E7350 - Adaptive Signal Processing

Assignment 1
1. Comment on the stationarity of the random process, () = cos( + ) where a, b are
constants and is a random variable uniformly distributed between [-, ].
[Hint: Find mean and autocorrelation of the process].

2. Suppose speech is recorded in a noisy environment. The recorded signal [] is a sum of clean
speech [] and background noise []. If [] is white, then find the autocorrelation of the
recorded signal [] in terms of autocorrelation of speech, [] and autocorrelation of noise,
[].
3. If and are independent continuous random variables and = + , then find (z).
4. If and are independent Poisson random variables with below given P.M.F.s and = + ,
then find P.M.F. of .

( = ) =

1 1
!

( = ) =

2 2
!

where k = 0, 1, 2,-------,.
1 1
5. Show that square matrix R = [
] is positive semi definite. Hence show that a square matrix can
1 1
be positive semi definite and still be singular.
6. (i) Show that linear operations on an IID Gaussian random process results in another IID Gaussian
random process.
(ii) Are differentiation and integration linear operations? If yes, operate them on Gaussian process
and discuss about the result.
7. (i) What is Projection matrix? Explain its properties with an example.
3
(ii) Find the matrix P that projects every vector b in onto the line in the direction of
a = (1,2,3)
(iii) What are the column space and null space of P? Describe them geometrically and also give a
basis for each space.
8. (i) What is Markov Matrix? Explain its properties with one application in real life.

(ii) Is every matrix diagonalizable? If no, what kind of matrices are diagonalizable? For
diagonalizable matrices find its Kth power.
9. Given data set (-1,2), (0,0), (2,-5) and (1,-3)
i) Solve for the best straight line fit and also program it in Matlab (Use Mean Square Error
criterion)
ii) Repeat (i) for a parabola
iii) Write down the observations from the results of (i) and (ii)
10. Suppose in a city, male population m and female population f is governed by following
equations

= 4 2 and

=+

(i) Discuss about the stability of above system

(ii) Given that initial population (m0,f0)=(300,200), find values of m and f at time t.
(iii) As t -> , what is the ratio of m and f?
(iv) Program (ii) and (iii) in Matlab
11. A first-order real-valued autoregressive (AR) process [] satisfies the real-valued difference
equation [] + 1 [ 1] = [], where 1 is a constant and [] is a white-noise process
with variance 2 .
(i)
Show that if [] has a nonzero mean, the AR process [] is non-stationary.
(ii)
For the case when [] has nonzero mean and the constant 1 satisfies the condition
|1 | < 1, show that the variance of [] is given by
2
{[]} =
1 12
(iii)
For the conditions specified in part (ii), find the autocorrelation function of the AR process
[].
Sketch this autocorrelation function for the two cases 0 < 1 < 1 and 1 < 1 < 0.
12. Consider a wide-sense stationary process that is modeled as an AR process [] of order M. The
set of parameters made up of the average power 0 and the AR coefficients 1 , 2 , , bear a
one-to-one correspondence with the autocorrelation sequence (0), (1), (2), , (),
as shown by
{(0), (1), (2), , ()} {0 , 1 , 2 , , }. Show that this statement is true.
13. Show that the third and higher order cumulants of a Gaussian process are all identically zero.
14. Below equation gives the k-th order cumulant of the output of a linear time-invariant system of
impulse response that is driven by a sequence [] of i.i.d. random variables. Derive this
equation.

(1 , 2 , , 1 ) = +1 +1
=

Information for problem 15, 16, 17 If random variables and are jointly normal and their joint density is given by

(, ) = {
where =

( 1 )2
( 1 )( 2 ) ( 2 )2
1
[

2
+
]}
2(1 2 )
1 2
12
22

21 2 1 2

then 15. Show that the marginal densities of and are (1 , 12 ) and (2 , 22 ).
16. If = 1 + 2 then find mean and variance of Z.
17. If 1 = 2 = 0, then find conditional density (/).
18. Assume that the buses that go through ODF bus stop follow Poisson process with rate B per
hour. Let 1 and 2 are the times at which first and second buses pass through.
(i)Find E[2 /1 ]
(ii)Find the PDF of 12
(iii)Find the joint PDF of 1 and 2
19. Suppose that 1 , 2 , . . . , 100 are independent standard normal random variables.
100
(i) Compute the correlation coefficient (X, Y) where X = 60
=1 and = =41
(ii) What is the conditional distribution of X given the summation of all s
20. There are n fish in a lake, some of which are green and the rest blue. Each day, Helen catches one
fish. She is equally likely to catch any one of the n fish in the lake. She throws back all the fish, but
paints each green fish blue before throwing it back in. Let { } denote the event that there are i
green fish left in the lake.
(i) Show how to model this fishing exercise as a Markov chain, where { } are the states. Explain
why your model satisfies the Markov property.
(ii) Find the transition probabilities { }