18MAB203T-Probability and Stochastic Process

As per 2018 Regulations of SRM

S. ATHITHAN
DEPARTMENT OF MATHEMATICS
FACULTY OF ENGINEERING AND TECHNOLOGY
SRM Institute of Science and Technology,
KATTANKULATHUR-603203
TAMIL NADU, INDIA.
 Contents

I Unit-5-Spectral Densities

2.1 Unit-5 2

2.2 Exercise/Practice/Assignment Problems 20

I
Unit-5-Spectral Densities

2.1 Unit-5
2.2 Exercise/Practice/Assignment Problems
2.0.1 -

2.0.1 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 Spectral Densities-Session 1-11

2.1 Unit-5

Spectral Density

Spectral Density Z ∞
SXX (ω ) = RXX (τ)e−iωτ dτ
−∞

2.1 Power Spectral Density Function (PSDF)/ Power Density Spectrum (PDS)
Definition 2.1.1 The power spectral density SXX (ω ) is given by
Z ∞
SXX (ω ) = RXX (τ)e−iωτ dτ
−∞

Here, the power spectral density SXX (ω ) and the autocorrelation fuction RXX (τ) forms a Fourier transform pair. i.e.
Z ∞
SXX (ω ) = RXX (τ)e−iωτ dτ
−∞

and
 2.1.3 - 2.1. U NIT-5

1
Z ∞
RXX (τ) = SXX (ω )eiωτ dω
2π −∞

Same way, the cross power spectral density SXY (ω ) and the cross-correlation fuction RXY (τ) forms a Fourier
transform pair. i.e.
Z ∞
SXY (ω ) = RXY (τ)e−iωτ dτ
−∞

and

1
Z ∞
RXY (τ) = SXY (ω )eiωτ dω
2π −∞

Note: Sometimes, in the power spectral density SXX (ω ) the variable ω is raplaced by 2π f , in this case the spectral
density function is function of f , the corresponding effect is given below:
Z ∞
SXX ( f ) = RXX (τ)e−i2π f τ dτ
−∞

2.1 Properties of PSDF

Property 2.1.1 The value of the power spectral density function at zero frequency is equal to the total area under the
graph of autocorrelation function. i.e. By applying ω = 0 or f = 0, we have
Z ∞
SXX (0) = RXX (τ) dτ
−∞

Proof. 

Property 2.1.2 The mean square value of a WSS process is equal to the total area under the graph of the spectral density.
i.e. By applying ω = 0 or f = 0, we have
Z ∞
E{X 2 (t )} = RXX (0) = SXX (ω ) dω
−∞

Proof. 

Property 2.1.3 The spectral density of a real process is an even function. i.e. SXX (−ω ) = SXX (ω ).

Proof. 

∗
Property 2.1.4 The spectral density of any real or complex process {X (t )} is a real function of ω. i.e. SXX (ω ) =
SXX (ω ).

2.1.3 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.4 - 2.1. U NIT-5

Proof. 

Property 2.1.5 The spectral density and the autocorrelation function of a real WSS process forms a Fourier cosine
transform pair.

Proof. 

Property 2.1.6 — Wiener-Khinchine Theorem. If XT (ω ) is the Fourier transform of the truncated random process

X (t ), for |t| ≤ T
XT (ω ) = where {X (t )} is a real WSS process with PSD function S(ω ), then we have SXX (ω ) =
0, for |t| > T
 
1 2
lim E{|XT (ω )| } .
T →∞ 2T

Proof. 

2.2 Properties of Cross PSDF

Property 2.1.7 SXY (−ω ) = SY X (ω )

Proof.

Z∞
SXY (ω ) = RXY (τ)e−iωτ dτ
−∞
Z∞
∴ SXY (−ω ) = RXY (τ)eiωτ dτ
−∞

Now,

Z∞
SY X (ω ) = RY X (τ)e−iωτ dτ
−∞
Z∞
= RXY (−τ)e−iωτ dτ
−∞

2.1.4 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.5 - 2.1. U NIT-5

Put u = −τ we have,

Z−∞
SY X (ω ) = − RXY (u)eiωu du
∞
Z∞
= RXY (τ)eiωτ dτ
−∞

= SXY (−ω )

Property 2.1.8 Re[SXY (ω )] and Re[SY X (ω )] are even functions of ω.

Proof. 

Property 2.1.9 Im[SXY (ω )] and Im[SY X (ω )] are odd functions of ω.

Proof. 

Property 2.1.10 If {X (t )} and {Y (t )} are orthogonal, then SXY (ω )] = 0 and SY X (ω ) = 0.

Proof. 

Property 2.1.11 If {X (t )} and {Y (t )} are uncorrelated, then SXY (ω )] = E [X (t )]E [X (t )]2πδ (ω ) where δ is the Dirac-
delta function.

Proof. 

