Chapter 6

Stochastic Processes

6.1 Problem Solutions

Problem 6.1
The various sample functions are as follows. Sample functions for case (a) are horizontal
lines at levels 2A; 0; 2A, each case of which occurs equally often (with probability 1/3).
Sample functions for case (b) are horizontal lines at levels 3A; 2A; A; A; 2A; 3A,
each case of which occurs equally often (with probability 1/6). Sample functions for case
(c) are horizontal lines at levels 4A; 2A; 2A; 4A; or oblique straight lines of slope A or
A, each case of which occurs equally often (with probability 1/6).

Problem 6.2

a. For case (a) of problem 6.1, since the sample functions are constant with time and
are less than or equal 2A, the probability is one. For case (b) of problem 6.1, since
the sample functions are constant with time and 5 out of 6 are less than or equal to
2A, the probability is 5/6. For case (c) of problem 6.1, the probability is 5/6 because
5 out of 6 of the sample functions will be less than 2A at t = 2.

b. The probabilities are now 2/3, 1/2, and 1/2, respectively.

c. The probabilities are 1, 5/6, and 5/6, respectively.

Problem 6.3

a. The sketches would consist of squarewaves of random delay with respect to t = 0.

1
2 CHAPTER 6. STOCHASTIC PROCESSES

b. X (t) takes on only two values A and A, and these are equally likely. Thus
1 1
fX (x) = (x A) + (x + A)
2 2

Problem 6.4

a. The sample functions at the integrator output are of the form

Z t
(i) A
Y (t) = A cos (! 0 ) d = sin ! 0 t
!0
where A is Gaussian.

b. Y (i) (t0 ) is Gaussian with mean zero and standard deviation

jsin (! 0 t0 )j
Y = a
!0

c. Not stationary (the second moment, for example, depends on time) and not ergodic.

Problem 6.5

a. By inspection of the sample functions, the mean is zero. Considering the time average
correlation function, de…ned as
Z T Z
1 1
R ( ) = lim x (t) x (t + ) dt = x (t) x (t + ) dt
T !1 2T T T0 T0

where the last expression follows because of the periodicity of x (t), it follows from a
sketch of the integrand that

A2 (1 4 =T0 ) , 0 T0 =2
R( ) =
A2 (1 + 4 =T0 ) , T0 =2 0

Since R ( ) is periodic, this de…nes the autocorrelation function for all .

b. Yes, it is wide sense stationary. The random delay, , being over a full period, means
that no untypical sample functions occur.
6.1. PROBLEM SOLUTIONS 3

Problem 6.6

a. The time-average mean is zero. The time-average autocorrelation function is

Z 2
1 A
hY (t) Y (t + )i = sin (! 0 t) sin [! 0 (t + )] dt
T0 T0 !0
2Z
1 A
= fcos (! 0 ) cos [! 0 (2t + )]g dt
2T0 !0 T0
2
1 A
= cos (! 0 )
2 !0

b. Again, the mean is zero because the mean of A is zero. The ensemble-average auto-
correlation function is

R ( ) = E [Y (t; A) Y (t + ; A)]
Z 1
a 2 exp a2 =2 2
a
= sin (! 0 t) sin [! 0 (t + )] p da
1 !0 2 2a
2
a
= sin (! 0 t) sin [! 0 (t + )]
! 20
2
a
= fcos (! 0 ) cos [! 0 (2t + )]g
2! 20

c. No, it is not wide sense stationary because the ensemble-average autocorrelation func-
tion is time dependent (not a function only of time di¤erence).

Problem 6.7

a. The time average mean is zero. The statistical average mean is

Z
d 2A
E [X (t)] = A cos (2 f0 t + ) = sin (2 f0 t + )
=2 =2 =2
2A
= [sin (2 f0 t + ) sin (2 f0 t + =2)]
2A
= [ sin (2 f0 t) cos (2 f0 t)]
p
2 2A
= [sin (2 f0 t + =4)]
4 CHAPTER 6. STOCHASTIC PROCESSES

The time average variance is A2 =2. The statistical average second moment is
Z
2 d
E X (t) = A2 cos2 (2 f0 t + )
=2 =2
"Z Z # " #
A2 A2 1
= d + cos (4 f0 t + 2 ) d = + sin (4 f0 t + 2 )
=2 =2 2 2 =2
A2 A2
= + [sin (4 f0 t + 2 ) sin (4 f0 t + )]
2 2
A2 A2 A2 A2
= + [sin (4 f0 t) + sin (4 f0 t)] = + sin (4 f0 t)
2 2 2
The statistical average variance is this expression minus E 2 [X (t)].

