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HW 4

This document contains 7 problems related to stochastic processes. Problem 1 involves finding the distribution of a random variable X0 to make the distribution of subsequent random variables Xk identical, and calculating the expected value of Xk+n as a function of n. Problem 2 involves determining the types of convergence for 3 random sequences with different properties. Problem 3 involves determining if a sequence of random variables with a specific probability density function converges in mean square, probability, or distribution.

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49 views2 pages

HW 4

This document contains 7 problems related to stochastic processes. Problem 1 involves finding the distribution of a random variable X0 to make the distribution of subsequent random variables Xk identical, and calculating the expected value of Xk+n as a function of n. Problem 2 involves determining the types of convergence for 3 random sequences with different properties. Problem 3 involves determining if a sequence of random variables with a specific probability density function converges in mean square, probability, or distribution.

Uploaded by

Sorush Mesforush
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© © 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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STOCHASTIC PROCESSES

UNIVERSITY OF TEHRAN
INSTRUCTOR: DR. ALI OLFAT FALL 2020

HOMEWORK 4

Problem 1. Let {Z k }k 1 be a sequence of i.i.d. random variables where each Z k is Gaussian

with zero mean and unit variance. Define


X k  0.5 X k 1  Z k , k  1, 2,...

and assume X 0 to be independent of the Z k s.

(a) Find a distribution for X 0 to make every X k to have the same distribution.

(b) Find E  X k  n X k  as a function of n.

Problem 2. Consider the probability space (, F , P) with   [0,1] and P (a, b]  b  a .

Determine in what sense the following random sequences converge, and what are their limits.

(a) X n ( )  e  n , n  0 ,

 1
(b) X n ( )  sin     , n  1 .
 n
(c) X n ( )  cos n ( ), n  0 .

Problem 3. The members of the sequence of jointly independent random variables X n have

pdfs of the form

 1 1  1  n 1   1
2

f X n ( x)  1   exp   2  x       exp( x)u ( x)


 n   2  2  n   n

Determine whether or not the random sequence { X n } converges in

(a) the mean square sense,


(b) probability,
(c) distribution.

Problem 4. Let { X n } be a sequence of random variables that converges in probability to a

random variable X, i.e.


X n 
p
X .
Stochastic Processes, Fall 2018, Homework 4 2

Assume that the pdfs f X n ( x) of X n s are such that for some N  0 ,

f X n ( x)  0, for x  x0 and for all n  N .

Show that X n also converges to X in mean square sense.

Problem 5. Suppose that { X n }n 1 is a sequence of i.i.d. random variables, each with uniform

distribution on the interval [0,1] . Define the sequence {Yn }n 1 as

Yn  n 1  max{ X 1 , X 2 ,..., X n } , for n  1, 2,...

Let Y be an exponential random variable with parameter   1 , i.e. pdf of fY ( y )  e y u ( y ) .

Prove that the sequence {Yn } converges to Y in distribution, i.e.

Yn 
dist
Y.

Problem 6. Suppose Wk k 1 are independent Gaussian random variables with mean zero and

 X k k 1

variance 2 0 . Define the sequence recursively by X0  0 and

X k  12 ( X k 1  Wk ) . Determine in what senses, a.s., m.s., p. and d., the sequence  X k k 1


converges.

Problem 7. Let { X n }n 1 be a sequence of continuous random variables each with the CDF

e nx
FX n ( x)  , x .
1  e nx

(a) Find lim FX n ( x) . Can the result be considered as a CDF?


n 

(b) Does { X n }n 1 converge in distribution? If yes, find the random variable that it converges
to. If no, explain your reasoning.

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