdd. The pair A2 and B2 are mutually exclusive and collectively exhaustive. A4 and B4 are collectively exhaustive. dvv. vdv. Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. ddv. us (United States) Zip Code:71901 . dvd} (4) B2 = {vdv. The pair A1 and B1 are mutually exclusive and collectively exhaustive. vvd. the shaded area represents the indicated set. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. dvd} (4) R ∩ M (6) T c − M (7) A4 = {vvv. ddv} (8) B4 = {ddd. Since we have written down each pair Ai and Bi above. ddv. vdd} (2) B1 = {dvv.

.35 0. This allows us to fill in two more table entries: V D L 0.35 0.78 (7) P[a C grade or better] = P[{s70 . . . . . .35 ? The remaining table entry is filled in by observing that the probabilities must sum to 1. .35 0. This implies P[D B] = 0.18 (5) P[T ≥ 80] = P[{s80 . . . .35 ? B ? ? In a roundabout way. .35 = 0. s89 }] = 39 × 0. . and DL. In particular.6 − 0.3 There are exactly 50 equally likely outcomes: s51 through s100 . V L. s59 }] = 9 × 0. Each of these outcomes has probability 0.05 Finding the various probabilities is now straightforward: 3 Address:104 pine meadows loop.6 = P [V L] + P [DL] (1) (2) Since P[V L] = 0. (1) P[{s79 }] = 0. s100 }] = 41 × 0.02 = 0. .02 (2) P[{s100 }] = 0.02.Name:joey iwatsuru Email:joeyiwat@yahoo. . .02 = 0.62 (8) P[student passes] = P[{s60 .22 (4) P[F] = P[{s51 . the problem statement tells us how to fill in the table.25 B 0.02 = 0. .02 = 0. D B. we can conclude that P[V B] = 0. P [V ] = 0. .42 (6) P[T < 90] = P[{s51 . .25. hot springs.02 (3) P[A] = P[{s90 . .02 = 0. s100 }] = 11 × 0. s100 }] = 21 × 0.35. . .82 Quiz 1. .35 and that P[DL] = 0. . us (United States) Zip Code:71901 .4 We can describe this experiment by the event space consisting of the four possible events V B. . s52 .05 and the complete table is V D L 0. We represent these events in the table: V D L 0.7 = P [V L] + P [V B] P [L] = 0.25 B 0.com Phone:5017621195 Quiz 1. AR. s100 }] = 31 × 0.02 = 0.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(1) P[DL] = 0.25 (2) P[D ∪ L] = P[V L] + P[DL] + P[D B] = 0.35 + 0.25 + 0.05 = 0.65. (3) P[V B] = 0.35 (4) P[V ∪ L] = P[V ] + P[L] − P[V L] = 0.7 + 0.6 − 0.35 = 0.95 (5) P[V ∪ D] = P[S] = 1 (6) P[L B] = P[L L c ] = 0 Quiz 1.5 (1) The probability of exactly two voice calls is P [N V = 2] = P [{vvd, vdv, dvv}] = 0.3 (2) The probability of at least one voice call is P [N V ≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] = 6(0.1) + 0.2 = 0.8 An easier way to get the same answer is to observe that P [N V ≥ 1] = 1 − P [N V < 1] = 1 − P [N V = 0] = 1 − P [{ddd}] = 0.8 (4) (2) (3) (1)

(3) The conditional probability of two voice calls followed by a data call given that there were two voice calls is 1 P [{vvd} , N V = 2] P [{vvd}] 0.1 = (5) = = P [{vvd} |N V = 2] = P [N V = 2] P [N V = 2] 0.3 3 (4) The conditional probability of two data calls followed by a voice call given there were two voice calls is P [{ddv} , N V = 2] P [{ddv} |N V = 2] = =0 (6) P [N V = 2] The joint event of the outcome ddv and exactly two voice calls has probability zero since there is only one voice call in the outcome ddv. (5) The conditional probability of exactly two voice calls given at least one voice call is P [N V = 2, N V ≥ 1] P [N V = 2] 0.3 3 = = = (7) P [N V = 2|Nv ≥ 1] = P [N V ≥ 1] P [N V ≥ 1] 0.8 8 (6) The conditional probability of at least one voice call given there were exactly two voice calls is P [N V ≥ 1, N V = 2] P [N V = 2] P [N V ≥ 1|N V = 2] = = =1 (8) P [N V = 2] P [N V = 2] Given that there were two voice calls, there must have been at least one voice call. 4

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.6 In this experiment, there are four outcomes with probabilities P[{vv}] = (0.8)2 = 0.64 P[{dv}] = (0.2)(0.8) = 0.16 P[{vd}] = (0.8)(0.2) = 0.16 P[{dd}] = (0.2)2 = 0.04

When checking the independence of any two events A and B, it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. Using the probabilities of the outcomes, we now can test for the independence of events. (1) First, we calculate the probability of the joint event: P [N V = 2, N V ≥ 1] = P [N V = 2] = P [{vv}] = 0.64 Next, we observe that P [N V ≥ 1] = P [{vd, dv, vv}] = 0.96 Finally, we make the comparison P [N V = 2] P [N V ≥ 1] = (0.64)(0.96) = P [N V = 2, N V ≥ 1] which shows the two events are dependent. (2) The probability of the joint event is P [N V ≥ 1, C1 = v] = P [{vd, vv}] = 0.80 From part (a), P[N V ≥ 1] = 0.96. Further, P[C1 = v] = 0.8 so that P [N V ≥ 1] P [C1 = v] = (0.96)(0.8) = 0.768 = P [N V ≥ 1, C1 = v] Hence, the events are dependent. (3) The problem statement that the calls were independent implies that the events the second call is a voice call, {C2 = v}, and the first call is a data call, {C1 = d} are independent events. Just to be sure, we can do the calculations to check: P [C1 = d, C2 = v] = P [{dv}] = 0.16 (6) Since P[C1 = d]P[C2 = v] = (0.2)(0.8) = 0.16, we confirm that the events are independent. Note that this shouldn’t be surprising since we used the information that the calls were independent in the problem statement to determine the probabilities of the outcomes. (4) The probability of the joint event is P [C2 = v, N V is even] = P [{vv}] = 0.64 Also, each event has probability P [C2 = v] = P [{dv, vv}] = 0.8, P [N V is even] = P [{dd, vv}] = 0.68 (8) Thus, P[C2 = v]P[N V is even] = (0.8)(0.68) = 0.544. Since P[C2 = v, N V is even] = 0.544, the events are dependent. 5 (7) (5) (4) (3) (2) (1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.7 Let Fi denote the event that that the user is found on page i. The tree for the experiment is
0.8 ¨ F1 0.8 ¨ F2 0.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0.2 0.2 0.2

The user is found unless all three paging attempts fail. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0.2)3 = 0.992 (1) Quiz 1.8 (1) We can view choosing each bit in the code word as a subexperiment. Each subexperiment has two possible outcomes: 0 and 1. Thus by the fundamental principle of counting, there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. (2) An experiment that can yield all possible code words with two zeroes is to choose which 2 bits (out of 4 bits) will be zero. The other two bits then must be ones. There are 4 = 6 ways to do this. Hence, there are six code words with exactly two zeroes. 2 For this problem, it is also possible to simply enumerate the six code words: 1100, 1010, 1001, 0101, 0110, 0011. (3) When the first bit must be a zero, then the first subexperiment of choosing the first bit has only one outcome. For each of the next three bits, we have two choices. In this case, there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word. (4) For the constant ratio code, we can specify a code word by choosing M of the bits to be ones. The other N − M bits will be zeroes. The number of ways of choosing such N a code word is M . For N = 8 and M = 3, there are 8 = 56 code words. 3 Quiz 1.9 (1) In this problem, k bits received in error is the same as k failures in 100 trials. The failure probability is = 1 − p and the success probability is 1 − = p. That is, the probability of k bits in error and 100 − k correctly received bits is P Sk,100−k = 100 k 6
k

(1 − )100−k

(1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

com Phone:5017621195 For = 0.4) .4. hot springs. then X(i)=3.11 R=rand(1.01) (0. chip failures are also independent.99 = 100(0.3700 9 97 P S2.98 = 4950(0. us (United States) Zip Code:71901 .99 + P S2. we first generate a vector R of 100 random numbers.97 = 161. we use the hist function to count how many occurences of each possible value of X(i).9 < R(i)... The module works if either 8 chips work or 9 chips work.01)(0.99) 8 = 0.1:3) (1) (2) (3) For a M ATLAB simulation. 7 Address:104 pine meadows loop.4).0610 (6) Quiz 1. Y=hist(X. 0. then X(i)=2.3660 P S1. 8 P [C9 ] = (P [C])9 = p 9n .4.9)). the transistors in the chip are like devices in series.99) (2) The probability a packet is decoded correctly is just P [C] = P S0..*(R<=0.99) 2 3 99 (2) (3) (4) (5) = 0. Let Ck denote the event that exactly k chips work.Name:joey iwatsuru Email:joeyiwat@yahoo.01. P S0. To see how this works.97 = 0.100 + P S1. and X(i)=3) is flip i landed on the edge.5 and 0. Second. That is.4 < R(i) and R(i)<=0. + (3*(R>0.01) (0.9. AR. we note there are three cases: • If R(i) <= 0. then X(i)=1.100 = (1 − )100 = (0.98 + P S3.100). X(i)=2 if flip i was tails. These three cases will have probabilities 0.9)) . P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1. Since transistor failures are independent of each other. + (2*(R>0.99)100 = 0. • If 0.1849 P S3. we generate vector X as a function of R to represent the 3 possible outcomes of a flip. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ). 700(0.10 Since the chip works only if all n transistors work. X(i)=1 if flip i was heads. Lastly. The probability that a chip works is P[C] = pn .9819 = 0.. X=(R<= 0. • If 0.1.

that is.36 3. Now that we have found c. Similar to Example 2.” Each bit is in error. AR.5 0.Name:joey iwatsuru Email:joeyiwat@yahoo.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success.11. 2. Now we can interpret each experiment in the generic context of independent trials. . 0 otherwise (1) (2) If p = 0. 3 G 0. the trial is a success. with probability p. us (United States) Zip Code:71901 . (1) The random variable X is the number of trials up to and including the first success.com Phone:5017621195 Quiz Solutions – Chapter 2 Quiz 2.2 (1) To find c. we recall that the PMF must sum to 1. (2) P[N = 1] = PN (1) = c = 6/11 (3) P[N ≥ 2] = PN (2) + PN (3) = c/2 + c/3 = 5/11 (4) P[N > 3] = ∞ n=4 PN (n) = 0 Quiz 2.24 2.9)9 = 0.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11.0 0.1.1)(0.1 The sample space.5 0. That is. the remaining parts are straightforward. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0. .24 2. hot springs. . probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1.0387 8 (2) Address:104 pine meadows loop.

3487. AR. 5. we must keep in + mind that when FY (y) has a discontinuity at y0 . (6) If p = 0.com Phone:5017621195 The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).1.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success.4 Each of these probabilities can be read off the CDF FY (y).. P[X ≥ 10] = 0. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0. (1) P[Y < 1] = FY (1− ) = 0 9 Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo.13. FY (y) takes the upper value FY (y0 ).99)100 + 100(0. us (United States) Zip Code:71901 .15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3.01)(0. .25)3 (0. (3) The random variable Y is the number of successes in 100 independent trials.9207 100 (0. Thus Z has the Pascal PMF (see Example 2.910 = 0. . P [X ≥ 10] = P [first 10 bits are correct] = (1 − p)10 For p = 0. hot springs. Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0. its even easier to observe that X ≥ 10 if the first 10 bits are transmitted correctly.01)2 (0.99)98 = 0. 4. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.25.75)9 = 0. However.0645 2 (10) Quiz 2.99)99 + = 0. This x=10 sum is not too hard to calculate. . That is.01. Just as in Example 2. However.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0.01)2 (0.

This corresponds to the PMF ⎧ ⎨ 0. hot springs.8 = 0.1) = 62 (2) (3) (4) 10 Address:104 pine meadows loop.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0.5 (1) With probability 0.3) = 29.Name:joey iwatsuru Email:joeyiwat@yahoo.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0. with probability 0. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To find the PMF of T .1 t = 120 ⎩ 0 otherwise From the PMF PT (t).8 − 0.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0.7) + 40(0.3ˆˆ N =2 •T =90 r rr 0.7 c = 25 PC (c) = 0. we can write down the PMF of T : ⎧ ⎨ 0. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.3 N =3 •T =75 From the tree.3) + 120(0.5 cents Quiz 2.3. Otherwise. we can draw the following tree: N =0 •T =120 0.6 (1) As a function of N .8 = 0 Quiz 2. 90.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0. we have a data call and C = 40. a call is a voice call and C = 25.1¨¨ ¨ ¨ ¨ 0.com Phone:5017621195 (2) P[Y ≤ 1] = FY (1) = 0. AR. us (United States) Zip Code:71901 .7.6 = 0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0. 105 PT (t) = 0.3 t = 75.3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ ˆˆˆ rr ˆ ˆ rr0.

E[M] = 4.com Phone:5017621195 Quiz 2. Quiz 2.44 = 0.5) = 2.663.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1. g(E[A]) = g(2) = 4. (3) 11 Address:104 pine meadows loop.3) + 3(0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.10.4) + 2(0.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.2) + 8(0.4)2 = 0. us (United States) Zip Code:71901 . AR. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.5) = 1.14.1) + 12 (0.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2. However.Name:joey iwatsuru Email:joeyiwat@yahoo.4) + 4(0.8 (3) Since E[A] = 2.4) + 22 (0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.2) + 4(0.3) + 6(0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.1) + 1(0. hot springs.4) + 2(0. The two quantities are different because g(A) is not of the form α A + β.4 − (1.1) = 4.8 The PMF PN (n) allows to calculate each of the desired quantities. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.8 = g(E[A]).7 (1) Using Definition 2.

3.19375 n = 1.com Phone:5017621195 Quiz 2.02(0. 4.00625) (11) (12) = 3. 2. E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. 5 = 0. hot springs. 2. 50 = 0(0. 7. 3. 50 ⎩ 0 otherwise (4) First we find 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. 4.9 (1) From the problem statement.155)(5) + (0. 2.8 n = 6. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4. 5 n = 6. . 10 ⎩ 0 otherwise ⎧ ⎨ 0. . us (United States) Zip Code:71901 . .155/0.75) + 0. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement.25) n = 1. .005/0. 7. 9.17. 2.2(0. 8.15625 12 Address:104 pine meadows loop. 5 = 0. . 7.02 n = 1. 2. 4. .19375) + n=6 n(0. .02(0. 3. . . the conditional PMF of N given the event T is PN |T (n) = 0. 8. 9.Name:joey iwatsuru Email:joeyiwat@yahoo. .8 n = 1.155 n = 1. 4. calculating conditional expectations is easy. 2. .2 n = 1.75) + 0. 3. 4. we find the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0.25) ⎩ 0 otherwise ⎧ ⎨ 0. . 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. From Theorem 1.80 (6) By Theorem 2. 5 = 0. 7. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0.00625 n = 6. AR. 3.005 n = 6.10 (the law of total probability). we learn that the conditional PMF of N given the event I is 0.005)(5) = 0.