b. The time average autocorrelation function is

A2
hx (t) x (t + )i = cos (2 f0 )
2
The statistical average autocorrelation function is
Z
d
R( ) = A2 cos (2 f0 t + ) cos (2 f0 (t + ) + )
=2 =2
2 Z
A
= [cos (2 f0 ) + cos (2 f0 (2t + ) + 2 )] d
=2
A2 A2
= cos (2 f0 ) + sin (2 f0 (2t + ) + 2 )
2 2 =2
A2 A2
= cos (2 f0 ) + [sin (2 f0 (2t + ) + 2 ) sin (2 f0 (2t + ) + )]
2 2
A2 A2
= cos (2 f0 ) + [sin 2 f0 (2t + ) + sin 2 f0 (2t + )]
2
A2 2A2
= cos (2 f0 ) + sin 2 f0 (2t + )
2

c. No. The random phase, not being uniform over (0; 2 ), means that for a given time,
t, certain phases will be favored over others.

Problem 6.8
From the measurements given, assuming ergodicity, we can infer that the mean is 6 V and
the second moment is 49 V2 (we assume that the true-rms meter is DC coupled). Thus
6.1. PROBLEM SOLUTIONS 5

the variance is 49 36 = 13 V2 . Hence, the pdf of the noise voltage is

e (x 6)2 =26
fX (x) = p
26

Problem 6.9
Use the Fourier transform pair

N0
N0 W sinc (2W ) $ (f =2W )
2

N0
with W = 103 Hz and 2 =2 10 5 V2 /Hz to get the autocorrelation function as

5
RX ( ) = N0 W sinc (2W ) = 4 10 103 sinc 2 103
= 0:04 sinc 2 103

Problem 6.10

a. Suitable;

b. Suitable;

c. Not suitable because the Fourier transform is not everywhere nonnegative;

d. Not suitable because autocorrelation functions must be even;

e. Suitable;

f. Suitable.
6 CHAPTER 6. STOCHASTIC PROCESSES

Problem 6.11

a. The r ( ) function, (6.55), is

Z
1 1
r( ) = p (t) p (t + ) dt
T 1
Z
1 T =2 (t + )
= cos ( t=T ) cos dt, 0 T =2
T T =2 T
1
= (1 =T ) cos , 0 T =2
2 T
Now r ( ) = r ( ) and r ( ) = 0 for j j > T =2. Therefore it can be written as
1
r( ) = ( =T ) cos
2 T
Hence, by (6.54)
A2
Ra ( ) = ( =T ) cos
2 T
The power spectral density is
A2 T 1 1
Sa (f ) = sinc2 T f + sinc2 T f+
4 2T 2T

b. The autocorrelation function now becomes

Rb ( ) = A2 [2r ( ) + r ( + T ) + r ( T )]

The corresponding power spectrum is

Sb (f ) = A2 T sinc2 (T f 0:5) + sin c2 (T f + 0:5) cos2 ( f T )

c. The plots are left for the student.

Problem 6.12

a. By de…nition

RZ ( ) = E [Z (t) Z (t + )]
= E [X (t) X (t + ) Y (t) Y (t + )]
= E [X (t) X (t + )]E[Y (t) Y (t + )]
= RX ( ) RY ( )
6.1. PROBLEM SOLUTIONS 7

b. Since a product in the time domain is convolution in the frequency domain, it follows
that
SZ (f ) = SX (f ) SY (f )

c. Use the transform pairs

2W sinc (2W ) ! (f =2W )

and
1 1
cos (2 f0 ) ! (f f0 ) + (f + f0 )
2 2
Also,
RY ( ) = E f4 cos (50 t + ) cos [50 (t + ) + ]g = 2 cos (50 )

Using the …rst transform pair, we have

RY ( ) = 500 sinc (100 )

This gives

RZ ( ) = [500 sinc (100 )] [2 cos (50 )]

= 1000 sinc (100 ) cos (50 )

and
Y f 25 Y f + 25
SZ (f ) = 5 103 +
200 200

Problem 6.13

a. The autocorrelation functions are

RX ( ) = E [X (t) X (t + )] = Rn ( ) + E A2 cos (! 0 t + ) cos [! 0 (t + ) + ]

A2 A2
= Rn ( ) + cos (! 0 ) = B ( = 0 ) + cos (! 0 )
2 2

and

RY ( ) = E [Y (t) Y (t + )] = Rn ( ) + E A2 sin (! 0 t + ) sin [! 0 (t + ) + ]

