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HW 5

This document contains the problems for Homework 5 assigned in the Fall 2020 Stochastic Processes course taught by Dr. Ali Olfat at the University of Tehran. The homework problems cover a range of stochastic processes concepts, including Markov processes, Poisson processes, Wiener processes, stationary Gaussian processes, and linearly interpolated random processes. Students are asked to prove properties, find probability distributions, determine if processes are wide-sense stationary, and calculate estimators, means, variances, and correlation functions.

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Sorush Mesforush
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53 views2 pages

HW 5

This document contains the problems for Homework 5 assigned in the Fall 2020 Stochastic Processes course taught by Dr. Ali Olfat at the University of Tehran. The homework problems cover a range of stochastic processes concepts, including Markov processes, Poisson processes, Wiener processes, stationary Gaussian processes, and linearly interpolated random processes. Students are asked to prove properties, find probability distributions, determine if processes are wide-sense stationary, and calculate estimators, means, variances, and correlation functions.

Uploaded by

Sorush Mesforush
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
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 5

Problem 1. Let X (t ) be a Markov stochastic process and assume t1  t2  ...  tn . Prove that

f X1  x1 ; t1 | X (t2 )  x2 ,..., X (tn )  xn   f X1  x1 ; t1 | X (t2 )  x2  .

Problem 2. Let X (t ) be Poisson process with uniform density  . The process X (t ) jumps at
Poisson points ti  0, i  1, 2,... . Find the pdf of the random variable Tn  ti  n  ti for n  1 .

t
Problem 3. Let W (t )   X ( )d be a Wiener process where X (t ) is a zero-mean stationary
0

white Gaussian process with RX ( )  N 0 ( ) . Suppose we want to estimate W (2) given

W (1) by MMSE criterion. Find the estimator and its mean square error.

Problem 4. Consider the Wiener process W (t ) of problem 3, and define Y (t )  W 2 (t ) .

(a) Find the pdf fY ( y; t ) .


(b) Is Y (t ) an independent increment process? Explain.

Problem 5. The stochastic process X (t ) is defined as

X (t )  A cos  2 Ft    ,

where A is a constant, F is a uniform random variable on [2,4], and  is a uniform random


variable on [0, 2 ] and independent of F. Find the mean and the autocorrelation function of
X (t ) . Is X (t ) wide sense stationary?

Problem 6. Let X (t ) be a zero-mean stationary (WSS) Gaussian process with autocorrelation

function RX ( ) . Define the stochastic process Y (t )  Ae jX ( t ) , where A is a Poisson random

variable with parameter a and independent of X (t ) . Find the mean and the autocorrelation
function of Y (t ) . Is Y (t ) wide sense stationary?
Stochastic Processes, Fall 2018, Homework 5 2

Problem 7. Let X (t ) be a zero-mean stationary (WSS) Gaussian process with autocorrelation

function RX ( )  sinc 2 (t ) . Suppose that X 1  X (0) , X 2  X   and X


1
2 3  X (1) .

(a) Determine the value of Y  E{ X 3 | X 2 } .

(b) Find the value of Pr  X 1  3Y  1 .

(c) Define
 Z1 (t )  X 1 cos(t )  X 3 sin(t )
 , t 
 Z 2 (t )  X 1 sin(t )  X 3 cos(t )
Find the autocorrelation and cross-correlation functions of Z1 (t ) and Z 2 (t ) . Are Z1 (t )

and Z 2 (t ) jointly wide sense stationary? Are they individually wide sense stationary?

(d) Find the pdf of Z 3 (t )  X 3t  X 2 .

1 n k
(e) Find the variance of  X  .
n k 1  2 

Problem 8. Let U (n), n  be an i.i.d. sequence of random variables, each uniformly


distributed on the interval [0,1] . Let X (t ) denote the continuous-time random process
obtained by linearly interpolating between the U ’s, i.e. X (n)  U (n) for any n   , and
X (t ) is affine on each interval of the form [n, n  1] for n   .

(a) Find and sketch the first order marginal density f X ( x; t ) .


(b) Is the random process X (t ) wide sense stationary? Justify your answer.

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