Anan Ece 2 1 PTSP

S.
1 Probability Theory and Stochastic Processes (May-2012) JNTU-Anantapur

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Code No : 9A04303/R09
II B.Tech. I Semester Supplementary Examinations
May - 2012
PROBABILITY THEORY AND STOCHASTIC PROCESSES
( Common to Electronics & Instrumentation Engineering, Electronics & Control Engineering and
Electronics & Communication Engineering )
Time: 3 Hours Max. Marks: 70
Answer any FIVE Questions
All Questions carry equal marks
- - -
1. (a) State and prove the addition law of probability. (Unit-I, Topic No. 1.2)
(b) At a certain military installation six similar radars are placed in operation. It is known that a radars probability
of failing to operate before 500 hours of on time have accumulated is 0.06. What are the probabilities that
before 500 hours have elapsed?
(a) All will operate
(b) All will fail and
(c) Only one will fail. (Unit-II, Topic No. 2.3)
2. (a) What are the conditions for a random variable to be Gaussian? Explain. (Unit-II, Topic No. 2.3)
(b) Coin A has a probability of head equal to 1/4 and probability of tail equal to 3/4. Coin B is a fair coin. Each coin
is flipped four times. Let the random variable X denote the number of heads resulting from coin A and Y denote
the resulting number of heads form coin B.
(a) What is the probability that x = y = 2
(b) What is the probability that x = y
(c) What is the probability that x + y 5. (Unit-II, Topic No. 2.1)
3. (a) Discuss about Chebychevs inequality. (Unit-III, Topic No. 3.3)
(b) Find the moment generating function of the random variable having probability density function.
f
x
(x) = x, , 0 x 1
= 2 x , 1 x 2
= 0 , else where (Unit-III, Topic No. 3.4)
4. (a) Let X and Y be two standardized Gaussian random variable. Find the density function of Z = X + Y.
(Unit-V, Topic No. 5.1)
(b) Explain the statistical independence of two random variables. (Unit-VI, Topic No. 6.3)
5. (a) State and prove the theorems of covariance. (Unit-VII, Topic No. 7.2)
(b) If X and Y be independent random variables each having density function.
R09
Solutions
S. 2 Spectrum ALL-IN-ONE Journal for Engineering Students, 2012
f
x
(x) = 2.e
2x
for x 0
= 0 else where
f
y
(y) = 2e
2y
for y 0
= 0 else where
Find,
(a) E(X + Y)
(b) E[X
2
+ Y
2
]. (Unit-III, Topic No. 3.2)
6. (a) Explain different types of random processes. (Unit-VI, Topic No. 6.1)
(b) Sample functions in a discrete random process are a constants: that is,
X(t) = C = Constant.
Where C is a discrete random variable having possible values C
1
= 1, C
2
= 2 and C
3
= 3 occuring with probability
0.6, 0.3 and 0.1 respectively.
(a) Is x(t) is determination.
(b) Find the first-order density function of x(t) at any time t. (Unit-IV, Topic No. 4.2)
7. (a) State and prove the properties of auto correlation function. (Unit-VII, Topic No. 7.2)
(b) If x(t) is a stationary process having mean = 3 and auto-correlation function R
XX
() = 9 + 2e
||
. Find the mean
and variance of the random variable. (Unit-VII, Topic No. 7.2)
8. (a) State and prove the properties of cross power density spectrum. (Unit-VIII, Topic No. 8.2)
(b) The cross spectral density of two random processes x(t) and y(t) is,
S
xy
(w) = 1 +
k
Jw
for k < w < k
= 0 else where
Where k > 0. Find the cross correlation function between the processes. (Unit-VIII, Topic No. 8.2)
S. 3 Probability Theory and Stochastic Processes (May-2012) JNTU-Anantapur
Q1. (a) State and prove the addition law of prob-
ability.
Answer : May-12, Q1(a)
Addition Law of Probability
Statement
In an event space, P(A) and P(B) are the probabilities
of occurrence of an events, A and B respectively, then, the
resultant probability of occurrence of either of the events is,
P(A B) = P(A) + P(B) P(A B)
or
P(A + B) = P(A) + P(B) P(AB)
Proof
Let, s be the event space or sample space consisting
of all possible outcomes of an experiment.
A and B are two arbitrary events with the probabilities
of P(A) and P(B) respectively.
If x and y are the favourable outcomes of A and B
respectively, the number of cases favourable to A or B is
given by,
x + y
And, the resultant probability of occurrence of A or
B is given by,
P(A) + P(B) =
i
y x +
i
y
i
x
B P A P + + ) ( ) (
... (1)
Where,
i = Total number of equally likely cases.
When A and B are not mutually exclusive, few of the
outcomes will favour to both A and B.
If z represents the number of outcomes favourable
to both A and B, probability of occurrence of both A and B is
given by,
,
_

