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Solution
Homework 09
2
X
(t) = E [X(t) mX (t)]2
= 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)
0a1
elsewere
1
0
ada = 1/2
a2 da = 1/3
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
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
= 0.9332
= 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)
= 8 1 e4
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
|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 ( )|
= 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
=
= 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
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 )