M). m k . X=duniformrv(0. k.i)=cumsum(X).Name:joey iwatsuru Email:joeyiwat@yahoo. end. . . AR.00625) = 12. for i=1:5. .5).75684 (16) (17) Quiz 2.10 The function samplemean(k) generates and plots five m n sequences for n = 1.15625)2 = 2. we first find the conditional second moment E N 2 |N ≤ 10 = n 5 n 2 PN |N ≤10 (n) 10 (13) n 2 (0.19375) + 2 (14) (15) = 55(0.k). . hot springs. Each time samplemean(k) is called produces a random output. M=zeros(k. . . K=(1:k)’.19375) + 330(0. function M=samplemean(k). 2.com Phone:5017621195 10 8 6 4 2 0 0 50 100 10 8 6 4 2 0 0 500 1000 (a) samplemean(100) (b) samplemean(1000) Figure 1: Two examples of the output of samplemean(k) (6) To find the conditional variance. What is observed in these figures is that for small n.10.i) of M holds a sequence m 1 . plot(K.71875 − (3. . Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. M(:. us (United States) Zip Code:71901 .00625) n=6 = n=1 n (0. m 2 . The ith column M(:. .71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. m n is fairly random but as n gets 13 Address:104 pine meadows loop./K.

AR. This random convergence is analyzed in Chapter 7. 14 Address:104 pine meadows loop.com Phone:5017621195 large. us (United States) Zip Code:71901 . . the sequences always converges to E[X ].Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs. Although each sequence m 1 . that we generate is random. . m n gets close to E[X ] = 5. . m 2 .

2 (1) First we will find the constant c and then we will sketch the PDF.5) = 1 − (1.1 The CDF of Y is 1 FY(y) 0.com Phone:5017621195 Quiz Solutions – Chapter 3 Quiz 3. λ = 1/2) PDF 0. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1.5] = 1 − P[Y ≤ 1.Name:joey iwatsuru Email:joeyiwat@yahoo. To find c.2 0.5] = 1 − FY (1. hot springs.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).5)/4 = 5/8 Quiz 3. We will evaluate this integral using integration by parts: ∞ −∞ f X (x) d x = 0 ∞ cxe−x/2 d x ∞ 0 (1) ∞ 0 = −2cxe−x/2 =0 + 2ce−x/2 d x (2) = −4ce−x/2 ∞ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2. us (United States) Zip Code:71901 . AR.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 Address:104 pine meadows loop. we use ∞ the fact that −∞ f X (x) d x = 1.

e. (4) Similarly. (1) (1) The expected value of Y is E [Y ] = ∞ −∞ y f Y (y) dy = 1 −1 (3/2)y 3 dy = (3/8)y 4 1 −1 = 0.5 0 0 5 x 10 15 FX (x) = 1− 0 x 2 + 1 e−x/2 x ≥ 0 otherwise (8) (3) From the CDF FX (x). For x ≥ 0. 0 otherwise.Name:joey iwatsuru Email:joeyiwat@yahoo.. AR. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . (2) The second moment of Y is E Y2 = ∞ −∞ y 2 f Y (y) dy = 1 −1 (3/2)y 4 dy = (3/10)y 5 1 −1 = 3/5. f Y (y) = f Y (−y)).com Phone:5017621195 (2) To find the CDF FX (x). (2) Note that the above calculation wasn’t really necessary because E[Y ] = 0 whenever the PDF f Y (y) is an even function (i. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . (9) (10) Quiz 3. (3) 16 Address:104 pine meadows loop. hot springs. FX (x) = 0 x f X (y) dy = 0 x y −y/2 e dy 4 (5) (6) (7) x x 1 y − e−y/2 dy = − e−y/2 − 2 2 0 0 x −x/2 =1− e − e−x/2 2 The complete expression for the CDF is 1 FX(x) 0. us (United States) Zip Code:71901 . we first note X is a nonnegative random variable so that FX (x) = 0 for all x < 0.3 The PDF of Y is 3 fY(y) 2 1 0 −2 0 y 2 f Y (y) = 3y 2 /2 −1 ≤ y ≤ 1.

a+b =3 2 Var[X ] = (b − a)2 = 9. Since E[X ] = 3 and Var[X ] = 9. (5) (z) function and Table 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. (1) √ Var[Y ] = √ 3/5.com Phone:5017621195 (3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. the peak value of the Gaussian PDF goes down.2. E[X ] = 1/λ and Var[X ] = 1/λ2 . √ b = 3 + 3 3. us (United States) Zip Code:71901 . it is important to remember that as the standard deviation increases.4 0. we must have λ = 1/3. 12 (2) √ b − a = ±6 3. b) random variable.1 (1) The PDFs of X and Y are shown below. Quiz 3. (4) The standard deviation of Y is σY = Quiz 3. The fact that Y has twice the standard deviation of X is reflected in the greater spread of f Y (y).6 to write E [X ] = This implies a + b = 6.4 (1) When X is an exponential (λ) random variable. 0 otherwise. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3. (4) (2) We know X is a uniform (a. fY(y) 0. hot springs. The only valid solution with a < b is √ a = 3 − 3 3. we apply Theorem 3. To find a and b. However. We start with the sketches. AR. f X (x) = 0 otherwise.Name:joey iwatsuru Email:joeyiwat@yahoo.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 Address:104 pine meadows loop.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3.

1). 2).5] = Q( 3. The resulting PDF is 0. 2). (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2. (2) Quiz 3.75) = 0 x 2 ⎧ x < −1. Quiz 3.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . (2) P[X < 1] = FX (1− ) = 1/2. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1.5 fX(x) 0. AR.6 The CDF of X is 1 FX(x) 0.33 × 10−4 .5 ) = Q(1. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0.5] = Q(3.5 0 −2 (1. 2 (4) (1) (2) (4) Again. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. ⎩ 0 otherwise.5) = 2. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1.75) = 1 − 2 0.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.com Phone:5017621195 (2) Since X is Gaussian (0. (4) We find the PDF f Y (y) by taking the derivative of FY (y).0401.7 18 Address:104 pine meadows loop.383. P[X > 3. (3) Since Y is Gaussian (0. hot springs. ⎩ 1 x ≥ 1. (5) Since Y is Gaussian (0. since X is Gaussian (0. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0.6826. P[Y > 3. 1).

Y is also nonnegative. ⎨ 0 2 /4 0 ≤ y < 1. AR. for 0 < y < 1. for 0 ≤ x ≤ 2. Using the CDF FX (x). (3) (3) Since X is nonnegative. the PDF is zero.Name:joey iwatsuru Email:joeyiwat@yahoo. because Y ≤ 1. (4) By taking the derivative of FY (y). Lastly. ⎨ 0 2 /4 0 ≤ x ≤ 2. FX (x) = x−x ⎩ 1 x > 2. (1) The complete CDF of X is 1 F (x) 0. Note that when y < 0 or y > 1. FY (y) = 1 for all y ≥ 1.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. the complete expression for the CDF of Y is 1 F (y) 0. FY (y) = y−y ⎩ 1 y ≥ 1. us (United States) Zip Code:71901 .5 f (y) 1 0. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4. 19 Address:104 pine meadows loop. Thus FY (y) = 0 for y < 0. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) .8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. (5) 0. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1].6 .5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0. we obtain the PDF f Y (y).com Phone:5017621195 (1) Since X is always nonnegative. Also. Also.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. FX (x) = 0 for x < 0. hot springs.5 0 −1 Y (4) 0 As expected. 1. Finally.

Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. then T = T + 2 has PDF f T (t) = f T |T >2 (t).15. = otherwise. 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 10 (2) (4) From Definition 3. if (x>2) t(i+1)=x. In this case the command t=2.lambda=1/3.Name:joey iwatsuru Email:joeyiwat@yahoo. the conditional PDF of Y given Y ≤ 6 is f Y |Y ≤6 (y) = (3) The probability Y > 8 is P [Y > 8] = 8 10 f Y (y) P[Y ≤6] 0 y ≤ 6.1). 1/6 0 ≤ y ≤ 6.2 .15. end end A second method exploits the fact that if T is an exponential (λ) random variable. 0 otherwise. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. = otherwise.9 A natural way to produce random variables with PDF f T |T >2 (t) is to generate samples of T with PDF f T (t) and then to discard those samples which fail to satisfy the condition T > 2.0+exponentialrv(1/3. (1) 1 dy = 0. 0 otherwise. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. 2 (5) Quiz 3. 1/2 8 < y ≤ 10. while (i<m). x=exponentialrv(lambda.m) generates the vector t. hot springs. i=i+1. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9. 20 Address:104 pine meadows loop. (3) (5) From the conditional PDF f Y |Y ≤6 (y).com Phone:5017621195 (2) From Definition 3.1). AR. t=zeros(m. us (United States) Zip Code:71901 .

Y (−∞.24 + 0. (1) FX.G (0. g) (6) (7) = 0.18 + 0.06 + 0.16 + 0.1.Name:joey iwatsuru Email:joeyiwat@yahoo.16 + 0. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.6 (2) The probability that Q = G is P [Q = G] = PQ.Y (∞. This result is given in Theorem 4. us (United States) Zip Code:71901 .24 + 0. −∞) = P[X ≤ ∞. g) (4) (5) = 0.24 + 0.G (q. 1) + PQ.com Phone:5017621195 Quiz Solutions – Chapter 4 Quiz 4.G (0. hot springs. ∞) = P[X ≤ ∞. AR. 1) = 0.2 From the joint PMF of Q and G given in the table.G (0. 2) + PQ.G (q. 0) + PQ. 0) + PQ. Y ≤ ∞] = 1. (3) FX. 2) = P[X ≤ −∞.Y (∞.78 21 Address:104 pine meadows loop. (1) The probability that Q = 0 is P [Q = 0] = PQ.G (0. 3) = 0.G (0.08 = 0.12 = 0.18 + 0.Y (∞.12 + 0. Quiz 4. (4) FX. y) = P[X ≤ ∞. (2) FX.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.12 + 0.1 Each value of the joint CDF can be found by considering the corresponding probability.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event.08 = 0. Y ≤ −∞] = 0 since Y cannot take on the value −∞.G (1. Y ≤ y] = P[Y ≤ y] = FY (y).

2.2 h=0 h=1 0. yielding 2 1 Y P [A] = 0 π/2 0 1 0 1 r 2 sin θ cos θ r dr dθ π/2 0 2 π/2 (5) (6) A 1 X = = r 3 dr ⎛ 1 0 sin θ cos θ dθ ⎞ ⎠ = 1/8 r 4 /4 ⎝ sin θ 2 (7) 0 22 Address:104 pine meadows loop.2 PB (b) 0.4 To find the constant c.2 0. Specifically. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0. b) (2) For each value of b. this corresponds to the column sum down the table of the joint PMF. hot springs.B (h.4 PH.3 Quiz 4. the marginal PMF of H is PH (h) = b=0. we write P [A] = A y dy = (c/4)y 2 f X. we convert to polar coordinates using the substitutions x = r cos θ . 2 0 0 2 1 f X.Y (x. b) (1) For each value of h.1 0. To calculate P[A]. y) d x d y = =c cx y d x dy y 0 2 0 (1) dy 2 0 x 2 /2 1 0 (2) =c (3) = (c/2) Thus c = 1. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X. us (United States) Zip Code:71901 .6 0.B (h.3.2 0.3 By Theorem 4.1 0.Y (x.com Phone:5017621195 Quiz 4. y) d x d y (4) To integrate over A. this corresponds to calculating the row sum across the table of the joint PMF. y) d x d y = 1.1 0 0.4 0. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.Y (x. y = r sin θ and d x d y = r dr dθ .Name:joey iwatsuru Email:joeyiwat@yahoo.B (h.5 0. the marginal PMF of B is 1 PB (b) = h=−1 PH. AR. Similarly.1 0 0.

us (United States) Zip Code:71901 . writing down the PMF of T is straightforward.20 (T =90) 0. 000 b = 14.00 (T =540) b = 21. AR. f Y (y) = = ∞ −∞ 6 1 f X. 592. 776. 800 0.10 (T =24) 0.B (l. y) dy (x + y 2 ) d x = 6 2 x /2 + x y 2 5 x=1 x=0 (4) 6 3 + 6y 2 = (1/2 + y 2 ) = 5 5 (5) 5 0 Since f Y (y) = 0 for y < 0 or y > 1. For 0 ≤ x ≤ 1. b) l = 518.com Phone:5017621195 Quiz 4. the complete expression for the PDF of Y is f Y (y) = Quiz 4.05 (T =18) 0. 400 l = 2. 90 ⎪ ⎪ ⎨ 0. the marginal PDF of X is f X (x) = ∞ −∞ f X. we can calculate the time T needed for the transfer.Y (x.10 (T =120) 0. f X (x) = 0. hot springs.05 t = 18 ⎪ ⎪ ⎪ 0.8. ⎧ ⎪ 0.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. f X (x) = 6 5 1 0 (x + y 2 ) dy = 6 x y + y 3 /3 5 y=1 y=0 6x + 2 6 = (x + 1/3) = 5 5 (2) The complete expression for the PDf of X is f X (x) = (6x + 2)/5 0 ≤ x ≤ 1 0 otherwise (3) By the same method we obtain the marginal PDF for Y .1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table. For 0 ≤ y ≤ 1.2 t = 36. 400 0. 600 0.1 t = 120 PT (t) = ⎪ 0.6 (A) The time required for the transfer is T = L/B.20 (T =36) 0.Y (x. y) dy (1) For x < 0 or x > 1. We can write these down on the table for the joint PMF of L and B as follows: PL . For each pair of values of L and B.5 By Theorem 4. 000 l = 7.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0.05 t = 180 ⎪ ⎪ ⎪ 0.05 (T =180) 0.10 (T =360) b = 28.

