EE 278B Friday, November 25, 2011

Statistical Signal Processing Handout #17

Homework #6 Solutions

1. (10 points) Vector CLT. The key point to this problem is to realize that we are asked to find
the distribution of the random vector Yn = [ X1n X2n ]T as n → ∞. First note that
 n 
1 X
E(X1n ) = E √ Zj cos Θj
n
j=1
n
1 X
=√ E(Zj cos Θj ) (by linearity of expectation)
n
j=1
n
1 X
=√ E(Zj ) E(cos Θj ) (by independence of Zj and Θj )
n
j=1

Since E(cos Θj ) = 0, we conclude that E(X1n ) = 0. Similarly, E(X2n ) = 0.

As discussed in the lecture notes, the Central Limit Theorem applies to a sequence of i.i.d.
random vectors. Thus the pdf of Yn converges to N (0, ΣY ). All that remains is to find the
covariance matrix for Yn .
X n 
1
Var(X1n ) = Var Zj cos Θj
n
j=1
n
1X
= Var(Zj cos Θj ) (independence)
n
j=1

= Var(Z1 cos Θ1 ) (identically distributed random variables)

= E(Z12 cos2 Θ1 ) − (E(Z1 cos Θ1 ))2
= E(Zj2 ) E(cos2 Θj ) (since E(Z1 cos Θ1 ) = 0)
= (σ 2 + µ2 ) E(cos2 Θj )
= 12 (σ 2 + µ2 ) . (since E(cos2 Θj ) = 12 )
Now consider
n X
X n 
1
Cov(X1n , X2n ) = E Zj Zk cos Θk sin Θj − E(X1n ) E(X2n )
n
j=1 k=1
n n
1 XX
= E(Zj Zk ) E(cos Θk sin Θj ) (independence)
n
j=1 k=1

If j 6= k then

Cov(X1n , X2n ) = E(Zj ) E(Zk ) E(cos Θk ) E(sin Θj )

=0 since E(cos Θk ) = 0 .
 If j = k then

Cov(X1n , X2n ) = E(Zj2 ) E(cos Θj sin Θj )

1
=0 since E(cos Θj sin Θj ) = 2
E(sin 2Θj ) = 0 .

Since Cov(X1n , X2n ) = 0 in all cases,

1 2
(σ + µ2 )

0
ΣY = 2 1 .
0 2
(σ 2 + µ2 )

2. (15 points) Continuous time random process.

a. Sample functions:
X(t)

−1

Figure 1: Sample functions of X(t).

b. The first order pdf is the pdf of X(t) as a function of t. Since At and B are independent
the pdf of X(t) is the convolution of U[−t, t] and U[−1, 1]. The first order pdf is plotted in
the following figure.
c. Consider
P{X(t) ≥ 0, for all t ≥ 0} = P{At + B ≥ 0, for all t ≥ 0}
= P{A ≥ 0 and B ≥ 0} = 1/4.

3. (20 points) Digital modulation using PSK.

a. A sample function is shown in Figure 3.

The following code is used for parts (a) and (c).

clear all;
clf;

Page 2 of 16 EE 278B, Autumn 2011

 X(t)

1
2
min{1, 1t }

x
−(t + 1) −|t − 1| |t − 1| t+1

Figure 2: First order pdf of X(t).

Problem 1: part a
1

0.5
X(t)

−0.5

−1
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
t

Problem 1: part c
1

0.5
Y(t)

−0.5

−1
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
t

Figure 3: Digital modulation using PSK.

Homework #6 Solutions Page 3 of 16

 % This code will generate 5-second sample runs of X(t) and
% Y(t) and print out the corresponding plots.

% First, select 5 random phases (either pi/2 or -pi/2 with equal probability).
% WRITE MATLAB CODE HERE
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
theta_n = (pi/2)*(2*(rand(5,1)>0.5)-1);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% Replicate theta_n so that each random phase covers a 100-step time range.
theta_t = ones(1,100) * theta_n(1);

for i=2:5
theta_t = [theta_t ones(1,100)*theta_n(i)];
end

% Generate the time steps corresponding to theta_t.

t=0:.01:4.99;

% Generate the values of X(t).

