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HMWRK 2

1. If {y(t)} is a stochastic process satisfying certain equations involving x(t), then equations relating the autocorrelation functions Ryy(τ), Rxy(τ) and power spectral densities Sy(w) can be derived. 2. Specific examples are worked out for stochastic processes x(t) with known autocorrelation or power spectral density, and processes y(t) defined in terms of x(t) using linear, time-invariant systems. 3. Properties of autocorrelation, cross-correlation and power spectral density functions are used to solve for unknown functions in various cases.

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53 views3 pages

HMWRK 2

1. If {y(t)} is a stochastic process satisfying certain equations involving x(t), then equations relating the autocorrelation functions Ryy(τ), Rxy(τ) and power spectral densities Sy(w) can be derived. 2. Specific examples are worked out for stochastic processes x(t) with known autocorrelation or power spectral density, and processes y(t) defined in terms of x(t) using linear, time-invariant systems. 3. Properties of autocorrelation, cross-correlation and power spectral density functions are used to solve for unknown functions in various cases.

Uploaded by

amirkhan1369
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1- Show that if
{ }
2
1 2 1 1 2
( , ) ( ) ( ) E
y ( )
x
R t t q t t t I
t
d = - =
and (a)
2
0 0
( ) ( , ) ( ) then ( ) ( , ) ( )
t t
y t h t x d I t h t q d a a a a a a = =


(b) '( ) ( ) ( ) ( ) then I '( ) 2 ( ) ( ) ( ) y t c t y t x t t c t I t q t + = + =

2- Find { }
2
E y ( ) t (a) if
x
R ( )=5 ( ) t d t and
'( ) 2 ( ) ( ) all t (i) y t y t x t + =
(b) If (i) holds for t>0 only and y(t)=0 for 0 t
Hint: use eqn
{ }
2
2
( ) ( )
( )
E q t h t
y t
= *

3- The process x(t) is WSS with
x
R ( )=5 ( ) t d t and
'( ) 2 ( ) ( ) all t (i) y t y t x t + =
Find { }
2
E y (t) ,
1 2
( , )
xy
R t t ,
1 2
( , )
y
R t t (a) if (i) holds for all t, (b) if y(0)=0 and
(i) holds for 0 t

4-Show that
1
(0) ( )
(0) (2
4
n
n
R R
R R
t
t
- -


Hint:
2 2 2
1
1 cos 2sin 2sin cos (1 cos2 )
2 2 2 4
q q q
q q - = = -
Use ( ) S w properties

5- The process x(t) is normal with zero mean and ( ) cos
x
R Ie
a
t
t bt
-
= . Show
that if
2
( ) ( ) y t x t = , then ( )
2 2
( ) 1 cos 2
y
C I e
at
t bt
-
= + . Find ( )
y
S w

6- Show that if ( )
y
R t is the inverse Fourier transform of a function ( ) S w and
( ) 0 S w , then , for any
i
a ,
,
( ) 0
i k i k
i k
a a Rt t
*
-


Hint:
2
( ) 0
i
j
i
i
S d a e
wt
w w
+
-



7- Find ( ) Rt if (a)
4
( ) 1/(1 ) S w w = + , (b)
2 2
( ) 1/(4 ) S w w = +

8-The process x(t) is normal with zero mean. Show that if y(t)=x
2
(t), then
( ) 2 (0) ( ) 2 ( ) ( )
y x x x
S R S S w p d w w w = + *
Plot ( )
y
S w if ( )
x
S w is (a) ideal LP, (b) ideal BP.

9-The process x(t) is WSS with { } 5 ( ) E x t = and
4
( ) 25 4
x
R e
t
t
-
= + . If
y(t)=2x(t)+3x'(t),find , ( ), ( )
y y y
R S h t w

10- The process x(t) is WSS and
x
R ( )=5 ( ) t d t . (a) Find
{ }
2
E
y (t)
and
y
S ( ) w if '( ) 3 ( ) ( ) y t y t x t + = , (b) Find { }
2
E y (t) and
y 1 2
R (t ,t ) if
'( ) 3 ( ) ( ) ( ) y t y t x t U t + = .
Sketch the function
xy 2
R (2,t ) and
xy 1
R (t ,3)

11- Given a complex process x(t) with autocorrelation ( ) Rt , show that if
1 ( ) Rt = , then ( ) w( ) x(t)= y(t)
j j t
R e e
wt w
t t =

12- show that (a) { } 0 ( ) ( ) E x t x t =
(
, (b) ( ) ( ) x t x t =-
(
(
. Here ( ) x t
(
denotes hilbert
transform of x(t).

13- (Stochastic resonance) The input to the system

2
1
( )
2 5
H s
s s
=
+ +

is a WSS process x(t) with { }
2
10 ( ) E x t = . Find
x
S ( ) w such that the average
power
{ }
2
( )
E
y t
of the resulting output y(t) is maximum.
Hint: ( ) H j w is maximum for 3 w =

14- Show that if
0
( )
j
x
R Ae
w t
t = , then
0
( )
j
xy
R Be
w t
t = for any y(t).
Hint: Use cross correlation inequality
2
( ) (0) (0)
xy x y
R R R t

15-Given a system ( ) H w with input x(t) and output y(t), show that (a) if x(t)
is WSS and ( )
j
x
R e
at
t = , then
2
( ) ( ) ( ) ( )
j j
yx y
R e H R e H
at at
t a t a = =
(b) if
1 2
1 2
( )
( , )
x
j t t
R t t e
a b -
= ,then
1 2 1 2
1 2 1 2
( ) ( )
( , ) ( ) ( , ) ( ) ( )
yx y
j t t j t t
R t t e H R t t e H H
a b a b
a a b
* - -
= =

16- Show that if ( ) ( ) 0
x y
S S
w w
then ( ) 0
xy
S
w


17- Show that if x[n] is WSS and [1] [0]
X X
R R = , then [ ] [0]
X X
R m R = for
every m.

18- Show that if { } [ ] [ ] [ ] R m E x n m x n = + , then
2 2
[0] [2] 2 [1] [0] R R R R > -

19-(a) Find { }
2
( ) E y t if y(0)=y'(0)=0 and
x
''( ) 7 '( ) 10 ( ) ( ) R ( )=5 ( ) y t y t y t x t t d t + + =
(b) Find { }
2
[ ] E y n if [ 1] [ 2] 0 y y - = - = and
[ ] [ ]
x
8 [ ] 6 [ 1] [ 2] [ ] R =5 y n y n y n x n
m m
d - - + - =

20- The process x[n] is WSS with [ ] 5 [ ]
X
R m m d = and
[ ] .5 [ 1] [ ] (i) y n y n x n - - =
Find { }
2
( ) E y n , [ ]
1 2
,
xy
R m m , [ ]
1 2
,
y
R m m (a) if (i) holds for all n, (b) if [ ] 0
1
y =
-

and (i) holds for 0 n

21-Show that (a) if [ ] [ ] [ ]
1 2 1 1 2
,
x
R q m m m m m d = - and
{ }
2
2
0 0
[ ] then [ ]
N N
n n
s a x n E a q n
s
= =


(b) If ( ) ( ) ( )
1 2 1 1 2
,
x
R q t t t t t d = - and

{ }
2
2
0 0
( ) ( ) then ( ) ( ) s a t x t dt E a t q t dt
s
t t
= =

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