i
z
AB P B A P ) ( ) (
... (2)
SOLUTIONS TO MAY-2012, QP
The total number of favourable outcomes in either A
or B or both is given by,
x + y z
Then, the probability of occurrence of A and B or
both is given by,
P(A + B) (or) P(A B) =
i
z y x +
=
i
z
i
y
i
x
+
... (3)
By substituting equations (1) and (2) in equation (3),
we get,
) ( ) ( ) ( ) ( B A P B P A P B A P +
or
) ( ) ( ) ( ) ( AB P B P A P B A P + +
If A and B are mutually exclusive events, then,
P(AB) = P(A B) = 0 and
) ( ) ( ) ( ) ( B P A P B A P B A P + +
(b) At a certain military installation six
similar radars are placed in operation.
It is known that a radars probability of
failing to operate before 500 hours of
on time have accumulated is 0.06.
What are the probabilities that before
500 hours have elapsed?
(a) All will operate
(b) All will fail and
(c) Only one will fail.
Answer : May-12, Q1(b)
Given that,
For a certain military installation operation,
Number of similar radars used are, n = 6
Probability of radar is failed to operate before 500
hours of on time,
P(Before 500 hours), P = 0.06
For before 500 hours elapsed,
(a) P(All operate) = ?
(b) P(All fail) = ?
(c) P(Only 1 fails) = ?
(a) Let,
n represents the total number of radars
r represents the number of radars fail to operate
p represents the probability of radars fail to operate
q represents the probability of radars that operate and is given by (1 p).
Then,
From binomial density function we have,
p(x = r) = n
c
r
p
r
q
n r
= 1 1 (0.94)
6
6899 . 0 operate) (All P
(b) p(All fail)= p(Total 6 radar fails to operate)
= p(r = 6)
= 6
C
6
(0.06)
6
(1 0.06)
6 6
= 1 46.656 10
9
1
9
10 656 . 46 fail) (All

P
(c) P(Only 1 fails) = P(r = 1)
= 1
6
C
(0.06)
1
(1 0.06)
6 1
= 6 0.06 0.7339
= 0.2642
2642 . 0 fail) 1 (only P
Q2. (a) What are the conditions for a random variable to be Gaussian? Explain.
For answer refer Unit-II, Q17.
(b) Coin A has a probability of head equal to 1/4 and probability of tail equal to 3/4. Coin B is a
fair coin. Each coin is flipped four times. Let the random variable X denote the number of
heads resulting from coin A and Y denote the resulting number of heads form coin B.
(a) What is the probability that x = y = 2
(b) What is the probability that x = y
(c) What is the probability that x + y 5.
Given that,
For tossing of coin A,
Probability of occurrence of head, P(H)
A
=
4
1
Probability of occurrence of tail, P(T)
A
=
4
3
Coin B is a fair coin,
i.e., P(H)
B
= P(T)
B
=
2
1
In an experiment of flipping each coin 4 times,
Number of heads resulting from coin A = X
Number of heads resulting from coin B = Y
(a) P(X = 2, Y = 2) = ?
(b) P(X = Y) = ?
(c) P(X + Y 5) = ?
The resulting number of heads and their probabilities for possible outcomes of coins A and B is shown in below
table.
Possible Resulting number A Probablilies Probability (for coin B)
Outcomes of heads from coin (for coin A)
HHHH 4
256
1
1
4
1
4