% WRITE MATLAB CODE HERE
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
X_t = cos(4*pi.*t + theta_t);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

subplot(2,1,1);
plot(t, X_t);
xlabel(’t’);
ylabel(’X(t)’);
title(’Part a’);

% Generate the values of Y(t). (Don’t forget to generate "psi"!)

% WRITE MATLAB CODE HERE
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Y_t = cos(4*pi.*t + theta_t + rand(1)*2*pi);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

subplot(2,1,2);
plot(t, Y_t);
xlabel(’t’);
ylabel(’Y(t)’);
title(’Part c’);
print -depsc2 pskModulationFigure;

Page 4 of 16 EE 278B, Autumn 2011

 b. The first-order pmf of X(t) is
n  4π  o
pX(t) (x) = P cos t + Θ(t) = x
T
n  4π   π
o n π
o
= P cos t + Θ⌊t/T ⌋ = x Θ⌊t/T ⌋ = +
 P Θ⌊t/T ⌋ = + +
nT  4π  
2
π
o n 2
π
o
P cos t + Θ⌊t/T ⌋ = x  Θ⌊t/T ⌋ = − P Θ⌊t/T ⌋ = −
n  4π Tπ  o n  4π π
2 o 2
= 12 P cos t+ = x + 12 P cos t− =x
T 2 T 2
n  4π  o n  4π  o
= 12 P − sin t = x + 21 P sin t =x
T T



 1 x = 0, t = nT 4

 1 x = + sin( 4π t), t 6= nT

2 T 4
=
1 4π nT


 2
x = − sin( T t), t 6= 4


0 otherwise

c. A sample function of Y (t) is shown in Figure 3.

d. Since Ψ ∼ U[0, 2π], the pdf of Ψ is unchanged when we add either +π/2 or −π/2 . Thus
the first order pdf of Y (t) is the pdf of the random variable X(t) = cos(4πt/T + Ψ), which
is the same as the first order pdf for the random phase process in the lecture notes. Thus
1
fY (t) (y) = p if |y| < 1 and 0 if |y| ≥ 1 .
π 1 − y2

4. (10 points) Absolute value random walk.

a. This is a straightforward calculation and we can use results from lecture notes. If k ≥ 0
then
P{Yn = k} = P{Xn = +k or Xn = −k} .
If k > 0 then P{Yn = k} = 2P{Xn = k}, while P{Yn = 0} = P{Xn = 0}. Thus
n

1
n−1
k > 0, n − k is even, n − k ≥ 0
 (n+k)/2 2



n

1
n
P{Yn = k} = k = 0, n is even, n ≥ 0

 n/2 2

0 otherwise


b. If Y20 = |X20 | = 0 then there are only two sample paths with max1≤i<20 |Xi | = 10
. These
two paths are shown in Figure 4. Since the total number of sample paths is 20 10
and all
paths are equally likely,
 2 2 1
P max Yi = 10 | Y20 = 0 = 20
= = .
1≤i<20 184756 92378
10

5. (10 points) Random walk with random start.

a. We must show that for every sequence of indexes i1 , i2 , . . . , in such that i1 < i2 < . . . < in ,
the increments Xi1 , Xi2 −Xi1 , . . . , Xin −Xin−1 are independent. This is true by the definition

Homework #6 Solutions Page 5 of 16

 Xn

10

0 n
10 20

−10

Figure 4: Sample paths for problem 2.

of the {Xi } random process; each Xij − Xij−1 is the sum of a different set of Zi ’s, and the
Zi ’s are i.i.d. and independent of X0 , which appears only in the first increment.
b. Starting at an even number (0 or ±2) can be ruled out, since there is no way that the process
could then end up at X11 = 2. Using Bayes rule for the remaining possibilities, we get
P(X11 = 2 | X0 = −1)P(X0 = −1)
P(X0 = −1 | X11 = 2) =
P(X11 = 2)
1

11
1
7 1
4
=
1

11


5
1 7

7
1 4
2
1

211
1 6

1 5


5 7 2 2
+ 5 6 2 2
11


7 1 1 5
= 11


=
11 11!7!4!
= 7 = 12
7
+ 6
1+ 11!6!5!
1+ 5
7
Similarly, P(X0 = 1 | X11 = 2) = 12
.
To summarize,
5
 12
 x = −1
P(X0 = x | X11 = 2) = 127
x = +1