Definition 2.1.2 — Average Power. The average power of a random process {X (t )} is denoted by PXX and is given by

1
Z ∞
PXX = SXX (ω ) dω
2π −∞

In terms of the the time average it is given by

Z T
1
PXX = lim E [X 2 (t )] dt
T →∞ 2T −T

If X (t ) is a WSS process, then E [X 2 (t )] is constant and PXX = E [X 2 (t )].

2.1.5 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.6 - 2.1. U NIT-5

2.2 Linear System with Random Inputs

2.3 System in the form of Convolution

Most of the times in electrical systems, the output Y (t ) is expressed as a convolution of the input X (t ) with a system
weight function h(t ) which is given below.
Z ∞
Y (t ) = h(u)X (t − u) du
−∞

Note: The system weighting function h(t ) is also called unit impulse response function.

Properties

Property 2.3.1 If the output Y (t ) is expressed as a convolution of the input X (t ) with a system weight function h(t )
Z ∞
which is given as Y (t ) = h(u)X (t − u) du , then the system is linear time invariant systems simply LTI systems.
−∞

Proof. 

Property 2.3.2 If the input to a time invariant, stable linear system is a WSS process, then output will also be a WSS
process.

Proof. 

Z ∞
Property 2.3.3 If {X (t )} is a WSS process and if Y (t ) = h(u)X (t − u) du , then we have the following.
−∞

(a). RXY (τ) = RXX (τ) ∗ h(−τ) (∗ denotes convolution)

(b). RYY (τ) = RXY (τ) ∗ h(τ) (∗ denotes convolution)
(c). SXY (ω ) = SXX (ω )H ∗ (ω )
(d). SYY (ω ) = SXX (ω )|H (ω )|2

Proof. 

Z ∞
Property 2.3.4 If {X (t )} is a WSS process and if Y (t ) = h(u)X (t − u) du , then
−∞

(i) RYY (τ) = RXX (τ) ∗ K (τ)

Z ∞
where K (τ) = h(t ) ∗ h(−t ) = h(u)h(t + u) du
−∞

Proof. 

2.1.6 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.7 - 2.1. U NIT-5

Property 2.3.5 The power spectral densities of the processes in the system are connected by the relation SYY (ω ) =
|H (ω )|2 SXX (ω ) where H (ω ) is the Fourier transform of the unit impulse response function h(t ).

Proof. 

Example/Solved Problems

dy(t )
Description 2.1.1 If the input x(t ) and the output y(t ) are connected by the differential equation T + y(t ) = x(t ),
dt
prove that they can be related by means of a convolution types integral. Assume that x(t ) and y(t ) are zero for t ≤ 0.

Hints/Solution:
The given differential equation can be written as

dy(t ) 1 x(t )
+ y(t ) =
dt T T

dy(t )
where x(t ) = y(t ) = 0 for t ≤ 0. This equation is of the linear DE form as + Py(t ) = Q
dt
1
Z
The solution is given by y(t )et/T = et/T x(t ) dt + c
T
By the initial conditions x(t ) = y(t ) = 0 for t ≤ 0, we have c = 0.
∴

Zt
1
y(t ) = e−t/T · eu/T x(u) du
T
0
 
Zt Za Za
1
= e−u/T x(t − u) du ∵ f (x)dx = f (a − x)dx
T
0 0 0

Given x(t ) = 0 for t ≤ 0 =⇒ t − u ≤ 0 =⇒ t ≤ u

 1 e−u/T , t > 0


Define h(t ) = T
0, otherwise
Z∞
We can rewrite the integral as h(t )x(t − u) du = h(t ) ∗ x(t )
0

2
Description 2.1.2 Find the PSD of a WSS process with auto correlation function RXX (τ) = e−ατ

2.1.7 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.8 - 2.1. U NIT-5

Hints/Solution:

Z∞
2
SXX (ω ) = e−ατ e−iωτ dτ
−∞
Z∞
−ω 2 /4α iω 2
= e e−α (τ+ 2α ) dτ
−∞
r
π −ω 2 /4α
= e
α


a + jbω, for |ω| < 1
Description 2.1.3 If SXY (ω ) =
0, otherwise
a, b are constants, find the cross-correlation function.

Hints/Solution:

a + jbw, −1 < w < 1
SXY (w) =
0, otherwise

Z∞
1
RXY (τ) = (a + jbw)e jwτ dw
2π
−∞

Z1
1
= (a + ibw)eiwτ dw
2π
−1
1
= [(aτ − b) sin τ + bτ cos τ]
πτ2

Description 2.1.4If RXX (τ) = Ae−α|τ| cos(β τ), (where A > 0, α > 0 and β are constants) is the autocorrelation function
of a random process{X (t )}, obtain the spectral density of {X (t )}.

