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= s s
.
(1) Find the value of k .
(2) Find (0.2 1.2) P x < <
(3) What is | | 0.5 1.5 / 1 P x x < < >
(4) Find the distribution function of ( ) f x . (A/M 2011)
4. A continuous R.V. X has the p.d.f.
2
,
( ) 1
0, elsewhere
k
x
f x x
< <
= +
. Find
(1) the value of k
(2) Distribution function of X
(3) ( 0) P X > (N/D 2011)
5. Show that for the probability function ( )
1
, 1, 2, 3...
1
( ) ( )
0, otherwise
x
x x
p x P X x
=
+
= = =
( ) E X does not exist. (N/D 2012)
6. The probability function of an infinite discrete distribution is given by
1
( ) ( 1, 2, 3, ...)
2
j
P X j j = = = Find
(1) Mean of X
(2) ( is even) P X and
(3) ( is divisible by 3) P X (N/D 2011)
- Moments and Moment Generating Function
1. Find the MGF of the two parameter exponential distribution whose density function is
given by
( )
( ) ,
x a
f x e x a
= > and hence find the mean and variance.
(A/M 2010)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 3
2. Derive the m.g.f of Poisson distribution and hence or otherwise deduce its mean and
variance. (A/M 2011)
3. If the probability density of X is given by
2(1 ) for 0 1
( )
0, otherwise
x x
f x
< <
=
>
=
>
=
.
Find the density function of the variable given by
(1) 3 5 Y X = +
(2)
2
Y X = (N/D 2012)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 5
Unit II (Two Dimensional Random Variables form)
- Joint distributions Marginal & Conditional
1. The joint p.d.f of two dimensional random variable (X,Y) is given by
8
( , )
9
f x y xy = ,
0 2 x y s s s and ( , ) 0 f x y = , otherwise. Find the densities of X and Y, and the
conditional densities ( / ) f x y and ( / ) f y x . (A/M 2010)
2. The joint probability density function of random variable X and Y is given by
8
, 1 2
( , ) 9
0, otherwise
xy
x y
f x y
s s s
.
(1) Find the value of k
(2) Obtain the marginal probability density functions of X and Y .
(3) Also find the correlation coefficient between X and Y .
(N/D 2010)
5. If X and Y are uncorrelated random variables with variances 16 and 9. Find the
correlation co-efficient between X Y + and X Y . (M/J 2012)
6. If the independent random variables X and Y have the variances 36 and 16
respectively, find the correlation coefficient between ( ) X Y + and ( ) X Y .
(N/D 2012)
7. The regression equation of X on Y is 3 5 108 0 Y X + = . If the mean value of Y is
44 and the variance of X is 9/16
th
of the variance of Y . Find the mean value of X and
the correlation coefficient. (A/M 2011)
- Transformation of the random variables
1. If X and Y are independent random variables with density function
1, 1 2
( )
0, otherwise
X
x
f x
s s
=
and
, 2 4
( ) 6
0, otherwise
Y
y
y
f y
s s
>
=
<
and
, 0
( )
0, 0
y
e y
f y
y
>
=
<
= >
2
( ) 2 , 0
y
Y
f y e y
= >
respectively.
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 7
(i) Find the density function of ,
X
U V X Y
X Y
= = +
+
(ii) Are U and V independent?
(iii) What is ( ) 0.5 P U > ?
4. Let ( ) , X Y be a two dimensional random variable and the probability density function
be given by ( , ) , 0 , 1 f x y x y x y = + s s . Find the p.d.f of U XY = . (M/J 2012)
5. If X and Y are independent continuous random variables, show that the pdf of
U X Y = + is given by ( ) ( ) ( )
x y
h u f v f u v dv
=
}
. (N/D 2010)
- Central Limit Theorem
1. A sample of size 100 is taken from a population whose mean is 60 and variance is 400.
Using Central Limit Theorem, find the probability with which the mean of the sample will
not differ from 60 by more than 4. (A/M 2010)
2. The life time of a particular variety of electric bulb may be considered as a random
variable with mean 1200 hours and standard deviation 250 hours. Using central limit
theorem, find the probability that the average life time of 60 bulbs exceeds 1250 hours.