A2 A2
= Rn ( ) + cos (! 0 ) = B ( = 0 ) + cos (! 0 )
2 2
8 CHAPTER 6. STOCHASTIC PROCESSES

b. The cross-correlation function is

RXY ( ) = E [X (t) Y (t + )] = Rn ( ) + E A2 cos (! 0 t + ) sin [! 0 (t + ) + ]
A2
= B ( = 0) + sin (! 0 )
2

Problem 6.14
a. The student should carry out the sketch.
R 0+
b. DC power = 0 S (f ) df = 10 W.
R1
c. Total power = 1 S (f ) df = 10 + 25=5 + 5 + 5 = 25 W
d. Power for jf j 0:2 Hz = 10 + 0:9 (25=5) = 14:5 W. Fraction of total power =
14:5=25 = 0:58 = 58%.

Problem 6.15
a. The autocorrelation function is
RX ( ) = E [Y (t) Y (t + )]
= E f[X (t) + X (t T )][X (t + ) + X (t + T )]g
= E [X (t) X (t + )] + E[X (t) X (t + + )]
+E [X (t T ) X (t + )] + E[X (t T ) X (t + T )]
= 2RX ( ) + RX ( T ) + RX ( + T )

b. Application of the time delay theorem of Fourier transforms gives

SY (f ) = 2SX (f ) + SX (f ) [exp ( j2 f T ) + exp (j2 f T )]
= 2SX (f ) + 2SX (f ) cos (2 f T )
= 4SX (f ) cos2 ( f T )

c. Use the transform pair

RX ( ) = 6 ( ) ! SX (f ) = 6 sinc2 (f )
and the result of (b) to get
SY (f ) = 24 sinc2 (f ) cos2 ( f =4)
6.1. PROBLEM SOLUTIONS 9

Problem 6.16

a. E X 2 (t) = R (0) = 12 W; E 2 [X (t)] = lim !1 R ( ) = 9 W;

2 = E X 2 (t) E 2 [X (t)] = 12 9 = 3 W.
X

b. DC power = E 2 [X (t)] = 9 W.

c. Total power = E X 2 (t) = 12 W.

d. S (f ) = 9 (f ) + 15 sinc2 (5f ).

Problem 6.17

a. This is left for the student.

b. Using the Fourier transform of a two-sided decaying exponential and the modulation
theorem, the Fourier transform of the …rst is

4 4
SX1 (f ) = 2 +
2 + [2 (f 1)] 2 + [2 (f + 1)]2

The Fourier transform of the second is

4
SX2 (f ) = + 2 (f b) + 2 (f + b)
2 + (2 f )2

Using the Fourier transform of the Gaussian pulse, the Fourier transform of the third is

5p 2
2
SX3 (f ) = exp
2 4

All Fourier transforms are non-negative functions of frequency.

c. None of the Fourier transforms above has a unit impulse at f = 0 so no DC power.

d. Evaluate the correlation function at = 0 to get total power. The results are 4, 6,
and 5 W, respectively, for (a)-(c).

e. Only the second one has a periodic component at b Hz.

10 CHAPTER 6. STOCHASTIC PROCESSES

Problem 6.18

a. By assuming a unit impulse at the input, the impulse response (i.e., the response to
a unit impulse) is
1
h (t) = [u (t) u (t T )]
T
b. Use the time delay theorem of Fourier transforms and the Fourier transform of a
rectangular pulse to get
H (f ) = sinc (f T ) e j f T

c. The output power spectral density is

N0
S0 (f ) = sinc2 (f T )
2

d. Use F [ ( = 0 )] = 2(
0 sinc 0f ) to get

N0
R0 ( ) = ( =T )
2T

e. By de…nition of the equivalent noise bandwidth

E Y 2 = Hmax
2
BN N0

The output power is also R0 (0) = N0 =2T . Equating the two results and noting that
Hmax = 1, gives BN = 1= (2T ) Hz.

f. Evaluate the integral of the power spectral density over all frequency:
Z 1 Z
N0 N0 1 N0
E Y2 = sinc2 (f T ) df = sinc2 (u) du = = R0 (0)
1 2 2T 1 2T

Problem 6.19

a. The output power spectral density is

6
Sout (f ) = 10 f =5 105

Note that the rectangular pulse function does not need to be squared because its
amplitude squared is unity.
6.1. PROBLEM SOLUTIONS 11

b. Use the Fourier transform pair 2W sinc(2W ) $ (f =2W ). The autocorrelation

function of the output is

Rout ( ) = 5 105 10 6
sinc 5 105 = 0:5 sinc 5 105

c. The output power is 0:5 W, which can be found from Rout (0) or the integral of
Sout (f ).