Hints/Solution:

Z∞
SXX (ω ) = A e−α|τ| cos (β τ) e−iωτ dτ
−∞

A[2α (α 2 + β 2 + ω 2 )]
=
(α 2 + β 2 − ω 2 ) + 4α 2 ω 2

2.1.8 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.9 - 2.1. U NIT-5


π, |ω| < 1
Description 2.1.5 The power spectral density of a random process {X (t )} is given by SXX (ω ) = . Find
0, elsewhere
its autocorrelation function.

Hints/Solution:
1
Z ∞
We know that RXX (τ) = SXX (ω )eiωτ dω
2π −∞
Z 1
1 1
RXX (τ) = πeiωτ dω = sin τ
2π −1 τ

4
Description 2.1.6 The power spectrum of a WSS process X (t ) is given by SXX (ω ) = . Find the corresponding
(4 + ω 2 )
autocorrelation and average power.

Hints/Solution:
1
Z ∞
We know that RXX (τ) = SXX (ω )eiωτ dω
2π −∞

Also we know from the Fourier transform that

Z ∞
Fs (e−a|τ| ) = e−aτ sin ωτ dτ
0
e−aτ
 ∞
= (−a sin ωτ − ω cos ωτ)
a2 + ω 2 0
ω
= ,a > 0
a + ω2
2

Z ∞
Fc (e−a|τ| ) = e−aτ cos ωτ dτ
0
e−aτ
 ∞
= (−a cos ωτ + ω sin ωτ)
a + ω2
2
0
a
= ,a > 0
a2 + ω 2

2.1.9 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.10 - 2.1. U NIT-5

and
Z ∞
F (e−a|τ| ) = 2 e−aτ cos ωτ dτ
0
e−aτ
 ∞
= 2 2 (−a cos ωτ + ω sin ωτ)
a + ω2 0
2a
= ,a > 0
a + ω2
2
 
2a
=⇒ e−a|τ| = F −1 2
a + ω2
 
−1 −1 4
Substituting a = 2, we get F [SXX (ω )] = F = e−2|τ| = RXX (τ)
4 + ω2

Aliter:
We know that

1 2 1
Z ∞ Z ∞
RXX (τ) = SXX (ω )eiωτ dω = eiωτ dω (1)
2π −∞ π −∞ 4 + ω2
eiaz
Z
This integral is calculated by contour integration technique. Consider dz , where C is the closed contour
C (b2 + z2 )
consisting of the real axis from −R to R and the upper half of the circle |z| = R.

× +ai

−R O R x

Z
The only singularity of the integral f (z) dz lying within C is the single pole z = bi.
C

The general formula to find residue of f (z) with pole of order m is given by
( )
1 d (m−1) h (m)
i
Residue = lim (z − bi) f (z)
z=bi z→bi (m − 1) dz(m−1)

Here the function f (z) has the pole of order 1 at z = bi

Residue = lim (z − bi) f (z)

z=bi z→bi

eiaz e−ab
= lim (z − bi) =
z→bi (z + bi)(z − bi) 2bi

2.1.10 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.11 - 2.1. U NIT-5

By Cauchy’s residue theorem, taking limits as R → ∞, we get

eiaz
Z ∞
2 2
dz = 2πi(Sum of the residues)
−∞ (b + z )

e−ab πe−ab
 
= 2πi =
2bi b

Applying these results to equation (1),

i.e. replacing a by τ and b by 2 in (1), we get RXX (τ) = e−2|τ|

Now, the average power is given by PXX = RXX (0) = E{X 2 (t )} = e0 = 1

Description 2.1.7If {X (t )} is a WSS process with autocorrelation function RXX (τ) and if Y (t ) = X (t + a) − X (t − a),
show that RYY (τ) = 2RXX (τ) − RXX (τ + 2a) − RXX (τ − 2a) & hence prove that SYY (ω ) = 4 · sin2 (aω ) · SXX (ω ).

Hints/Solution:

RYY (t,t + τ) = E [Y (t )Y (t + τ)]

= E{[X (t + a) − X (t − a)] · [X (t + a + τ) − X (t − a + τ)]}
= E [X (t + a)X (t + a + τ)] − E [X (t + a)X (t − a + τ)]
−E [X (t − a)X (t + a + τ)] + E [X (t − a)X (t − a + τ)]
= RXX (τ) − RXX (τ − 2a) − RXX (τ + 2a) + RXX (τ)
= 2RXX (τ) − RXX (τ + 2a) − RXX (τ − 2a)

Taking Fourier Transforms on both sides, we have

Z∞ Z∞ Z∞
RYY (τ) e−iωτ dτ = 2 RXX (τ) e−iωτ dτ − RXX (τ + 2a) e−iωτ dτ
−∞ −∞ −∞
Z∞
− RXX (τ − 2a) e−iωτ dτ
−∞

Substituting u = τ − 2a and v = τ + 2a, we get

SYY (ω ) = 2SXX (ω ) − eiω2a SXX (ω ) − e−iω2a SXX (ω )

= 2SXX (ω ) − 2 cos(2aω )SXX (ω )
= 4 sin2 (aω )SXX (ω )

2.1.11 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.12 - 2.1. U NIT-5

157 + 12ω 2
Description 2.1.8 Find the autocorrelation function corresponding to the PSD SXX (ω ) = . Also find
(16 + ω 2 )(9 + ω 2 )
the average power.

