University of Illinois Fall 2011

ECE534: Exam I
Monday October 10, 2011
7:00 p.m. 8:15 p.m.
269 Everitt Laboratory
1. [15 points] Let
Y
1
= X +W
1
Y
2
= 2X +W
2
where X, W
1
, W
2
are independent, N(0, 1) random variables. Find the simplest explicit an-
swers to the following.
(a) Find E[X|Y
1
, Y
2
].
(b) Find the corresponding mean square error for estimation of X by E[X|Y
1
, Y
2
].
(c) Let 1,

Y
1
,

Y
2
denote the innovations sequence for 1, Y
1
, Y
2
. Express

Y
1
and

Y
2
in terms of
Y
1
and Y
2
.
2. [15 points] Let B
0
, B
1
, . . . be a sequence of independent Bernoulli random variables with
parameter p = 0.5. Dene a random sequence (X
n
: n 0) recursively by X
0
= 1 and
X
n+1
=

X
n
/2 if B
n
= 0
X
n
+ 1 if B
n
= 1.
(a) Does lim
n
X
n
exist in the mean square sense? Justify your answer.
(b) Show that lim
n
E[X
n
] exists and nd its numerical value.
(c) Find lim
n
Var(X
n
). (You may assume the limit exists and is nite.)
3. [10 points] Determine whether the following series has a nite limit (every third term is
negative): 1 +
1
2

1
3
+
1
4
+
1
5

1
6
+ Justify your answer.
4. [10 points] Let Y = e
{X+N}
, where X and N are independent, X is N(0, 1), and N is
N(0,
2
) for some
2
> 0.
(a) Find E[X|Y ]. (Your answer should be a function of Y and it should depend on
2
too.)
(b) Find the resulting MSE, equal to E[(X E[X|Y ])
2
].