0 otherwise


6. (20 points) Discrete-time Wiener process.

a. Yes, {Xn } is an independent-increment process. The increments
Xn1 , Xn2 − Xn1 , . . . , Xnk − Xnk−1
are sums of disjoint sets of i.i.d. Zi ’s.
b. Yes, {Xn } is a Gaussian process. Every vector (Xi1 , Xi2 , . . . , Xim ) is obtained by a linear
transformation of i.i.d. N (0, 1) random variables and therefore all m-th order distributions
of {Xn } are jointly Gaussian. (It is not sufficient to show that each random variable Xn is
Gaussian.)

Page 6 of 16 EE 278B, Autumn 2011

 c. Mean of {Xn }:
n
X  n
X n
X
E(Xn ) = E Zi = E(Zi ) = 0 = 0.
i=0 i=0 i=0

Autocorrelation function of {Xn }:

RX (n1 , n2 ) = E(Xn1 Xn2 )
Xn1 Xn2 
=E Zi Zj
i=1 j=1
n1 X
X n2
= E(Zi Zj )
i=1 j=1
min(n1 ,n2 )
X
= E(Zi2 ) (Zi ’s are uncorrelated)
i=1
= min(n1 , n2 ) (E(Xi2 ) = 1)

d. It follows from part (c) that Xn is Gaussian with mean zero and variance
Var(Xn ) = E(Xn2 ) − E2 (Xn ) = RX (n, n) − 0 = n .
Therefore Xn ∼ N (0, n).
e. Since {Xn } is a zero-mean Gaussian random process,
     
X3 E[X3 ] RX (3, 3) RX (3, 5) RX (3, 8)
X5  ∼ N E[X5 ] , RX (5, 3) RX (5, 5) RX (5, 8) .
X8 E[X8 ] RX (8, 3) RX (8, 5) RX (8, 8)
Using the mean and autocorrelation function from part (c), we get
     
X3 0 3 3 3
X5  ∼ N 0 , 3 5 5 .
X8 0 3 5 8

f. Since Xn is an independent increment process,

E(X20 | X1, . . . , X10 ) = E(X20 − X10 + X10 | X1, . . . , X10 )
= E(X20 − X10 | X1, . . . , X10 ) + E(X10 | X1 , . . . , X10 )
= E(X20 − X10 ) + X10 = E(X10 ) + X10 = 0 + X10 = X10 .
Note that the conditional expectation is a random variable.

Homework #6 Solutions Page 7 of 16

 g. The minimum MSE estimate of X4 given X1 = 4, X2 = 2, and 0 ≤ X3 ≤ 4 is
X̂ = E(X4 | X1 = 4, X2 = 2, 0 ≤ X3 ≤ 4)
= E(X4 − X3 + X3 − X2 + X2 | X1 = 4, X2 = 2, 0 ≤ X3 ≤ 4)
= E(X4 − X3 | X1 = 4, X2 = 2, 0 ≤ X3 ≤ 4) +
E(X3 − X2 | X1 = 4, X2 = 2, 0 ≤ X3 ≤ 4) +
E(X2 | X1 = 4, X2 = 2, 0 ≤ X3 ≤ 4)
= E(X4 − X3 ) + E(X3 − X2 | −2 ≤ X3 − X2 ≤ 2) + E(X2 | X2 = 2)
= E(Z4 ) + E(Z3 | −2 ≤ Z3 ≤ 2) + E(X2 | X2 = 2)
= 0+0+2 = 2.

7. (10 points) Poisson process. We want to find fTk |N (t) (τ |n), that is, the probability that the
waiting time for the kth event will be τ given that n events have occurred by time t.
fTk ,N (t) (τ, n)
fTk |N (t) (τ |n) =
fN (t) (n)
fTk ,N (t)−N (τ ) (τ, n − k)
=
fN (t) (n)
fTk (τ )fN (t)−N (τ ) (n − k)
=
fN (t) (n)