Hints/Solution:
1 ∞
Z
We know that RXX (τ) = SXX (ω )eiωτ dω
2π −∞
Using partial fractions, we will have
157 + 12ω 2 5 7
= +
(16 + ω 2 )(9 + ω 2 ) (16 + ω 2 ) (9 + ω 2 )
Also we know from the Fourier transform that
Z ∞
F (e−a|τ| ) = 2 e−aτ cos ωτ dτ
0
e−aτ
 ∞
= 2 2 (−a cos ωτ + ω sin ωτ)
a + ω2 0
2a
= ,a > 0
a2 + ω 2
 
2a
=⇒ e−a|τ| = F −1 2
a + ω2

   
5 −1 2·4 7 −1 2 · 3
F −1 [SXX (ω )] = F + F
8 16 + ω 2 6 9 + ω2

5 −4|τ| 7 −3|τ|
= e + e = RXX (τ)
8 6

Aliter:
We know that
1
Z ∞
RXX (τ) = SXX (ω )eiωτ dω (2)
2π −∞

eiaz
Z
This integral is calculated by contour integration technique. Consider dz , where C is the closed
C (b2 + z2 )(d 2 + z2 )
contour consisting of the real axis from −R to R and the upper half of the circle |z| = R.

× bi
× di

−R O R x

2.1.12 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.13 - 2.1. U NIT-5

Here the function f (z) has the pole of order 1 (simple poles) at z = bi, di

Residue = lim (z − bi) f (z)

z=bi z→bi

eiaz
= lim (z − bi)
z→bi (z + bi)(z − bi)(z2 + d 2 )
e−ab
=
2bi(d 2 − b2 )
e−ab
|||ly we have, Residue =
z=di 2di(b2 − d 2 )

By Cauchy’s residue theorem, taking limits as R → ∞, we get

(157 + 12z2 )eiaz

Z ∞
dz
−∞ (b2 + z2 )(d 2 + z2 )

= 2πi(Sum of the residues)

(157 − 12b2 )e−ab (157 − 12d 2 )e−ab
 
= 2πi +
2bi(d 2 − b2 ) 2di(b2 − d 2 )
(157 − 12b2 )e−ab (157 − 12d 2 )e−ab
 
= π +
b(d 2 − b2 ) d (b2 − d 2 )

Applying these results to equation (2),

i.e. replacing a by τ and b, d by 4,3 respectively in (2), we get

1 (157 + 12ω 2 )eiτω

Z ∞
RXX (τ) = dω
2π −∞ (42 + ω 2 )(32 + ω 2 )

= i · (Sum of the residues)

(157 − 12 · 42 )e−4τ (157 − 12 · 32 )e−3τ
 
= i· +
2 · 4i(32 − 42 ) 2 · 3i(42 − 32 )
(157 − 12 · 42 )e−4τ (157 − 12 · 32 )e−3τ
 
= +
8(32 − 42 ) 6(42 − 32 )
5 −4|τ| 7 −3|τ|
= e + e
8 6

5 7 43
Now, the average power is given by PXX = RXX (0) = E{X 2 (t )} = + =
8 6 48

The auto correlation function of the binary transmission is given by

Description 2.1.9

1 − |τ| , for |τ| ≤ 1
RXX (τ) = . Find the PSD.
0, elsewhere

2.1.13 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.14 - 2.1. U NIT-5

Hints/Solution:

Z∞
SXX (τ) = RXX (τ)e−iwτ dτ
−∞

Z1
= (1 − |τ|)[cos(wτ) − i sin(wτ)] dτ
−1

Z1
= 2 (1 − τ) cos(wτ) dτ
0
2 4 h 2  w i
= [ 1 − cos ( w )] = sin
w2 w2 2

Description 2.1.10 A random process {X (t )}is the input to a linear system whose impulse response is h (t ) = 2e−t ,t ≥ 0.
If the autocorrelation function of the process is RXX (τ) = e−2|τ| , find the power spectral density(PSD) of the output
process.