Problem 6.20

a. The output power spectral density is

N0 =2
S0 (f ) =
1 + (f =f3 )4

b. The autocorrelation function of the output, by inverse Fourier transforming the output
power spectral density, is (a table of de…nite integrals is necessary)
Z 1
N0 =2
R0 ( ) = F 1 [S0 (f )] = 4e
j2 f
df
1 1 + (f =f3 )
Z 1 Z 1
cos (2 f ) cos (2 f3 x)
= N0 4 df = N0 f3 dx
0 1 + (f =f3 ) 0 1 + x4
f3 N0 p2 f3 p
= e cos 2 f3 =4
2
f 3 N0
c. Yes. R0 (0) = 2 = N0 BN ; BN = f3 =2

Problem 6.21
Use the integrals Z 1
b0 ds j b0
I1 = =
1 (a0 s + a1 ) ( a0 s + a1 ) a0 a1
and Z 1 b0 s2 + b1 ds b0 + a0 b1 =a2
I2 = =j
1 (a0 s2 + a1 s + a2 ) (a0 s2 a1 s + a2 ) a0 a1
to get the following results for BN .
Filter Type First Order Second Order
f = 2
Chebyshev fc =2 p qcp
1+1= 2 1+1= 2 1
Butterworth 2 fc 2
p f
2 c
12 CHAPTER 6. STOCHASTIC PROCESSES

Problem 6.22
a. The power spectral density is
N0
SY (f ) = (f =2B)
2
The autocorrelation function is
RY ( ) = N0 B sinc (2B )

b. The transfer function is

A
H (f ) =
+ j2 f
The power spectral density and autocorrelation function are, respectively,
A2 B
SY (f ) = jH (f )j2 SX (f ) =
2 + (2 f )2 1 + (2 f )2
A2 = 2 B A2 B= 2 1 2 2
= 2 2 = 2
1 + (2 f = ) 1 + (2 f ) 1 2 1 + (2 f = )2 1 + (2 f )2
2 0
Use the transform pair exp ( j j= 0 ) ! 1+(2 f 2 to …nd that the corresponding
0)
autocorrelation function is
A2 B= h i
h i e j j j j=
RY (t) = e , 6= 1=
2 1 ( )2

Problem 6.23
a. E [Y (t)] = 0 because the mean of the input is zero.
b. The frequency response function of the …lter is
1
H (f ) =
10 + j2 f
The output power spectrum is
SY (f ) = Sx (f ) jH (f )j2
1
= 1
100 + (2 f )2
0:01 2=10
= = 0:05
1 + (2 f =10)2 1 + (2 f =10)2
which is obtained applying (6.89).
6.1. PROBLEM SOLUTIONS 13

2 0
c. Use the transform pair exp ( j j= 0 ) ! 1+(2 f 2 to …nd the power spectrum as
0)

10j j
RY ( ) = 0:05e

d. Since the input is Gaussian, so is the output. Also, E [Y ] = 0 and var[Y ] = RY (0) =
0:05, so
exp y 2 =2 2Y
fY (y) = q
2 2Y

where 2 = 0:05:
Y

e. Use (5.189) with

2 2
x = y1 = Y (t1 ) , y = y2 = Y (t2 ) , mx = my = 0, and x = y = 0:05

Also
RY ( ) 10j j
( )= =e
RY (0)
Set = 0:03 to get (0:03) = 0:741. Put these values into (5.189).

Problem 6.24
We have
(2 f )2
jH (f )j2 =
(2 f )4 + 5; 000
Thus
j2 f j
jH (f )j = q
(2 f )4 + 5; 000
This could be realized with a second-order Butterworth …lter in cascade with a di¤erentiator.

