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Exercise 3: Probability and Random Processes For Signals and Systems

This document contains questions from the course "EE60039 – Autumn Semester 2023-24 Exercise 3: Probability and Random Processes for Signals and Systems" taught by Prof. Ashish Ranjan Hota. The questions cover topics related to stationary random processes, second order theory, Gaussian processes, and processes with independent and stationary increments. There are a total of 8 questions involving concepts such as wide sense stationarity, autocorrelation, cross-correlation, and determining whether given stochastic processes have certain properties.

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38 views3 pages

Exercise 3: Probability and Random Processes For Signals and Systems

This document contains questions from the course "EE60039 – Autumn Semester 2023-24 Exercise 3: Probability and Random Processes for Signals and Systems" taught by Prof. Ashish Ranjan Hota. The questions cover topics related to stationary random processes, second order theory, Gaussian processes, and processes with independent and stationary increments. There are a total of 8 questions involving concepts such as wide sense stationarity, autocorrelation, cross-correlation, and determining whether given stochastic processes have certain properties.

Uploaded by

Gp
Copyright
© © 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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EE60039 – Autumn Semester 2023-24

Exercise 3: Probability and Random Processes for Signals and Systems


Prof. Ashish Ranjan Hota
Department of Electrical Engineering, IIT Kharagpur

Q 3.1: Stationary Random Process

Let X(t) be a continuous-time wide sense stationary (w.s.s.) random process with mean E[X(t)] =
µX , and autocorrelation function RX (τ ). Then answer the following questions.

1. Let A be a nonnegative random variable independent of X(t). Let Y (t) := A + X(t). Show
that Y (t) is w.s.s.
2. Let Z(t) be a w.s.s. random process independent of X(t) with mean E[Z(t)] = µZ , and
autocorrelation function RZ (τ ). Let W (t) := X(t)Z(t). Find the mean and autocorrelation
of W (t) and show that it is w.s.s. Are W (t) and X(t) jointly w.s.s.?
3. Let X1 (t) := X(t + a) where a is a constant. Is X1 (t) w.s.s.? Are X(t) and X1 (t) jointly
w.s.s.?
4. Let X2 (t) := X(at). Is X2 (t) w.s.s.? Are X(t) and X2 (t) jointly w.s.s.?
5. Let X3 (t) := X(t − t0 ) where t0 is a constant delay. Is X3 (t) w.s.s.? Are X(t) and X3 (t)
jointly w.s.s.?

Q 3.2: Second Order Theory

Consider a discrete-time LTI system y(k) = u(k) − 2u(k − 1) + u(k − 2). Let the input be a
zero-mean wide sense stationary process with auto-correlation

 2, τ = 0,


Ruu [τ ] = E[u(k)u(k − τ )] = 1, τ = 1, −1,


 0, otherwise.

(a) Find the expression for the cross-correlation Ryu [τ ].


(c) Completely determine Ryu [τ ], i.e., for all values of τ .
(d) Completely determine Ryy [τ ].
Exercise 3: Probability and Random Processes for Signals and Systems Autumn 2022

Q 3.3: Stationary Random Process

Consider a discrete-time LTI system y(k) = u(k) + a1 u(k − 1). Let the input be a zero-mean
wide sense stationary process with auto-correlation

 1, τ = 0,


Ruu [τ ] = E[u(k)u(k − τ )] = 0.5, τ = 1, −1,


 0, otherwise.

(a) Find the expression for the cross-correlation Ryu [τ ].


(b) Suppose Ryu [1] = 1. Find the value of a1 .
(c) Completely determine Ryu [τ ] (as has been done for Ruu [τ ] above).
(d) Completely determine Ryy [τ ].

Q 3.4: Stationary Process

Consider a discrete-time system y(k) = u(k) + a1 u(k − 1). Let E[u(k)] = 0 for all k ≥ 0 and

 2, τ = 0,


E[u(k)u(k − τ )] = 1, τ = 1, −1,


 0, otherwise.

(a) Suppose E[y(k)u(k − 1)] = 3. Then determine the value of a1 .


(b) Does E[y(k)u(k − τ )] depend on k? Determine E[y(k)u(k − τ )] for k = 2 and τ = 0, 1, −1, 2.

Q 3.5: Random Process and Stationarity

Consider a continuous-time random process (X(t) : t ≥ 0) with the following properties:

• X(t) ∈ {−1, 1}, that is, X(t) takes value either −1 or 1. In other words, each X(t) is a
discrete random variable.
• X(t) changes sign with a probabilistic process; the probability that there are k sign changes
of X(t) in an interval of length T has a Poisson distribution with parameter λT . In other
words,
(λT )k e−λT
P(number of sign changes between X(t + T ) and X(t) is k) = .
k!
• The p.m.f. of X(0) is specified as P(X(0) = 1) = p, and P(X(0) = −1) = 1 − p, where
p ∈ (0, 1).

Then,

1. At t = t0 , what is the p.m.f. of the random variable X(t0 )?


2. Is the random process X(t) wide sense stationary?

2
Exercise 3: Probability and Random Processes for Signals and Systems Autumn 2022

Q 3.6: Gaussian Process

Let {Xt }t∈R be a stochastic process defined by Xt = tA where A ∼ N (0, 1). Show that {Xt }t∈R
is a Gaussian Process. Find its mean and covariance.

Q 3.7: Gaussian Process

Let {Wn }n∈N be a discrete-time stochastic process where each Wn has zero-mean, Gaussian,
independent and identically distributed.

1. Let {Sn }n∈N be another process defined as Sk = ki=1 Wi . Find the mean and covariance
P

of the process {Sn }n∈N . Is this process W.S.S.?


2. Let {Xn }n∈N be a discrete-time stochastic process where each Xn+1 = aXn + Wn with
X1 = 0. Find the mean and covariance of the process {Xn }n∈N . Is this process W.S.S.?

Q 3.8: Independent and Stationary Increment Process

Let {Xt }t≥0 be a stochastic process with independent and stationary increments and let X0 be
an arbitrary random variable. Show that E[Xt ] = E[X0 ] + tE[X1 − X0 ]. Find CX (t1 , t2 ) in terms
of var[X0 ], var[X1 ], t1 and t2 .

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