Hints/Solution:
We know that the PSD of the output process Y (t ) is given by SYY (w) = SXX (w)|H (w)|2

From h(t ) we will get,

Z∞
H (ω ) = h(t )e−iωt dt
−∞
Z∞
2
= 2e−t e−iωt dt =
1 + iw
0

From RXX (τ) we will get,

Z∞
SXX (w) = RXX (τ)e−iωτ dτ
−∞
Z∞
= e−2|τ| e−iωτ dτ
−∞

Z0 Z∞
2τ −iωτ
= e e dτ + e−2τ e−iωτ dτ
−∞ 0
1 1 4
= + =
2 − iw 2 + iw 4 + w2

2.1.14 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.15 - 2.1. U NIT-5

Now,

SYY (w) = SXX (w)|H (w)|2

2
4 2
=
4 + w2 1 + iw
4 4 16
= · =
4 + w2 1 + w2 (4 + w2 )(1 + w2 )

Description 2.1.11 Consider two random processes X (t ) = 3 cos(ωt + θ ) and Y (t ) = 2 cos(ωt + θ − π/2) where θ is
q
uniformly distributed in (0, 2π ). Prove that |RXY (τ)| ≤ RXY (0)RXY (0)

Hints/Solution:
1 1
Pdf of θ is f (θ ) = = , 0 < θ < 2π.
b−a 2π
Z2π
9 1 9 9
RXX (t,t + τ) = E [X (t )X (t + τ)] = cos(2wt + wτ + 2θ ) · dθ + cos wτ = cos wτ
2 2π 2 2
0
9 9
i.e. RXX (τ) = cos wτ =⇒ RXX (0) =
2 2
|||ly RYY (τ) = 2 cos wτ =⇒ RYY (0) = 2.
Z2π
3
Now, the cross-correlation is given by RXY (t,t + τ) = RXY (τ) = E [X (t )Y (t + τ)] = sin(2wt + wτ + 2θ ) ·
2π
0
1
dθ + 3 sin wτ = 3 sin wτ
2π q
From these results, |RXY (τ)| ≤ RXY (0)RXY (0) = 3

Description 2.1.12 Consider a random process X (t ) = U cost −V sint with U and V are independent random variables
each of which assumes the values -2 and 1 with probabilities 1/3 and 2/3 respectively. Prove that X (t ) is WSS but not
SSS process.

Hints/Solution:
U,V -2 1
Given
P[U ], P[V ] 1/3 2/3
E [U ] = E [V ] = −2 × 1/3 + 1 × 2/3 = 0 and E [U 2 ] = E [V 2 ] = 4 × 1/3 + 1 × 2/3 = 2 E [U 3 ] = E [V 3 ] =
−8 × 1/3 + 1 × 2/3 = −2

E [X (t )] = E [U ] cost − E [V ] sint = 0
RXX (t,t + τ) = E [X (t )X (t + τ)] = E [U 2 ] cost cos(t + τ) + E [V 2 ] sint sin(t + τ) − E (U )E (V ) sin(2t + τ) = 2 cos τ
which is function of τ alone.
∴ X (t ) is a WSS process.

2.1.15 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.16 - 2.1. U NIT-5

Now, E [X 2 (t )] = 2(cos2 (t ) + sin2 (t )) = 2 and E [X 3 (t )] = −2(cos3 (t ) + sin3 (t )) 6= constat

Hence X (t ) is not a SSS process

1,

0≤t ≤T
Description 2.1.13 A circuit has an impulse response given by h(t ) = T . Evaluate the output spectrum
0, elsewhere
SYY (w) in terms of the input spectrum SXX (w).

Hints/Solution:
We know that the PSD of the output process Y (t ) is given by

SYY (w) = SXX (w)|H (w)|2

From h(t ) we will get,

Z∞
H (w) = h(t )e−iwt dt
−∞
Z∞
2 sin wT
 
1 −iwt 2 wT wT
= e dt = cos − i sin
T wT 2 2
0
" #2
2 2 sin wT
2
∴ |H (w)| =
wT

Hence

" #2
2 sin wT
2
SYY (w) = SXX (w)
wT

 b (a − |w|), |ω| ≤ a


Description 2.1.14 If the power spectral density of a WSS process is given by SXX (w) = a . Find
0, otherwise
the autocorrelation function of the process.

Hints/Solution:

2.1.16 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.17 - 2.1. U NIT-5

 b (a − |w|), −a < w < a



SXX (w) = a
0, otherwise

Za
1 b
RXX (τ) = (a − |w|)eiwτ dw
2π a
−a
Za
1 b
= (a − w) cos wτ dw
π a
0
2b 2 aτ
 
= sin
aπτ2 2

9 + ω2
Description 2.1.15 Find the autcorrelation function of the process whose power density spectrum is given by .
ω 4 + 5ω 2 + 4
Also find its average power(mean square value).