Problem 6.25

a. Note that Ha; max = 2, Ha (f ) = 2 for 1 f 1; Ha (f ) = 1 for 2 f 1 and

1 f 2 and is 0 otherwise. Thus
Z 1 Z 1 Z 2
1 2 1 2
BN = 2
jHa (f )j df = 2 df + 12 df
Ha; max 0 4 0 1
1
= (4 + 1) = 1:25 Hz
4
14 CHAPTER 6. STOCHASTIC PROCESSES

b. For this case Hb; max = 2 and the frequency response function is a 2-unit high isoceles
triangle centered at 0 and 100 Hz wide so that
Z 1 Z 50
1 2 1
BN = jHb (f )j df = [2 (1 f =50)]2 df ; v = f =50
Hb;2 max 0 4 0
Z 1 1
2 50 3
= 50 (1 v) dv = (1 v) = 16:67 Hz
0 3 0

c. For this case Hc; max = 1 and for the given frequency response function
Z 1 Z 1
1 2 1 100
BN = jHc (f )j df = df
Hc;2 max 0 1 0 100 + (2 f )2
Z 1
1
= df ; v = 2 f =10
0 1 + (2 f =10)2
Z 1
10 1 1 5 1
= dv = tan v
2 0 1 + v2 0
5
= = 2:5 Hz
2

d. This frequency response function can be written in terms of piecewise functions as

8
>
> 0; f < 5
<
2 + f =5; 5 f < 0
Hd (f ) =
>
> 2 f =5; 0 f 5
:
0; f > 5

That is, it is a unit-high isoceles triangle of total width 10 centered at 0 on top of a unit-high
rectangle centered at 0 of total width 10. Thus Hd; max = 2 and for the given frequency
response function
Z 1 Z 5
1 2 1
BN = 2 jHd (f )j df = 2 (2 f =5)2 df; v = f =5
Hd; max 0 2 0
Z 1 1
5 51 5 3
= (2 v)2 dv = (2 v) 3
= 1 23
4 0 43 0 12
= 35=12 = 2:92 Hz
6.1. PROBLEM SOLUTIONS 15

Problem 6.26
The transfer function is

! 23
H (s) = p pp p
s + ! 3 = 2 + j! 3 = 2 s + ! 3 = 2 j! 3 = 2
A A
= p p + p p
s + ! 3 = 2 + j! 3 = 2 s + ! 3 = 2 j! 3 = 2
p
where A = j! 3 = 2 with ! 3 the 3-dB frequency in rad/s. This is inverse Fourier transformed,
with s = j!, to yield

p p !3t
h (t) = 2! 3 exp ! 3 t= 2 sin p u (t)
2

for the impulse response. Now

Z 1
1 !3 f3
jh (t)j2 dt = p = p
1 2 4 2 2 2
R1
after some e¤ort. Also note that 1 h (t) dt = H (0) = 1: Therefore, the noise equivalent
bandwidth, from (6.108), is
f3 250
BN = p Hz = p Hz
2 2 2

Problem 6.27
By de…nition
Z 1 Z 1 2
1 21 f 500
BN = 2
jH (f )j df = 2 df
Hmax 0 4 0 100
Z 500 2 Z 600 2
f 500 f 500 f 500
= 1+ df + 1 df ; u =
400 100 500 100 100
Z 0 Z 1
2
= 100 (1 + u) du + 100 (1 u)2 du
1 0
0 1
100 100 100 100
= (1 + u)3 (1 u)3 = +
3 1 3 0 3 3
= 66:67 Hz
16 CHAPTER 6. STOCHASTIC PROCESSES

Problem 6.28

a. Use the impulse response method. First, use partial fraction expansion to get the
impulse response:

10 1 1 10 2t 25t
Ha (f ) = , ha (t) = e e u (t)
23 j2 f + 2 j2 f + 25 23

Thus
R1 R
10 2 1
2
e 2t 25t 2 dt
1 jh (t)j dt 23 0 e
BN = hR i2 = R
1 2 10 1 2t 25t ) dt 2
2 1 h (t) dt 23 0 (e e
R1
1 0 e 4t 2e 27t + e 50t dt
=
2 1 2t + 1 e 25t 1 2
2e 25 0
1
e 4t + 2 e 27t 1 50t 1
1 4 27 50 e 0
= 2
2 (1=2 1=25)
2 2
1 50 1 2 1 1 50 529
= + =
2 23 4 27 50 2 23 27 100
= 0:463 Hz

b. Again use the impulse response method. Use the transform pair t exp ( at) u (t) $
1
(a+j2 f )2
to get
hb (t) = 100t exp ( 10t) u (t)

Thus, the equivalent noise bandwidth is

R1 2 R1 2
1 jh (t)j dt 0 [100t exp ( 10t)] dt
BN = hR i 2 = hR i2
1 1
2 1 h (t) dt 2 1 100t exp ( 10t) dt
R1 2 R1
0 t exp ( 20t) dt 20 3 0 u2 exp ( u) du
= hR i2 = h R i2 ; u = 20t; v = 10t
1 2 1 v exp ( v) dv
2 1 t exp ( 10t) dt 2 10 1
4
R1 2 Z 1
10 0 u exp ( u) du
= hR i2 ; use the integral xn e x dx = n! for n integer
1 0
2 8 103 1 v exp ( v) dv
10 2! 20
= 2 = 1:25 Hz
16 (1!) 16
6.1. PROBLEM SOLUTIONS 17