We evaluate each term as

(λt)n exp(−λt)
fN (t) (n) =
n!
(λ(t − τ ))n−k exp(−λ(t − τ ))
fN (t)−N (τ ) (n − k) =
(n − k)!
k k−1
λ τ exp(−λτ )
fTk (τ ) = ,
(k − 1)!
where we have used the fact that the (unconditional) distribution of Tk is the same as the inter-
arrival time between the ith and the (i + k)th event, due to memorylessness. The distribution
of interarrival times is due to the lecture notes. We can write the end result
kτ k−1 (t − τ )n−k n
 
fTk |N (t) (τ |n) = .
tn k

8. (10 points) Poisson process probabilities.

a. We use the fact that the number of events on an interval [a, b] has distribution Poisson(λ(b −
a)). Furthermore, the number of events on non-overlapping intervals are independent.
Therefore,
P{N(1) − N(0) = 1, N(2) − N(1) = 1, N(3) − N(2) = 1}
= P{N(1) − N(0) = 1) · P(N(2) − N(1) = 1) · P (N(3) − N(2) = 1}
= P{N(1) − N(0) = 1}3
= λ3 exp(−3λ).

Page 8 of 16 EE 278B, Autumn 2011

 b. We need to decompose the event into events that relate to non-overlapping intervals as
follows.
P{N(2) − N(0) = 2, N(3) − N(1) = 2}
= P{N(2) − N(0) = 2, N(3) − N(1) = 2, N(2) − N(1) = 0}
+ P{N(2) − N(0) = 2, N(3) − N(1) = 2, N(2) − N(1) = 1}
+ P{N(2) − N(0) = 2, N(3) − N(1) = 2, N(2) − N(1) = 2}
= P{N(1) − N(0) = 2, N(2) − N(1) = 0, N(3) − N(2) = 2}
+ P{N(1) − N(0) = 1, N(2) − N(1) = 1, N(3) − N(2) = 1}
+ P{N(1) − N(0) = 0, N(2) − N(1) = 2, N(3) − N(2) = 0}
= exp(−3λ) λ4 /4 + λ3 + λ2 /2 ,

which is indeed larger than the result of part (a).

c. The probability in question is
P{N(2) − N(1) = 2 | N(2) − N(0) = 2, N(3) − N(1) = 2}
P{N(2) − N(1) = 2, N(2) − N(0) = 2, N(3) − N(1) = 2}
= .
P{N(2) − N(0) = 2, N(3) − N(1) = 2}
The denominator is the result of part (b). The numerator is one of the terms that appeared
in part (b). Therefore
P{N(2) − N(1) = 2 | N(2) − N(0) = 2, N(3) − N(1) = 2}
(λ2 /2) exp(−3λ)
= 4
(λ /4 + λ3 + λ2 /2) exp(−3λ)
2
= 2 .
λ + 4λ + 2
9. (20 points) Circles in a plane. We need to consider only the centers that are within the circle
of radius 1 around the origin. Let M be the number of such centers.
• Consider first the case that M = 1. As given by the hint, we can assume that the center is
uniformly distributed within the unit circle. Let the distance from the origin be D. The cdf
and pdf of D are
πd2
FD (d) = = d2 ,
π
fD (d) = 2d,
for d ∈ [0, 1]. Let the radius of the circle at that center be R with uniform pdf fR (r) = 1 for

Homework #6 Solutions Page 9 of 16

 r ∈ [0, 1]. Note that R and D are independent. Then
P{this circle encompasses the origin}
= P{D ≤ R}
Z 1Z r
= fD,R (d, r) dd dr
0 0
Z 1Z r
= 2d dd dr
0 0
1
= .
3
• Now consider the case that M = m. Then the number of circles that encompass the origin
is distributed according to Binom(m, 1/3). This is because each circle has probability 1/3
to encompass the origin (as computed before), and all circles are independent of each other.
In other words,
N | {M = m} ∼ Binom(m, 1/3),
  m−n
m 2
P{N = n | M = m} = ,
n 3m
for n ≤ m, and zero otherwise.
• Now we need the distribution of M, the number of centers in the unit circle. Since the
centers follow a spatial Poisson process of intensity λ, and the area of the unit circle is π,
the distribution of M is Poisson with mean λπ.
(πλ)m
P{M = m} = exp(−πλ).
m!
• Putting the pieces together, we have
∞
X
P{N = n} = P{M = m} P{N = n | M = m}
m=n
∞
(πλ)m
  m−n
X m 2
= exp(−πλ)
m=n
m! n 3m
∞
exp(−πλ) X (πλ)m 2m−n
=
n! m=n
3m (m − n)!
∞
(πλ)n exp(−πλ) X (πλ)m−n 2m−n
=
n! 3n m=n
3m−n (m − n)!
(πλ)n exp(−πλ)
= exp(2πλ/3)
n! 3n
(πλ/3)n exp(−πλ/3)
=
n!
This is a Poisson distribution with mean πλ/3.

