430 STOCHAS1lC PROCESSES

It can be shown that the converse is also true: Given an SSS process Xn, we can find
a random variable x and a one-to-one measuring preserving transfonnation of the space
S into itself such that for all essential purposes, Xn = Tnx. The proof of this diffiCUlt
result will not be given.

PROBLEMS
9-1 In the fair-coin experiment, we define the process X(I) as follows: x(t) = sinnt if heads
show, X(/) = 2t iftaiJs show. (a) Find E{xv)}. (b) Find F(x, t) for t = 0.25. t = 0.5. and
t = 1.
9-2 The process x(t) = eRl is a family of exponentials depending on the random variable a.
Express the mean 11(t), the autocorrelation R(t •• t2). and the first-order density !ex.t) of
. x(t) in terms of the density !a (a) of a.
9-3 Suppose that x(t) is a Poisson process as in Fig. 9-3 such that E{x(9)} = 6. (a) Find the
mean and the variance ofx(8). (b) Find P{x(2)::: 3). (c) Find P{x(4) ::: 51 x(2) ::: 3}.
9·4 The random variablecis uniform in the interval (0. T). Find Rx(t., 12) if(a)x(t) = U(I-C).
(b) x(t) = 8(t - c).
9·5 The random variables a and b are independent N (0; q) and p is the probability that the
process xU) = a - bt crosses the t axis in the interval (0. T). Show that 1rp = arctan T.
Hint: p = prO ::: alb ::: T}.
9-6 Show that if
Rv(t) , t2) = q(t)8(t) - t2)

w"(t) = v(t)U(t) and w(O) = w(O) = 0, then

E{w2(t)} = l' (t - T)q(T)dT

9·' The process x(t) is real with autocorrelation R(T). (a) Show that
Pflx(r + T) - x(t)1 a} ::: 2[R(0) - R(T)]/a2

(b) Express Pflxet + T) - xCt)1 a) in terms of the second-order density !(X., Xl: r)
ofx(t).
9-8 The process x(t) is WSS and normal with E{x(t») =0 and R(T)=4e-l1fl • (a) Find
P{x(t) ::: 3). (b) Find EUx(t + 1) - x(t - l))2}.
= =
9-9 Show that the process x(t) ew(t) is WSS iff E{c} 0 and wet) ei (""+'). =
9·10 The process x(t) is normal WSS and E{x(t)} = O. Show that ifz(t) = then C,,(r) ret). =
2C:x (T).
9-11 Find E{y(t»). E{r(t)}, and Ry1 (T) if
y'1(t) + 4y'(t) + 13y(t) = 26 + vet) = l08(T)
Find P{y(t) ::: 3} if vet) is normal.
9.12 Show that: Ifx(t) is a process with zero mean and autocorrelation !(t.)!(12)W(tl - t2). then
the process yet) = x(t)/!(t) is WSS with autocorrelation WeT). If x(t) is white noise with
autocorrelation q(t)<5(tJ - t2). then the process z(t) = x(t)/../iiJ.ij is WSS white noise with
autocorrelation 8(T).
9-13 Show that IRxy(T)1 ::: HRxx(O) + Ryy(O)].
9·14 Show that if the processes x(t) and yet) are WSS and Eflx(O) - y(O) 12) = O. then R.u(r) ;e
Rxy(T) !5 Ryy(T).
Hint: Set z = x(t + T), W = x"(t) - y¥(t) in (9-176).
 CHAPTElU GENERAL CONCEPTS 431

9·15 Show that ifx(t) is a complex WSS process, then

E{lx(t + T) - x(t)12} = 2Re [R(O) - R(T)]

9·16 Show that if tp is a random variable with <II(),.) = E{e JAto } and <11(1) = <11(2) = 0, then the
process X(I) = COS(er>1 + tp) is WSS. Find E{x(t)} and Rx(T) iftpisuniformintheinterval
(-:11".:11").
9-17 Given a process X(I) with orthogonal increments and such that x(O) = 0, show that
(a) R(tlo t2) = R(tl. tl) for tl :s t2. and (b) if E{[x(tl) - X(t2)]2} = qltl - t21 then the
process yell = [X(I + e) - x(t»)/e is WSS and its autocorrelation is a triangle with area q
and base2s.
9·18 Show that if RxAt .. t2) = q(t.)8(t. -12) and yet) = X(I) ... h(r) then
E{X(l)y(t)} = h(O)q(t)