Hints/Solution:
1 ∞
Z
We know that RXX (τ) = SXX (ω )eiωτ dω
2π −∞
Using partial fractions, we will have
9 + ω2 8/3 −5/3
= +
(1 + ω 2 )(4 + ω 2 ) (1 + ω 2 ) (4 + ω 2 )
Also we know from the Fourier transform that
Z ∞
F (e−a|τ| ) = 2 e−aτ cos ωτ dτ
0
e−aτ
 ∞
= 2 2 (−a cos ωτ + ω sin ωτ)
a + ω2 0
2a
= ,a > 0
a + ω2
2
 
2a
=⇒ e−a|τ| = F −1
a2 + ω 2

   
4 −1 2 · 1 5 −1 2 · 2
F −1 [SXX (ω )] = F − F
3 1 + ω2 12 4 + ω2

4 −|τ| 5 −2|τ|
= e − e = RXX (τ)
3 12
4 5 11
Now, the average power is given by PXX = RXX (0) = E{X 2 (t )} = + =
3 12 12
Aliter:
We know that
1
Z ∞
RXX (τ) = SXX (ω )eiωτ dω (3)
2π −∞

2.1.17 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.1.18 - 2.1. U NIT-5

eiaz
Z
This integral is calculated by contour integration technique. Consider dz , where C is the closed
C (b2 + z2 )(d 2 + z2 )
contour consisting of the real axis from −R to R and the upper half of the circle |z| = R.

× bi
× di

−R O R x

Here the function f (z) has the pole of order 1 (simple poles) at z = bi, di

Residue = lim (z − bi) f (z)

z=bi z→bi

eiaz
= lim (z − bi)
z→bi (z + bi)(z − bi)(z2 + d 2 )
e−ab
=
2bi(d 2 − b2 )
e−ab
|||ly we have, Residue =
z=di 2di(b2 − d 2 )

By Cauchy’s residue theorem, taking limits as R → ∞, we get

(9 + z2 )eiaz
Z ∞
dz
−∞ (b2 + z2 )(d 2 + z2 )

= 2πi(Sum of the residues)

(9 − b2 )e−ab (9 − d 2 )e−ab
 
= 2πi +
2bi(d 2 − b2 ) 2di(b2 − d 2 )
(9 − b2 )e−ab (9 − d 2 )e−ab
 
= π +
b(d 2 − b2 ) d (b2 − d 2 )

Applying these results to equation (3),

2.1.18 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
2.1.19 - 2.1. U NIT-5

i.e. replacing a by τ and b, d by 4,3 respectively in (3), we get

1 (9 + ω 2 )eiτω
Z ∞
RXX (τ) = 2 2 2 2
dω
2π −∞ (1 + ω )(2 + ω )

= i · (Sum of the residues)

(9 − 12 )e−τ (9 − 22 )e−2τ
 
= i· +
2 · i(22 − 12 ) 2 · 2i(12 − 22 )
(9 − 12 )e−τ (9 − 22 )e−2τ
 
= −
2(3) 4(3)
4 −|τ| 5 −2|τ|
= e − e
3 12

4 5 11
Now, the average power is given by PXX = RXX (0) = E{X 2 (t )} = + =
3 12 12

2.1.19 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.2.20 - 2.2. E XERCISE /P RACTICE /A SSIGNMENT P ROBLEMS

2.2 Exercise/Practice/Assignment Problems

1. Prove that the random process {X (t )} with constant mean is mean-ergodic, if

 
ZT ZT
1
lim  C (t1 ,t2 ) dt1 dt2  = 0.
T →∞ 4T 2
−T −T

2. The random binary transmission process {X (t )} is a WSS process with zero mean and autocorrelation function
|τ|
R(τ) = 1 − , where T is a constant. Find the mean and variance of the time average of {X (t )} over (0, T ). Is
T
{X (t )} is mean ergodic?

3. If {X (t )} is a WSS process with autocorrelation function R(τ) = Ae−α|τ| . Determine the second order moment of the
random variable X (11) − X (8).

4. Check whether the following functions are valid autocorrelations or not? if so find the mean and variance of the
4 25 + τ2
process. (a) Ae−α|τ| (b) 25 + (c) .
1 + 6τ2 6.25τ2 + 4

5. Given that {X (t )} is a random process with mean 3 and autocorrelation function R(t1 ,t2 ) = 9 + 4e−0.2|t1 −t2 | . Deter-
mine the mean, variance and covariance of the random variables X (10), X (7).

6. The autocorrelation function of a stationary process is given by RXX (τ) = 9 + 2e−|τ| . Determine the mean value of
Z2
the random variable Y = X (t ) dt and variance of {X (t )}.
0

7. Two random processes {X (t )} and {Y (t )} are defined by X (t ) = A cos ωt + B sin ωt and Y (t ) = B cos ωt − A sin ωt.
Show that {X (t )} and {Y (t )} are jointly WSS if A and B are uncorrelated random variables with mean 0 and same
variances and ω is is a constant.

