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ENEE 324

Solution

Homework 09

1. (C&M 5-3.2) A random process is given by


X(t) = (At + B) u(t)
where A is a Gaussian random variable with mA = 0 and A2 = 9, and B is a random variable
uniformly distributed on the interval [0, 6], and A and B are statistically independent.
(a) Determine the mean of this random process.
E{X(t)} = E{(At + B) u(t)} = (E{A}t + E{B}) u(t) = (mA t + mB ) u(t) = 3u(t)
(b) Determine the variance of this random process.
n

2
X
(t) = E [X(t) mX (t)]2

= E ([At + B] u(t) [mA t + mB ] u(t))2


n

= E [(A mA ) t + (B mB )]2 u(t)


n

= E (A mA )2 t2 + 2E {A mA } E {B mB } t + E (B mB )2 u(t)
=

A2 t2 + B2 u(t)

2
X
(t) =

9t2 + 3 u(t)

2. (Peebles 6.2-15,16) A random process, X(t), is defined by


X(t) = A
where A is a random variable uniformly distributed on (0, 1).
(a) Determine the first order density function.
At time t = t0 we simply have X(t0 ) = A, so
fX(t) (x) = fA (a) =

0a1
elsewere

1
0

(b) Determine the second order density function.


Recall that
fX(t1 ),X(t2 ) (x1 , x2 ) = fX(t2 )|X(t1 ) (x2 |x1 )fX(t1 ) (x1 ).
Because X(t1 ) = X(t2 ), we have
fX(t2 )|X(t1 ) (x2 |x1 ) = (x2 x1 ).
Using this with part (a) we have
fX(t1 ),X(t2 ) (x1 , x2 ) = fA (a)(x2 x1 ).
(c) Determine the mean of the random process.
E{X(t)} = E{A} =

ada = 1/2

(d) Determine the autocorrelation of the random process.


2

RX (t1 , t2 ) = E{X(t1 )X(t2 )} = E{A } =


1

a2 da = 1/3

3. (Pap 9-4) A random process is given by


X(t) = u(t C),
where u(t) is the unit step function and C is a random variable uniformly distributed on the
interval (0, T ). Determine RX (t1 , t2 ).
RX (t1 , t2 ) = E {X(t1 )X(t2 )} = E {u(t1 C)u(t2 C)}
Note that u(t a) = 0 for t < a and u(t a) = 1 for t a, so
u(t1 C)u(t2 C) =

0
1

min(t1 , t2 ) < C
min(t1 , t2 ) C

and
RX (t1 , t2 ) = E {u(t1 C)u(t2 C)}
= 0 P {C > min(t1 , t2 )} + 1 P {C min(t1 , t2 )}
=

min(t1 ,t2 )

fC (c)dc

Recall C is uniformly distributed from 0 to T , so


if min(t1 , t2 ) < 0, then RX (t1 , t2 ) = 0.
if 0 < min(t1 , t2 ) < T , then
1 Z min(t1 ,t2 )
min(t1 , t2 )
RX (t1 , t2 ) =
dc =
T 0
T
if min(t1 , t2 ) > T , then

1ZT
RX (t1 , t2 ) =
dc = 1
T 0

Hence,
RX (t1 , t2 ) =

min(t1 , t2 )/T

min(t1 , t2 ) < 0
0 < min(t1 , t2 ) < T
T < min(t1 , t2 )

4. (Pap 9-8) If X(t) is a zero mean, WSS Gaussian random process with RX ( ) = 4e2| | ,
(a) Find P {X(t) 3}.
Because X(t) is zero mean, its variance is
n

2
X(t)
= E X 2 (t)

= RX (0) = 4

and the density is


1
2
fX(t) (x) = ex /8
8
Therefore,
1
3
P {X(t) 3} = 1 P {X(t) > 3} = 1 erfc
2
24

= 0.9332

(b) Find E {[X(t + 1) X(t 1)]2 }.


n

E [X(t + 1) X(t 1)]2

= E X 2 (t + 1) 2X(t + 1)X(t 1) + X 2 (t 1)
= RX (0) 2RX (2) + RX (0)
= 2RX (0) 2RX (2)

E [X(t + 1) X(t 1)]2

= 8 1 e4

5. (Peebles 6.3-2) Given the random process


Y (t) = X(t) cos (0 t + )
where X(t) is a WSS random process, 0 is a constant, is uniformly distributed on (, ),
and X(t) and are independent.
(a) Find E{Y (t)}.
E{Y (t)} = E{X(t) cos (0 t + )} = E{X(t)}E{cos (0 t + )} = 0
Because E{cos (0 t + )} = 0 as shown in the previous problem.
(b) Find the autocorrelation of Y (t).
RY (t1 , t2 ) = E {Y (t1 )Y (t2 )}
= E {X(t1 ) cos (0 t1 + ) X(t2 ) cos (0 t2 + )}
= E {X(t1 )X(t2 )} E {cos (0 t1 + ) cos (0 t2 + )}
1
=
RX (t1 t2 ) cos (0 (t1 t2 ))
2
1
RY ( ) =
RX ( ) cos (0 )
2
(c) Is Y (t) WSS?
The mean is constant and the autocorrelation only depends on t1 t2 , so Y (t) is WSS.
3

6. (Similar to Peebles 6.3-24) A random process is known to be WSS with E {X 2 (t)} = 11. Give
one or more reasons why each of the following expressions cannot be the autocorrelation
function of the process.
2