hot springs. Y 1 w w 1 XY > w FW (w) = 1 − P [X Y > w] =1− =1− 1 1 w w/x 1 w (2) (3) (4) (5) (6) dy dx XY = w X (1 − w/x) d x = 1 − x − w ln x|x=1 x=w = 1 − (1 − w + w ln w) = w − w ln w The complete expression for the CDF is ⎧ w<0 ⎨ 0 FW (w) = w − w ln w 0 ≤ w ≤ 1 ⎩ 1 w>1 By taking the derivative of the CDF.25) + 2(0. The calculus is simpler if we integrate over the region X Y > w.3 0. us (United States) Zip Code:71901 . For 0 < w < 1.5.5) + 3(0.15 0. Since the second moment of L is E L 2 = 12 (0.5.7 (A) It is helpful to first make a table that includes the marginal PMFs. PL . 24 t = 40 0. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.5) + 32 (0. integrating over the region W ≤ w is fairly complex.25) = 4.T (l. we find the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4.6 t = 60 0.15 0. As shown below. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.25) = 2.25) + 22 (0.5 0.com Phone:5017621195 (B) First.Name:joey iwatsuru Email:joeyiwat@yahoo.1 0. Specifically. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.4 PL (l) 0.2 0.25 0. Thus f W (0) = 0 and f W (1) = 1. we calculate the CDF FW (w) = P[W ≤ w].25 (7) (8) (1) (2) (3) Address:104 pine meadows loop.1 0. AR. W = X Y satisfies 0 ≤ W ≤ 1.

it is straightforward to calculate the various expectations. y) d x = 0 2 xy dx = 1 2 x y 2 x=1 = x=0 y 2 (13) The complete expressions for the marginal PDFs are f X (x) = 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs.2) + 3(60)(0. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96. AR. (11) (B) As in the discrete case.1) = 96 (4) From Theorem 4. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .Y (x.T = 0. us (United States) Zip Code:71901 . 25 Address:104 pine meadows loop.4) = 48.16(a). for 0 ≤ y ≤ 2.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40.Y (x. f Y (y) = ∞ −∞ f X. the covariance of L and T is Cov [L . f X (x) = ∞ −∞ f X.15) + 1(60)(0.4) = 2400. T ] = 0. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly.6) + 60(0.Name:joey iwatsuru Email:joeyiwat@yahoo. the correlation coefficient is ρ L .1) + 2(60)(0.15) + 2(40)(0. The second moment of T is E T 2 = 402 (0. hot springs.6) + 602 (0.com Phone:5017621195 (2) The expected value of T is E [T ] = 40(0.3) + 3(40)(0. For 0 ≤ x ≤ 1. the calculations become easier if we first calculate the marginal PDFs f X (x) and f Y (y).

hot springs. 60). 40) and (L .T (l. Quiz 4. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X.T (2.T |A (l. P [A] = P [V > 80] = PL . 60) + PL .45 By Definition 4. T ) = (3.com Phone:5017621195 (1) The first and second moments of X are E [X ] = E X2 = ∞ −∞ ∞ −∞ x f X (x) d x = 0 1 2x 2 d x = 1 2 3 1 2 (15) (16) (17) x 2 f X (x) d x = 0 2x 3 d x = The variance of X is Var[X ] = E[X 2 ] − (E[X ])2 = 1/18. Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. PL . 60). AR. the correlation coefficient is ρ X.T (3. dy 1 0 (20) 2 x3 x y d x.8 (A) Since the event V > 80 occurs only for the pairs (L .t) P[A] (1) 0 lt > 80 otherwise (2) Address:104 pine meadows loop. (L . (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X. us (United States) Zip Code:71901 . 40) + PL .Y = 0.9. y) d x. (22) (5) Since Cov[X. (2) The first and second moments of Y are E [Y ] = E Y2 4 1 2 y dy = 3 −∞ 0 2 ∞ 2 1 = y 2 f Y (y) dy = y 3 dy = 2 −∞ 0 2 y f Y (y) dy = ∞ 2 (18) (19) The variance of Y is Var[Y ] = E[Y 2 ] − (E[Y ])2 = 2 − 16/9 = 2/9. T ) = (3.T (3.Name:joey iwatsuru Email:joeyiwat@yahoo. 60) = 0. Y ] = 0. t) = 26 PL .Y (x. T ) = (2.

t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. y) = = f X.T |A (l. y) /P [B] (x. P [B] = B f X. t) (3) (4) 1 2 1 4 = (2 · 60) + (3 · 40) + (3 · 60) = 133 9 3 9 3 For the conditional variance Var[V |A].Y |B (x.Y (x.T |A (l.Y (x. t) t = 40 t = 60 l=1 0 0 l=2 0 4/9 1/3 2/9 l=3 The conditional expectation of V can be found from the conditional PMF.Name:joey iwatsuru Email:joeyiwat@yahoo. we first find the conditional second moment E V 2 |A = l t (lt)2 PL . y) d x d y = = = 60 40 60 40 60 3 80/y xy dx dy 4000 x2 2 3 (8) dy (9) (10) (11) y 4000 80/y 9 3200 y − 2 y 40 4000 2 9 4 3 = − ln ≈ 0. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) Address:104 pine meadows loop.com Phone:5017621195 We can represent this conditional PMF in the following table: PL .T |A (l. 400 9 3 9 It follows that Var [V |A] = E V 2 |A − (E [V |A])2 = 622 2 9 (7) (B) For continuous random variables X and Y . AR. hot springs. E [V |A] = l t lt PL . us (United States) Zip Code:71901 .801 8 5 2 dy The conditional PDF of X and Y is f X. we first calculate the probability of the conditioning event.

30 Quiz 4.B (a. Consequently. b) b=0 b=1 a=0 PB|A (0|0)PA (0) PB|A (1|0)PA (0) PB|A (0|2)PA (2) PB|A (1|2)PA (2) a=2 28 Address:104 pine meadows loop.com Phone:5017621195 where K = (4000P[B])−1 . Incorporating the information from the given conditional PMFs can be confusing.Name:joey iwatsuru Email:joeyiwat@yahoo.9 (24) (A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via PA. y) d x d y K x 3 y3 d x d y y3 x 4 x=3 x=80/y (19) (20) = (K /4) 80/y 60 40 60 40 dy (21) (22) ≈ 16.Y |B (x. we can note that A has range S A = {0. us (United States) Zip Code:71901 . however. 116. y) d x d y K x 2 y2 d x d y y2 x 3 x=3 x=80/y (14) (15) = (K /3) = (K /3) 80/y 60 40 60 40 dy (16) (17) (18) 27y 2 − 803 /y dy 60 40 = (K /3) 9y 3 − 803 ln y The conditional second moment of K given B is E W 2 |B = = ∞ ∞ ≈ 120.B (a. The general form of the table is PA.10 (23) = (K /4) 81y 3 − 804 /y dy 60 40 = (K /4) (81/4)y 4 − 804 ln y It follows that the conditional variance of W given B is Var [W |B] = E W 2 |B − (E [W |B])2 ≈ 1528. A table of the joint PMF will include all four possible combinations of A and B. 2} and B has range S B = {0. 1}. AR. b) = PB|A (b|a)PA (a).Y |B (x. The conditional expectation of W given event B is E [W |B] = = ∞ ∞ −∞ −∞ 60 3 40 x y f X. hot springs.78 −∞ −∞ 60 3 40 (x y)2 f X.

3 0. we have b=0 b=1 PA.4) (0.6) (0.3/0. it is easy to calculate the conditional expectation 1 E [B|A = 2] = b=0 b PB|A (b|2) = (0)(0. f Y |X (y|1/2) = 29 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 6y 0 ≤ y ≤ x.62 a = 2 (2) ⎩ PB (0) 0 otherwise ⎧ ⎨ 16/31 a = 0 = 15/31 a = 2 (3) ⎩ 0 otherwise (4) We can calculate the conditional variance Var[A|B = 0] using the conditional PMF PA|B (a|0).5 (1) (3) From the joint PMF PA. hot springs. y) = f Y |X (y|x) f X (x) = (2) From the given conditional PDF f Y |X (y|x).Y (x. First we calculate the conditional expected value E [A|B = 0] = a a PA|B (a|0) = 0(16/31) + 2(15/31) = 30/31 (4) The conditional second moment is E A2 |B = 0 = a a 2 PA|B (a|0) = 02 (16/31) + 22 (15/31) = 60/31 (5) The conditional variance is then Var[A|B = 0] = E A2 |B = 0 − (E [A|B = 0])2 = (B) (1) The joint PDF of X and Y is f X.3 a=2 (2) Given the conditional PMF PB|A (b|2). b).8)(0.08 0. b) a=0 (0. 0 ≤ x ≤ 1 0 otherwise (7) 960 961 (6) Address:104 pine meadows loop.2)(0.4) (0.5)(0.Name:joey iwatsuru Email:joeyiwat@yahoo.32 0. we can calculate the the conditional PMF ⎧ 0.B (a. AR.62 a = 0 PA.32/0. 0) ⎨ PA|B (a|0) = = 0.6) a=2 or PA.com Phone:5017621195 Substituting values from PB|A (b|a) and PA (a).5) = 0.B (a. us (United States) Zip Code:71901 .B (a.5)(0.B (a.5) + (1)(0. b) b = 0 b = 1 a=0 0.

60 0. x2 ) = f X 1 (x1 ) f X 2 (x2 ) = (1 − x1 /2)(1 − x2 /2) 0 ≤ x1 ≤ 2.04 0.com Phone:5017621195 (3) The conditional PDF of Y given X = 1/2 is f X |Y (x|1/2) = f X.16 0. it is not obvious whether they are independent. b) PDF. g) g = 0 g = 1 g = 2 g = 3 PQ (q) q=0 0. f X 1 .2. Thus. g that fail the independence requirement.1.1/2 ( ) d x = 1 1/2 6(1/2) d x = 3/2 (9) (4) From the pervious part.06 0. Var [X |Y = 1/2] = Quiz 4. g. (B) (1) Since X 1 and X 2 are independent. we can conclude that X and Y are dependent. y such that PX.30 0. f X |Y (x|1/2) = f X.12 0.Y (x. 1). However.24 0. Hence Q and G are independent.18 0.G (q. Unlike X and Y in part (a). PX. PQ. we calculate the marginal PMFs from the table of the joint PMF PQ. (2) For random variables Q and G from Quiz 4.40 q=1 PG (g) 0.10 0.2. us (United States) Zip Code:71901 . 1) = 0 = PX (0) PY (1) (1) (1 − 1/2)2 1 = 12 48 (11) Since we have found a pair x.G (q.Y (x. 1/2)/ f Y (1/2).20 Careful study of the table will verify that PQ.40 0.X 2 (x1 . hot springs. g) = PQ (q)PG (g) for every pair q. y) = 0. 1/2) 6(1/2) =2 = f Y (1/2) 3/2 (10) ∞ −∞ f X. AR.Y (0. we observe that PY (1) = 0. y) = PX (x)PY (y).Name:joey iwatsuru Email:joeyiwat@yahoo. Note that whenever PX. 0 ≤ x2 ≤ 2 0 otherwise 30 (2) (3) Address:104 pine meadows loop. by the definition of the uniform (a. f Y (1/2) = Thus. for 1/2 ≤ x ≤ 1. the conditional PDF of X is uniform (1/2. In this case. we integrate the joint PDF. we see that given Y = 1/2.12 0.10 (A) (1) For random variables X and Y from Example 4.01.Y (x.G (q.Y (x. g) in Quiz 4.09 and PX (0) = 0. independence requires that either PX (x) = 0 or PY (y) = 0. there are no obvious pairs q. To find f Y (1/2).08 0.

us (United States) Zip Code:71901 .17. That is.11 This problem just requires identifying the various terms in Definition 4.Name:joey iwatsuru Email:joeyiwat@yahoo. (1) (2) By Theorem 4. X 2 ≤ z] = P [X 1 ≤ z] P [X 2 ≤ z] = [FX (z)]2 (4) (5) To complete the problem. X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. f X. the CDF is ⎧ x <0 ⎨ 0 x 2 /4 0 ≤ x ≤ 2 FX (x) = f X (y) dy = (6) x−x ⎩ −∞ 1 x >2 Thus for 0 ≤ z ≤ 2. Specifically. we see that E[X |Y = 2] = 1 and Var[X |Y = 2] = 3/4. From the PDF f X (x).com Phone:5017621195 (2) Let FX (x) denote the CDF of both X 1 and X 2 . and that σ1 = σ X = 1. we have 1 2 2 e−2(x −x y+y )/3 . The CDF of Z = max(X 1 .29. The conditional PDF of X given Y = 2 is simply the Gaussian PDF 1 2 e−2(x−1) /3 . µ1 = µ X = 0. hot springs. σ2 = σY = 1. ˜ (4) When Y = y = 2. AR. we need to find the CDF of each X i .17 and Theorem 4. FZ (z) = (z − z 2 /4)2 (7) The complete expression for the CDF of Z is ⎧ z<0 ⎨ 0 2 /4)2 0 ≤ z ≤ 2 FZ (z) = (z − z ⎩ 1 z>1 (8) Quiz 4. we know that ρ = 1/2.Y (x.30. f X |Y (x|2) = √ 3π/2 (5) 31 Address:104 pine meadows loop. y) = √ 3π 2 (3) µ2 = µY = 0. P [Z ≤ z] = P [X 1 ≤ z. (2) (1) Applying these facts to Definition 4. the conditional expected value and standard deviation of X given Y = y are 2 E [X |Y = y] = y/2 σ X = σ1 (1 − ρ 2 ) = 3/4. from the problem statement.

4]. given X = x. 1) random variable U . x=finiterv(sx. we use an alternate approach.Name:joey iwatsuru Email:joeyiwat@yahoo. AR. x) PMF. PY |X (y|x) = 1/x y = 1. . 3. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. xy=[x’. 32 Address:104 pine meadows loop.px. .1)). 4. 2. x) PMF via Y = xU .1).*rand(m.m). y=ceil(x. px=0. First we observe that X has the discrete uniform (1. Instead. Also. . us (United States) Zip Code:71901 .y’].12 One straightforward method is to follow the approach of Example 4. That is. . and an independent uniform (0. hot springs.2.com Phone:5017621195 Quiz 4. Y has a discrete uniform (1. 0 otherwise.3.25*ones(4. 4) PMF. PX (x) = 1/4 x = 1.28. we can generate a sample value of Y with a discrete uniform (1. x 0 otherwise (1) Given X = x.