Page 10 of 16 EE 278B, Autumn 2011

 Extra Problems Solutions
1. Polls. Let U1 , U2 , . . . , Un be i.i.d. such that
(
+1 if person i votes for candidate A
Ui =
−1 otherwise
Thus PUi (1) = 0.5005, and the difference in the number of votes is Xn = ni=1 Ui . By the
P
Central Limit Theorem, for large n we can approximate the distribution of Xn by a Gaussian:
Xn ∼ N (n E(U1 ), nσU2 1 ) .
Therefore
E(U1 ) = 0.5005 − 0.4995 = 0.001
σU2 1 = E(Ui2 ) − (0.001)2 = 1 − 10−6 = 0.999999
The probability that A wins after n votes are counted is P(Xn > 0). Thus
 
0.001 n
P(Xn > 0) ≈ 1 − Q √ = 0.99 ,
0.999999 n
which yields n ≥ 5475600.

2. Vector convergence. By the CLT, Zn approaches a Gaussian distribution. It suffices to find the
mean and covariance matrix.
σ11 = VarX1i
= EX12 − (EX1 )2
Z x1 =1 Z x2 =1−x1 Z x1 =1 Z x2 =1−x1 2
2
= dx1 2x1 dx2 − dx1 2x1 dx2
x1 =0 x2 =0 x1 =0 x2 =0
Z x1 =1 Z x1 =1 2
= 2 x21 − x31 dx1 −4 x1 − x21 dx1
x1 =0 x1 =0
1
= .
18

Homework #6 Solutions Page 11 of 16

 By symmetry, σ11 = σ22 . For the off diagonal elements,
n n
1X X
σ12 = lim E (X1i − EX1i ) (X2j − EX2j )
n→∞ n i=1 j=1
n n
1 XX
= lim E (X1i X2j − EX1i EX2j )
n→∞ n i=1 j=1
n
1X
= lim E (X1k X2k − EX1k EX2k )
n→∞ n k=1
= EX1 X2 − EX1 EX2
Z x1 =1 Z x2 =1−x1
1
= dx1 2x1 x2 dx2 −
x1 =0 x2 =0 9
Z x1 =1
1
= x1 − 2x21 + x31 dx1 −
x1 =0 9
1
= − .
36
  1 1

− 36
Thus in the limit as n → ∞, fZn (z) ∼ N 0, 18
1 1 .
− 36 18

3. Random binary waveform.

a. See Figure 5 for a sketch of the sample function of X(t).
X(t)

T 3T 4T 5T 7T

Figure 5: Sample function of the process X(t).

b. The first-order pmf is

∞
X 
PX(t) (x) = P(X(t) = x) = P Ak g(t − kT ) = x
k=0
(
1

2
x = ±1
= P A⌊t/T ⌋ = x = P (A0 = x) =
0 otherwise
Note that X(t1 ) and X(t2 ) are dependent only if t1 and t2 fall within the same time interval T

Page 12 of 16 EE 278B, Autumn 2011

 (indexed by k). Thus the second-order pmf is
PX(t1 )X(t2 ) (x1 , x2 ) = P(X(t1 ) = x1 , X(t2 ) = x2 )
nX∞ ∞
X o
=P Ak g(t1 − kT ) = x1 , Ak g(t2 − kT ) = x2
k=0 k=0
= P(A⌊t1 /T ⌋ = x1 , A⌊t2 /T ⌋ = x2 )
(
P(A0 = x1 , A0 = x2 ) ⌊t1 /T ⌋ = ⌊t2 /T ⌋
=
P(A0 = x1 , A1 = x2 ) otherwise

1
⌊t1 /T ⌋ = ⌊t2 /T ⌋ and (x1 , x2 ) = (+1, +1), (−1, −1)
2


= 41 ⌊t1 /T ⌋ = 6 ⌊t2 /T ⌋ and (x1 , x2 ) = (±1, ±1)


0 otherwise.