,
_
16
1
2
1
4

,
_
HHHT 3
256
3
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_
HHTH 3
256
3
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_
HHTT 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
HTHH 3
256
3
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_
HTHT 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
HTTH 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
HTTT 1
256
27
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_

Possible Resulting number A Probablilies Probability (for coin B)
Outcomes of heads from coin (for coin A)
THHH 3
256
3
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_
THHT 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
THTH 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
THTT 1
256
27
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_
TTHH 2
256
9
4
3
4
1
2 2

,
_

,
_
16
1
2
1
2
1
2 2

,
_

,
_
TTHT 1
256
27
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_
TTTH 1
256
27
4
3
4
1
3

,
_
16
1
2
1
2
1
3

,
_

,
_
TTTT 0
256
81
4
3
1
4

,
_
16
1
2
1
4

,
_
The probability distribution of number of heads resulting from coin A, X is given by,
x
i
P(x
i
)
256
81
256
108
256
27
4
256
54
256
9
6
256
12
256
3
4
256
1
0
1
2
3
4
x
i
P(x
i
)
256
81
256
108
256
27
4
256
54
256
9
6
256
12
256
3
4
256
1
0
1
2
3
4
The probability distribution of number of heads resulting from coin B, Y is given by,
y
j
P(y
j
)
16
1
16
4
16
1
4
16
6
16
1
6
16
4
16
1
4
16
1
0
1
2
3
4
y
j
P(y
j
)
16
1
16
4
16
1
4
16
6
16
1
6
16
4
16
1
4
16
1
0
1
2
3
4
(a) P ( X = 2, Y = 2) = P (X = 2) . (Y = 2)
=
16
54

16
6
=
4096
324
4096
324
) 2 , 2 ( Y X P
(b) P (X=Y)= P ( X = 0, Y = 0) + P (X = 1, Y = 1) + P (X = 2, Y = 2) + P ( X = 3, Y = 3) + P (X = 4, Y = 4)
P (X=0) . P (Y = 0) + P (X = 1) . P ( Y = 1) + P (X = 2) . P (Y = 2) + P (X = 3) . P ( Y = 3) + P (X = 4) . P (Y = 4)
=
256
81
.
16
1
+
256
108
.
16
4
+
256
54

16
6
+
256
12
.
16
4
+
256
1
.
16
1
=
4096
1
[81+ 432 + 324 + 48 + 1]
=
4096
886
4096
886
) ( Y X P
P(X + Y
5) = 1 P (X + Y > 5)
1 [P (X=2, Y = 4) + P (X = 3, Y = 3) + P ( X = 3, Y = 4) + P (X = 4, Y = 2) + P ( X = 4, Y = 3) + P (X = 4, Y = 4)
1 [P(X=2) . P(Y = 4) + P(X = 3) . P(Y = 3) + P( X = 3). P(Y = 4) + P(X = 4) . P(Y = 2) + P( X = 4) . (Y = 3)
+ P(X = 4) . P (Y = 4)]
= 1
1
]
1
+ + + + +
16
1
256
1
16
4
256
1
16
6
256
1
16
1
256
12
16
4
256
12
16
1
256
54
= 1
4096
125
=
4096
3971
4096
3971
) 5 ( + Y X P
Q3. (a) Discuss about Chebychevs inequality.
For answer refer Unit-III, Q14.
(b) Find the moment generating function of the random variable having probability density
function,
f
X
(x) = x, , 0 x 1
= 2 x , 1 x 2
= 0 , elsewhere
Given that,
For a random variable x,
Probability density function, f
X
(x) = x , 0
1
= 2 x , 1
2
= 0 , elsewhere
Then, the moment generating function for the given probability density function is obtained as,
M
x
(v)=

dx e x f
vx
X
) (
=
2
0
) ( dx e x f
vx
X
=

+
2
1
1
0
) 2 ( dx e x dx xe
vx vx
=

+
2
1
2
1
1
0
2 dx xe dx e dx xe
vx vx vx
=

+
2
1
2
1
1
0
2 dx xe dx e dx xe
vx vx vx

+ ... ' ' ' v u v u v u uv
=
1
0
2
1
1
1
]
1
,
_
,
_
v
e
v
e
x
vx vx
+ 2
2
1
1
1
]
1
v
e
vx