(A/M 2011)
3. Let
1 2 3
, , , ...
n
X X X X be Poisson variates with parameter 2 = and
1 2 3
...
n n
S X X X X = + + + + where 75 n= . Find 120 160
n
p S s s (
using central
limit theorem. (M/J 2012)
4. If
1 2 3
, , , ...
n
X X X X are uniform variates with mean 2.5 = and variance 3 / 4 = , use CLT
to estimate ( ) 108 12.6
n
p S s s where
1 2 3
... , 48
n n
S X X X X n = + + + + = .
(N/D 2011)
5. If , 1, 2, 3...20
i
V i = are independent noise voltages received in an adder and V is the
sum of the voltages received, find the probability that the total incoming voltage V
exceeds 105, using the central limit theorem. Assume that each of the random variables
i
V is uniformly distributed over (0,10). (N/D 2010)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 8
Unit III (Classification of Random Processes)
- Verification of SSS and WSS process
1. Examine whether the random process { } ( ) cos( ) X t A t e u = + is a wide sense
stationary if A and e are constants and u is uniformly distributed random variable in
(0,2). (A/M 2010),(N/D 2011)
2. A random process ( ) X t defined by ( ) cos sin , X t A t B t t = + < < , where
Aand Bare independent random variables each of which takes a value 2 with
probability 1 / 3 and a value 1with probability 2 / 3 . Show that ( ) X t is wide sense
stationary. (A/M 2011)
3. The process { } ( ) X t whose probability distribution under certain condition is given by
{ }
1
1
( )
, 1, 2...
(1 )
( )
, 0
1
n
n
at
n
at
P X t n
at
n
at
+
= =
+
. Find the mean and variance of the process.
Is the process first-order stationary? (N/D 2010),(N/D 2011),(N/D 2012)
4. If { } ( ) X t is a WSS process with autocorrelation ( ) R Ae
o t
t
= , determine the second
order moment of the RV{ } (8) (5) X X . (M/J 2012)
- Ergodic Processes, Mean ergodic and Correlation ergodic
1. The random binary transmission process { } ( ) X t is a wide sense process with zero mean
and autocorrelation function ( ) 1 R
T
t
t = , where T is a constant. Find the mean and
variance of the time average of{ } ( ) X t over (0, T). Is { } ( ) X t mean ergodic?
(A/M 2010)
2. A random process has sample functions of the form ( ) ( ) cos X t A t e u = + , where e is
constant, Ais a random variable with mean zero and variance one and u is a random
variable that is uniformly distributed between 0 and 2t . Assume that the random
variables Aand u are independent. Is ( ) X t is a mean ergodic process?
(A/M 2011)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 9
3. If the WSS process { } ( ) X t is given by ( ) 10cos(100 ) X t t u = + , where u is uniformly
distributed over ( ) , t t , prove that { } ( ) X t is correlation ergodic.
(N/D 2010),(M/J 2012),(N/D 2012)
- Problems on Markov Chain
1. The transition probability matrix of a Markov chain{ } ( ) X t , 1, 2, 3, ... n= having three
states 1, 2, 3 is
0.1 0.5 0.4
0.6 0.2 0.2
0.3 0.4 0.3
P
| |
|
=
|
|
\ .
, and the initial distribution is
| |
(0)
0.7 0.2 0.1 P = , Find ( )
2
3 P X = and ( )
3 2 1 0
2, 3, 3, 2 P X X X X = = = = .
(A/M 2010)
- Poisson process
1. If the process { } ( ); 0 X t t > is a Poisson process with parameter , obtain
| | ( ) P X t n = . Is the process first order stationary? (N/D 2010),(N/D 2012)
2. State the postulates of a Poisson process and derive the probability distribution. Also
prove that the sum of two independent Poisson processes is a Poisson process.