8. Two random processes {X (t )} and {Y (t )} are defined by X (t ) = 3 cos(ωt + θ ) and Y (t ) = 2 cos(ωt + θ − π/2)
q
where θ is uniformly distributed in (0,2π) and ω is a constant. Prove that |RXY (τ)| ≤ RXX (0) × RYY (0).

2.2.20 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.2.21 - 2.2. E XERCISE /P RACTICE /A SSIGNMENT P ROBLEMS

9. Consider the process W (t ) = X (t ) cos ωt + Y (t ) sin ωt, where X (t ) and Y (t ) are two real jointly stationary pro-
cesses. What are the conditions for W (t ) to be a WSS? In case W (t ) is WSS, find its autocorrelation in terms of
autocorrelations of X (t ) and Y (t ).

10. If X (t ) and Y (t ) are two independent WSS processes with zero means. Find the autocorrelation functions of (i)
Z (t ) = a + bX (t ) + cY (t ) and (ii) Z (t ) = aX (t )Y (t ).

11. Two random processes {X (t )} and {Y (t )} are defined by X (t ) = A cos(ωt + θ ) and Y (t ) = B sin(ωt + θ ) where θ is
uniformly distributed in (0,2π) and A, B, ω are a constants. Prove that {X (t )} and {Y (t )} are jointly WSS.

12. Consider the random process {X (t )} defined by X (t ) = A cost + B sint where A, B are independent random variables
each of which takes the values -2 and 1 with probabilities 1/3 and 2/3 respectively. Prove that {X (t )} is WSS and
not SSS.

13. Consider the random process {X (t )} defined by X (t ) = A cost + B sint, t ≥ 0 where A, B are independent N (0, σ 2 )
random variables. Examine the stationarity of {X (t )}.

14. Consider the random process {X (t )} defined by X (t ) = Y cos ωt, t ≥ 0 where ω is constant and Y is uniform random
variable over (0, 1). Find the autocorrelation function RXX (t1 ,t2 ) and autocovariance CXX (t1 ,t2 ) of {X (t )}.

15. Let {X (t )} and {Y (t )} be two mean ergodic processes with means µX and µY . Let Z (t ) = X (t ) + Y (t ), where A is a
1
random variable independent of Y (t ) and taking values 0 and 1 with probability . Check whether {Z (t )} is mean
2
ergodic?


π, |ω| < 1
16. The power spectral density of a random process {X (t )} is given by SXX (ω ) = . Find its autocorrela-
0, elsewhere
tion function.

17. If RXX (τ) = e−2λ |τ| is the autocorrelation function of a random process{X (t )}, obtain the spectral density of {X (t )}.

2.2.21 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.2.22 - 2.2. E XERCISE /P RACTICE /A SSIGNMENT P ROBLEMS

 b (a − |ω|), |ω| ≤ a


18. The power spectral density of a random process {X (t )} is given by SXX (ω ) = a . Find its
0, elsewhere
autocorrelation function.

19. If RXX (τ) = Ae−α|τ| cos(ω0 τ), (where A > 0, α > 0 and ω0 are constants) is the autocorrelation function of a random
process{X (t )}, obtain the spectral density of {X (t )}.

20. Find the spectral density of the random process {X (t )} = K cos(ω0t + θ ) where K, ω are constants and θ is
uniformly distributed in the interval (0, 2π ).

21. A random process X (t ) = A cos λt + B sin λt, where A and B are uncorrelated random variables with zero mean and
common variance. Find the PSD of the process.

22. Check whether the following functions are valid spectral densities, if so find their corresponding autocorrelation
functions and the average power
1
(i) SXX (ω ) =
(1 + ω 2 )2
4
(ii) SXX (ω ) =
(4 + ω 2 )2
4
(iii) SXX (ω ) =
(4 + ω 2 )
4 + ω2
(iv) SXX (ω ) =
(4ω + 3ω 2 + 3)
4

ω2
(v) SXX (ω ) =
(ω + 3ω 2 + 3)
6

ω +4
(vi) SXX (ω ) =
(5 + ω 2 )
157 + 12ω 2
(vii) SXX (ω ) =
(16 + ω 2 )(9 + ω 2 )
9 + ω2
(viii) SXX (ω ) =
(ω 4 + 5ω 2 + 4)
1 + ω2
(ix) SXX (ω ) =
(1 + ω 2 )(9 + ω 2 )
9 + ω2
(x) SXX (ω ) =
(16 + ω 2 )(4 + ω 2 )

2.2.22 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.2.23 - 2.2. E XERCISE /P RACTICE /A SSIGNMENT P ROBLEMS


λ 2 ,
 for |τ| > ε
23. The autocorrelation function of the Poisson increment process is given by RXX (τ) = .
 