2
1
2
1
1
1
]
1
,
_
,
_
v
e
v
e
x
vx vx
=
1
1
]
1
,
_
,
_
2 2
1
v v
e
v
e
v v
+ 2
,
_
v
e
v
e
v v 2

1
1
]
1
,
_
,
_
2
2 2
2
v
e
v
e
v
e
v
e
v v v v
=
2 2
2 2 2
2 2
2 2 2 1
v
e
v
e
v
e
v
e
v
e
v
e
v v
e
v
e
v v v v v v v v
+ + + +
=
2
2
2 2
1 2
v
e
v v
e
v v
+ +
=
2
2
1 2
v
e e
v v
+ +
=
( )
2
2
1
v
e
v
=
2
1
,
_

v
e
v
2
1
) (
,
_

v
e
v M
v
X
Q4. (a) Let X and Y be two standardized Gaussian random variable. Find the density function of
z = X + Y.
Given that,
X and Y are two standardized Gaussian random variables.
f
X
(x) =
2
1
2
2
x
e
And f
Y
(y) =
2
1
2
2
y
e
Density of z = x + y, f
Z
(z) = ?
The probability density function of z is obtained as,
f
Z
(z) = f
X
(x) * f
Y
(y)
=

dx x z f x f
Y X
) ( ). (
=
dx e e
x z x
,
_
,
_
2
) (
2
2 2
2
1
.
2
1
=
dx e
x z x

1
1
]
1
,
_
2
) (
2
2 2
2
1
=
dx e
zx x z x

1
]
1
) 2 (
2
1
2 2 2
2
1
=
dx e
zx z x

1
]
1
) 2 2 (
2
1
2 2
2
1
=
dx e
z
zx
z
x

1
1
]
1
+ +
)
2
2
2
2 (
2
1
2 2
2
2
1
= dx e
z z
x
'
1
1
]
1
,
_
)
2 2
2
2
1
2
2
2
1
=
dx e e
z z
x
,
_
,
_
2 2
1
2
2
2
1
2 2
.
2
1
=
dx e e
z
x
z
,
_
.
2
1
2
2
2
2
2
1
4
=
dx e e
z
x
z
,
_
.
2
1
.
2
1
2
2
2
2
2
1
4
Let, M=
2
2
z
x
Differentiating the above equation with respect to x,
dM =
2
dx
2
dM
= dx
Then equation (1) becomes,
f
Z
(z) =
2
1
dM e e
M
z
,
_
,
_
2
1
.
2
1
2
2
2
1
4
=
dM e e
M z

2 4
2 2
2
1
2 ) 2 (
1
The area enclosed by the probability density function
of a Gaussian random variable is equal to 1,
i. e., dM e
M
2
2
2
1
= 1
Then,
f
Z
(z) =
4
1
4
2
z
e
(1)
=
4
2
.
2
1
z
e

4
2
.
2
1
) (
z
z
e z f

(b) Explain the statistical independence of
two random variables.
Two events A and B are said to be statistically
independent, if
P(A B) = P(A) P(B) ... (1)
Let, A = {X x}, B = {Y y} then the equation (1) can
be written as,
P(X x Y y) = P(X x).P(Y y)
Where, X and Y are the statistically independent
random variables.
If X and Y are independent then the corresponding
distribution function can be given as,
) ( ) ( ) , (
,
y F x F y x F
Y X Y X

If X and Y are two independent variables then the
corresponding density function can be given as,
) ( ) ( ) , (
,
y f x f y x f
Y X Y X