(N/D 2011)
3. If customers arrive at a counter in accordance with a Poisson process with a mean rate
of 2 per minute, find the probability that the interval between 2 consecutive arrivals is
(1) more that 1 minute
(2) between 1 minute and 2 minute and
(3) 4 min. or less. (M/J 2012)
4. Assume that the number of messages input to a communication channel in an interval
of duration t seconds, is a Poisson process with mean 0.3 = . Compute
(1) The probability that exactly 3 messages will arrive during 10 second interval
(2) The probability that the number of message arrivals in an interval of duration 5
seconds is between 3 and 7. (A/M 2010)
5. Prove that the interval between two successive occurrences of a Poisson process with
parameter has an exponential distribution with mean
1
. (A/M 2011)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 10
- Normal (Gaussian) & Random telegraph Process
1. If { } ( ) X t is a Gaussian process with ( ) 10 t = and ( )
1 2
1 2
, 16
t t
C t t e
= , find the
probability that
(1) (10) 8 X s
(2) (10) (6) 4 X X s (A/M 2011)
2. Suppose that ( ) X t is a Gaussian process with 2,
x
= ( )
0.2
5
xx
R e
t
t
= . Find the
probability that (4) 1 X s . (M/J 2012)
3. Prove that a random telegraph signal process ( ) ( ) Y t X t o = is a Wide Sense Stationary
Process when o is a random variable which is independent of ( ) X t , assume value
1 and 1 + with equal probability and
1 2
2
1 2
( , )
t t
XX
R t t e
= . (N/D 2010),(N/D 2012)
Unit IV (Correlation and Spectral densities)
- Auto Correlation from the given process
1. Find the autocorrelation function of the periodic time function of the period time
function { } ( ) sin X t A t e = . (A/M 2010)
- Relationship between ( )
XX
R t and ( )
XX
S e
1. The autocorrelation function of the random binary transmission { } ( ) X t is given by
( ) 1 R
T
t
t = for T t < and ( ) 0 R t = for T t < . Find the power spectrum of the
process { } ( ) X t . (A/M 2010)
2. Find the power spectral density of the random process whose auto correlation function
is
1 , for 1
( )
0, elsewhere
R
t t
t
s
=
| |
+ s
|
\ .
. Find the power spectral density of the process.
(N/D 2011)
5. The Auto correlation function of a WSS process is given by
2 2
( ) R e
t
t o
= determine
the power spectral density of the process. (A/M 2011)
6. Find the power spectral density of a WSS process ( ) X t which has an autocorrelation
0
( ) 1 / ,
xx
R A T T t T t t ( = s s
. (N/D 2012)
7. Find the autocorrelation function of the process { } ( ) X t for which the power spectral
density is given by
2
( ) 1
XX
S e e = + for 1 e < and ( ) 0
XX
S e = for 1 e > .(A/M 2010)
8. The power spectral density function of a zero mean WSS process ( ) X t is given by
0
1,
( )
0, otherwise
S
e e
e
<
=
}
then prove that
(1) ( ) ( )* ( )
XY XX
R R h t t t = where * stands for convolution.
(2)
*
( ) ( ) ( )
XY XX
S S H e e e = . (M/J 2012)
6. Assume a random process ( ) X t is given as input to a system with transfer function
( ) 1 H e =
for
0 0
e e e < < . If the autocorrelation function of the input process is
0
( )
2
N
t o , find the autocorrelation function of the output process. (A/M 2010)
7. If ( ) X t is the input voltage to a circuit and ( ) Y t is the output voltage. { } ( ) X t is a
stationary random process with 0
X
= and
2
( )
XX
R e
t
t
= . Find the mean
Y
and
power spectrum ( )
YY
S e of the output if the system transfer function is given by
1
( )
2
H
i
e
e
=
+
. (N/D 2010),(N/D 2012)
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 14
- Input and Output process with impulse response
1. A system has an impulse response ( ) ( )
t
h t e U t
|
= , find the power spectral density of
the output ( ) Y t corresponding to the input ( ) X t . (N/D 2010),(N/D 2012)
2. A stationary random process ( ) X t having the autocorrelation function
( ) ( )
XX
R A t o t =
is applied to a linear system at time 0 t = where ( ) f t represent the
impulse function. The linear system has the impulse response of ( ) ( )
bt
h t e u t
= where
( ) u t represents the unit step function. Find ( )
YY
R t . Also find the mean and variance of
( ) Y t . (A/M 2011),(M/J 2012)
3. A wide sense stationary random process { } ( ) X t with autocorrelation ( )
a
XX
R e
t
t
=
where A and aare real positive constants, is applied to the input of an Linear
transmission input system with impulse response ( ) ( )
bt
h t e u t
= where b is a real
positive constant. Find the autocorrelation of the output ( ) Y t of the system.(A/M 2010)
4. A linear system is described by the impulse response
1
( ) ( )
t
RC
h t e u t
RC
= . Assume an
input process whose Auto correlation function is ( ) Bo t . Find the mean and Auto
correlation function of the output process. (A/M 2011)
5. Let ( ) X t be a WSS process which is the input to a linear time invariant system with unit
impulse ( ) h t and output ( ) Y t , then prove that
2
( ) ( ) ( )
yy xx
S H S e e e = .