Problem 6.29

a. By inverse Fourier transformation, the autocorrelation function is

j j
Rn ( ) = e
2
where K = =2.

b. Use the result from part (a) and the modulation theorem to get

Rnp ( ) = e j j
cos (2 f0 )
2

c. The result is
2
Snc (f ) = Sns (f ) =
2 + (2 f )2
and
Snc ns (f ) = 0

Problem 6.30

a. Choosing f0 = f1 moves f1 right to f = 0 and f1 left to f = 0. The lowpass

…ltered version of the superposition of these two spectra is the power spectrum of
nc (t)h or ns (t). Itiis a v-shaped spectrum centered at f = 0 given by SLP (f ) =
1 f
2 N0 1 f2 f1

b. Choosing f0 = f2 moves f2 right to f = 0 and f2 left to f = 0. Thus, the baseband

f
spectrum can be written as SLP (f ) = 21 N0 f2 f1 :

c. For this case both triangles (left and right) are centered around the origin and they
f
add to give SLP (f ) = 12 N0 f2 f1 .

d. They are not uncorrelated for any case for an arbitrary delay. However, all cases give
quadrature components that are uncorrelated at the same instant.

Problem 6.31
f
a. The equivalent lowpass power spectral density is given by Snc (f ) = Sns (f ) = N0 f2 f1 :
The cross-spectral density is Snc ns (f ) = 0:
18 CHAPTER 6. STOCHASTIC PROCESSES

N0 f
b. For this case Snc (f ) = Sns (f ) = 2 2(f2 f1 ) and the cross-spectral density is

N0
Snc ns (f ) = 2 ; (f2 f1 ) f 0
N0
2 ; 0 f (f2 f1 )

c. For this case, the lowpass equivalent power spectral densities are the same as for part
(b) and the cross-spectral density is the negative of that found in (b).

d. For part (a)

Rnc ns ( ) = 0
For part (b)
"Z Z #
0 f1 f 2
N0 j2 f N0 j2 f
Rnc ns ( ) = j e df + e df
(f2 f1 ) 2 0 2
" 0 (f2 f1 )
#
N0 e j2 f e j2 f
= j j2
+ j2
2 (f2 f1 ) 0
N0
= 1 + ej2 (f2 f1 ) + e j2 (f2 f1 ) 1
4
N0
= f2 2 cos [2 (f2 f1 ) ]g
4
N0
= sin2 [ (f2 f1 ) ]
h i
= N0 (f2 f1 )2 sinc2 [(f2 f1 ) ]

For part (c), the cross-correlation function is the negative of the above.

Problem 6.32
The result is
1 1
Sn2 (f ) = Sn (f f0 ) + Sn (f + f0 )
2 2
so take the given spectrum, translate it to the right by f0 and to the left by f0 , add the two
translated spectra, and divide the result by 2.

Problem 6.33
De…ne N1 = A + Nc . Then q
R= N12 + Ns2
6.1. PROBLEM SOLUTIONS 19

Note that the joint pdf of N1 and Ns is

1 1 h i
fN1 Ns (n1 , ns ) = 2
exp 2
(n1 A)2 + n2s
2 2

Thus, the cdf of R is

Z Z
FR (r) = Pr (R r) = p fN1 Ns (n1 , ns ) dn1 dns
N12 +Ns2 r

Change variables in the integrand from rectangular to polar with

n1 = cos and n2 = sin

Then
Z Z
r 2
1 h i
FR (r) = 2
exp 2
( cos A)2 + ( sin )2 d d
2 2
Z0 r 0
1 2 A
= 2
exp 2
+ A2 I0 2
d
0 2

Di¤erentiating with respect to r, we obtain the pdf of R:

r 1 rA
fR (r) = 2
exp 2
r 2 + A2 I0 2
, r 0
2

Problem 6.34
The suggested approach is to apply
n o
E j= [x2T (t)]j2
Sn (f ) = lim
T !1 2T
where x2T (t) is a truncated version of x (t). Thus, let
N
X
x2T (t) = nk (t kTs )
k= N