4. Biased random walk.

a.
" n #
X
E[Xn ] = E Zi
i=1
n
X
= E[Zi ]
i=1
= n(p − (1 − p))
= n(2p − 1)

b. Following the same steps as in the unbiased case in the lecture notes, we have
(
n

(n+k)/2
(n+k)/2
p (1 − p)(n−k)/2 if k + n is even and k < n
P{Xn = k} =
0 otherwise.

c. Since the Zi are i.i.d., we have P{X2n = 2k | Xn = k} = P{Xn = k}, which was computed
in part (b).

5. Modified random walk.

If n = 0,
P {|Xn| = n − 1} = P {X0 = −1} = 0.
If n = 1,
P {|Xn | = n − 1} = P {X1 = 0}
= P {Z1 = 0}
= 13 .

Homework #6 Solutions Page 13 of 16

 If n > 1,
P {|Xn | = n − 1} = P {(n − 1) steps were +1, and one step was 0}
+ P {(n − 1) steps were −1, and one step was 0}
= 2P {(n − 1) steps were +1, and one step was 0}
 
n  1 n−1 1
=2 (Binomial)
1 3 3

2n
= n.
3

6. Markov processes.
a. We are given that f (xn+1 |x1 , x2 , . . . , xn ) = f (xn+1 |xn ). From the chain rule, in general,
f (x1 , x2 , . . . , xn ) = f (x1 )f (x2 |x1 )f (x3 |x1 , x2 ) · · · f (xn |x1 , x2 , . . . , xn−1 ) .
Thus, by the definition of Markovity,
f (x1 , x2 , . . . , xn ) = f (x1 )f (x2 |x1 )f (x3 |x2 ) · · · f (xn |xn−1 ) . (1)
Similarly, applying the chain rule in reverse we get
f (x1 , x2 , . . . , xn ) = f (xn )f (xn−1 |xn )f (xn−2 |xn−1 , xn ) · · · f (x1 |x2 , x3 , . . . , xn ).
Next,
f (xi , xi+1 , . . . , xn ) f (xi )f (xi+1 |xi )
f (xi |xi+1 , . . . , xn ) = = = f (xi |xi+1 ) , (2)
f (xi+1 , . . . , xn ) f (xi+1 )
where the second equality follows from (1). Therefore
f (x1 , x2 , . . . , xn ) = f (xn )f (xn−1 |xn )f (xn−2 |xn−1 , xn ) · · · f (x1 |x2 , x3 , . . . , xn )
= f (xn )f (xn−1 |xn )f (xn−2 |xn−1 ) · · · f (x1 |x2 ) ,
where the second line follows from (2).
b. First consider
f (x1 , . . . , xk , xn )
f (xn |x1 , . . . , xk ) =
f (x1 , . . . , xk )
f (xn )f (xk |xn )f (xk−1 |xk , xn ) · · · f (x1 |x2 , . . . , xk , xn )
= , (3)
f (xk )f (xk−1 |xk ) · · · f (x1 |x2 )
where the denominator in the second line follows from part (a). Next consider
f (xk−1 , xk , . . . , xn ) = f (xk , xn )f (xk−1 |xk , xn )f (xk+1 , xk+2 , · · · , xn−1 |xk−1 , xk , xn )
= f (xn )f (xn−1 |xn ) · · · f (xk−1 |xk ) ,
where the second line follows from (2). Integrating both sides over xk+1 , . . . , xn−1 (i.e., using
the law of total probability), we get
f (xk , xn )f (xk−1 |xk , xn ) = f (xk , xn )f (xk−1 |xk ) .

Page 14 of 16 EE 278B, Autumn 2011

 Finally, substituting into (3), we get
f (xn )f (xk |xn )f (xk−1 |xk ) · · · f (x1 |x2 )
f (xn |x1 , . . . , xk ) =
f (xk )f (xk−1 |xk ) · · · f (x1 |x2 )
f (xn )f (xk |xn )
= = f (xn |xk ) .
f (xk )
c. By the chain rule for conditional densities,
f (xn+1 , xn−1 |xn ) = f (xn+1 |xn )f (xn−1 |xn+1 , xn ) = f (xn+1 |xn )f (xn−1 |xn ) ,
where the second equality follows from (2).