(N/D 2011)
- Band Limited White Noise
1. If
0
( ) cos( ) ( ) Y t A t N t e u = + + , where A is a constant, u is a random variable with a
uniform distribution in ( ) , t t and { } ( ) N t is a band-limited Gaussian white noise
with power spectral density
0
0
, for
( )
2
0, elsewhere
B
NN
N
S
e e e
e
<
=
<
=
s <
. Find
the PDF and mean of X .
5) Establish the memoryless property of the exponential distribution.
6) Find C , if
| |
2
; 1, 2, ...
3
n
P X n C n
| |
= = =
|
\ .
.
7) The probability that a man shooting a target is 1/4. How many times must he fire so that the
probability of his hitting the target atleast once is more than 2/3?
8) An experiment succeeds twice as often as it fails. Find the chance that in the next 4
trials, there shall be at least one success.
9) A continuous random variable X has probability density function
2
3 , 0 1
( )
0, otherwise
x x
f x
s s
=
.
5) Find the acute angle between the two lines of regression, assuming the two lines of
regression.
6) Let X and Y be two discrete random variables with joint probability mass function
( )
( )
1
2 , 1, 2 and 1, 2
, 18
0, otherwise
x y x y
P X x Y y
+ = =
= = =
> >
=
>
.
5) Define white noise.
6) Prove that the system ( ) ( ) ( ) y t h u X t u du
=
}
is a linear time-invariant system.
7) What is unit impulse response of a system? Why is it called so?
8) If ( ) Y t is the output of an linear time invariant system with impulse response ( ) h t , then
find the cross correlation of the input function ( ) X t and output function ( ) Y t .
9) Sate any two properties of a linear time invariant system.
Engineering Mathematics 2013
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 4
10) If { } ( ) X t and { } ( ) Y t in the system ( ) ( ) ( ) Y t h u X t u du
=
}
are WSS process, how are
their auto correlation function related.
----All the Best----
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 1
SUBJECT NAME : Probability & Random Process
SUBJECT CODE : MA 2261
MATERIAL NAME : Formula Material
MATERIAL CODE : JM08AM1007
Name of the Student: Branch:
UNIT-I (RANDOM VARIABLES)
1) Discrete random variable:
A random variable whose set of possible values is either finite or countably
infinite is called discrete random variable.
Eg: (i) Let X represent the sum of the numbers on the 2 dice, when two
dice are thrown. In this case the random variable X takes the values 2, 3, 4, 5, 6,
7, 8, 9, 10, 11 and 12. So X is a discrete random variable.
(ii) Number of transmitted bits received in error.
2) Continuous random variable:
A random variable X is said to be continuous if it takes all possible values
between certain limits.
Eg: The length of time during which a vacuum tube installed in a circuit
functions is a continuous random variable, number of scratches on a surface,
proportion of defective parts among 1000 tested, number of transmitted in
error.
3)
Sl.No. Discrete random variable Continuous random variable
1
( ) 1
i
i
p x
=
=
( ) 1 f x dx
=
}
2
| | ( ) F x P X x = s
| | ( ) ( )
x
F x P X x f x dx
= s =
}
3
| | Mean ( )
i i
i
E X x p x = =
| | Mean ( ) E X xf x dx
= =
}
4
2 2
( )
i i
i
E X x p x ( =
2 2
( ) E X x f x dx
( =
}
5
( ) ( ) ( )
2
2
Var X E X E X ( =
( ) ( ) ( )
2
2
Var X E X E X ( =
6
Moment =
r r
i i
i
E X x p ( =
Moment = ( )
r r
E X x f x dx
( =
}
7 M.G.F M.G.F
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 2
( ) ( )
tX tx
X
x
M t E e e p x ( = =
( ) ( )
tX tx
X
M t E e e f x dx
( = =
}
4)
( ) ( ) E aX b aE X b + = +
5)
( ) ( )
2
Var Var aX b a X + =
6)
( ) ( ) ( )
2 2
Var Var aX bY a X bVar Y = +
7) ( ) Standard Deviation Var X =
8) ( ) ( ) f x F x ' =
9) ( ) 1 ( ) p X a p X a > = s
10) ( )
( )
( )
/
p A B
p A B
p B
= , ( ) 0 p B =
11) If A and B are independent, then ( ) ( ) ( ) p A B p A p B = .