9·19 The process x(t) is normal with l1x = 0 and Rx(T) = 4e-3,t",. Find a memoryless system
g(x) such that the first-order density I,(y) of the resulting output yet) = g[x(t)] is uniform
in the interval (6, 9).
9·20 Show that ifx(t) is an SSS process and B is a random variable independent ofx(t), then the
process yet) = xV - e) is SSS.
9·21 Show that ifx(t) is a stationary process with derivative r(t), then for a given t the random
variables x(t) and ret) are orthogonal and uncorrelated.
9-22 Given a normal process x(t) with l1x = 0 and Rx (T) = 4e-2't"', we form the random variables
z = x(t + 1), w = x(t - I), (a) find E{zw} and E{(z + W)2}, (b) find

P{z < 1} 1.",(1., w)

9-23 Show that ifx(t) is normal with autocorrelation R(T), then

P{x'(t) ::: a} =G [rn,]

9·24 Show thatifx(t) is a normal process with zero mean and yet) = sgnx(t), the\

I
R,(T) = t;
n=1
[Jo(mr) - (-1)ft]sin [n:1l"

where Jo(x) is the Bessel function.

Hint: Expand the arcsine in (9-80) into a Fourier series.
9·25 Show that ifx(t) is a normal process with zero mean and yet) = / e"x{I). then

11, = =I exp { RAO) } Ry(T) = /2 exp{a2[Rx (0) +

9·26 Show that (a) if
yet) = ax(ct)
(b) if Rx(T) -+ 0 as T -+ 00 and

z(t) = lim
..... co
-Ii x(st) q= 100

-co
dT

9·27 Show that ifx(t) is white noise, h(t) = 0 outside the interval (0, T), and yet) = x(t) * het)
then R1Y (tj, t2) = 0 for It I - t21 > T.
9-28 Show that if

and
(a) yet) == [ h(t, cr)x(cr)dcr then l(t) = l' h'l(t,cr)q(cr)dcr

(b) "let) + c(l)y(r) = X(I) then I' (I) + 2c(t}1 (t) = q(t}
'·29 Find E{y2(t)} (a) if Rzz(r) == 58(r} and
yet) + 2y(t) == X(t) all 1 (i)
(b) if (i) holds for t > 0 only and yet) = 0 for I !S O.
Hint: Use (9-99).
'.30 The input to a linear system. with h(t) = Ae-«lU(t) is a process X(l) with Rz(r) =N8(t)
applied at t == 0 and disconnected at 1 = T. Fmd and sketch E(y2(t)}.
Hint: Use (9·99) with q(l) = N for 0 < t < T and 0 otherwise.
9·31 Show that if

s == 1 1
\(1) dl then E{r} =1::(10 -\rI)Rz('t) dt'
Find the mean and variance ofs if E{x(t)} 8, RAT) = =64 +
!).32 The process X(I) is WSS with R,u(T) 58(T) and =
yet) + 2y(l) = X(I) 0)
Fmd E(y2(t»), Rzy(IJ,I2), R,,(t.. t2) (a) if (i) holds for all I, (b) if yeO) == 0 and (i) holds
O.
9·33 Find S({J) if (a) R(t') = e-n2, (b) R(r) = e-a,2
'·34 Show that the power spectrum of an SSS process x(t) equals

S({J) == %t%2 G(%IoX2;{J)dxl dx2

where G(XI, X2; (J) is the Fourier transfonn in the variable r of the secoild-order density
/(x" X2; T) oh(t).
9-35 Show tbatifY(I) == X(I + a) - X(I - a), then
R,(T) = 2Rz (T) - RJ<('r: + 2a) - Rz(r - la) S,({J) == 4Sz ({J) sin' a{J)
'·36 Using (9-135), show that
1
R(O) - R(T) 4" [R(O) - R(2"T)]
Hint: "
1- cose == 2sin2
2 -
> 2sin2
2 2 4
cor
== !(1- 00828)
9-37 The process x(t) is nonnal with zero mean and R..(T) == I e-ar1fl cos PT. Show that ify(t) =
ret).
then C,(t') = 12e-211ITI(1 + cos 2P7:). Find S,({J).
9-38 Show that if R(r) is the inverse Fourier transform of a function S({J) and S({J) 0, then,
for any al.
L a,a:R(TI - Ta) 0
I.i
 1:
Hint:
2