Q5. (a) State and prove the theorems of cova-
riance.
Covariance
Covariance is a measure of how much two random
variables vary together. If the two random variables vary
together then, the covariance is positive and if they does
not vary together then the covariance is negative. It is
mathematically represented as,
Cov(X, Y) = E[{X E(X)} {Y E(Y)}]
= E[XY XE(Y) YE(X) + E(X)E(Y)]
= E(XY) E(X)E(Y) E(Y)E(X) + E(X)E(Y)
= E(XY) E(X)E(Y)
Cov(X, Y) = E(XY) E(X)E(Y).
If X, Y are two random variables then the covariance,
C
XY
is given by,
C
XY
= E[(X
X
) (Y
Y
)]
It is also called as second order joint central moment
and also can be denoted as
11
.
Where,

11
=

(X
X
) (Y
Y
) F
XY
(x, y)dx dy
Properties of covariance are,
1. C
XY
= R
XY
Y X
2. C
XY
= 0
Where, X, Y are independent random variables.
3. Var(X + Y) = var(X) + var(Y) + 2C
XY
Var(X Y) = var(X) + var(Y) + 2C
XY
4. |C
XY
| C
X
C
Y
or |
XY
|
X

Y
Where X, Y = Random variables
5. When X, Y are two random variables then covariance of X + a, Y + b is cov(X + a, Y + b) = C
XY
6. If X, Y are random variable then covariance of aX, bY is cov(aX, bY) = abC
XY
7. If X, Y, Z are three random variables then Cov(X + Y, Z) = cov(X, Z) + cov(Y, Z)
Property-1
C
XY
= R
XY
Y X
Proof
The equation for covariance of two random variables X, Y is given as,
C
XY
= E[(X X ) (Y
Y
)]
= E[XY Y X Y X +
Y X
]
= E[XY X Y Y X + Y X ]
= E[XY] E[ X Y ] E[ Y X ] + E[ Y X ]
= E[XY] ] [Y E X ] [ X E Y + ] [ Y X E
C
XY
= E[XY]
Y X

Y X
+
Y X
Since, R
XY
= E[XY]
C
XY
= R
XY

Y X
Property-2
When two random variables, say X, Y are independent then C
XY
= 0
Proof
It is said E[XY] = E[X] [Y]
From property-1
C
XY
= R
XY
Y X
C
XY
= E[XY] Y X
C
XY
= E[X] E[Y] Y X
(
Q
E[X] =
X
and E[Y] =
Y
)
C
XY
= Y X Y X = 0
C
XY
= 0 when X, Y are independent random variables.
Property-3
Var(X + Y) = var(X) + var(Y) + 2C
XY
Var(X Y) = var(X) + var(Y) 2C
XY
Proof
As var(X) = E[X
2
] E[X]
2
=
2
x
We can write,
Var[X + Y] = E[(X + Y)
2
] [E(X + Y)]
2
Var(X + Y) = E[X
2
+ Y
2
+ 2XY] [E[X] + E[Y])
2
E[X
2
] + E[Y
2
] + 2E[XY] E[X]
2
E[Y]
2
2E[X] [Y]
E[X
2
] E[X]
2
+ E[Y
2
] E[Y]
2
+ 2[E[XY] E[X] E[Y]]
Var(X + Y) = var(X) + var(Y) + 2[R
XY
Y X ]
Var(X + Y) = var(X) + var(Y) + 2C
XY
Since, C
XY
= R
XY
Y X from property-1.
For var(X Y) = var(X) + var(Y) 2C
XY
, the below is the proof described.
Proof
Var(X Y) = E(X Y)
2
(E[X Y])
2
E[X
2
+ Y
2
2XY] [E[X] E[Y]]
2
E[X
2
+ Y
2
2XY] E[X]
2
E[Y]
2
+ 2E[X] E[Y]
E[X
2
] E[X]
2
+ E[Y
2
] E[Y]
2
2[E[XY] E[X] E[Y]]
Var(X Y) = var(X) + Var(Y) 2C
XY
Property-4
Y X XY
| |
Proof
C
XY
=
XY
= E[(X X ) (Y Y )]
C
XY
= E[XY] E[X] E[Y]
Let us assume an inequality having constant K.
[(Y
Y
) k(X X )]
2
0
E[(Y Y ) k(X X )]
2
0
E[(Y Y )
2
+ k
2
(X
x
)2 2k(Y Y ) (X X )] 0
Since, E[(Y Y )
2
] =
2
y
E[(X X )
2
] =
2
X
E[(X X ) (Y Y )] =
2
XY
2
Y
+ K
2 2
X
2K
XY
0
Dividing the above equation by
2
X
, we get,
2
2
X
Y
+ K
2
2
2
X
X