. .1 We find P[C] by integrating the joint PDF over the region of interest. us (United States) Zip Code:71901 .X 3 (x1 .X 2 (x1 . for y1 . y2 . x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). y3 ∈ {1. x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1.}. hot springs. x3 ) = 0 unless 0 ≤ x 1 ≤ 33 Address:104 pine meadows loop. x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. f X 2 . each Yi must be a strictly positive integer. 2. y3 ∈ {1.X 2 (x1 . . (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5. P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. 6 d x2 = 6(x3 − x1 ).X 3 (x2 . Thus. we have f X 1 . 2. Since 0 < X 1 < X 2 < X 3 . y2 . X 2 − X 1 = y2 .X 3 (x2 . AR. X 2 = y2 + y1 .3 First we note that each marginal PDF is nonzero only if any subset of the xi obeys the ordering contraints 0 ≤ x 1 ≤ x2 ≤ x3 ≤ 1. (1) (2) (3) x2 x2 0 x3 x1 In particular. Y3 = y3 ] = P [X 1 = y1 . 6 d x1 = 6x2 . . Specifically. x2 ) = f X 2 . . and that f X 1 . X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By defining the vector a = 1 1 1 . X 3 − X 2 = y3 ] = P [X 1 = y1 . Y2 = y2 .} 0 otherwise (5) Quiz 5. x3 ) = f X 1 . the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 . Within these constraints.2 By definition of A. Y1 = X 1 .X 3 (x1 . we must keep in mind that f X 1 . PY (y) = P [Y1 = y1 .Name:joey iwatsuru Email:joeyiwat@yahoo. Y2 = X 2 − X 1 and Y3 = X 3 − X 2 . .com Phone:5017621195 Quiz Solutions – Chapter 5 Quiz 5.

We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V. x3 ) d x3 = f X 2 .X 3 (x2 . 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . x2 ) d x2 = f X 2 .Name:joey iwatsuru Email:joeyiwat@yahoo. Y2 W= Y3 . x2 ) = f X 2 .4 In the PDF f Y (y). hot springs. w) = 4 0 ≤ v1 ≤ v2 ≤ 1.X 3 (x2 .com Phone:5017621195 x3 ≤ 1. The complete expressions are f X 1 . the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 .X 3 (x2 .X 2 (x1 .X 3 (x1 . When 0 ≤ xi ≤ 1 for each xi . Y4 (1) 34 Address:104 pine meadows loop. us (United States) Zip Code:71901 .W (v. x3 ) d x2 = 1 x1 1 6(1 − x2 ) d x2 = 3(1 − x1 )2 6x2 d x3 = 6x2 (1 − x2 ) 2 6x2 d x2 = 3x3 (7) (8) (9) x2 x3 0 The complete expressions are f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = 3(1 − x1 )2 0 ≤ x1 ≤ 1 0 otherwise 6x2 (1 − x2 ) 0 ≤ x2 ≤ 1 0 otherwise 2 3x3 0 ≤ x3 ≤ 1 0 otherwise (10) (11) (12) Quiz 5. x3 ) = f X 1 . AR. f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 . x3 ) = 6(1 − x2 ) 0 ≤ x1 ≤ x2 ≤ 1 0 otherwise 6x2 0 ≤ x2 ≤ x3 ≤ 1 0 otherwise 6(x3 − x1 ) 0 ≤ x1 ≤ x3 ≤ 1 0 otherwise (4) (5) (6) Now we can find the marginal PDFs.X 2 (x1 .

the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . 5 0 otherwise 35 5 x (2) Address:104 pine meadows loop. AR. each test is a subexperiment with three possible outcomes: L.1) random variable.5 (A) Referring to Theorem 1. p2 = 0. . p) = (5.com Phone:5017621195 We must verify that V and W are independent. w) dv1 dv2 1 0 1 v1 (6) (7) 4 dv2 dv1 = 2 It follows that V and W have PDFs f V (v) = 2 0 ≤ v1 ≤ v2 ≤ 1 . 1. In five trials. . . . x2 .1)x3 x1 + x2 + x3 = 5. A and R. . however it is simpler to just start from first principles and observe that X 1 is the number of occurrences of L in five independent tests. f W (w) = = 4(1 − w1 ) dw1 = 2 f V.3)x1 (0. X 2 is a binomial (5. PX i (x) = pix (1 − pi )5−x x = 0. That is.6)x2 (0.W (v. w) = f V (v) f W (w). 5} ⎩ 0 otherwise We can find the marginal PMF for each X i from the joint PMF PX (x). PX (x) = (1) x1 . 0.W (v. 0. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly.6) random variable and X 3 is a binomial (5. for 0 ≤ w1 ≤ w2 ≤ 1. . 1. Similarly. hot springs. . us (United States) Zip Code:71901 . for p1 = 0.1.3. we see that X 1 is a binomial (n. Quiz 5. f V (v) = = 0 1 f V.Name:joey iwatsuru Email:joeyiwat@yahoo. 0. x3 ∈ {0. .W (v.3.6 and p3 = 0.x2 . For 0 ≤ v1 ≤ v2 ≤ 1. confirming that V and W are independent vectors.3) random variable.x3 (0.19. If we view each test as a trial with success probability P[L] = 0. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V.

us (United States) Zip Code:71901 . 2) + PX (2.Name:joey iwatsuru Email:joeyiwat@yahoo.32 (0. 1) 5![0. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. and w = 5. Thus. 2. 2) + PX (2. hot springs. 1.1458 = (3) (4) (5) In addition. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To find the correlation matrix R X . We start with 36 Address:104 pine meadows loop. we see that X 1 . for w = 3. To do so.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . Hence. AR. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. 3x 3 d x = 3/4.6)2 (0.6 We start by finding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5. In particular. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative.1)] 2!2!1! = 0. w = 4.0802 (B) Since each Yi = 2X i + 4. we need to find E[X i X j ] for all i and j. we can apply Theorem 5.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 . the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. PW (0) = PW (1) = 0. Furthermore.32 (0. we use 3x(1 − x)2 d x = 1/4.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0.3(0. 6x 2 (1 − x) d x = 1/2.1)2 + 0. or X 3 = w occurs. Quiz 5. f 3 X 2 2 2 2 (1/8)e−(y3 −4)/2 4 ≤ y1 ≤ y2 ≤ y3 = 0 otherwise (9) (10) (6) (7) (8) Note that for other matrices A.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.6 to find the PMF of W .com Phone:5017621195 From the marginal PMFs. X 2 and X 3 are not independent.6)2 (0.1)2 + 0. X 2 = w. we must use Theorem 5. . PW (2) = PX (1.6)(0. 2.

Summarizing the results. x2 ) . the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20. x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5. us (United States) Zip Code:71901 . X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ .3. hot springs. AR. 1/5 2/5 3/5 Vector X has covariance matrix C X = R X − E [X] E [X] ⎡ ⎤ ⎡ ⎤ 1/10 3/20 1/5 1/4 ⎣3/20 3/10 2/5⎦ − ⎣1/2⎦ = 1/5 2/5 3/5 3/4 ⎡ ⎤ ⎡ 1/10 3/20 1/5 1/16 ⎣3/20 3/10 2/5⎦ − ⎣ 1/8 = 1/5 2/5 3/5 3/16 37 (15) (16) 1/4 1/2 3/4 ⎤ ⎡ ⎤ 3 2 1 1/8 3/16 1 ⎣ 2 4 2⎦ . 3x 4 d x = 3/5.com Phone:5017621195 the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10. 6x 3 (1 − x) d x = 3/10. 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 . (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 5. d x1 d x2 d x1 (7) (8) (9) (10) (11) (12) (13) (14) 6x1 x2 (1 − x2 ) d x2 E [X 2 X 3 ] = 0 1 = E [X 1 X 3 ] = 0 2 4 [3x2 − 3x2 ] d x2 = 2/5 1 x1 1 6x1 x3 (x3 − x1 ) d x3 d x1 . 1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) Address:104 pine meadows loop.X 2 (x1 .Name:joey iwatsuru Email:joeyiwat@yahoo.

The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. Its just that the M ATLAB’s short format output./(1+abs(D1-D2)).m.0000 0.50000000000000 0. i. us (United States) Zip Code:71901 . Next we calculate Var[Y ].(1:31)).0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.99999999922010 0.0. by Theorem 5.m: >> julytemps([70 75 80 85 90 95]) ans = 0.02207383067604 Columns 5 through 6 0. The final step is to use the (·) function to calculate P[Y < T ]. rounds off those probabilities. hot springs. p=phi((T-80)/sqrt(CY)).1)/31.8 First.9779 1. Theorem 5.97792616932396 38 Address:104 pine meadows loop.00002844263128 0. A=ones(31. In julytemps. or CT . Here is the output of julytemps. invoked with the command format short. 0 (1) It follows from Theorem 5. 1 −1 b= 2 .18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = .e. [D1 D2]=ndgrid((1:31). the first two lines generate the 31 × 31 covariance matrix CT. CY=(A’)*CT*A.16 tells us that Y is a 1 dimensional Gaussian vector.0000 1. just a Gaussian random variable. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 . Quiz 5. Var[Y ] = ACT A .16.com Phone:5017621195 This problem shows that even for fairly simple joint PDFs. The expected value of Y is µY = µT = 80. Since T is a Gaussian random vector.5000 0. 1 −1 1 2 (2) Quiz 5. AR.99997155736872 0. computing the covariance matrix by calculus can be a time consuming task.0221 0.. function p=julytemps(T).Name:joey iwatsuru Email:joeyiwat@yahoo.7 We observe that X = AZ + b where A= 2 1 . Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. CT=36.0000. Thus.

c1 ⎦ . c=36.. ⎢ c1 c0 CT = ⎢ ./(1+abs(0:30)). ⎥ . jth element is CT (i. the i. C X has a special structure. In fact.Name:joey iwatsuru Email:joeyiwat@yahoo. we see that ⎡ ⎤ c0 c1 · · · c30 . . AR. M ATLAB has a toeplitz function for generating them. . ⎥. The function julytemps2 use the toeplitz to generate the correlation matrix CT . function p=julytemps2(T).0.. hot springs. in this problem.1)/31. . us (United States) Zip Code:71901 . CT=toeplitz(c). j) = c|i− j| = 36 .. A=ones(31.. ⎣ . We will see in Chapters 9 and 11 that Toeplitz covariance matrices are quite common. CY=(A’)*CT*A. However. . p=phi((T-80)/sqrt(CY)).com Phone:5017621195 The ndgrid function is a useful to way calculate many covariance matrices. . ⎥ ⎢ . 39 Address:104 pine meadows loop. 1 + |i − j| (1) If we write out the elements of the covariance matrix. c30 · · · c1 c0 (2) This covariance matrix is known as a symmetric Toeplitz matrix.

3. this integral is easy to evaluate. the variance of the sum equals the sum of the variances. us (United States) Zip Code:71901 . By Theorem 6. . (4) 40 Address:104 pine meadows loop. a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0.25 Since E[K i ] = 2. . hot springs. we note that the first two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. . . . f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. For w > 0. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1. That is. Hence.2 Random variables X and Y have PDFs f X (x) = 3e−3x x ≥ 0 0 otherwise f Y (y) = 2e−2y y ≥ 0 0 otherwise (1) (6) (4) (2) (3) Since X and Y are nonnegative. by Theorem 6.5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7.5n (5) Since the rolls are independent.Name:joey iwatsuru Email:joeyiwat@yahoo.5.25n Quiz 6. . . otherwise. First.5.1 Let K 1 . K n are independent.com Phone:5017621195 Quiz Solutions – Chapter 6 Quiz 6. . . . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1.5 − (2. AR.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. the random variables K 1 . the PDF of W = X + Y is f W (w) = ∞ −∞ f X (w − y) f Y (y) dy = 6 0 w e−3(w−y) e−2y dy (2) Fortunately. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .5)2 = 1. W = X + Y is nonnegative. . the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. .

Thus to find the PDF of W .2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6.Name:joey iwatsuru Email:joeyiwat@yahoo. Theorem 6.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70. AR.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0. Theorem 6.8 says the MGF of J is φ J (s) = (φ K (s))m = (2) (B) Since the set of α j X j are independent Gaussian random variables.com Phone:5017621195 Quiz 6. us (United States) Zip Code:71901 . hot springs.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To find higher-order moments.2)esk = 0. Since the expectation of the sum equals the sum of the expectations: E [W ] = α E [X 1 ] + α 2 E [X 2 ] + · · · + α n E [X n ] = 0 41 (3) Address:104 pine meadows loop.8 (4) (5) (6) (7) = 0. we need only find the expected value and variance.2 1 + es + e2s + e3s + e4s (1) We find the moments by taking derivatives. we continue to take derivatives: E K2 = E K3 E K4 d 2 φ K (s) ds 2 d 3 φ K (s) = ds 3 d 4 φ K (s) = ds 4 = 0.4 (A) Each K i has MGF φ K (s) = E es K i = es (1 − ens ) es + e2s + · · · + ens = n n(1 − es ) ems (1 − ens )m n m (1 − es )m (1) Since the sequence of K i is independent.10 says that W is a Gaussian random variable. The first derivative of φ K (s) is d φ K (s) = 0.

R has MGF φ R (s) = φ N (ln φ X (s)) = Substituting the expression for φ X (s) yields φ R (s) = 1 5 1 5 1 5 φ X (s) 1 − 4 φ X (s) 5 (2) −s . each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . 1−s φ N (s) = 1 s 5e .12. (3) (2) From Table 6. 1 − 4 es 5 (1) From Theorem 6.1.1.5 (1) From Table 6. The corresponding PDF is f R (r ) = (1/5)e−r/5 r ≥ 0 0 otherwise (4) This quiz is an example of the general result that a geometric sum of exponential random variables is an exponential random variable.com Phone:5017621195 Since the α j X j are independent. AR. we see that R has the MGF of an exponential (1/5) random variable. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. 42 Address:104 pine meadows loop.6 to write Var[W ] = α 2 − α 2n+2 [1 + n(1 − α 2 )] (1 − α 2 )2 (6) (4) (5) 2 With E[W ] = 0 and σW = Var[W ]. we can use Math Fact B. us (United States) Zip Code:71901 . the variance of the sum equals the sum of the variances: Var[W ] = α 2 Var[X 1 ] + α 4 Var[X 2 ] + · · · + α 2n Var[X n ] = α 2 + 2(α 2 )2 + 3(α 2 )3 + · · · + n(α 2 )n Defining q = α 2 .

the standard deviation of A is σ A = 12 (5) To use the central limit theorem.com Phone:5017621195 Quiz 6. (6) (7) (8) (9) (5) (4) (3) (6) Once again. we use the central limit theorem and Table 3.5987 = 0. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent.6 (1) The expected access time is E [X ] = ∞ −∞ x f X (x) d x = 0 12 x d x = 6 msec 12 (1) (2) The second moment of the access time is E X2 = ∞ −∞ x 2 f X (x) d x = 0 12 x2 d x = 48 12 (2) The variance of the access time is Var[X ] = E[X 2 ] − (E[X ])2 = 48 − 36 = 12.25). us (United States) Zip Code:71901 . hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo.9773 = 0.0227 (10) (11) (12) 43 Address:104 pine meadows loop.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0. AR.1 to look up (0. (3) Using X i to denote the access time of block i.4013 Note that we used Table 3. we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.