The Fourier transform of this truncated waveform is

N
X
j2 kTs
= [x2T (t)] = nk e
k= N
20 CHAPTER 6. STOCHASTIC PROCESSES

Thus,
8 2
9
n o < X N =
E j= [x2T (t)]j2 = E nk e j2 kTs
: ;
k= N
( N N
)
X X
j2 kTs
= E nk e nl ej2 lTs

k= N l= N
N
X N
X
j2 (k l)Ts
= E [nk nl ] e
k= N l= N
N
X N
X
j2 (k l)Ts
= Rn (0) kl e
k= N l= N
N
X
= Rn (0) = (2N + 1) Rn (0)
k= N

But 2T = 2N Ts so that
n o
E j= [x2T (t)]j2 (2N + 1) Rn (0)
Sn (f ) = lim = lim
T !1 2T N !1 2N Ts
Rn (0)
=
Ts

Problem 6.35

a. The output is
Z t+T
1
y (t) = x( )x( )d
T t

Therefore
Z
1 t+T
E [y (t)] = E x( )x( )d
T t
Z t+T
1
= E [x ( ) x ( )] d
T t
Z t+T
1
= Rx ( ) d = Rx ( )
T t
6.1. PROBLEM SOLUTIONS 21

b. Obtain the result by writing y 2 (t) as an iterated integral:

Z t+T Z t+T
2 1
y (t) = x( )x( )d x( )x( )d
T2 t t
Z t+T Z t+T
1
= x( )x( )x( )x( )d d
T2 t t

Take the expectation:

Z t+T Z t+T
2 1
E y (t) = E x( )x( )x( )x( )d d
T2 t t
Z t+T Z t+T
1
= E [x ( ) x ( ) x ( )x( )] d d ; identify x1 = x ( ) etc.
T2 t t
Z t+T Z t+T fE [x ( ) x ( )] E [x ( )x( )]
1
= +E [x ( ) x ( )] E [x ( ) x ( )] d d
T2 t t +E [x ( ) x ( )] E [x ( ) x ( )]g
Z t+T Z t+T
1
= Rx2 ( ) + Rx2 ( ) + Rx ( ) Rx ( ) d d
T2 t t

Problem 6.36

a. In the expectation for the cross correlation function, write the derivative as a limit:
dy (t + )
Ryy_dotp ( ) = E y (t)
dt
y (t + + ) y (t + )
= E y (t) lim
!0
1
= lim fE [y (t) y (t + + )] E [y (t) y (t + )]g
!0
Ry ( + ) Ry ( )
= lim
!0
dRy ( )
=
d

b. The variance of Y = y (t) is 2Y = N0 B. The variance for Z = dy dt is found from its

power spectral density. Using the fact that the transfer function of a di¤erentiator is
j2 f we get
N0
SZ (f ) = (2 f )2 (f =2B)
2
22 CHAPTER 6. STOCHASTIC PROCESSES

so that

Z B B
2 2 f3
Z = 2 N0 f 2 df = 2 2
N0
B 3 B
4 2
= N0 B 3
3

dR ( )
The two processes are uncorrelated because Ryy_dotp (0) = dy = 0 because the
derivative of the autocorrelation function of y (t) exists at = 0 and therefore must be 0.
Thus, the random process and its derivative are independent. Hence, their joint pdf is

2 =2N 2 2N 3
exp 0B exp =2:67 0B
fY Z ( ; )= p p
2 N0 B 2:67 3N B 3
0

c. No, because the derivative of the autocorrelation function at = 0 of such noise does
not exist (it is a double-sided exponential).
6.2. COMPUTER EXERCISES 23

6.2 Computer Exercises

Computer Exercise 6.1

% ce6_1.m: Computes approximations to mean and mean-square ensemble and time
% averages of cosine waves with phase uniformly distributed between 0 and 2*pi
%
clf
f0 = 1;
A = 1;
theta = 2*pi*rand(1,100);
t = 0:.1:1;
X = [];
for n = 1:100
X = [X; A*cos(2*pi*f0*t+theta(n))];
end
EX = mean(X);
AVEX = mean(X’);
EX2 = mean(X.*X);
AVEX2 = mean((X.*X)’);
disp(‘’)
disp(‘Sample means (across 100 sample functions)’)
disp(EX)
disp(‘’)
disp(‘Typical time-average means (sample functions 1, 20, 40, 60, 80, & 100)’)
disp([AVEX(1) AVEX(20) AVEX(40) AVEX(60) AVEX(80) AVEX(100)])
disp(‘’)
disp(‘Sample mean squares’)
disp(EX2)
disp(‘’)
disp(‘Typical time-average mean squares’)
disp([AVEX2(1) AVEX2(20) AVEX2(40) AVEX2(60) AVEX2(80) AVEX2(100)])
disp(‘’)
for n = 1:5
Y = X(n,:);
subplot(5,1,n),plot(t,Y),ylabel(‘X(t,ntheta)’)
if n == 1
title(‘Plot of …rst …ve sample functions’)
end
if n == 5
24 CHAPTER 6. STOCHASTIC PROCESSES

xlabel(‘t’)
end
end

A typical run follows with a plot given in Fig. 6.1.