12) 1
st
Moment about origin =
| | E X =
( )
0
X
t
M t
=
( '
(Mean)
2
nd
Moment about origin =
2
E X (
=
( )
0
X
t
M t
=
( ''
The co-efficient of
!
r
t
r
=
r
E X (
(r
th
Moment about the origin)
13) Limitation of M.G.F:
i) A random variable X may have no moments although its m.g.f exists.
ii) A random variable X can have its m.g.f and some or all moments, yet the
m.g.f does not generate the moments.
iii) A random variable X can have all or some moments, but m.g.f does not
exist except perhaps at one point.
14) Properties of M.G.F:
i) If Y = aX + b, then ( ) ( )
bt
Y X
M t e M at = .
ii) ( ) ( )
cX X
M t M ct = , where c is constant.
iii) If X and Y are two independent random variables then
( ) ( ) ( )
X Y X Y
M t M t M t
+
= .
15) P.D.F, M.G.F, Mean and Variance of all the distributions:
Sl.
No.
Distributio
n
P.D.F ( ( ) P X x = )
M.G.F Mean Variance
1 Binomial x n x
x
nc p q
( )
n
t
q pe +
np npq
2 Poisson
!
x
e
x
( )
1
t
e
e
3 Geometric 1 x
q p
(or)
x
q p
1
t
t
pe
qe
1
p
2
q
p
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 3
4 Uniform
1
,
( )
0, otherwise
a x b
f x b a
< <
( )
bt at
e e
b a t
2
a b +
2
( )
12
b a
5 Exponential
, 0, 0
( )
0, otherwise
x
e x
f x
> >
=
2
1
6 Gamma 1
( ) , 0 , 0
( )
x
e x
f x x
= < < >
I
1
(1 ) t
7 Normal
2
1
2
1
( )
2
x
f x e
o
o t
| |
|
\ .
=
2 2
2
t
t
e
o
+
2
o
16) Memoryless property of exponential distribution
( ) ( ) / P X S t X S P X t > + > = > .
17) Function of random variable: ( ) ( )
Y X
dx
f y f x
dy
=
UNIT-II (RANDOM VARIABLES)
1) 1
ij
i j
p =
= =
}
Marginal density function of Y, ( ) ( ) ( , )
Y
f y f y f x y dx
= =
}
7) ( 1) 1 ( 1) P X Y P X Y + > = + <
8) Correlation co efficient (Discrete):
( , )
( , )
X Y
Cov X Y
x y
o o
=
1
( , ) Cov X Y XY XY
n
=
,
2 2
1
X
X X
n
o =
,
2 2
1
Y
Y Y
n
o =
9) Correlation co efficient (Continuous):
( , )
( , )
X Y
Cov X Y
x y
o o
=
( ) ( ) ( ) ( , ) , Cov X Y E X Y E X E Y = , ( )
X
Var X o = , ( )
Y
Var Y o =
10) If X and Y are uncorrelated random variables, then ( , ) 0 Cov X Y = .
11) ( ) ( ) E X xf x dx
=
}
, ( ) ( ) E Y yf y dy
=
}
, ( ) , ( , ) E X Y xyf x y dxdy
=
} }
.
12) Regression for Discrete random variable:
Regression line X on Y is ( )
xy
x x b y y = ,
( ) ( )
( )
2 xy
x x y y
b
y y
=
Regression line Y on X is ( )
yx
y y b x x = ,
( ) ( )
( )
2 yx
x x y y
b
x x
=
Correlation through the regression, .
XY YX
b b = Note: ( , ) ( , ) x y r x y =
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 5
13) Regression for Continuous random variable:
Regression line X on Y is
( ) ( ) ( )
xy
x E x b y E y = ,
x
xy
y
b r
o
o
=
Regression line Y on X is
( ) ( ) ( )
yx
y E y b x E x = ,
y
yx
x
b r
o
o
=
Regression curve X on Y is ( ) ( ) / / x E x y x f x y dx
= =
}
Regression curve Y on X is ( ) ( ) / / y E y x yf y x dy
= =
}
14) Transformation Random Variables:
( ) ( )
Y X
dx
f y f x
dy
= (One dimensional random variable)
( , ) ( , )
UV XY
u u
x y
f u v f x y
v v
x y
c c
c c
=
c c
c c
(Two dimensional random variable)
15) Central limit theorem (Liapounoffs form)
If X
1
, X
2
, X
n
be a sequence of independent R.Vs with E[X
i
] =
i
and Var(X
i
) =
i
2
, i
= 1,2,n and if S
n
= X
1
+ X
2
+ + X
n
then under certain general conditions, S
n
follows a normal distribution with mean
1
n
i
i
=
=
and variance
2 2
1
n
i
i
o o
=
=
as
n.
