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ECE3720

Engineering Probability and Statistics



Lecture 11
Yimin D. Zhang, Ph.D.

Department of Electrical & Computer Engineering
Villanova University

Spring 2012
Homework Assignment 9: Solution
1. Joint pmf
ECE-3720 Spring 2012 2 Y. D. Zhang
X=1 X=2
Marginal dist.
Y = 0 (1/3)e
-3
(2/3) e
-6
p
Y
(Y=0) =
(1/3)e
-3
+ (2/3) e
-6
Y = 1 e
-3
4e
-6
p
Y
(Y=1) =
e
-3
+ 4 e
-6



Y = j
p
XY
(X=1, Y=j)
= (1/3) 3
j
e
-3
/(j!)
p
XY
(X=2, Y=j)
= (2/3) 6
j
e
-6
/(j!)
p
Y
(Y=j) =
(1/3) 3
j
e
-3
/(j!)
+ (2/3) 6
j
e
-6
/(j!)

Marginal
dist.
p
X
(X=1) = 1/3 p
X
(X=2) = 2/3
Homework Assignment 9: Solution
1. Conditional pmf
ECE-3720 Spring 2012 3 Y. D. Zhang
P(Y|X=1) P(Y|X=2)
Y = 0 p
Y|X
(Y=0|X=1)
=e
-3
p
Y|X
(Y=0|X=2)
= e
-6
Y = 1 p
Y|X
(Y=1|X=1)
=3e
-3

p
Y|X
(Y=1|X=2)
=6e
-6



Y = j
p
Y|X
(Y=j|X=1)
= 3
j
e
-3
/(j!)
[Poisson(3)]
p
Y|X
(Y=j|X=2)
= 6
j
e
-6
/(j!)
[Poisson(6)]

Exp.
E(Y|X=1)=3 E(Y|X=2) = 6 E(Y)=5
Homework Assignment 9: Solution
1.
ECE-3720 Spring 2012 4 Y. D. Zhang
_
= =
j
i j X Y j i
x y p y x X Y ) | ( ) | ( E
|
) ( P ) | ( E ) ( E
i
i
i
x X x X Y Y = = =
_
Homework Assignment 9: Solution
1. (cont)
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Homework Assignment 9: Solution

ECE-3720 Spring 2012 6 Y. D. Zhang
X: Geometric
1
distribution
Y
:

P
o
i
s
s
o
n


d
i
s
t
r
i
b
u
t
i
o
n

pmf X=1 X=k Marg. dist.
Y = 0


Y = n



Marg.
Dist.
) 1 (
!
1
p p
n
e k
k
k n

) 1 (
1
p p
k

1
) 1 (
1
p p e
k k


) 1 (
1
p e

) /( ) 1 ( p e p
) 1 (
!
1
p
n
e

p 1
2.
Homework Assignment 9: Solution

ECE-3720 Spring 2012 7 Y. D. Zhang
X: Geometric
1
distribution
Y
:

P
o
i
s
s
o
n


d
i
s
t
r
i
b
u
t
i
o
n

X=1 X=k Exp.
Y = 0


Y = n



Exp.
!
) | (
|
n
e k
k n p
k n
X Y

=
k k X Y = = ] | [ E
p
Y

=
1
1
] [ E
!
) 1 | (
1
|
n
e
n p
X Y

=
1
|
) 1 | 0 (

= e p
X Y
k
X Y
e k p

= ) | 0 (
|
1 ] 1 | [ E = = X Y
2.
Homework Assignment 9: Solution
2.
ECE-3720 Spring 2012 8 Y. D. Zhang
Homework Assignment 9: Solution
2. (cont)
ECE-3720 Spring 2012 9 Y. D. Zhang
Review
Chapter 1: Introduction to probability
Sample space, events, set
Probability models
Conditional probability
Independence
Combinatorics

Chapters 2 & 3: Discrete random variables
Discrete random variables
Multiple random variables
Weak law of large numbers
Conditional probability and expectations
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Chapters 4
Chapters 4: Continuous random variables

Distributions and probability density function
Expectation of single variable
Expectation of multiple variables
Transform methods
Probability bounds
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Continuous random variables
Example of discrete
random variable: Fair die

Uniformly distributed over
O {1, 2, 3, 4, 5, 6}.


Example of continuous
random variable: signal phase
difference between transmitter
and receiver

Uniformly distributed over
O [-t, t).