2λ |τ|
λ +
 1− , for |τ| ≤ ε
ε ε
4λ sin2 ωt
Prove that its spectral density is given by S(ω ) = 2πλ 2 δ (ω ) + 2
.
ε 2ω 2


1, for |ω| < ω
0
24. The power density spectrum of a zero mean WSS process is given by SXX (ω ) = .
0, for |ω| ≥ ω0
  
π
Find R(τ) and show that {X (t )} and X t + are uncorrelated.
ω0


1 − |τ|, for |τ| ≤ 1
25. The autocorrelation function of the Poisson increment process is given by RXX (τ) = .
0, for |τ| > 1
Find the PSD.

a + ibω ,

for |ω| < α, α > 0
26. If SXY (ω ) = α
0, otherwise
a, b are constants, find the cross-correlation function.


a + ibω, for |ω| < 1
27. If SXY (ω ) =
0, otherwise
a, b are constants, find the cross-correlation function.

28. If {X (t )} is a WSS process with autocorrelation function RXX (τ) and if Y (t ) = X (t + a) − X (t − a), show that
RYY (τ) = 2RXX (τ) − RXX (τ + 2a) − RXX (τ − 2a).

29. If {X (t )} is a WSS process with autocorrelation function RXX (τ) and if Y (t ) = X (t + a) − X (t − a), show that
RYY (τ) = 2RXX (τ) − RXX (τ + 2a) − RXX (τ − 2a) & hence prove that SYY (ω ) = 4 · sin2 (aω ) · SXX (ω ).

2.2.23 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
 2.2.24 - 2.2. E XERCISE /P RACTICE /A SSIGNMENT P ROBLEMS

1,

0≤t ≤T
30. A random process {X (t )} is the input to a linear system whose impulse response is h (t ) = T .
0, otherwise
Evaluate SYY (ω ) in terms of SXX (ω ).

31. Let {X (t )} be the input voltage to a circuit system and {Y (t )} be the output voltage. If {X (t )} is a stationary
random process with zero mean and autocorrelation function RXX (τ) = e−α|τ| . Find the power spectral density(PSD)
of the input and output process. Also find (i) E {Y (t )}, (ii) the autocorrelation function of {Y (t )} if the power
R
transfer function H (ω ) = .
R + iLω

32. A random process {X (t )} is the input to a linear system whose impulse response is h (t ) = 2e−t ,t ≥ 0. If the
autocorrelation function of the process is RXX (τ) = e−2|τ| , find the power spectral density(PSD) of the output process.

33. A system has an impulse response h (t ) = e−βt U (t ), where U (t ) is unit step function. Find the PSD of the output
Y (t ) corresponding to the input X (t ).

34. A WSS process {X (t )} is the input to a linear system whose impulse response is h (t ) = 2e−7t ,t ≥ 0. If the autocorre-
lation function of the process is RXX (τ) = e−4|τ| , find the power spectral density(PSD) of the output process.

35. A WSS noise process {N (t )} has an autocorrelation function of the process is RNN (τ) = Pe−3|τ| , where P is a
constant. Find the power spectral density(PSD) of the process.

N0
36. Consider a Gaussian white noise of a zero mean and power spectrum applied to a low pass RC filter whose
2
1
transfer function is {H ( f )} = . Find th autocorrelation function
1 + 2πi f RC

37. A WSS noise process {N (t )} has an autocorrelation function of the process is RNN (τ) = Pe−3|τ| , where P is a
constant. Find the power spectral density(PSD) of the process.

38. If {Y (t )} = A cos(ω0t + θ ) + N (t ), where A is constant and θ is a random variable with uniform distribution in

2.2.24 - P RO BA B I L I T Y A N D S T O C H A S T I C P RO C E S S – P R E PA R E D B Y D R . S . AT H I T H A N
  N0 , for|ω − ω | < ω

0 B
(−π, π ) and {N (t )} is a band-limited Gaussian white noise with a power spectrum SNN (τ) = 2 .
0, otherwise
Find the power spectral density(PSD) of the output process {Y (t )}. Assume that {N (t )} and θ are independent.

39. Find the power spectrum of the random telegraph signal. (Note that the autocorrelation of the random telegraph
signal is RXX (τ) = e−2λ |τ| )

40. Let Y (t ) = X (t ) + N (t ) be a WSS process, where X (t ) is the actual signal and N (t ) is the zero-mean noise process
with variance σN2 and independent of X (t ). Find the power spectral density of Y (t ).

41. A WSS process {X (t )} is the input to a linear system whose impulse response is h (t ) = e−βt u(t ), where u(t ) is the
unit step function and β is constant. If the autocorrelation function of the process is RXX (τ) = Ae−α|τ| , where A, α
are constants, find the power spectral density(PSD) of the output process.

Contact: (+91) 979 111 666 3 (or) athithan.s@ktr.srmuniv.ac.in

Visit: https://sites.google.com/site/lecturenotesofathithans/home