9687 (4) (5) Quiz 6. λ) random variable.Name:joey iwatsuru Email:joeyiwat@yahoo.16666) − 1 = 0.9545 (4) Since K 48 is a discrete random variable. we find that W has expected value and variance E [W ] = 3/λ = 6 Var[W ] = 3/λ2 = 12 (2) (1) By the Central Limit Theorem. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36. X 2 . we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. (3) Using the ordinary central limit theorem and Table 3.5 − 36 30 − 0.com Phone:5017621195 Quiz 6. (2) The variance of K 48 is Var[K 48 ] = 48P [V ] (1 − P [V ]) = 48(3/4)(1/4) = 9 Thus K 48 has standard deviation σ K 48 = 3. The arrival time of the third train is W = X 1 + X 2 + X 3.8 The train interarrival times X 1 . P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. X 3 are iid exponential (λ) random variables. (1) In Theorem 6. hot springs.11. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0. From Appendix A.5 − 36 − 3 3 = 2 (2.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x).66 × 10−5 √ 12 12 (3) 44 Address:104 pine meadows loop. us (United States) Zip Code:71901 . we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3. AR.

com Phone:5017621195 (2) To use the Chernoff bound. px=binomialpmf(100. 45 Address:104 pine meadows loop. we note that the MGF of W is φW (s) = The Chernoff bound states that P [W > 20] ≤ min e−20s φ X (s) = min s≥0 s≥0 λ λ−s 3 = 1 (1 − 2s)3 e−20s (1 − 2s)3 (4) (5) To minimize h(s) = e−20s /(1 − 2s)3 . we set the derivative of h(s) to zero: −20(1 − 2s)3 e−20s + 6e−20s (1 − 2s)2 d h(s) = =0 ds (1 − 2s)6 (6) This implies 20(1 − 2s) = 6 or s = 7/20. pmfplot(sw.PW.sy).PY]=ndgrid(px.sy=0:100. the CDF of the Erlang (λ.0338 s=7/20 (7) (3) Theorem 3. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0. the Central Limit Theorem approximation grossly underestimates the true probability.5. [PX.pw.’\itP_W(w)’). it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.Name:joey iwatsuru Email:joeyiwat@yahoo.SY]=ndgrid(sx.m sx=0:100. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12. By contrast.0.*PY. sw=unique(SW).19: %unifbinom100. AR.sx). pw=finitepmf(SW. for λ = 1/2 and w = 20. hot springs. it is a valid bound.sw). [SX. 3) random variable W satisfies 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.py). Quiz 6. A graph of the PMF PW (w) appears in Figure 2 With some thought. py=duniformpmf(0.’\itw’.sy). PW=PX. us (United States) Zip Code:71901 .100.11 says that for any w > 0. SW=SX+SY.9 One solution to this problem is to follow the approach of Example 6.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

0.01 0.008 PW(w) 0.006 0.004 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200

Figure 2: From Quiz 6.9, the PMF PW (w) of the independent sum of a binomial (100, 0.5) random variable and a discrete uniform (0, 100) random variable.

46

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz Solutions – Chapter 7
Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. By Theorem 7.1, Mn (X ) has variance Var[Mn (X )] = 1/n. Hence, we need n = 100 samples. Quiz 7.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . Since each X i is uniform (0, 30), (30 − 0)2 Var [X i ] = = 75. (1) E [X i ] = 15, 12 Thus E[W ] = 3E[X i ] = 45, and Var[W ] = 3 Var[X i ] = 225. (1) By the Markov inequality, P [W > 75] ≤ (2) By the Chebyshev inequality, P [W > 75] = P [W − E [W ] > 30] ≤ P [|W − E [W ]| > 30] ≤ 225 Var [W ] 1 = = 2 900 4 30 (3) (4) E [W ] 45 3 = = 75 75 5 (2)

Quiz 7.3 Define the random variable W = (X − µ X )2 . Observe that V100 (X ) = M100 (W ). By Theorem 7.6, the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 . Thus, µW = E X
2

Var[W ] 100

(1)

=

1 −1 1 −1

x 2 f X (x) d x = 1/3 x 4 f X (x) d x = 1/5

(2) (3)

E W2 = E X4 =

Therefore Var[W ] = E[W 2 ] − µ2 = 1/5 − (1/3)2 = 4/45 and the mean square error is W 4/4500 = 0.000889.

47

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 7.4 Assuming the number n of samples is large, we can use a Gaussian approximation for Mn (X ). SinceE[X ] = p and Var[X ] = p(1 − p), we apply Theorem 7.13 which says that the interval estimate Mn (X ) − c ≤ p ≤ Mn (X ) + c (1) has confidence coefficient 1 − α where α =2−2 √ c n . p(1 − p)

(2)

We must ensure for every value of p that 1 − α ≥ 0.9 or α ≤ 0.1. Equivalently, we must have √ c n ≥ 0.95 (3) p(1 − p) √ for every value of p. Since (x) is an increasing function of x, we must satisfy c n ≥ 1.65 p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that 1.65 0.41 c≥ √ = √ . 4 n n The 0.9 confidence interval estimate of p is 0.41 0.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n (5) (4)

√ For the 0.99 confidence interval, we have α ≤ 0.01, implying (c n/( p(1− p))) ≥ 0.995. √ This implies c n√ 2.58 p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that ≥ c ≥ (0.25)(2.58)/ n. In this case, the 0.99 confidence interval estimate is 0.645 0.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n Note that if M100 (X ) = 0.4, then the 0.99 confidence interval estimate is 0.3355 ≤ p ≤ 0.4645. The interval is wide because the 0.99 confidence is high. Quiz 7.5 Following the approach of bernoullitraces.m, we generate m = 1000 sample paths, each sample path having n = 100 Bernoulli traces. at time k, OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. The program bernoullisample.m generates graphs the number of traces within one standard error as a function of the time, i.e. the number of trials in each trace. 48 (7) (6)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

m). The following graph was generated by bernoullisample(100.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect. though perhaps unexpected. plot(1:n. 49 Address:104 pine meadows loop.’-s’).m).Name:joey iwatsuru Email:joeyiwat@yahoo.68.m.5 0. hot springs.5000.9 0.n.5): 1 0. stderrmat=stderr*ones(1. us (United States) Zip Code:71901 ./nn. MN=cumsum(x).com Phone:5017621195 function OK=bernoullisample(n.OK.8 0.m). x=reshape(bernoullirv(p. AR. OK=sum(abs(MN-p)<stderrmat. as m gets large. The unusual sawtooth pattern. nn=(1:n)’*ones(1. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.5.6 0. is examined in Problem 7.2)/m.7 0.0.m*n).2.p). stderr=sqrt(p*(1-p))./sqrt((1:n)’).

1. · · · . Quiz 8. AR.01. (4) Thus if we observe at least 214.33 Hence. the conditional PMFs of K are PK |H0 (k) = PK |H1 (k) = 104k e−10 k! 4 (4) (5) 0 106k e−10 k! 6 k = 0. . That is. . .Name:joey iwatsuru Email:joeyiwat@yahoo.01 It is straightforward to show that r = − ln 1 − (0. each X i has PDF and CDF f X i (x) = e−x x ≥ 0 0 otherwise FX i (x) = 0 x <0 1 − e−x x ≥ 0 (1) Hence. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a significance test. hot springs. From Theorem 8. otherwise (1) (2) 0 Since the two hypotheses are equally likely. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0. X 2 ≤ x. This implies that for x ≥ 0. us (United States) Zip Code:71901 . .6.1 From the problem statement.01)1/15 = 1. we must choose a rejection region for X . let R = {X ≤ r }. (3) k ∈ A1 otherwise. A reasonable choice is to reject the hypothesis if X is too small. otherwise k = 0. This rule simplifies to 106 − 104 k ∈ A0 if k ≤ k = = 214. . then we accept hypothesis H1 . 50 Address:104 pine meadows loop. 1. the CDF of the maximum of X 1 . then we reject the hypothesis. ln 100 ∗ k ∈ A1 otherwise. the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . For a significance level of α = 0.7. . X 15 ≤ x] = [P [X i ≤ x]]15 . . . . 975.33. if we observe X < 1. . the MAP and ML tests are the same.2 From the problem statement. 976 photons. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x.com Phone:5017621195 Quiz Solutions – Chapter 8 Quiz 8.

[XX. it is easier to calculate the probability of a correct decision.1)/m.3) ylabel(’P_{MISS}’).m.0. FM=[P10(:) P01(:)].1.com Phone:5017621195 Quiz 8. 51 Address:104 pine meadows loop.’\it d=0..0.ˆ2)>TT). .TT]=ndgrid(x.. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8.2.3 For the QPSK system.2’. P01=sum((XX+d*(XX..Name:joey iwatsuru Email:joeyiwat@yahoo. N is Gauss(0. . AR.TT]=ndgrid(x.4 To generate the ROC. xlabel(’P_{FA}’).T). FM2(:.FM5(:. function FM=sqdistrocplot(v.’-k’.FM1(:. x= -v+randn(m. loglog(FM1(:.FM2(:. The modified program. hot springs.0. FM2=sqdistroc(v. For a QPSK system.d.m. we have P[C] = 2( E/2σ 2 ). FM5(:.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.1)).1). P10=sum((XX+d*(XX. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m..m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities.3’.m.m. X 2 > 0|H0 ] = P E/2 + N1 > 0. FM1=sqdistroc(v. σ ) random variables.2). Here is the modified code: function FM=sqdistroc(v. ’\it d=0. [XX.T(:)). %add N volts.1)/m.2). X 2 ) ∈ A j for some j = i..T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts. the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . Equivalently.T).T). us (United States) Zip Code:71901 . a symbol error occurs when si is transmitted but (X 1 .1). P[C|H0 ] = P[C|Hi ] for all i. Next..’:k’).1). Since N1 and N2 are iid Gaussian (0.1). legend(’\it d=0. E/2 + N2 > 0 (1) Because of the symmetry of the signals. Given H0 . FM5=sqdistroc(v.ˆ2)< TT). we have √ √ P [C] = P [C|H0 ] = P E/2 + N1 > 0 P E/2 + N2 > 0 (2) √ 2 (3) = P N1 > − E/2 √ 2 − E/2 (4) = 1− σ Since (−x) = 1 − of error is (x). the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0..3.1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.m.’--k’. FM=[FM1 FM2 FM5]. sqdistroc.T(:)).2). the program sqdistrocplot.1’. This implies the probability of a correct decision is P[C] = P[C|H0 ].T).

AR.100000. sqdistrocplot(3.com Phone:5017621195 To see the effect of d.1:3. generated the plot shown in Figure 3.1:3. sqdistrocplot(3.4 with squared distortion. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0. hot springs. Figure 3: The receiver operating curve for the communications system of Quiz 8.Name:joey iwatsuru Email:joeyiwat@yahoo.T).3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. 52 Address:104 pine meadows loop. the commands T=-3:0.2 d=0. us (United States) Zip Code:71901 .100000.1 d=0.T).

Y (x. (3) To obtain the conditional PDF f Y |X (y|x).Name:joey iwatsuru Email:joeyiwat@yahoo. we calculate the marginal PDF for 0 ≤ y ≤ 1: f Y (y) = 0 y 2(y + x) d x = 2x y + x 2 x=y x=0 = 3y 2 (1) This implies the conditional PDF of X given Y is f X |Y (x|y) = f X. AR. For 0 ≤ x ≤ 1.1 (1) First. us (United States) Zip Code:71901 . the conditional PDF of Y given X is f Y |X (y|x) = 2(y+x) 1+2x−3x 2 0 x ≤y≤1 otherwise (6) (4) The MMSE estimate of Y given X = x is y M (x) = E [Y |X = x] = ˆ x 1 2y 2 + 2x y dy 1 + 2x − 3x 2 y=1 y=x (7) (8) (9) 2y 3 /3 + x y 2 = 1 + 2x − 3x 2 = 2 + 3x − 5x 3 3 + 6x − 9x 2 53 Address:104 pine meadows loop. y) = f Y (y) 2 3y + 2x 3y 2 0 0≤x ≤y otherwise (2) (2) The minimum mean square error estimate of X given Y = y is x M (y) = E [X |Y = y] = ˆ 0 y 2x 2 2x + 2 3y 3y d x = 5y/9 (3) ˆ Thus the MMSE estimator of X given Y is X M (Y ) = 5Y /9. f X (x) = x 1 2(y + x) dy = y 2 + 2x y y=1 y=x = 1 + 2x − 3x 2 (4) (5) For 0 ≤ x ≤ 1. hot springs. we need the marginal PDF f X (x).com Phone:5017621195 Quiz Solutions – Chapter 9 Quiz 9.

2 (1) Since the expectation of the sum equals the sum of the expectations. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ]. Cov [T. the variance of the sum R = T + X is Var[R] = Var[T ] + Var[X ] = 9 + 3 = 12 (3) Since T and R have expected values E[R] = E[T ] = 0. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0.4. AR.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT. Thus Cov[T. us (United States) Zip Code:71901 . hot springs. the correlation coefficient of T and R is ρT. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT.R ) = 9(1 − 3/4) = 9/4 L 2 σT (5) σR R= 2 2 σT 2 2 σT + σ X R= 3 R 4 (6) (7) Quiz 9.R = √ √ σT Cov [T.4. The conditional PDF of X given R is 1 2 f X |R (x|r ) = √ e−(x+40+40 log10 r ) /128 128π 54 (1) Address:104 pine meadows loop. R] = Var[T ] = 9. E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent.3 When R = r . (4) From Definition 4. (6) By Theorem 9. R] = E [T R] = E [T (T + X )] = E T 2 + E [T X ] (3) (2) (1) Since T and X are independent and have zero expected value.8.com Phone:5017621195 Quiz 9.R = σT /σ R .Name:joey iwatsuru Email:joeyiwat@yahoo. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64.

the MAP estimate is 23.2 to write the ML estimate of R given X = x as rML (x) = arg max f X |R (x|r ) ˆ r ≥0 (2) We observe that f X |R (x|r ) is maximized when the exponent (x + 40 + 40 log10 r )2 is minimized. AR. the MAP estimate takes into account that the distance can never exceed 1000 m. r ) ˆ 0≤r ≤1000 Note that we have included the constraint r ≤ 1000 in the maximization to highlight the fact that under our probability model. Setting the derivative of f X. This reflects the fact that large values of R are a priori more probable than small values.com Phone:5017621195 From the conditional PDF f X |R (x|r ). (6) rMAP (x) = arg max f X. r ). When the measured signal ˆ strength is not too low.Name:joey iwatsuru Email:joeyiwat@yahoo.3 dB.R (x. we can use Definition 9. r ) with respect to r to zero yields e−(x+40+40 log10 r ) Solving for r yields r = 10 1 25 log10 e −1 2 /128 1− 80 log10 e (x + 40 + 40 log10 r ) = 0 128 (7) 10−x/40 = (0.3 −x/40 x ≥ −156. When x ≤ −156. hot springs. we observe that the joint PDF of X and R is f X.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. This minimum occurs when the exponent is zero.6. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. That is.R (x. r ) = f X |R (x|r ) f R (r ) = 106 32π 1 √ r e−(x+40+40 log10 r ) 2 /128 (5) From Theorem 9. R ≤ 1000 m. note that a typical figure for the signal strength might be x = −120 dB.6 m. This corresponds to a distance estimate of rML (−120) = 100 m. then rMAP (−120) = 123. yielding log10 r = −1 − x/40 or rML (x) = (0. However. which is not possible in our probability model. 55 Address:104 pine meadows loop. us (United States) Zip Code:71901 .6% larger than the ML estimate.1236)10 (9) For example. Hence. the above estimate will exceed 1000 m. if x = −120dB.R (x. ˆ For the MAP estimate. for very low signal strengths.R (x.3 (0. the MAP estimate of R given X = x is the value of r that maximizes f X.

