Stochastic Processes

Assignment -3
(Due Date: 15 May 2019)

1. If two random processes 𝑋(𝑡) = 𝐴𝑐𝑜𝑠(𝑤𝑡 + 𝜃) and 𝑌(𝑡) = 𝐵𝑠𝑖𝑛(𝑤𝑡 + 𝜃), where 𝜃
is uniform random variable distributed over the interval [0,2𝜋], and A and B are
constants. If 𝑍(𝑡) = 𝑋(𝑡) + 𝑌(𝑡), then calculate the following:
a. 𝐸[𝑋(𝑡)], 𝐸[𝑌(𝑡)] and 𝐸[𝑍].
b. 𝐶𝑋,𝑌 (𝑡0 , 𝑡1 ) , 𝐶𝑋,𝑍 (𝑡0 , 𝑡1 ) , and 𝐶𝑍,𝑌 (𝑡0 , 𝑡1 ) .
c. Auto-correlation function of 𝑍(𝑡)
d. If 𝑍1 (𝑡) = 𝑋(𝑡) − 𝑌(𝑡), then calculate auto-correlation of 𝑍1 (𝑡).

2. Explain why the following matrices can or cannot be valid autocorrelation

matrices of a zero mean wide sense stationary random process X(t).
1.0 1.2 0.4 1.0 
1.2 1.0 0.6 0.9
a. G 
0.4 .6 1.0 1.3 
 
1.0 0.9 1.3 1.0 
2.0 1.2 0.4 1.0 
1.2 2.0 0.6 0.9
b. H   
0.4 0.6 2.0 1.3 
 
1.0 0.9 1.3 2.0
1.0 0.7 0.4 0.8
0.5 1.0 0.6 0.9
c. K   
0.4 0.6 1.0 0.3
 
1.0 0.9 0.3 1.0 

3. Two jointly stationary random processes X(t) and Y(t) are defined as follows:
𝑋(𝑡) = 2 cos(3𝑡 + ∅)
𝑌(𝑡) = 5sin(3𝑡 + ∅)
Where ∅ is random variable that is uniformly distributed between −𝜋 and 𝜋. Find
the cross-correlation functions 𝑅𝑋𝑌 (𝜏)𝑎𝑛𝑑 𝑅𝑌𝑋 (𝜏).

4. A wide sense stationary random process X(t) has mean square value
𝐸{𝑋 2 (𝑡)} = 11. Given reasons why the following functions given below can or
cannot be its autocorrelation function.
5. An ergodic random process 𝑋(𝑡) has the autocorrelation function
36𝜏 2 + 40
𝑅𝑋𝑋 (𝜏) =
𝜏2 + 1
Determine the mean value , mean square value and variance of 𝑋(𝑡).

(Hint: use the autocorrelation properties of the WSS process)