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    VL2018199000767 Da02

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    mounish sagar
    This document contains 10 problems related to probability theory and random processes: 1. Find the mean and average power of an ergodic random process with a given autocorrelation function. 2. Find properties of a random process defined as the product of a Gaussian random variable and cosine function, including its stationarity. 3. Show that for a random process defined as the difference of another process at two times, the mean is 0 and give an expression for the variance in terms of the autocorrelation function of the original process. 4. Find the covariance matrix for samples of a zero-mean Gaussian process with a given autocorrelation function.

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    VL2018199000767 Da02

    Uploaded by

    mounish sagar
    67 views2 pages
    This document contains 10 problems related to probability theory and random processes: 1. Find the mean and average power of an ergodic random process with a given autocorrelation function. 2. Find properties of a random process defined as the product of a Gaussian random variable and cosine function, including its stationarity. 3. Show that for a random process defined as the difference of another process at two times, the mean is 0 and give an expression for the variance in terms of the autocorrelation function of the original process. 4. Find the covariance matrix for samples of a zero-mean Gaussian process with a given autocorrelation function.

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    Questions for probability theory and random processes

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    VL2018199000767_DA02

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    This document contains 10 problems related to probability theory and random processes: 1. Find the mean and average power of an ergodic random process with a given autocorrelation function. 2. Find properties of a random process defined as the product of a Gaussian random variable and cosine function, including its stationarity. 3. Show that for a random process defined as the difference of another process at two times, the mean is 0 and give an expression for the variance in terms of the autocorrelation function of the original process. 4. Find the covariance matrix for samples of a zero-mean Gaussian process with a given autocorrelation function.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    67 views2 pages

    VL2018199000767 Da02

    Uploaded by

    mounish sagar
    This document contains 10 problems related to probability theory and random processes: 1. Find the mean and average power of an ergodic random process with a given autocorrelation function. 2. Find properties of a random process defined as the product of a Gaussian random variable and cosine function, including its stationarity. 3. Show that for a random process defined as the difference of another process at two times, the mean is 0 and give an expression for the variance in terms of the autocorrelation function of the original process. 4. Find the covariance matrix for samples of a zero-mean Gaussian process with a given autocorrelation function.

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    © All Rights Reserved
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    of 2

    ECE 2005 Probability Theory and Random Process

    Assignment

    Answer all

    1. Assume that an ergodic random process 𝑋(𝑡) has an autocorrelation function


    2
    𝑅𝑋𝑋 (𝜏) = 18 + [1 + 4 cos(12𝜏)]
    6 + 𝜏2
    a. Find |𝑋̅ |.
    b. What is the average power in 𝑋(𝑡)?

    2. Define a random process by

    𝑋(𝑡) = 𝐴 cos(𝜋𝑡)

    Where 𝐴 is Gaussian random variable with zero mean and variance 𝜎𝐴2.

    (a) Find the density functions of 𝑋(0) and 𝑋(1).


    (b) Is 𝑋(𝑡) stationary in any sense?

    3. A random process 𝑌(𝑡) = 𝑋(𝑡) − 𝑋(𝑡 + 𝜏) is defined in terms of a process 𝑋(𝑡) that is at least
    wide sense stationary.
    (a) Show that mean value of 𝑌(𝑡) is 0, even if 𝑋(𝑡) has a non-zero mean value.
    (b) Show that 𝜎𝑌2 = 2[𝑅𝑋𝑋 (0) − 𝑅𝑋𝑋 (𝜏)]
    (c) If 𝑌(𝑡) = 𝑋(𝑡) + 𝑋(𝑡 + 𝜏), find 𝐸[𝑌(𝑡)] and 𝜎𝑌2 . How do these results compare to those
    of parts (a) and (b).

    4. A zero mean Gaussian random process has an autocorrelation function


    |𝜏 |
    ( ) 13 [1 − ( )] ; |𝜏| ≤ 6
    𝑅𝑋𝑋 𝜏 = { 6
    0; 𝑒𝑙𝑠𝑒
    Find the covariance function necessary to specify the joint density of random variables defined
    at times 𝑡𝑖 = 2(𝑖 − 1), 𝑖 = 1,2, ⋯ ,5. Give the covariance matrix for the 𝑋𝑖 = 𝑋(𝑡𝑖 ).

    5. A random process is given by


    𝑋(𝑡) = 𝐴0 cos(Ω𝑡 + Θ)

    where 𝐴0 is a real constant, Ω is a random variable with density function 𝑓Ω (⋅), and Θ is a
    random variable uniformly distributed on the interval (0,2𝜋) independent of Ω. Show that the
    power spectrum of 𝑋(𝑡) is

    𝜋𝐴20
    𝑆𝑋𝑋 (𝜔) = [𝑓 (𝜔) + 𝑓Ω (−𝜔)]
    2 Ω
    6. Assume a random process has a power spectrum

    𝜔2
    4 − ( ) ; |𝜔 | ≤ 6
    𝑆𝑋𝑋 (𝜔) = { 9
    0; 𝑒𝑙𝑠𝑒
    Find (a) the average power, (b) the RMS bandwidth, and (c) the autocorrelation function of
    the process

    7. Find the RMS bandwidth of the power spectrum


    𝜋𝜔
    𝑃 cos ( ) ; |𝜔 | ≤ 𝑊
    𝑆𝑋𝑋 (𝜔) = { 2𝑊
    0; |𝜔 | > 𝑊

    Where 𝑊 > 0 and 𝑃 > 0 are constants.

    8. A random process is given by

    𝑊 (𝑡) = 𝐴𝑋(𝑡) + 𝐵𝑌(𝑡)

    Where 𝐴 and 𝐵 are real constants and 𝑋(𝑡) and 𝑌(𝑡) are jointly wide-sense stationary
    processes.

    (a) Find the power spectrum 𝑆𝑊𝑊 (𝜔) of 𝑊(𝑡).


    (b) Find 𝑆𝑊𝑊 (𝜔) if 𝑋(𝑡) and 𝑌(𝑡) are uncorrelated.
    (c) Find the cross power spectrums 𝑆𝑋𝑊 (𝜔) and 𝑆𝑌𝑊 (𝜔)

    9. A random process 𝑋(𝑡) has an autocorrelation function

    𝑅𝑋𝑋 (𝜏) = 𝐴2 + 𝐵𝑒 −|𝜏|

    Where 𝐴 and 𝐵 are positive constants. Find the mean value of the response of a system having
    an impulse response

    𝑒 −𝑊𝑡 ; 0 < 𝑡
    ℎ(𝑡) = {
    0; 𝑡 < 0
    where 𝑊 is a real positive constant, for which 𝑋(𝑡) is its input.

    10. A stationary random signal 𝑋(𝑡) has an autocorrelation function 𝑅𝑋𝑋 (𝜏) = 10 exp(−|𝜏|). It is
    𝑁0
    added to white noise [independent of 𝑋(𝑡)] for which 2
    = 10−3 and the sum is applied to a
    filter having a transfer function
    2
    𝐻 (𝜔) =
    (1 + 𝑗𝜔)3

    (a) Find the signal component of the output power spectrum and the average power in
    the output signal.
    (b) Find the power spectrum of, and the average power in, the output noise.
    (c) What is the ratio of the output signal’s power to the output average noise power?

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