EE 323 Homework 7 Solution

11.01.2019

Problem 1 [CDF of Random Processes]. In the fair coin experiment, we define the
process X(t) as follows:
X(t) = sin(πt) if heads show, X(t) = 2t if tail shows.
(a) E[X(t)] = t + 0.5 sin(πt)

1 
 √ , t = 0.25  0.5, t = 0.25


(b) X(t, heads) = sin(πt) = 2 X(t, tails) = 2t = 1, t = 0.5
1, t = 0.5
2, t=1

 
 0, t=1

Problem 2 [Description of Random Processes]. For the random process given as

X(t) = {x(t, 4) = 4, x(t, 3) = 2, x(t, 6) = t/2, x(t, 5) = −t/2, x(t, 2) = −2, x(t, 1) = −4}

(a) Find P [X(4) = −2], P [X(4) ≤ 0], P [X(0) = 0, X(4) = −2] and
P [X(4) = −2|X(0) = 0]

Let A be the set of outcomes such that for every λi ∈ A, X(4, λi ) = −2 ⇒ A = {2, 5}
2 1
P (A) = P [X(4) = −2] = =
6 3
3 1
P [X(4) ≤ 0] = P [set of outcomes such that X(4) ≤ 0] = =
6 2
Let B be the set of outcomes that maps to X(0) = 0 and X(4) = −2.
Then B = {5}, and hence X(4) = −2. P [X(0) = 0, X(4) = −2] = P (B) = 1/6
P [X(4) = −2, X(0) = 0] 1/6
P [X(4) = −2|X(0) = 0] = = = 1/2
P [X(0) = 0] 2/6

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 (b) Obtain the joint probabilities P [X(0), X(6)] and the marginal probabilities P [X(0)]
and P [X(6)].

X(6)
X(0) -4 -3 -2 2 3 4 P [X6 ]
-4 1/6 0 0 0 0 0 1/6
-2 0 0 1/6 0 0 0 1/6
0 0 1/6 0 0 1/6 0 2/6
2 0 0 0 1/6 0 0 1/6
4 0 0 0 0 0 1/6 1/6
P [X(0)] 1/6 1/6 1/6 1/6 1/6 1/6

(c) Find µX (t), RXX (t1 , t2 ), CXX (t1 , t2 ) and rXX (t1 , t2 ).

CXX (t1 , t2 )
rXX (t1 , t2 ) = p
CXX (t1 , t1 )CXX (t2 , t2 )

1 1
µX (t) = 0 and RXX (t1 , t2 ) = {40 + t1 t2 } ⇒ CXX (t1 , t2 ) = RXX (t1 , t2 )
6 2
40 + 21 t1 t2
rXX (t1 , t2 ) = q
(40 + 21 t21 )(40 + 12 t22 )

Problem 3 [WSS Processes]. Suppose we form a random process Y (t) by modulating a

carrier with another random process, X(t). That is, let

Y (t) = X(t) cos(w0 t + θ)

where θ is uniformly distributed over [0, 2π) and independent of X(t). Under what condi-
tions is Y (t) WSS?

µY (t) = E{X(t) cos(w0 t+θ)} = E{X(t)} E{cos(w0 t + θ)} = 0 mean function is constant
| {z }
=0
but the autocorrelation

RY Y (t, t + τ ) = E{X(t)X(t + τ ) cos(w0 t) cos[w0 (t + τ )]}

 
1 1
= E{X(t)X(t + τ )}  cos(w0 τ ) + E{cos(w0 (2t + τ ) + 2θ)}
2 2| {z }
=0
1
= RXX (t, t + τ ) cos(w0 τ )
2
is not necessarily a function of τ . If RXX (t, t + τ ) = RXX (τ ) then Y (t) will be WSS.

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Problem 4 [Properties of Autocorrelation Functions]. Determine whether the follow-
ing functions can be the autocorrelation functions of real valued WSS random processes.

(a) (1 + 2τ 2 )−1 → valid autocorrelation function

(b) 2 sin 2π(1000τ ) → not a valid autocorrelation function since sine is an odd function
and the autocorrelation should be an even function
sin 2πf0 τ
(c) f0 > 0 → valid autocorrelation function
f0 τ
(d) δ(τ ) + cos 2πf0 τ → valid autocorrelation function

Problem 5 [Poisson Process]. Patients arrive at the doctor’s office according to a Pois-
son process with rate λ = 1/10 minute. The doctor will not see a patient until at least three
patients are in the waiting room.

(a) Find the expected waiting time until the first patient is admitted to see the doctor.
1
Patients arrival rate is given as λ = minute. Let Tn denote the arrival rate of the
10
nth patient at the doctor’s office

Tn = Z1 + Z2 + · · · + Zn

Zn , n = 1, 2, ... are i.i.d. exponential rvs with parameter λ = 1/10

" n # n
X X n
E[Tn ] = E Zi = E[Zi ] =
i=1 i=1
λ

Expected time until the first patient is admitted E[T3 ] = 3 × 10 = 30 minutes.

(b) What is the probability that nobody is admitted to see the doctor in the first hour?
Let X(t) be the Poisson process with parameter λ = 1/10. “no body is admitted to
see the doctor in the first hour”=“at most two patients arrive in the first 60 minutes”

P [X(60) − X(0) ≤ 2] = P [X(60) − X(0) = 0]

+ P [X(60) − X(0) = 1]
+ P [X(60) − X(0) = 2]
2
= e−60/10 + e(−60/10)(60/10) + e(−60/10)(1/2)(60/10)
= e−6 (1 + 6 + 18) ≈ 0.062

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Problem 6 [Gaussian Processes]. Consider the random process

X(t) = A cos(w0 t) + B sin(w0 t)

where A and B are independent, zero-mean Gaussian rvs with equal variances of σ 2 .

(a) Is this process WSS?

µX (t) = E{A cos(w0 t) + B sin(w0 t)} = E{A} cos(w0 t) + E{B} sin(w0 t) = 0
| {z } | {z }
=0 =0
The autocorrelation

RXX (t1 , t2 ) = E{[A cos(w0 t1 ) + B sin(w0 t1 )][A cos(w0 t2 ) + B sin(w0 t2 )]}

= σ 2 cos[w0 (t2 − t1 )]

depends only on the time difference t2 − t1 and µX (t) = 0 ⇒ X(t) process is WSS.

(b) Find the joint PDF of two samples X1 = X(t) and X2 = X(t + τ ). Does the joint PDF
depend on absolute time t?    
RXX (0) RXX (τ ) 1 cos(w 0 τ )
X1 = X(t), X2 = X(t+τ ) and CXX = = σ2
RXX (τ ) RXX (0) cos(w0 τ ) 1
 2
−x1 − 2x1 x2 cos(w0 τ ) + x22

1
fX1 ,X2 (x1 , x2 ; t, t + τ ) = exp
2πσ 2 | sin(w0 τ )| 2σ 2 sin2 (w0 τ )