ECE-3720 Spring 2012 12 Y. D. Zhang
u
t t
1/2t
f (x)
Continuous random variables
Probability density function
(pdf): a nonnegative function that
describes the relative likelihood for
this random variable to take on a
given value, denoted as f
X
(x) or f (x).

The probability is related to pdf by






ECE-3720 Spring 2012 13 Y. D. Zhang
f (x)
}
= e
B
dt t f B X ) ( ) ( P
}
= s s
b
a
dx x f b X a ) ( ) ( P
f (x)
x
x x X x
x f
x
A
A + s s
=
A
) ( P
lim ) (
0
Continuous random variables
Properties of pdf





Properties of probability




ECE-3720 Spring 2012 14 Y. D. Zhang
0 ) ( > x f
}


=1 ) (x f
1 ) ( ) ( ) ( P ) ( P = + = > + s
} }

a
a
dx x f dx x f a X a X
0 ) ( P = = a X
) ( P ) ( P ) ( P ) ( P b X a b X a b X a b X a s < = < s = < < = s s
}
= s s
b
a
dx x f b X a ) ( ) ( P
}

= s
a
dx x f a X ) ( ) ( P
}

= >
a
dx x f a X ) ( ) ( P
Continuous random variables
Uniform distribution: f ~ uniform[a,b] (where a < b)





Example: random phase





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s s

=
otherwise , 0
,
1
) (
b x a
a b
x f

s s
=
otherwise , 0
,
2
1
) (
t t
t
x
x f
x
t t
1/2t
f (x)
4
3
2 2
1
) (
2
2 /
=
|
.
|

\
|
+ = =
|
.
|

\
|
s
}

t
t
t
t
t
t
dx x f x P
Continuous random variables
Gaussian distribution: f ~ N(m,o
2
)
(Normal distribution)



where m is the mean, and o
2
is the
variance.

Standard Gaussian distribution: f ~ N(0,1)
ECE-3720 Spring 2012 16 Y. D. Zhang
(
(

|
.
|

\
|

=
2
2
1
exp
2
1
) (
o o t
m x
x f
(

=
2
exp
2
1
) (
2
x
x f
t
Continuous random variables
The importance of the Gaussian distribution:
According to the Central Limit Theorem (Ch. 5), the sum
of many i.i.d. random variables is approximated by the
Gaussian distribution.

In particular, since the macroscopic noise current measured
in a circuit results from the sum of forces of many
independent collisions on an atomic scale, noise current is
well-described by the Gaussian density.

For this reason, Gaussian random variables are the noise
model of choice in electronic communication, radar, and
control systems.
ECE-3720 Spring 2012 17 Y. D. Zhang
Continuous random variables
Exponential distribution: f ~ exp()






Exponential distribution is often used to model
o lifetimes, such as how long a cell-phone call lasts, or
how long it takes a computer network to transmit from
one node to another.
o U
2
+V
2
if both U and V are Gaussian random variables


ECE-3720 Spring 2012 18 Y. D. Zhang

<
>
=

0 , 0
0 ,
) (
x
x e
x f
x

Continuous random variables


Example. Given that a cell-phone call has lasted more than t
seconds so far, suppose the conditional probability that the
call ends by t+t is approximately t when t is small.
Show that the call duration is an exp() random variable.
Solution. Let T denote the call duration.



Equating the right-hand sides of both expressions and take
derivative,

Therefore,

ECE-3720 Spring 2012 19 Y. D. Zhang
t t T t t T A ~ > A + s ) | ( P
) ( P
) (
) ( P
) (
) ( P
) ( P
) | ( P
t T
t t f
t T
dx x f
t T
t t T t
t T t t T
t t
t
>
A
~
>
=
>
A + s <
= > A + s
}
A +
}

=
>
=
t
dx x f
t f
t T
t f
) (
) (
) ( P
) (
) ( ) ( ' t f t f =
t
ce t f

= ) (
t
e t f

= ) (
Homework Assignment 10: Solution
1. Problem 1 of Chapter 4 (textbook page 170)

2. Problem 4 of Chapter 4 (textbook pages 170-171)

3. Problem 5 of Chapter 4 (textbook page 171)

4. Provide the pdf expression of the general Rayleigh
distribution, illustrate the pdf, and state in what type of
random variables follow the Rayleigh distribution. (Note:
Problem 30 of Chapter 4, at textbook page 177, provides
the pdf expression of the standard Rayleigh distribution)

Due: Tuesday (2/28)
Hand in at the classroom before class starts.

ECE-3720 Spring 2012 20 Y. D. Zhang

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