MA 2213: Problem Sheet 2: Stochastic Processes

∗ Problems to be submitted as assignment.


1 − |x|, |x| ≤ 1
1. Let g(x) = denote the triangular function.
0, |x| > 1
(a) Find the power spectral density corresponding to RX (τ ) = g(τ /T ).
(b) Find the autocorrelation corresponding to the power spectral density SX (ω) =
g(ω/W ).
2 −τ /2α2 2
*2. A random process X(t) has autocorrelation given by RX (τ ) = σX e , α > 0.
(a) Find the corresponding power spectral density.
(b) Find the amount of power contained in the frequencies |ω| > k/2πα, where k =
1, 2, 3.

3. Let Z(t) = X(t) + Y (t). Under what conditions does SZ (ω) = SX (ω) + SY (ω)?

*4. Let X(t) and Y (t) be independent wide-sense stationary random processes, and define
Z(t) = X(t)Y (t).
(a) Show that Z(t) is wide-sense stationary.
(b) Find RZ (τ ) and SZ (ω).

5. Let RX (k) = 4α|k| , α < 1.

(a) Find SX (ω).
(b) Plot SX (ω) for α = 0.25 and α = 0.75, and comment on the effect of the value of
α.

6. Let RX (k) = 4α|k| + 16β |k| , α < 1, β < 1.

(a) Find SX (ω).
(b) Plot SX (α) for α = β = 0.5 and α = 0.75 = 3β and comment on the effect of value
of α/β.
dX(t)
7. Let X(t) be a differentiable WSS random process, and define Y (t) = dt
. Find an
expression for SY (ω) and RY (τ ). Hint: For this system, H(ω) = i2πω.

8. Let Y (t) be the derivative of X(t), a bandlimited white noise process.

(a) Find SY (ω) and RY (τ ).
(b) What is the average power of the output?
2
(c) If X(t) has SX (ω) = β 2 e−πω , then find SY (ω) and RY (τ ).

9. Let Wn be a zero-mean white noise sequence, and let Xn be independent of Wn .

(a) Show that Yn = Wn Xn is a white sequence, and find σY2 .
(b) Suppose Xn is a Gaussian random process with autocorrelation RX (k) = (1/2)|k| .
Specify the joint pmf’s for Yn .

1
 10. Let Y (t) be the output of a linear system with impulse response h(t) and input X(t) +
N (t). Let Z(t) = X(t) − Y (t).
(a) Find RX,Y (τ ) and RZ (τ ).
(b) Find SZ (ω).
(c) Find SZ (ω) if X(t) and N (t) are independent random processes.

*11. Let Y (t) = h(t) ∗ X(t) and Z(t) = X(t) − Y (t).

(a) Find SZ (ω) in terms of SX (ω).
(b) Find E[Z 2 (t)].

12. Consider the second-order autoregressive process defined by Yn = (3/4)Yn−1 −(1/8)Yn−2 +

Wn where the input Wn is a zero-mean white noise process.
(a) Verify that the unit-sample response is hn = 2(1/2)n − (1/4)n for n ≥ 0, and 0
otherwise.
(b) Find the transfer function.
(c) Find SY (ω) and RY (k) = F −1 [SY (ω)].

*13. Let Xα = Zα + Nα , α ∈ {n − p, n − p + 1, · · · , n}. Here Zα is a first-order autoregressive

(AR) process with RZ (k) = 4(3/4)|k| and Nα is white noise with σN 2
= 1. Zα and Nα
are independent random variables.
(a) Find the optimum p = 1 filter for estimating Zα .
(b) Find the mean square error of the resulting filter.

14. Let Xα = Zα + Nα , α ∈ {n − p, n − p + 1, · · · , n}. Here Zα has RZ (k) = σZ2 (r1 )|k| and
Nα has RN (k) = σN 2
(r2 )|k| , where r1 and r2 are less than one in magnitude.
(a) Find the equation for the optimum filter for estimating Zα .
(b) Write the matrix equation for the filter coefficients.
(c) Solve the p = 2 case, if σZ2 = 9, r1 = 2/3, σN 2
= 1, and r2 = 1/3.
(d) Find the mean square error for the optimum filter in part (c).