Y2 ] = E [X 2 Y2 ] = E [X 2 (X 2 + W2 )] = E X 2 = 1 2 2 Var[Y2 ] = Var[X 2 ] + Var[W2 ] = E X 2 + E W2 = 1. (7) (8) Because X and W are independent. 0 0. it follows that E[Y] = 0. the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . Note that X and W have correlation matrices RX = 1 −0. E[WX ] = 0.com Phone:5017621195 Quiz 9.9 . Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 .7. it follows that b∗ = 0. Similarly.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 . (1) Because E[X] = E[Y] = 0. This implies RY = E XX + E WW = RX + RW = In addition.9 .7. 2 Cov [X 2 .4 ˆ (1) From Theorem 9. Finally. hot springs. Y2 ] 1 =√ σ X 2 σY2 1. we calculate the correlation coefficient ρ X 2 . AR.9 1 RW = 0. Because µ X 2 = µY2 = 0. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0.1 (6) In terms of Theorem 9. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 . E[XW ] = E[X]E[W ] = 0.1 0 . we need to find RY and RYX 2 . To apply Theorem 9. Y2 ] . to compute the expected square error. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW .9 1.1. us (United States) Zip Code:71901 .1 (4) 1 1 = = 0.0909 1.Y2 ) = 1 − L Cov [X 2 .1 (2) (3) It follows that a ∗ = 1/1. Thus we can apply Theorem 9.1 (9) Address:104 pine meadows loop. −0.4.1 −0.7. we need to find RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . −0.Name:joey iwatsuru Email:joeyiwat@yahoo.

5 Since X and W have zero expected value.Name:joey iwatsuru Email:joeyiwat@yahoo.225Y1 + 0.0725. j) = c|i− j|−1 .X 2 − a2rY2 .725 (12) Therefore. (14) (13) Quiz 9. jth entry RW (i. This problem is atypical in that one does not usually get L 57 Address:104 pine meadows loop. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0. Since X and W are independent. ˆ a = R−1 RYX = 11 + RW Y and the optimal linear estimator is ˆ X L (Y) = 1 11 + RW The mean square error is ˆ e∗ = Var[X ] − a RYX = 1 − 1 11 + RW L −1 −1 −1 (1) (2) (3) (4) 1 (5) Y (6) 1 (7) Now we note that RW has i.X 2 = 0. ˆ a = R−1 RYX 2 = Y −0. By the same reasoning.225 0. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . the correlation matrix of Y is RY = E YY = E (1X + W)(1 X + W ) = 11 E X 2 + 1E X W + E [WX ] 1 + E WW = 11 + RW Note that 11 is a 20 × 20 matrix with every entry equal to 1.7.7. Y also has zero expected value.725Y2 . Thus. Thus E[X 1 X 2 ] −0. Thus. (11) 2 1 E X2 By Theorem 9. by ˆ ˆ ˆ Theorem 9. AR. X L (Y) = a Y where a = R−1 RYX .com Phone:5017621195 Since X and W are independent vectors.9 RYX 2 = = . us (United States) Zip Code:71901 . hot springs. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. The question we must address is what value c minimizes e∗ . E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. Y E[WX ] = 0 and E[X W ] = 0 .

optk]=min(msec). msec=zeros(size(c)).2 0 0. AR. function cmin=mquiz9minc(c). we observe that Var[Wi ] = RW (i. If this argument is not clear.Name:joey iwatsuru Email:joeyiwat@yahoo.1). In particular. The following commands finds the minimum c and also produces the following graph: >> c=0. end plot(c. Thus.4 0. However. we write a M ATLAB function mquiz9(c) to calculate the MSE for a given c and second function that finds plots the MSE for a range of values of c. v1=ones(20. [msec(k). In this case. when c is small. consider the extreme case in which every Wi and W j have correlation coefficient ρi j = 1.8 e* L 0. for k=1:length(c). i) = 1/c. >> mquiz9minc(c) ans = 0. mse=1-((v1’)*af).6 0. To find the optimal value of c. af=(inv(RY))*v1. [msemin. RW=toeplitz(c.01:0.5 c 1 As we see in the graph. We note that the answer is not obviously apparent from Equation (7).01:0. Note in mquiz9 that v1 corresponds to the vector 1 of all ones.af]=mquiz9(c).af]=mquiz9(c(k)). xlabel(’c’).com Phone:5017621195 to choose the correlation structure of the noise.ylabel(’e_Lˆ*’). both small values and large values of c result in large MSE. our 20 measurements will be all the same and one measurement is as good as 20 measurements. the noises Wi have high variance and we would expect our estimator to be poor. cmin=c(optk).99. if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent. us (United States) Zip Code:71901 . RY=(v1*(v1’)) +RW. On the other hand. This would suggest that large values of c will also result in poor MSE. function [mse.ˆ((0:19)-1)).4500 1 0. hot springs. we will see that the answer is somewhat instructive. 58 Address:104 pine meadows loop.msec).

the number of new calls that arrive during the experiment • X 1 . .01 950 ≤ r ≤ 1050 0 otherwise (1) The probability that a test produces a 1% resistor is p = P [990 ≤ R ≤ 1010] = 1010 990 (0.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. the interarrival times of the N new arrivals • H . . . . continuous valued process. we round the temperature to the nearest degree. discrete valued process. . continuous valued process when we record the temperature as a continuous waveform over time. D H . Quiz 10. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time.2 (2) 59 Address:104 pine meadows loop. . . s). (3) If we sample the process in part (a) every T seconds. (2) If at every moment in time. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. One choice for an alternate set of random variables that would specify m(t. the number of ongoing calls at the start of the experiment • N . the call completion times of the H calls that hang up Quiz 10. then we obtain a discrete time.1 There are many correct answers to this question. s) is • m(0. A correct answer specifies enough random variables to specify the sample path exactly. discrete valued process. .01) dr = 0. then we obtain a continuous time. us (United States) Zip Code:71901 .com Phone:5017621195 Quiz Solutions – Chapter 10 Quiz 10. X N . AR. the number of calls that hang up during the experiment • D1 .2 (1) We obtain a continuous time.

. us (United States) Zip Code:71901 . just as in Example 2. . . . . T2 = T1 + T where T is independent and identically distributed to T1 . In this problem. t − 1 followed by a success on trial t. the number of additional trials needed to find the second 1% resistor once again has a geometric PMF with expected value 1/ p since each independent trial is a success with probability p. exactly t resistors are tested.11. 9 otherwise (4) Since p = 0. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). .1. Each resistor is a 1% resistor with probability p. . . E[T1 ] = 1/ p = 5..Name:joey iwatsuru Email:joeyiwat@yahoo. . . . each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10. AR. hot springs. 2. the probability the first 1% resistor is found in exactly five seconds is PT1 (5) = (0. Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. independent of any other resistor. (5) Note that once we find the first 1% resistor. 1) random variable. a geometric random variable with success probability p has expected value 1/ p. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0.4 Since each X i is a N (0. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 Address:104 pine meadows loop. A success occurs on a trial with probability p if we find a 1% resistor.2. The first 1% resistor is found at time T1 = t if we observe failures on trials 1. . (4) From Theorem 2. . T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1.X (n) (x1 .5.. That is. . 1.. . Hence. t 0 otherwise t n (3) (3) First we will find the PMF of T1 .08192.com Phone:5017621195 (2) In t seconds.8)4 (0. This problem is easy if we view each resistor test as an independent trial.. Consequently.2) = 0.

Y1 is an Erlang (n = 2. . Since we count only evennumbered arrival for N (t). Since s ≥ s . Since X 1 and X 2 are independent exponential (λ) random variables. otherwise (1) Since M1 and M2 are independent. .5 The first and second hours are nonoverlapping intervals. X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. us (United States) Zip Code:71901 . Quiz 10. . (2) Quiz 10. This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. . m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. 000. the expected number of packets in each hour is E[Mi ] = α = 36. Thus N (t) is not a Poisson process. . . Let X 1 .6 To answer whether N (t) is a Poisson process. 1. Since Yi (t). Theorem 3.Name:joey iwatsuru Email:joeyiwat@yahoo. the ith interarrival time of the N (t) process. we can conclude that the interarrival times of N (t) are not exponential random variables. X 2 . . This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . X (t) − X (s) is independent of X (s ) for all s ≥ s . That is. . see Theorem 6. 1. 61 Address:104 pine meadows loop.11. . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. the time until the first arrival of the N (t) is Y1 = X 1 + X 2 .7 First.com Phone:5017621195 Quiz 10. λ) random variable. 1. AR. . we note that for t > s. . 2. denote the interarrival times of the N (t) process. has the same PDF as Y1 (t).13 states that W (t) − W (s) is Gaussian with expected value E [X (t) − X (s)] = and variance E (W (t) − W (s))2 = E (W (t) − W (s))2 α(t − s) = α α (3) E [W (t) − W (s)] =0 √ α (2) Consider s ≤ s √ t. . PM1 . ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. W (t) − W (s) is independent of W (s ). we look at the interarrival times. . . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t.M2 (m 1 . hot springs.

. .12: R(τ ) ≥ 0 R(τ ) = R(−τ ) |R(τ )| ≤ R(0) (1) (3) (2) (1) (1) R1 (τ ) = e−|τ | meets all three conditions and thus is valid. . .. ....X nm (x1 . .X nm +k (x1 . xm ) Since the random sequence is iid. we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. .. X 2 .14. X 1 . us (United States) Zip Code:71901 . hot springs. (2) R2 (τ ) = e−τ also is valid. .X nm (x1 .. . f X n1 . .. . is a stationary random sequence if for all sets of time instants n 1 . Quiz 10.Name:joey iwatsuru Email:joeyiwat@yahoo.. . (2) (3) (4) Quiz 10.. . τ ) + R N (t. AR.. . f X n1 . τ ) = E[Y (t)Y (t + τ )]. n m and time offset k..com Phone:5017621195 Quiz 10. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. xm ) = f X n1 +k . n m + k. 2 (3) R3 (τ ) = e−τ cos τ is not valid because R3 (−2π ) = e2π cos 2π = e2π > 1 = R3 (0) (4) R4 (τ ) = e−τ sin τ also cannot be an autocorrelation function because 2 (2) R4 (π/2) = e−π/2 sin π/2 = e−π/2 > 0 = R4 (0) (3) 62 Address:104 pine meadows loop. . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly.. . E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. for time instants n 1 + k. we have RY (t. . .X nm +k (x1 . f X n1 +k .8 First we find the expected value µY (t) = µ X (t) + µ N (t) = µ X (t). . .10 We must check whether each function R(τ ) meets the conditions of Theorem 10. . . τ ). .9 From Definition 10. . Since RY (t... (1) To find the autocorrelation. .. τ ) = E [(X (t) + N (t)) (X (t + τ ) + N (t + τ ))] = E [X (t)X (t + τ )] + E [X (t)N (t + τ )] + E [X (t + τ )N (t)] + E [N (t)N (t + τ )] = R X (t.. . .

we can check whether they are jointly wide sense stationary by seeing if R X Y (t. hot springs. τ ) = E [Y (t)Y (t + τ )] = E [X (−t)X (−t − τ )] = R X (−t − (−t − τ )) = R X (τ ) (1) (2) (3) Since E[Y (t)] = E[X (−t)] = µ X .Name:joey iwatsuru Email:joeyiwat@yahoo. E [X (t)] = E [X (t + 1)] = 0 E [X (t)X (t + 1)] = 1/2 Var[X (t)] = Var[X (t + 1)] = 1 The Gaussian random vector X = X (t) X (t + 1) sponding inverse CX = Since 1 1/2 1/2 1 C−1 = X (1) (2) (3) has covariance matrix and corre- 4 1 −1/2 1 3 −1/2 (4) 4 4 2 1 −1/2 x0 2 x − x0 x+ x1 = 1 x1 3 −1/2 3 0 the joint PDF of X (t) and X (t + 1) is the Gaussian vector PDF x C−1 x = x0 x1 X f X (t). suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation.11 (1) The autocorrelation of Y (t) is RY (t. To see why this is.X (t+1) (x0 . as t gets larger. τ ) depends on both t and τ . we can conclude that Y (t) is a wide sense stationary process. τ ) is just a function of τ . x1 ) = 1 (2π )n/2 [det (CX )]1/2 1 3π 2 e− 3 2 2 2 x0 −x0 x1 +x1 (5) 1 exp − x C−1 x X 2 (6) (7) =√ 63 Address:104 pine meadows loop. In fact. us (United States) Zip Code:71901 . In this case. Y (t) = X (−t) and X (t) become less and less correlated. we see the same second order statistics. Quiz 10. R X Y (t.com Phone:5017621195 Quiz 10. we conclude that X (t) and Y (t) are not jointly wide sense stationary. (2) Since X (t) and Y (t) are both wide sense stationary processes. τ ) = E [X (t)Y (t + τ )] = E [X (t)X (−t − τ )] = R X (t − (−t − τ )) = R X (2t + τ ) (4) (5) (6) Since R X Y (t. In this case.12 From the problem statement. we see that by viewing a process backwards in time. AR.