(a) RX (t, t ) = e(t ) cos(8t)


X(t) is WSS, but this correlation depends on t as well as .
RX (t, t) 6= 11 = E {X 2 (t)}
sin(2 )
(b) RX (t, t ) =
1 + 2
RX (t, t) 6= 11 = E {X 2 (t)}
This is an odd function of , so it is not a valid autocorrelation function.
Not a valid autocorrelation, because it does not achieve its maximum value at = 0.
11 sin[5( 2)]
(c) RX (t, t ) =
5( 2)
RX (0) < RX (2) so this function does not achieve its maximum value at = 0.
Hence, it is not a valid autocorrelation function.
(d) RX (t, t ) = 11e| |
RX (0) < 0, so this is not a valid autocorrelation function.
11
(e) RX (t, t ) =
1 + 3 2 + 4 4
This is an odd function of , so it is not a valid autocorrelation function.
Not a valid autocorrelation, because it does not achieve its maximum value at = 0.

Additional Problems. Do Not Turn In!!


7. (Pap 9-13) If X(t) and Y (t) are jointly WSS, show that Show that
1
[RX (0) + RY (0)]
2

|RXY ( )|

Because X(t) and Y (t) are real, [X(t) Y (t )]2 0 for all t and , so
n

0 E [X(t) Y (t )]2

0 E X 2 (t) 2X(t)Y (t ) + Y 2 (t )
0 RX (0) 2RXY ( ) + RY (0)
2RXY ( ) RX (0) + RY (0)
Hence,

1
1
[RX (0) + RY (0)] RXY ( ) [RX (0) + RY (0)]
2
2
and

1
[RX (0) + RY (0)]
2

|RXY ( )|

8. (Peebles 6.3-1) Given the random process


X(t) = A sin (0 t + )
where A and 0 are constants, and is uniformly distributed on (, ). Define a new
random process as Y (t) = X 2 (t).
(a) Find the autocorrelation of Y (t).
RY (t1 , t2 ) = E {Y (t1 )Y (t2 )}
n

= E X 2 (t1 )X 2 (t2 )
n

= E A2 sin2 (0 t1 + ) A2 sin2 (0 t2 + )

A4
E {[1 cos (20 t1 + 2)] [1 cos (20 t2 + 2)]}
4

A4
RY (t1 , t2 ) =
E 1 cos (20 t1 + 2) cos (20 t2 + 2)
4

=

+ cos (20 t2 + 2) cos (20 t1 + 2)

The expected value of the middle terms is zero, so


A4 A4
+
E {cos (20 t2 + 2) cos (20 t1 + 2)}
4
4
A4 A4
=
+
E {cos (20 (t1 + t2 ) + 4) + cos (20 (t1 t2 ))}
4
8
A4 A4
=
+
cos (20 (t1 t2 ))
4
8


A4
1
RY (t1 , t2 ) =
1 + cos (20 (t1 t2 ))
4
2
(b) Find the crosscorrelation of X(t) and Y (t).
RY (t1 , t2 ) =

RXY (t1 , t2 ) = E {X(t1 )Y (t2 )}


n

= E X(t1 )X 2 (t2 )
n

= E A sin (0 t1 + ) A2 sin2 (0 t2 + )

A3
E {sin (0 t1 + ) [1 cos (20 t2 + 2)]}
2
A3
E {2 sin (0 t1 + ) sin (0 (t1 2t2 ) ) sin (0 (t1 + 2t2 ) + 3)}
RXY (t1 , t2 ) =
4
For interger n we have
=

E {sin (0 t + n)} =

1
2

sin (0 t + n) d =

1
2n

[cos (0 t n) cos (0 t + n)] = 0

because cos() = cos( + 2n) for all integer n. Therefore,


RY (t1 , t2 ) = 0.
5

9. (Peebles 6.3-8) Statistically independent, zero mean random processes X(t) and Y (t) have
autocorrelation functions
RX ( ) = e| |
RY ( ) = cos (2 )
(a) Find the autocorrelation function of the sum W1 (t) = X(t) + Y (t).
RW1 ( ) = E {W1 (t)W1 (t )}
= E {[X(t) + Y (t)] [X(t ) + Y (t )]}
= E {X(t)X(t ) + X(t)Y (t ) + X(t )Y (t) + Y (t)Y (t )}
= RX ( ) + E{X(t)}E{Y (t )} + E{X(t )}E{Y (t)} + RY ( )
= RX ( ) + RY ( )
RW1 ( ) = e| | + cos (2 )
(b) Find the autocorrelation function of the difference W2 (t) = X(t) Y (t).
RW2 ( ) = E {W2 (t)W2 (t )}
= E {[X(t) Y (t)] [X(t ) Y (t )]}
= E {X(t)X(t ) X(t)Y (t ) X(t )Y (t) + Y (t)Y (t )}
= RX ( ) + RY ( )
RW2 ( ) = e| | + cos (2 )
(c) Find the crosscorrelation function of W1 (t) and W2 (t).
RW1 W2 ( ) = E {W1 (t)W2 (t )}
= E {[X(t) + Y (t)] [X(t ) Y (t )]}
= E {X(t)X(t ) X(t)Y (t ) + X(t )Y (t) Y (t)Y (t )}
= RX ( ) RY ( )
RW1 W2 ( ) = e| | cos (2 )

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