Lahore University of Management Sciences, Department of Electrical Engineering

EE564 - Stochastic Systems

Fall 2018 (December 5, 2018)
Quiz 3

Name/ID: Time allowed: 25 minutes

Note. In order to receive full credit, provide clearly stated justifications for your solutions.

1. (10 points) Consider a Poisson counting process with the mean of the inter-arrival times equal to λ1 . Deter-
mine the conditional probability   
P X(t2 ) = mX(t1 ) = k ,


for the cases when (a) t2 ≥ t1 and m < k, (b) t2 ≥ t1 and m ≥ k, (c) t2 ≤ t1 and m ≤ k. Clearly state any
properties of the Poission process you use in your solution.

Solution.
  
(a) For t2 ≥ t1 and m < k, it is clear that P X(t2 ) = mX(t1 ) = k = 0 since the count cannot decrease as

time increases.

(b) We have
     
P X(t2 ) = mX(t1 ) = k = P X(t2 ) − X(t1 ) = m − k X(t1 ) = k
 
 
= P X(t2 ) − X(t1 ) = m − k
h im−k
λ(t2 − t1 ) e−λ(t2 −t1 )
=
(m − k)!

where the second equality is because of the independent increments property, and the third due to the
stationary increments property of Poisson processes.

(c) We have
    
P X(t1 ) = k X(t2 ) = m P X(t2 ) = m
   
P X(t2 ) = mX(t1 ) = k =
  
P X(t1 ) = k
h ik−m h im
λ(t1 −t2 ) e−λ(t1 −t2 ) λt2 e−λt2
(k−m)! m!
= h ik
λt1 e−λt1
k!
2. (10 points) Consider a WSS process X(t) with mean µX and the autocorrelation function RXX (τ ). Similarly
let N (t) be a WSS process with mean µN and autocorrelation function RN N (τ ). Assume that X(t) and N (t)
are independent of each other. Let
N
X
Y (t) = Ai X(t − iT ) + N (t),
i=1

where T is a deterministic delay, and A1 , . . . , AN are i.i.d. zero-mean Gaussian random variables with variance
2 . Moreover, the random variables A , . . . , A are independent of the process X(t) and N (t).
σA 1 N

(a) Determine the mean function and the autocorrelation function of the process Y (t).
(b) Is Y (t) WSS? Why or why not?

Solution.
(a)

N
" #
X
µY (t) = E Ai X(t − iT ) + N (t)
i=1
N
X
= E [Ai ] E [X(t − iT )] + E [N (t)] Because of independence
i=1
= µN

For the autocorrelation, we have

N N
" ! !#
X X
RY Y (t1 , t2 ) = E Ai X(t1 − iT ) + N (t1 ) Ak X(t2 − kT ) + N (t2 )
i=1 k=1
N
XXN N
X
= E [Ai Ak ] E [X(t1 − iT )X(t2 − kT )] + E [Ai ] E [X(t1 − iT )N (t2 )]
i=1 k=1 i=1
XN
+ E [Ak ] E [X(t2 − kT )N (t1 )] + E [N (t1 )N (t2 )]
k=1
XN
2
= σA E [X(t1 − iT )X(t2 − iT )] + RN N (t2 − t1 )
i=1
XN
2
= σA RXX (t2 − t1 ) + RN N (t2 − t1 )
i=1
2
= N σA RXX (t2 − t1 ) + RN N (t2 − t1 )

Yes the process Y (t) is WSS since the mean is a constant and the autocorrelation function depends only on
the difference of the time indices.