– If M(t) = c. • If the head of schedule event is a departure. A simulation of the system moves from one time instant to the next by maintaining a chronological schedule of future events (arrivals and departures) to be executed. reduce the system state n by 1. 64 Address:104 pine meadows loop. block the arrival. With the introduction of call blocking. namely arrivals and departures. us (United States) Zip Code:71901 . • When the head-of-schedule event is the kth arrival is at time t. AR. – If M(t) < c. Delete the head-of-schedule event and go to step 2. Start at time t = 0 with an empty system. The logic of such a simulation is 1. hot springs. an exponential (λ) random variable. Otherwise. satisfies M(t) < c = 120. 3.com Phone:5017621195 120 100 80 M(t) 60 40 20 0 0 10 20 30 40 50 t 60 70 80 90 100 Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10. The system evolves via a sequence of discrete events. when M(t) = c. at discrete time instances. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled. Examine the head-of-schedule event. when an arrival occurs at time t.Name:joey iwatsuru Email:joeyiwat@yahoo. the number of ongoing calls. 2.13 The simple structure of the switch simulation of Example 10. we must block the call. do not schedule a departure event. admit the arrival. increase the system state n by 1. In particular.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. we need to know that M(t). The blocking switch is an example of a discrete event system. and schedule a departure to occur at time t + Sn .13. Quiz 10. we know the system state cannot change until the next scheduled event. Call blocking can be implemented by setting the service time of the call to zero so that the call departs as soon as it arrives. we cannot generate these vectors all at once. The program simply executes the event at the head of the schedule. check the state M(t). where Sk is an exponential (λ) random variable. Schedule the first arrival to occur at S1 .

” From the Erlang-B formula. However.t). event(i)=1 if the ith scheduled event is an arrival. The following instructions t=0:0. plot(t. this says that roughly the first two percent of the simulation time was unusual.0057.1:5000. (1) Pb = a+b In Chapter 12. the output [m a b] is such that m(i) is the number of ongoing calls at time t(i) while a and b are the number of admits and blocks. In most programming languages. Note that in Chapter 12. us (United States) Zip Code:71901 .1. or event(i)=-1 if the ith scheduled event is a departure. for very complicated systems. [m.93).com Phone:5017621195 Thus we know that M(t) will stay the same until then.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. We can estimate the probability a call is blocked as b ˆ = 0. a kind of Markov chain. The rest of the gap between 0.Name:joey iwatsuru Email:joeyiwat@yahoo. The complete program is shown in Figure 5.0. we use the vector t as the set of time instances at which we inspect the system state. the discrete event simulation is widely-used and often very efficient simulation method. generated a simulation lasting 5. we will learn that the blocking switch is an example of an M/M/c/c queue. we can calculate that the exact blocking probability is Pb = 0. a result known as the “Erlang-B formula.b]=simblockswitch(10. we will learn that the exact blocking probability is given by Equation (12. roughly the first 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0. Thus this would account for only part of the disparity.120.000 minutes. The 5. hot springs.0048. AR. A sample path of the first 100 minutes of that simulation is shown in Figure 4. a simple (but not elegant) way to do this is to have maintain two vectors: time is a list of timestamps of scheduled events and event is a the list of event types. it is common to implement the event schedule as a linked list where each item in the list has a data structure indicating an event timestamp and the type of the event.000 minute simulation. In M ATLAB. 65 Address:104 pine meadows loop. In our simulation. One reason our simulation underestimates the blocking probability is that in a 5. In this case.0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here. Nevertheless.a. Thus for all times t(i) between the current head-of-schedule event and the next.0048 and 0. When the program is passed a vector t.m). we set m(i) to the current switch state.

%one more block. time=[time(b4depart) depart time(˜b4depart)]. %total # admits M=zeros(size(t)). end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10. b4depart=time<depart. AR. else blocks=blocks+1. blocks=0.Name:joey iwatsuru Email:joeyiwat@yahoo..1). end elseif (eventnow==-1) %departure n=n-1.. %total # blocks admits=0. event(1)=[ ]. hot springs. %first event is an arrival timenow=0. n=0.blocks]=simblockswitch(lam. while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n. us (United States) Zip Code:71901 . timenow.13. depart=timenow+exponentialrv(mu. time(1)= [ ]. tmax=max(t).1). time=[time(b4arrival) arrival time(˜b4arrival)]. if n<c %call admitted admits=admits+1.. n=n+1. event=[event(b4depart) -1 event(˜b4depart)]. timenow=time(1).1) ].admits. eventnow=event(1). immed departure disp(sprintf(’Time %10.blocks)). % # in system time=[ exponentialrv(lam.com Phone:5017621195 function [M.c. % next arrival b4arrival=time<arrival. event=[event(b4arrival) 1 event(˜b4arrival)].t).admits. % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam. 66 Address:104 pine meadows loop. event=[ 1 ].3d Admits %10d Blocks %10d’.mu.

we have RY (τ ) = 0 ∞ e−u e−τ −u du = e−τ 0 ∞ 1 e−2u du = e−τ 2 (3) For τ < 0. we 2 can double check. AR. Just to be safe though. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).1 By Theorem 11. For τ < 0.2. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. us (United States) Zip Code:71901 . the autocorrelation function of the output is RY (τ ) = ∞ −∞ ∞ h(u) −∞ h(v)δ(τ + u − v) dv du = ∞ −∞ h(u)h(τ + u) du (2) For τ > 0.2 The expected value of the output is ∞ ∞ −τ h(u)h(τ + u) du = ∞ −τ 1 e−u e−τ −u du = eτ 2 (4) (5) µY = µ X n=−∞ h n = 0. we can deduce that RY (τ ) = 1 e−|τ | by symmetry.com Phone:5017621195 Quiz Solutions – Chapter 11 Quiz 11. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. RY (τ ) = Hence.5(1 + −1) = 0 (1) The autocorrelation of the output is 1 1 RY [n] = i=0 j=0 h i h j R X [n + i − j] 1 n=0 0 otherwise (2) (3) = 2R X [n] − R X [n − 1] − R X [n + 1] = 2 Since µY = 0. 67 Address:104 pine meadows loop. 1 RY (τ ) = e−|τ | 2 Quiz 11.

Moreover. we need to find the covariance matrix CY .6 and to use Theorem 11. RX = I.7. the identity matrix.13 with µX = 0 and A = H.6 SX(f) 0. 68 Address:104 pine meadows loop. Fo find the PDF of the Gaussian vector Y. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process.5. (1) Despite the fact that R X [k] is an impulse. One way to find the RY is to observe that RY has the Toeplitz structure of Theorem 11.8. Thus E[Y] = 0.1 0 τ 0. following Theorem 11. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0.2 −0.com Phone:5017621195 x 10 8 0. or by directly applying Theorem 5. us (United States) Zip Code:71901 . by Theorem 11. it is simpler to observe that Y = HX where X = X 30 X 31 X 32 X 33 X 34 X 35 and ⎡ ⎤ 1 1 1 1 0 0 1 H = ⎣0 1 1 1 1 0⎦ .5.2 0 −15 −10 −5 0 f 5 10 15 SX(f) 6 4 2 0 −1500−1000 −500 10 R (τ) 5 0 −5 −2 −1 0 τ 1 x 10 2 −3 0 f 500 1000 1500 10 RX(τ) 5 0 −5 −0. In this problem.1 0. hot springs.4 0.Name:joey iwatsuru Email:joeyiwat@yahoo.2 X (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ ) and power spectral density S X ( f ) for process X (t) in Quiz 11. Since R X [n] = δn .3 By Theorem 11. AR.5 to find the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j]. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0. 4 0 0 1 1 1 1 (2) (3) In this case. we obtain RY = HRX H . Quiz 11. which equals the correlation matrix RY since Y has zero expected value.

X n+1 = 400 400 (4) to find the mean square error. Y 2 (5) (6) A disagreeable amount of algebra will show det(CY ) = 3/1024 and that the PDF can be “simplified” to 16 7 2 7 2 1 2 y33 + y34 + y35 − y33 y34 + y33 y35 − y34 y35 exp −8 f Y (y) = √ 3 12 12 6 6π . In this case.9 400 261 (3) It follows that the filter is h = 261/400 81/400 and the MMSE linear predictor is 81 261 ˆ X n−1 + Xn. AR.9 R X [0] R X [1] = 0. 0. L 69 Address:104 pine meadows loop.9 for the case of k = 1 and M = 2. us (United States) Zip Code:71901 . (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C−1 y is a very concise representation of the cross-terms in the exponent of f Y (y).1 0. hot springs.9 1.9 h = R−1 RXn X n+1 = Xn 0.9 R X [1] −1 (1) (2) The MMSE linear first order filter for predicting X n+1 at time n is the filter h such that ← − 1. one approach is to follow the method of Example 11. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus.81 X n−1 R X [2] = .81 81 = .13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .1 1 0. Y Quiz 11. the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y .1 R X [1] R X [0] 0. X n+1 = Xn 0. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.4 This quiz is solved using Theorem 11.com Phone:5017621195 Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ .1 0.Name:joey iwatsuru Email:joeyiwat@yahoo.9 1. CY = RY = HH = 16 2 3 4 (4) It follows (very quickly if you use M ATLAB for 3 × 3 matrix inversion) that ⎡ ⎤ 7/12 −1/2 1/12 1 −1/2⎦ .

In any case.1. 70 Address:104 pine meadows loop. e∗ = E L ← − X n+1 − h Xn 2 (6) (7) (8) ← − ← − = E (X n+1 − h Xn )(X n+1 − h Xn ) ← − ← − = E (X n+1 − h Xn )(X n+1 − Xn h ) After a bit of algebra. Consulting Table 11.5 (1) By Theorem 11.1 − = = 0. we obtain Xn e∗ = R X [0] − RXn X n+1 R−1 RXn X n+1 L Xn ← − = R X [0] − h RXn X n+1 (11) (12) Note that this is essentially the same result as Theorem 9. AR.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1.1.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1. Instead. (13) L 0. we note that 1 f S X ( f ) = 10 rect (2) 2W 2W It follows that the inverse transform of S X ( f ) is sin(2π W τ ) R X (τ ) = 10 sinc(2W τ ) = 10 (3) 2π W τ (3) For W = 10 Hz and W = 1 kHZ. we can derive the mean square error for an arbitary prediction ← − ˆ filter h.com Phone:5017621195 This method is workable for this simple problem but becomes increasingly tedious for higher order filters. we obtain ← − ← − ← − e∗ = R X [0] − 2 h RXn X n+1 + h RXn h L (9) (10) ← − with the substitution h = R−1 RXn X n+1 . the average power of X (t) is E X 2 (t) = ∞ −∞ W −W SX ( f ) d f = 5 d f = 10 Watts W (1) (2) The autocorrelation function is the inverse Fourier transform of S X ( f ). Quiz 11.13(b).7 by using the orthoginality property of the LMSE estimator. hot springs.3487. the mean square error is 1 506 ← − 0. us (United States) Zip Code:71901 . we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 . X = X n+1 and ← − ˆ a = h .7 with Y = Xn . Since X n+1 = h Xn . It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. graphs of S X ( f ) and R X (τ ) appear in Figure 6.Name:joey iwatsuru Email:joeyiwat@yahoo.

71 (5) 2a0 a1 .1.com Phone:5017621195 Quiz 11. hot springs. the discrete time impulse δ[n] has a flat discrete Fourier transform. From Table 11. AR. R X Y (t. First we need some preliminary facts.17. where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the filter time constant. Let a0 = 5. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 .1. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . τ ) = E [X (t)Y (t + τ )] = E [X (t)X (t + τ − t0 )] = R X (τ − t0 ) (1) We see that R X Y (t. H( f ) = (1) Theorem 11.17. That is. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11.Name:joey iwatsuru Email:joeyiwat@yahoo. τ ) = R X Y (τ ) = R X (τ − t0 ). R X [n] = 10δ[n]. we see that 2 2a0 1 2a0 SX ( f ) = = 2 2 + (2π f )2 a0 a0 a0 + (2π f )2 (2) The RC filter has impulse response h(t) = a1 e−a1 t u(t). us (United States) Zip Code:71901 .6 In a sampled system.1. From Table 11. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) Address:104 pine meadows loop. (2) Quiz 11. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). a0 Consulting with the Fourier transforms in Table 11. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus.17.7 Since Y (t) = X (t − t0 ).8 We solve this quiz using Theorem 11. if R X [n] = 10δ[n].000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . (This quiz is really lame!) Quiz 11.

(9) (10) Consulting with Table 11. 72 Address:104 pine meadows loop.000 rad/sec. some algebra will show that SY ( f ) = where K0 = Thus. SY ( f ) = 2 2 2a0 a0 + (2π f )2 2a1 a1 + (2π f )2 2 a0 K0 K1 + + (2π f )2 a1 + (2π f )2 2 −2a0 a1 2 2 a1 − a0 (8) 2 2a0 a1 2 a1 − a0 . the latter method is actually less algebra. a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. 2 2 2a0 2a1 K0 K1 + 2 .Name:joey iwatsuru Email:joeyiwat@yahoo. we see that RY (τ ) = K0 K1 a e−a0 |τ | + 2 a1 e−a1 |τ | 2 0 2a0 2a1 (11) Substituting the values of K 0 and K 1 . us (United States) Zip Code:71901 . (12) The average power of the Y (t) process is RY (0) = a1 2 = . we can either use basic calculus and ∞ calculate −∞ SY ( f ) d f directly or we can find RY (τ ) as an inverse transform of SY ( f ). we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 .000 rad/sec and the signal X (t) has most of its its signal energy below 5. In particular. AR.com Phone:5017621195 Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. Using partial fractions and the Fourier transform table. the output signal has almost as much power as the input. Since the RC filter has a 3dB bandwidth of 10.1. SY ( f ) = |H ( f )|2 S X ( f ) = 2 2a0 a1 2 2 a1 + (2π f )2 a0 + (2π f )2 2 a1 a1 a1 = 2 (a1 + j2π f ) (a1 − j2π f ) a1 + (2π f )2 (6) (7) (3) To find the average power at the filter output. 2 K1 = . hot springs.

(1) Since µ N = 0.24 showed that RY (τ ) = R X (τ ) + R N (τ ). Because the noise process N (t) has constant power R N (0) = 1. The ˆ solution to this quiz is just to find the filter H ( f ) using Equation (11.com Phone:5017621195 Quiz 11. Comment: Since the text omitted the derivations of Equations (11.147). 4 10 104 (4) The noise power spectral density can be written as S N ( f ) = N0 rect f 2B = 1 f rect 2B 2B .146).146) and to calculate the mean square error e L ∗ using Equation (11. we note that Example 10. the optimal filter is ˆ H( f ) = SX ( f ) = SX ( f ) + SN ( f ) 1 104 1 104 rect + f 104 1 2B rect f 104 rect f 2B . (6) 73 Address:104 pine meadows loop. at peace with the derivations.146) and (11. AR. us (United States) Zip Code:71901 . (2) RY X (τ ) = R X (τ ). R N (0) = Var[N ] = 1. hot springs. (2) Since R X (τ ) = sinc(2W τ ).147). (5) From Equation (11. Taking Fourier transforms.147) for a system in which we filter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). where W = 5. This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B).000 Hz.146) and (11.Name:joey iwatsuru Email:joeyiwat@yahoo. it follows that SY ( f ) = S X ( f ) + S N ( f ). decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. we see from Table 11.9 This quiz implements an example of Equations (11.1 that SX ( f ) = 1 f rect . SY X ( f ) = S X ( f ). (1) Now we can go on to the quiz.