2
2
X
XY
0
k
2
+
2
2
X
Y
2k.
2
X
XY
0
k
2
+
2
2
X
Y
2k.
2
X
XY
+
2
2
,
_
X
XY

2
2
,
_
X
XY
0
2
2
,
_
X
XY
K +
2
2
X
XY

4
2
X
XY
0
Consider,
2
2
X
Y

4
2
X
XY
0
As
0
2
2

,
_
X
XY
k
2
2
X
Y

4
2
X
XY
0
2 2
X Y

2
XY
0
2
XY

2 2
Y X

|
XY
|
X

Y
Property-5
Cov X + a, Y + b = C
XY
Where, XY are random variables.
Proof
Cov(X + a, Y + b) = E[((X + a) (
a X +
))((Y + b) (
b Y +
)]
E[(X + a X a) (Y + b
Y
b)]
E[(X X ) (Y Y )]
Cov(X + a, Y + b) = C
XY
Property-6
cov(aX, bY) = ab C
XY
Where, X, Y are random variables.
Proof
Cov(aX, bY) = E[(aX X a ) (bY Y b )]
= E[a(X X ) b(Y
Y
)]
= E[ab(X X ) (Y
Y
)]
Cov(aX, bY) = abC
XY
Property-7
Cov(X + Y, Z) + cov(X, Z) + cov(Y, Z)
Where, X, Y, Z are random variables.
Proof
Cov(X + Y, Z) = E[(X + Y) ( Y X + )) (Z Z )]
= E[(X + Y X Y ) (Z Z )]
= E[(X X ) + (Y Y ) (Z Z )]
= E[(X X ) (Z Z )] + E[(Y Y ) (Z Z )]
Cov(X + Y, Z) = cov(X, Z) + cov(Y, Z)
Cov(X + Y, Z) = C
XZ
+ C
YZ
(b) If X and Y be independent random variables each having density function.
f
X
(x) = 2.e
2x
for x 0
= 0 elsewhere
f
Y
(y) = 2e
2y
for y 0
= 0 elsewhere
Find,
(a) E(X + Y)
(b) E[X
2
+ Y
2
].
Given that,
For two independent random variables, X and Y,
Probability density function of x,
f
X
(x) = 2 . e
2x
for x
0;
0 elsewhere
Probability density function of y,
f
Y
(y) = 2 . e
2y
for y
0;
0 elsewhere
(a) E (X + Y) = ?
(b) E (X
2
+ Y
2
) = ?
(a) E (X + Y) = E [X] + E [Y] ...(1)
Where,
E [X] mean of x
E [Y] mean of y
The mean of X is determined as,
E [X] = dx x xf
X

) (
=
dx e x
x
0
2
) . 2 (
= dx xe
x
0
2
2
=

1
1
]
1
,
_
,
_
0
2 2
) 2 )( 2 (
) 1 (
2
2
x x
e e
x
( )