16) Central limit theorem (Lindberg Levys form)
If X
1
, X
2
, X
n
be a sequence of independent identically distributed R.Vs with E[X
i
]
=
i
and Var(X
i
) =
i
2
, i = 1,2,n and if S
n
= X
1
+ X
2
+ + X
n
then under certain
general conditions, S
n
follows a normal distribution with mean nand variance
2
no as n.
Note:
n
S n
z
n
= ( for n variables),
X
z
n
= .
Note:
( )
var 0
T
T
Lt X
= .
Where
T
Y is the time average of ( ) Y t .
9) Auto covariance function:
( ) ( ) ( ) ( ) ( ) ( )
XX XX
C R E X t E X t t t t = +
10) Mean and variance of time average:
Mean:
| |
0
1
( )
T
T
E X E X t dt
T
( =
}
Variance:
2
2
1
( ) ( )
2
T
T XX XX
T
Var X R C d
T
t t t
( =
}
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 8
11) Markov process:
A random process in which the future value depends only on the present value
and not on the past values, is called a markov process. It is symbolically
represented by
1 1 1 1 0 0
( ) / ( ) , ( ) ... ( )
n n n n n n
P X t x X t x X t x X t x
+ +
s = = = (
1 1
( ) / ( )
n n n n
P X t x X t x
+ +
= s = (
Where
0 1 2 1
...
n n
t t t t t
+
s s s s s
12) Markov Chain:
If for all n,
1 1 2 2 0 0
/ , , ...
n n n n n n
P X a X a X a X a
= = = = (
1 1
/
n n n n
P X a X a
= = = (
then the process
{ }
n
X , 0,1, 2, ... n= is called the
markov chain. Where
0 1 2
, , , ... , ...
n
a a a a are called the states of the markov chain.
13) Transition Probability Matrix (tpm):
When the Markov Chain is homogenous, the one step transition probability is
denoted by P
ij
. The matrix P = {P
ij
} is called transition probability matrix.
14) Chapman Kolmogorov theorem:
If P is the tpm of a homogeneous Markov chain, then the n step tpm P
(n)
is
equal to P
n
. (i.e)
( )
n
n
ij ij
P P ( =
.
15) Markov Chain property: If
( )
1 2 3
, , H= H H H , then P H =H and
1 2 3
1 H + H + H = .
16) Poisson process:
If ( ) X t represents the number of occurrences of a certain event in (0, ) t ,then
the discrete random process { } ( ) X t is called the Poisson process, provided the
following postulates are satisfied.
(i)
| | ( ) 1 occurrence in ( , ) P t t t t O t +A = A + A
(ii)
| | ( ) 0 occurrence in ( , ) 1 P t t t t O t +A = A + A
(iii)
| | ( ) 2 or more occurrences in ( , ) P t t t O t +A = A
(iv) ( ) X t is independent of the number of occurrences of the event in any
interval.
17) Probability law of Poisson process: { }
( )
( ) , 0,1, 2, ...
!
x
t
e t
P X t x x
x
= = =
Mean
| | ( ) E X t t = ,
2 2 2
( ) E X t t t ( = +
,
| | ( ) Var X t t = .
UNIT-IV (CORRELATION AND SPECTRAL DENSITY)
( )
XX
R t - Auto correlation function
( )
XX
S e - Power spectral density (or) Spectral density
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 9
( )
XY
R t - Cross correlation function
( )
XY
S e - Cross power spectral density
1) Auto correlation to Power spectral density (spectral density):
( ) ( )
i
XX XX
S R e d
et
e t t
=
}
2) Power spectral density to Auto correlation:
( ) ( )
1
2
i
XX XX
R S e d
et
t e e
t
=
}
3) Condition for ( ) X t and ( ) X t t + are uncorrelated random process is
| | | | ( ) ( ) ( ) ( ) 0
XX XX
C R E X t E X t t t t = + =
4) Cross power spectrum to Cross correlation:
( ) ( )
1
2
i
XY XY
R S e d
et
t e e
t
=
}
5) General formula:
i) ( )
2 2
cos cos sin
ax
ax
e
e bx dx a bx b bx
a b
= +
+
}
ii) ( )
2 2
sin sin cos
ax
ax
e
e bx dx a bx b bx
a b
=
+
}
iii)
2
2
2
2 4
a a
x ax x
| |
+ = +
|
\ .
