Transform Methods

Chapter 3: Random Variables

EE-863 Stochastic Systems

College of Electrical & Mechanical Engineering

National University of Sciences & Technology (NUST)

Transform Methods

Logarithms are useful computational aids for performing

multiplications, using additions only

Transform methods held reduce computational effort e.g.

convolution may be performed in transform domain

F f1 ( x) f 2 ( x ) F1 ( )F2 ( )

Random Variables > Transform Methods

Characteristic Function

Random Variables > Transform Methods

Characteristic Function: Definition

X ( ) E e j X

Expected value of a
function of X

f X ( x)e j x dx

Fourier Transform of
the pdf

Inverse Fourier Transform of

Characteristic Function gives pdf
pdf and its characteristic function form a unique Fourier
transform pair
Random Variables > Transform Methods

Example 3.47 (Exponential Random

Variable)
X ( ) E e j X

f X ( x)e j x dx

pdf of exponential
random variable

Random Variables > Transform Methods

Characteristic Function for Discrete

Random Variable
X ( ) E e j X

f X ( x )e

j x

dx

Discrete random variable X

Integer-valued random variable X

Fourier Transform of the sequence

Random Variables > Transform Methods

Periodicity of Characteristic Function

Periodicity of discrete variable

j ( 2 ) k

j k

j 2 k

j k

.1 e

j k

Integer-valued random variable X

Fourier Transform of the sequence

periodic with period 2pi
Random Variables > Transform Methods

Recovering Probabilities from

Characteristic Function
Fourier Transform of the sequence
periodic with period 2pi
Inverse Fourier transform

Probabilities
Coefficients of Fourier Series of
periodic function
Random Variables > Transform Methods

Moment Theorem
X ( ) E e j X

f X ( x)e j x dx

Moments can be computed

from Characteristic Function

Proof:

Expand e j x into power series

If power series converges, pdf and characteristic function are completely

determined by moments of X
Random Variables > Transform Methods

Example 3.49 (Computing Mean and

Variance using Moment Theorem)
X ( ) E e j X

f X ( x)e j x dx

Differentiating once

Characteristic function
of exponential random
variable

Mean
Differentiating once again
Mean-square

Variance
Random Variables > Transform Methods

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Probability Generating Function

Random Variables > Transform Methods

11

Probability Generating Function:

Definition
Expected value of a
function of N

GN ( z ) E z N

pN (k ) z k
k 0

N ( ) GN (e j )

z-Transform of the pmf

Relation between Characteristic

Function and Probability
Generating Function
j

ze
Random Variables > Transform Methods

12

Moment Theorem (PGF)

X ( ) E e j X

f X ( x)e j x dx

Moments can be computed

from Probability Generating
Function (PGF)

First derivative of PGF

Second derivative of PGF

Random Variables > Transform Methods

13

Moment Theorem (PGF) - continued

X ( ) E e j X

f X ( x) e j x dx

Mean

VAR[ N ] GN'' (1) GN' (1) (GN' (1)) 2

Random Variables > Transform Methods

Variance

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Example 3.50 (Computing Mean and

Variance using Moment Theorem)
X ( ) E e j X

f X ( x)e j x dx

Probability Generating
Function of Poisson
Random Variable

Differentiating once

pmf of poisson random variable

Mean

Differentiating once again

Variance

Random Variables > Transform Methods

15

Laplace Transform of pdf

Random Variables > Transform Methods

16

Laplace Transform of pdf

Laplace Transform of
the pdf

X ( ) E e j X

f X ( x)e j x dx

Expected value of a
function of X

Moment Theorem

Random Variables > Transform Methods

17