...... v v-u' u uv
=

1
1
]
1

0
2 2
4 2
2
x x
e e
x
=
( )
1
]
1
,
_

4
1
0 0 0 2
= 2
,
_
4
1
=
2
1
2
1
] [ X E
The mean of y is determined as,
E [Y] =

dy y yf
Y
) (
=
( ) [ ]
0
2
(2) equation From 2 Q dy e y
y
=
0
2
2 dy e y
y
=

1
1
]
1
,
_
,
_
0
2 2
) 2 )( 2 (
) 1 (
2
2
y y
e e
y
( )

v..... u' - v u uv Q
= 2

1
1
]
1

0
2 2
4 2
y y
e ye
= 2[(0 0) (0
4
1
)]
= 2
,
_
4
1
=
2
1
2
1
) ( y E
By substituting the values of E[X] and E[Y] in
equation (1), we get,
E[X + Y] =
2
1
+
2
1
= 1
1 ) ( + Y X E
(b) E (X
2
+ Y
2
) = E [X
2
] + E [Y
2
] ...(2)
Where,
E [x
2
] Mean square value of x
E [y
2
] Mean square value of y.
The mean square value of x is given by,
E [X
2
] = dx x f x
X

) (
2
=
dx e x
x
0
2 2
) . 2 (
= dx e x
x
0
2 2
2
=

1
1
]
1
,
_
'
,
_
0
2 2 2
2
) 2 )( 2 )( 2 (
2
) 2 )( 2 (
) 2 (
2
2
x x x
e e
x
e
x
( )

+ ..... v u'' v v-u' u uv Q
=
( )
1
]
1
,
_

4
1
0 0 0 0 0 2
E(X
2
) =
2
1
The mean square value of y is given by,
E[Y
2
] =

dy y f y
Y
) (
2
=
0
2 2
) 2 ( dy e y
y
=
0
2 2
2 dy e y
y
=

1
1
]
1
,
_
'
,
_
0
2 2 2
2
) 2 )( 2 )( 2 (
2
) 2 )( 2 (
) 2 (
2
2
y y y
e e
y
e
y ( )

+ ..... v u'' v v-u' u uv Q
= 2[(0 0 0) (0 0
4
1
)]
= 2
,
_
4
1
=
2
1

2
1
] [
2
y E
By substituting the values of E [X
2
] and E [Y
2
] in equation (2), we get,
E[X
2
+ Y
2
] =
2
1
+
2
1
= 1
1 ) (
2 2
+ Y X E
Q6. (a) Explain different types of random processes.
For answer refer Unit-VI, Q3.
(b) Sample functions in a discrete random process are constants: that is,
X(t) = C = Constant.
Where C is a discrete random variable having possible values C
1
= 1, C
2
= 2 and C
3
= 3
occuring with probability 0.6, 0.3 and 0.1 respectively.
(a) Is x(t) is determination.
(b) Find the first-order density function of x(t) at any time t.
Given that,
In a discrete random process, X(t)
Discrete random variables C
1
, C
2
and C
3
and their probabilities are,
C
1
=1, P(C
1
) = 0.6
C
2
=2, P(C
2
) = 0.3
C
3
=3, P(C
3
) = 0.1
(a) Deterministic System
A determininstic system always generates the same outuput for all the status starting form initial state. It does not
have randomners to develop future states of the system.
As the given discrete random process, X(t) is constant, it produces the same output for all the states.
Hence, X(t) is deterministic.
(b) The Probability density function random process X(t) is given by,
f
X
(x) =

i
i i
x x x p ) ( ), (
Then, the first-order probability density function of given x(t) at any time t is obtained as,
f
X
(x) =

3
1
) ( ) (
i
i i
c x c p
= p(c
1
) ) (
1
c x + p(c
2
) ) (
2
c x + p(c
3
) ) (
3
c x
= 0.6 (x 1) + 0.3 (x 2) + 0.1 (x 3)

