EE513L: Statistical Signal Processing (Jan-May 2023)

Practice Problem Set 1

1. Let X be a random variable with cumulative distribution function as:

Let C = {0.5 ≤ X ≤ 1} be an event. Find and draw the CDF of X conditioned on C.

Find the CDF of Y. Are X are Y independent? Are they uncorrelated? Find E(X), E(Y ), E(XY ).
PN
4. Let X1 , . . . , XN be i.i.d. random variables with mean µ and variance σ 2 . Let SN = i=1 Xi .
(a) Find E(SN ), var(SN ) when N is a constant.
(b) Find E(SN ), var(SN ) when N is a random variable.
5. Let X ∼ Exp(2). Find the conditional PDF and CDF of X given X > 1. Also find E(X|X > 1)
and var(X|X > 1).
6. Let X ∼ U nif [−1, 1] and Y = X 2 . Are the random variables X and Y independent? Are they
uncorrelated?
7. You have a system which generates random numbers which are normally distributed with mean 2
and variance 4. Can you generate a standard Gaussian random variable using this system?
8. Let X ∼ N (5, 4). Find P(X 2 − 2X > 15) in terms of the Q function.
9. Find the joint Gaussian density of a Gaussian vector X = [X1 X2 ]T when X1 ∼ N (1, 2),
X2 ∼ N (2, 1) and cov(X1 , X2 ) = −1. Find the conditional PDF of X1 given X2 . Find E(X1 |X2 )
and var(X1 |X2 ).
10. Prove that uncorrelated jointly Gaussian random variables are independent.
11. If X is a n dimensional Gaussian vector with mean µ and covariance matrix C then find the
distribution of Y = AX + b where A, b are constants of appropriate dimensions.
12. Let
 W be a two dimensional standard Gaussian random vector and X = AW where A =
cos(θ) − sin(θ)
. Here θ is some angle between [0, 2π]. Find the density of X.
sin(θ) cos(θ)
13. Will your answer in earlier part change if W is a Gaussian random vector with
   
1 3 2
µ= C= .
1 2 5
 
1 −2
14. What is the distribution of X in Q 11 if A = √ ?
2 −1
15. Let X = [X1 X2 ]T ∼ N (µ, C). Find the distribution of X1 conditioned on X2 . Find E(X1 |X2 )
and var(X1 |X2 ).