7. Detection of Poisson process. First consider the problem with observation N((τ ), N(5)) for
some τ ∈ [0, 5]. In order to use the MAP detection rule, we need to compute the conditional
probability
pN (τ ),n(5)|Λ (nτ , n5 |λ) pΛ (λ)
pΛ|N (τ ),N (5) (λ|nτ , n5 ) = .
pN (τ ),N (5) (nτ , n5 )
The first factor in the numerator is
pN (τ ),N (5)|Λ (nτ , n5 |λ) = P{N(τ ) − N(0) = nτ , N(5) − N(τ ) = n5 − nτ |Λ = λ}
(τ λ)nτ −(τ λ) ((5 − τ )λ)n5 −nτ −((5−τ )λ)
  
= e e
nτ ! (n5 − nτ )!
τ nτ (5 − τ )n5 −nτ −5λ n5
= e λ .
nτ ! (n5 − nτ )!
Substituting back, the relevant ratio becomes
pΛ|N (τ ),N (5) (1|nτ , n5 ) (1/3) e−5 1n5
=
pΛ|N (τ ),N (5) (2|nτ , n5 ) (2/3) e−10 2n5
e5
= n5 +1 ,
2
and the optimal detection rule is therefore
( 5
1 if 2ne5 +1 ≥ 1
Λ̂(nτ , n5 ) =
2 otherwise
(
1 if n5 ≤ 6
=
2 if n5 ≥ 7.

Note that this detection rule only depends on the last observation N(5) = n5 , not on the
earlier observation N(τ ) = nτ . In other words, the last observation is a sufficient statistic for
the detection problem. Since our argument holds for any τ ∈ [0, 5], the same must be true if
we observe N(τ ) for all τ ∈ [0, 5]. The rule above is thus the answer to both part (a) and part
(b).

8. Bus passengers.

Homework #6 Solutions Page 15 of 16

 a. Since the interarrival time, T1 , T2 , . . . , are independent exponentially distributed random
variables with parameter λ,
⌈X
c⌉
k
c

Dk = Ti ,
i=k+1

  
1 k
EDk = c−k ,
λ c
  
1 k
EDk2 = 2 c−k .
λ c

b. Y (t) is not an independent increment process, as a counter example, we show that P [Y (t2 )−
Y (t1 ) = 0|Y (t1 ) = 0] 6= P [Y (t2 ) − Y (t1 ) = 0|Y (t1 ) = 1]. Consider
P [Y (t2 ) − Y (t1 ) = 0|Y (t1 ) = 0]
P [X(t2) = 0, X(t1 ) = 0] + P [X(t2 ) = 1, X(t1 ) = 0]
=
P [X(t1 ) = 0] + P [X(t1 ) = 1]
P [X(t2 ) = 1, X(t1 ) = 1]
+
P [X(t1) = 0] + P [X(t1) = 1]
λt1 λ(t2 −t1 )
e e (1 + λ(t2 − t1 ) + λt1 )
= λt
e 1 (1 + λt1 )
1 + λt2 λ(t2 −t1 )
= e
1 + λt1
 
λ(t2 − t1 ) λ(t2 −t1 )
= 1− e ,
1 + λt1
and
P [Y (t2 ) − Y (t1 ) = 0|Y (t1 ) = 1]
P [X(t2) = 2, X(t1 ) = 2] + P [X(t2 ) = 3, X(t1 ) = 2]
=
P [X(t1 ) = 2] + P [X(t1 ) = 3]
P [X(t2 ) = 3, X(t1 ) = 3]
+
P [X(t1) = 2] + P [X(t1) = 3]
e (λt1 /2)eλ(t2 −t1 ) (1 + λ(t2 − t1 ) + (λt1 /3))
λt1
=
eλt1 (λt1 /2)(1 + λt1 /3)
3 + 3λt2 − 2λt1 λ(t2 −t1 )
= e
3 + λt1
 
3λ(t2 − t1 ) λ(t2 −t1 )
= 1+ e .
3 + λt1
The two expressions are not the same, which implies that Y (t) is not an independent incre-
ment process.

Page 16 of 16 EE 278B, Autumn 2011