) 3 ( 1 . 0 ) 2 ( 3 . 0 ) 1 ( 6 . 0 ) ( + + x x x x f
Y
Q7. (a) State and prove the properties of auto correlation function.
For answer refer Unit-VII, Q7.
(b) If x(t) is a stationary process having mean = 3 and auto-correlation function R
XX
( ) = 9 + 2e
| |
.
Find the mean and variance of the random variable.
Note
In the given question, the value of random variable, y is not given.
Let, Y =
2
0
) ( dt t x
Given that,
For a stationary process x (t),
Mean, E [x (t)] = 3
Auto-correlation function, R
xx
() = 9 + 2e
||
For new random variable, Y =
2
0
) ( dt t x
Mean of y, E(y) = ?
Variance of y, Var(y) = ?
The mean of random variable , y is given as,
E(y) = E
1
1
]
1
2
0
) ( dt t x
=
2
0
)] ( [ dt t x E
=
2
0
3 dt
= 3
2
0
] [t
= 3 2
= 6
6 ) ( y E
The variance of the random variable, y is given by,
Var(y) = E(y
2
) [E (y)]
2
...(1)
Where,
E[y
2
] Mean square value of y
E[y] Mean y.
If random variable y is defined as, y =
T
dt t X
0
) (
The relation between mean square value of Y and autocorrelation of X is given by,
E [Y
2
] =

T
T
d T ) ( R |) | (
xx
Then, E [y
2
] is obtained as,
E[Y
2
] =

+
2
2
| |
) 2 9 )( 2 ( d e | |
=

+ + + + +
2 0
2
) 2 9 )( 2 ( ) 2 9 )( 2 (
o
d e d e
=

+ + + + +

2 2
2
) 2 9 4 18 ( ) 2 9 4 18 (
o

d e e d e e
= [ ]
2
0
2
0
2
2
) 1 ( 2
2
9 4 18 ) 1 ( 2
2
9 4 18
'
+ + +
1
1
]
1
+ + +

e e
e

= [ ] ) 6 18 4 36 ( ) 2 4 (
2 2
+ + e e + [ ] ) 2 4 ( ) 6 18 4 36 (
2 2
+ +

e e
= 4e
2
+ 40
= 40.541
54 . 40 ) (
2
y E
By substituting E (y
2
) and E (y) values in equation (1), we get,
Var(y) = 40.54 (6)
2
= 4.541
542 . 4 ) ( y Var
Q8. (a) State and prove the properties of cross power density spectrum.
For answer refer Unit-VIII, Q11.
(b) The cross spectral density of two random processes x(t) and y(t) is,
S
xy
(w) = 1 +
Jw
k
for k < w < k
= 0 elsewhere
Where k > 0. Find the cross correlation function between the processes.
Given that,
For two random processes, X(t) and Y(t), cross spectral density, S
XY
() = 1+
K
j
for k < < k
= 0 else where
Where, k > 0
Cross correlation function between two random processes, R
XY
() = ?
The cross correlation function between X(t) and Y(t) can be obtained by apply inverse fourier transform to cross
power spectral density.
i.e., R
XY
() = F
1
[S
XY
()]
=

d e S
J
XY
. ) (
2
1
=

,
_
d e
K
J
k
k
J
1
2
1
=

,
_

d e
K
J
e
K
K
J J
2
1
=

k
k
J
k
k
J
d e
K
J
d e
2
1
2
1
=
,
_

K
K
J
K
K
j
d e
K
J
j
e
2 2
1
=
( ) 1
1
]
1
,
_

2
2 2
1
J
e
J
e
K
J
J
e e
J J JK JK
( )

.... v v-u' u uv Q
=
1
1
]
1
,
_
,
_
,
_

J
e
Ke
J
e
Ke
J K
J e e
JK
JK
JK
JK
JK JK
) ( 2 2
1
=
1
1
]
1
,
_

J
e e
e e K
K
K
JK jK
JK jK
) (
2
1
) (sin
1
=
,
_
,
_

2
1
2
1 sin
2
JK JK JK JK
e e
K
e e k
=
k
K
k
k
sin
1
] [cos
1 sin
2

,
_
+

+

j
e e e e
j j j j
2
sin and
2
cos Q

2
sin
) cos (sin
1
) (

k
k
k k R
XY

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1 Probability Theory and Stochastic Processes (May-2012) JNTU-Anantapur

S. 6 Spectrum ALL-IN-ONE Journal for Engineering Students, 2012

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