Two examples of the filter H ( f ) are shown in Figure 7. As B is decreased. The Wiener filter removes the noise that is outside the band of the desired signal. let’s suppose B ≤ W . Thus as ˆ B descreases. hot springs.000. From Equation (11. The noise power is always Var[N ] = 1 Watt. the MSE is e∗ L = 1 1 104 2B 1 1 −B 104 + 2B B df = 1 104 1 104 + 1 2B = 1 1+ 5.16 Hz. L Although this completes the solution to the quiz.147).05 requires B ≤ 5. (8) To evaluate the MSE e∗ .000/19 = 263. the filter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B.5 × 104 guarantees e∗ ≤ 0. the mean square error of the estimate is e∗ = L = ∞ −∞ ∞ −∞ S X ( f )S N ( f ) df SX ( f ) + SN ( f ) 1 104 1 104 (7) f 2B f 2B rect f 104 f 104 1 2B rect rect rect + 1 2B d f. The only thing to keep in mind is to use fftc to transform the autocorrelation R X [ f ] into the power spectral density S X (φ). As B shrinks. when B > W = 5000. the PSD S N ( f ) becomes increasingly tall. The mean square error is e∗ L = 1 1 104 2B 1 1 −5000 104 + 2B 5000 df = 1 2B 1 104 + 1 2B = 1 B 5000 +1 (11) In this case. the filter suppresses less of the signal of X (t). us (United States) Zip Code:71901 . Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. The result is that the MSE goes down. B ≥ 9. AR. In L particular. Since the problem asks us to L find the largest possible B. L Quiz 11.05. but only over a bandwidth B that is decreasing. We can go back and consider the case B > W later. ˆ the Wiener filter H ( f ) is an ideal (flat) lowpass filter ⎧ 1 ⎨ 104 | f | < 5. Finally. we note that we can choose B very large and also achieve MSE e∗ = 0. we need to whether B ≤ W . S N ( f ) = 1/2B over frequencies | f | < W .Name:joey iwatsuru Email:joeyiwat@yahoo. When B ≤ W .com Phone:5017621195 ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the filter H ( f ). for all values of B.05. The following M ATLAB program generates and plots the functions shown in Figure 8 74 Address:104 pine meadows loop.10 It is fairly straightforward to find S X (φ) and SY (φ).000 B (9) To obtain MSE e∗ ≤ 0. In this case. what is happening may not be obvious. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise.

abs(SY2)).5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener filter for Quiz 11. %PSD of Y for M=2 xlabel(’n’). they tend to confuse the stem function. %impulse/filter response: M=10 SY10=sx. stem(0:N-1. note that the vectors SX.5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. h10=0.ˆ2). us (United States) Zip Code:71901 .* ((abs(H2)).N). In the context of Example 11. hot springs. %impulse/filter response: M=2 SY2=SX.N). stem(0:N-1. rx=[2 4 2]. As an aside.ylabel(’S_{Y_{10}}(n/N)’). H10=fft(h10.ylabel(’S_{Y_2}(n/N)’). the filter H (φ) filters out almost all of the high frequency components of X (t). Although these imaginary parts have no computational significance.5*[1 1]. SX=fftc(rx.*((abs(H10)). xlabel(’n’). SY2 and SY10 in mquiz11 should all be realvalued vectors.Name:joey iwatsuru Email:joeyiwat@yahoo. 75 Address:104 pine meadows loop.N).com Phone:5017621195 1 H(f) 0. we generate stem plots of the magnitude of each power spectral density.ylabel(’S_X(n/N)’).abs(sx)). H2=fft(h2. %autocorrelation and PSD stem(0:N-1. when M = 10.m N=32.26.ˆ2). h2=0. %mquiz11. the finite numerical precision of M ATLAB results in tiny imaginary parts.10).abs(SY10)). Hence.1*ones(1. the low pass moving average filter for M = 10 removes the high frquency components and results in a filter output that varies very slowly. figure. However.9. xlabel(’n’). figure. AR. Relative to M = 2.

us (United States) Zip Code:71901 . hot springs. 76 Address:104 pine meadows loop. and Sφ (n/N ) for M = 10 using an N = 32 point DFT. AR. SY (n/N ) for M = 2.Name:joey iwatsuru Email:joeyiwat@yahoo.10.com Phone:5017621195 10 SX(n/N) 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 2 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 10 5 0 0 5 10 15 n 20 25 30 35 Figure 8: For Quiz 11. graphs of S X (φ).

6 0 0. From the problem statement. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.5 0 0. we can conclude that P X n+1 = 1|X n = 0 = 0.6 0. AR.4 0.01 0.90 (3) Quiz 12.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 Address:104 pine meadows loop. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.99 0. the ith row of S.6 0.2 From the problem statement. is the left eigenvector of P satisfying si P = λi si .2⎦ 1 0 1 0 0.5 0. the Markov chain and the transition matrix are ⎡ ⎤ 0.6 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.6 0.99 0.10 0.5 −0.1 1 P= 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.4 0.6 0.9 (1) Since each X n must be either 0 or 1.2 −0.Name:joey iwatsuru Email:joeyiwat@yahoo.6 0.1 The system has two states depending on whether the previous packet was received in error.6 0.6 0.5 0.2 0.4 0.2 0.2 0.4 0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.2 0. hot springs.01 0 0.6 −0.2⎦ + (0.9 P X n+1 = 0|X n = 1 = 0.6 P = ⎣0.6 0.5 1 −0.2 0.5 1 (3) where si .4 0 0 λ3 0.99 P X n+1 = 1|X n = 1 = 0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.01 0.2 Quiz 12.4)n ⎣ 0 (4) −0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.5 0 −0.2 0. us (United States) Zip Code:71901 .com Phone:5017621195 Quiz Solutions – Chapter 12 Quiz 12.

1 0 1 1 1 ⎡ ⎤ 0.5 At any time t.0 P [K > n] P [K > n − 1] P [K = n] = P [K = n|K > n − 1] = P [K > n − 1] (1) (2) (3) The Markov chain resembles P[K=5] P[K=4] P[K= 1] P[K=2] P[K=3] 0 1 1 1 2 1 3 1 4 . us (United States) Zip Code:71901 . 1. 3} C3 = {4. the class C1 is never left.1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . the state n can take on the values 0. . (3) (2) The states in C1 and C3 are aperiodic. π2 = 1/12. 2. Quiz 12.9 0. the states in C2 are transient.1) = 1 It follows that the limiting state probabilities are π0 = 5/6. Once the system enters a state in C1 . The state transition probabilities are Pn−1. 1 … 78 Address:104 pine meadows loop. The states in C2 have period 2. the states in C3 are recurrent. the system of equations π = π P yields π1 = 0.com Phone:5017621195 0. . This implies π0 + π1 + π2 = π0 (1 + 0.9 0. C1 is a recurrent class. . Quiz 12.Name:joey iwatsuru Email:joeyiwat@yahoo.1π0 and π2 = π1 . That is. the states in C2 are never reentered.. Similarly.n = P [K > n|K > n − 1] = Pn−1. AR.. Thus the states in C1 are recurrent. On the other hand..4 The communicating classes are C1 = {0. 5. 6} (1) π1 = 1/12. 1} C2 = {2. Once the system exits C2 .1 + 0. hot springs.

Name:joey iwatsuru Email:joeyiwat@yahoo. . . we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. hot springs. . (2) To find the stationary probabilities. Equation (5) implies π2 = π1 − π0 P [K = 2] = π0 (P [K > 1] − P [K = 2]) = π0 P [K > 2] (8) (7) (4) (5) k = 1. Quiz 12. 2. If we have a random variable W such that the PMF of W satisfies PW (n) = πn . we obtain π0 ∞ P[K > k] = 1. . then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. πk−1 = π0 P [K = k] + πk . From Problem 2.com Phone:5017621195 The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 .5. (6) This suggests that πk = π0 P[K > k]. we solve the system of equations π = πP and 3 i=0 πi = 1: π0 = (3/4)π1 + (1/4)π3 π1 = (1/4)π0 + (1/4)π2 π2 = (1/4)π1 + (3/4)π3 1 = π0 + π1 + π2 + π3 79 (1) (2) (3) (4) Address:104 pine meadows loop. us (United States) Zip Code:71901 .11. . the number of transitions need to return to state 0 is always a multiple of 2. and we randomly reset the counter to a new value K = k and then we count down k units of time. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. n=0 > k] = E[K ]. When the counter expires.6 (1) By inspection. We verify this pattern by showing that πk = π0 P[K > k] satisfies Equation (6): π0 P [K > k − 1] = π0 P [K = k] + π0 P [K > k] . including state 0. AR. π1 = π0 P [K = 2] + π2 . we have k − 1 units of time left after the state 0 counter reset. From Equation (4). The system state is the time until the counter expires. . the system is in state 0. This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. Thus the period of state 0 is d = 2. Since we spend one unit of time in each state.

Name:joey iwatsuru Email:joeyiwat@yahoo.(1/2) a 1 1 . we choose π0 so the state probabilities sum to 1: 16 2 5 1 = π0 + π1 + π2 + π3 = π0 1 + + + 2 = π0 (7) 3 3 3 It follows that the state probabilities are π0 = 3 16 π1 = 2 16 π2 = 5 16 π3 = 6 16 (8) (3) Since the system starts in state 0 at time 0.14 to find the limiting probability that the system is in state 0 at time nd: lim P00 (nd) = dπ0 = 3 8 (9) n→∞ Quiz 12.(2/3) a 1 . AR. It follows from the first and second equations that π2 = (5/3)π0 and π3 = 2π0 .(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0. we can use Theorem 12. (1) Thus the CDF of T00 satisfies FT00 (n) = 1− P[T00 > n] = 1−1/n α . To determine whether state 0 is recurrent.com Phone:5017621195 Solving the second and third equations for π2 and π3 yields π2 = 4π1 − π0 π3 = (4/3)π2 − (1/3)π1 = 5π1 − (4/3)π0 (5) Substituting π3 back into the first equation yields π0 = (3/4)π1 + (1/4)π3 = (3/4)π1 + (5/4)π1 − (1/3)π0 (6) This implies π1 = (2/3)π0 . hot springs. Lastly.7 The Markov chain has the same structure as that in Example 12.(3/4) 1 . The only difference is the modified transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1.22. us (United States) Zip Code:71901 . we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1. nα (2) 80 Address:104 pine meadows loop. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α .

we need to calculate E[T00 ].24.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . for α > 1. nα (3) For 0 < α ≤ 1. Applying this result. ( We also note that if α = 0. In Example 12. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 .8 The number of customers in the ”friendly” store is given by the Markov chain (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) 0 (1-p)q 1 (1-p)q ××× i (1-p)q (1-p)q i+1 ××× 81 Address:104 pine meadows loop. we did this by deriving the PMF PT00 (n). In this problem. (5) nα n=2 Note that for all n ≥ 2 1 ≤ nα ∞ n n−1 dx xα (6) This implies E [T00 ] ≤ 2 + =2+ n n=2 n−1 ∞ dx 1 dx xα (7) (8) xα x −α+1 =2+ −α + 1 ∞ =2+ 1 1 <∞ α−1 (9) Thus for all α > 1.5. the Markov chain is positive recurrent. Since the chain has only one communicating class. On the other hand. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. hot springs. AR. Quiz 12. us (United States) Zip Code:71901 . 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞.) To determine whether the chain is null recurrent or positive recurrent.Name:joey iwatsuru Email:joeyiwat@yahoo. it will be simpler to use the result of Problem 2.com Phone:5017621195 Thus state 0 is recurrent for all α > 0. ∞ 1 E [T00 ] = 2 + . then all states are transient. all states are recurrent.

i} and S = {i + 1. This implies πi+1 = p πi . the limiting state probabilities are πi = (1 − α)α i . . p ≥ q/(1 − q). we obtain the following useful equations for the stationary distribution.01 p3 = 2 p2 + 3 p4 5. AR.com Phone:5017621195 In the above chain.13 with state space partitioned between S = {0. p3 in terms of p2 and so on. From the Markov chain. ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. 1.01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . i + 2. . yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. (1 − p)q (1) (2) Since Equation (2) holds for i = 0. . . .9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3.01 2 3 3 3 4 Note that q10 = 3. for α ≥ 1 or. .01 p2 = 2 p1 + 3 p3 3. equivalently. Quiz 12. . By applying Theorem 12. i = 0. 1. 1−α (4) Thus for α < 1.01 1 3 0.01 p1 = 2 p0 + 3 p2 5. we have that for α < 1. . πi p = πi+1 (1 − p)q. 620 p0 1. us (United States) Zip Code:71901 . 381 (1) Address:104 pine meadows loop. α= (1 − p)q Requiring the state probabilities to sum to 1. 2. we note that (1 − p)q is the probability that no new customer arrives.Name:joey iwatsuru Email:joeyiwat@yahoo. an existing customer gets one unit of service and then departs the store. . . 5. . 014. hot springs. we have that πi = π0 α i where p .1 per msec and the rate to state 0 is the sum of those two rates..01 0.}. .01 0. . the limiting state probabilities do not exist.1 since the task completes at rate 3 per msec and the processor reboots at rate 0. we see that for any state i ≥ 0. (5) In addition. 1.

2. . c + 2. c + 2. . us (United States) Zip Code:71901 . 381/2.1015 p4 = 0. AR. . . (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. . .4151 p1 = 0. . . 014.com Phone:5017621195 Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. . .Name:joey iwatsuru Email:joeyiwat@yahoo. 2. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 Address:104 pine meadows loop. .2573 p2 = 0. c n−c c p0 (ρ/c) ρ /c! n = c + 1. . hot springs. 401 and the stationary probabilities are p0 = 0.10 The M/M/c/∞ queue has Markov chain λ λ λ λ λ (2) 0 µ 1 2µ cµ c cµ c+1 cµ From the Markov chain. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. c (ρ/c) pn−1 n = c + 1. .1606 p3 = 0.0655 Quiz 12. . 443.

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