>> ce6_1
Sample means (across 100 sample functions)
Columns 1 through 6
-0.0121 0.0226 0.0486 0.0560 0.0421 0.0121
Columns 7 through 11
-0.0226 -0.0486 -0.0560 -0.0421 -0.0121
Typical time-average means (sample functions 1, 20, 40, 60, 80, & 100)
-0.0232 -0.0654 0.0255 -0.0344 0.0055 0.0245
Sample mean squares
Columns 1 through 6
0.4613 0.4538 0.5101 0.5525 0.5223 0.4613
Columns 7 through 11
0.4538 0.5101 0.5525 0.5223 0.4613
Typical time-average mean squares
0.4604 0.5015 0.4617 0.4676 0.4549 0.4611

Computer Exercise 6.2

This is a matter of changing the statement
theta = 2*pi*rand(1,100);
in the program of Computer Exercise 6.1 to
theta = (pi/2)*(rand(1,100) - 0.5);
The time-average means will be the same as in Computer Exercise 6.1, but the ensemble-
average means will vary depending on the time at which they are computed.

Computer Exercise 6.3

This was done in Computer exercise 5.2 by printing the covariance matrix. The diago-
nal terms give the variances of the X and Y vectors and the o¤-diagonal terms give the
correlation coe¢ cients. Ideally, they should be zero.

% ce6_3: computes covariance matrix of two vectors of

% Gaussian random variables that are independent
6.2. COMPUTER EXERCISES 25

Plot of first five sample functions

1
X(t,θ)

0
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
1
X(t,θ)

0
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
1
X(t,θ)

0
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
1
X(t,θ)

0
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
1
X(t,θ)

0
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t
26 CHAPTER 6. STOCHASTIC PROCESSES

0
Y

-1

-2

-3

-4
-4 -3 -2 -1 0 1 2 3 4
X

%
clf
X = randn(1,1000);
Y = randn(1,1000);
disp(’Covariance matrix:’)
disp(cov(X, Y))
plot(X, Y, ’+’), axis square, xlabel(’X’), ylabel(’Y’)

A typical run follows with a plot given in Fig. 6.2.

>> ce6_3
Covariance matrix:
1.0553 0.0235
0.0235 1.0341
6.2. COMPUTER EXERCISES 27

Computer Exercise 6.4

% ce6_4.m: plot of Ricean pdf for several values of K
%
clf
A = char(‘-’,‘–’,‘-.’,‘:’,‘–.’,‘-..’);
sigma = input(‘Enter desired value of sigma => ’);
r = 0:.1:15*sigma;
n = 1;
KdB = [];
for KK = -10:5:15;
KdB(n) = KK;
K = 10.^(KK/10);
fR = (r/sigma^2).*exp(-(r.^2/(2*sigma^2)+K)).*besseli(0, sqrt(2*K)*(r/sigma));
plot(r, fR, A(n,:))
if n == 1
hold on
xlabel(’r’), ylabel(’f_R(r)’)
grid on
end
n = n+1;
end
legend([‘K = ’, num2str(KdB(1)),‘dB’],[‘K = ’, num2str(KdB(2)),‘dB’],
[‘K = ’, num2str(KdB(3)),‘dB’],
[‘K = ’, num2str(KdB(4)),‘dB’],[‘K = ’, num2str(KdB(5)),‘dB’],
[‘K = ’, num2str(KdB(6)),‘dB’])
title([‘Ricean pdf for nsigma = ’, num2str(sigma)])

A typical run follows with a plot given in Fig. 6.3.

>> ce6_4
Enter desired value of sigma => 2
28 CHAPTER 6. STOCHASTIC PROCESSES

Ricean pdf for σ = 2

0.35
K = -10 dB
K = -5 dB
0.3
K = 0 dB
K = 5 dB
0.25 K = 10 dB
K = 15 dB

0.2
fR(r)

0.15

0.1

0.05

0
0 5 10 15 20 25 30
r