Sew) aieitJ>f1 dw 0
,
=
9·39 Find R(T) if (1.1) Sew) 1/(1 + ( 4 ), (b) S(w) == 1/(4 + ( 2 )2.
9-40 Show that, for complex systems. (9·149) and (9-194) yield
5,.. (s) == Su(s)H(s)H*(-s·) Sy,(z) = Su(z)H(z)H*(l/z·)
9-41 The process x(f) is nonnal with zero mean. Show that if yet) = ret). then
S)"(w) = 21r R;(0)8(w) + 2S.. (0» * S.f(w)
Plot S.• (w) jf SA (w) is (1.1) ideal LP, (b) ideal BP.
9-42 'The process X(/) is WSS with E{x(t)} = 5 and R"..('r) = 25 + 4e-2Irl • If yet) = 2x(t) +
3x'(t), find 17,.. R,y(T), and Sy,(w).
9·43 Theprocessx(t) is WSS and R..... ('r) = 58('1'). (a) Find E{f(t)} and S,,(w) if1'(t)+3y(t) =
X(/). (b) Find E{y2(t)} and Rty(tl. t2) if 1'(t) + 3Y(I) =
x(t)U(t). Sketch the functions
R..y (2, t2) and R..y(tl. 3).
9·44 Given a complex processx(r) with autocorrelation R(T), show thatifIR(TI)1 = (R(O)I,then
R(T) = e jttlOr WeT) x(t) =eJttIO'y(/)
where WeT) is a periodic function with period '1'1 and yet) is an MS periodic process with
the same period.
9-45 Show that (1.1) E{x(t)i(t)} = 0, (b) i(t) = -X(I).
9-46 (Stochastic resonance) The input to the system
1
H(s) = s2+21+5
is a WSS processX(/) with E{x2 (t)} = 10. Find S.. (w) such that the average power E(r(l)}
of the resulting output yet) is maximum.
Hint: IHUw)1 is maximum for w = ../3.
'·47 Show that if =
= AejttlOr , then R.fY(T) Bei"'Of for any yet).
Hin se (9-180).
9-48 Given system H(w) with input X(I) and output yet), show that (a) if X(I) is WSS and
Ru(T) = ej«r, then

R,.. ('1') = e illr H(a)

(b) If R...,,(t.. = then
R,;r{t .. '2) = ej(II'I-fJlZ) H(a) Ryy (t"t2) = H (a)H*(fJ)
l

9-49 Show that if Sn(W)Sn (w) • 0, then S",(o» = O.

9·50 Show that ifx[Il] is WSS and R.. [l] = R.. [O], then R.. [m] = R.f[O] for every m.
9·51 Show that if R[m] = E{x[n + mJx[n]}, then
R(O)R[21 > 2R2[1] - R2[O]
'·52 Given a random variable Q) with density J (w) such that few) = 0 for Iwl > n, we form the
processx[n] = Aei"017f • Show that S,,(w) = 21rA2f(w) for Iwl < n.
,·53 (1.1) Find E{f(!)} ify(O) = 1'(0) = 0 and
y"V) + 71'(t) + lOy(/) = x(t) R,,(T) = 58('1')
 (b) Find EIr[n]} ify[-l1 == y[-2] = 0 and
8y[n] - 6y[n - 1) + y[n - 2] =:e(n] Rlt[m] == 5![m)
'-54 Tho process:e[n] is WSS with R.Ylt[m) = S8(m] and
y[n]- O.Sy[n - 1) = XCn) (i)

Fmd E{r[n)}, R.r,[mJ. m21, R,,[mJ. m2) (a) if (i) holds for all n. (b) if y[-]) =0 and
(i) bolds for n O.
'-55 Show that (a) if Rlt[m!, m2] = q(ml]8[m! - m2] and
N N
S = La,,:e[n) then E{s2} = La!q[n]
11-0 • ..0
(b) If Rltlt(tl, III =q(tl)6(tl - tll and

s= 1T a(l)x(t) dt then E{s2} = 1T 122 (t)q(t) dt