iv) sin
2
i i
e e
i
u u
u
=
v) cos
2
i i
e e
u u
u
+
=
UNIT-V (LINEAR SYSTEMS WITH RANDOM INPUTS)
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 10
1) Linear system:
f is called a linear system if it satisfies
( ) ( )
1 1 2 2 1 1 2 2
( ) ( ) ( ) ( ) f a X t a X t a f X t a f X t = (
2) Time invariant system:
Let
( ) ( ) ( ) Y t f X t = . If
( ) ( ) ( ) Y t h f X t h + = + then f is called a time
invariant system.
3) Relation between input ( ) X t and output ( ) Y t :
( ) ( ) ( ) Y t h u X t u du
=
}
Where ( ) h u system weighting function.
4) Relation between power spectrum of ( ) X t and output ( ) Y t :
2
( ) ( ) ( )
YY XX
S S H e e e =
If ( ) H e is not given use the following formula ( ) ( )
j t
H e h t dt
e
e
=
}
5) Contour integral:
2 2
imx
ma
e
e
a x a
t
=
+
}
(One of the result)
6)
1
2 2
1
2
a
e
F
a a
t
e
=
`
+
)
(from the Fourier transform)
---- All the Best ----
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 1
SUBJECT NAME : Probability & Random Process
SUBJECT CODE : MA 2262
MATERIAL NAME : Problem Material
MATERIAL CODE : JM08AM1008
Name of the Student: Branch:
Unit I (Random Variables)
- Problems on Discrete & Continuous R.Vs
1) A random variable X has the following probability function:
X 0 1 2 3 4 5 6
7
P(X) 0 K 2K 2K 3K K
2
2K
2
7K
2
+ K
a) Find K .
b) Evaluate ( ) ( ) 6 , 6 P X P X < > .
c) Find ( ) ( ) ( ) 2 , 3 , 1 5 P X P X P X < > < < .
d) If ( )
1
2
P X C > > , find the minimum value of C .
e) ( ) 1.5 4.5/ 2 P X X < < >
2) The probability function of an infinite discrete distribution is given by
( )
1
, 1, 2, 3...
2
j
P X j j = = = . Find the mean and variance of the distribution.
Also find ( ) X is even P , ( ) 5 P X > and ( ) X is divisible by 3 P .
3) Suppose that X is a continuous random variable whose probability density function is
given by
( )
2
4 2 , 0 2
( )
0, otherwise
C x x x
f x
< <
. Find (i)
1
2
P X
| |
>
|
\ .
(ii)
1 3
2 4
P X
| |
< <
|
\ .
(iii)
3 1
/
4 2
P X X
| |
> >
|
\ .
(iv)
3 1
/
4 2
P X X
| |
< >
|
\ .
.
6) If a random variable X has the p.d.f
1
, 2
( ) 4
0, otherwise
x
f x
<
. Find (a)
( ) 1 P X <
(b)
( )
1 P X > (c)
( ) 2 3 5 P X + >
7) The amount of time, in hours that a computer functions before breaking down is a
continuous random variable with probability density function given by
100
, 0
( )
0, 0
x
e x
f x
x
>
=
<
= < s
>
>
=
<
.
i) What is the expected life time of the equipment?
ii) What is the variance of the life time of the equipment?
- Moments and Moment Generating Function
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 3
1) Find the moment generating function of R.V X whose probability function
1
( ) , 1, 2, ...
2
x
P X x x = = = Hence find its mean and variance.
2) The density function of random variable X is given by ( ) (2 ), 0 2 f x Kx x x = s s .
Find K, mean, variance and rth moment.
3) Let X be a R.V. with p.d.f
3
1
, 0
( )
3
0, Otherwise
x
e x
f x
>
=
. Using
the generating function find the first four moments about the origin.
5) Define Binomial distribution and find the M.G.F, Mean and Variance of the Binomial
distribution.
6) Define Poisson distribution and find the M.G.F, Mean and Variance of the Poisson
distribution.
7) Define Geometric distribution and find the M.G.F, Mean and Variance of the
Geometric distribution.
8) Write the pdf of Uniform distribution and find the M.G.F, Mean and Variance.
9) Define Exponential distribution and find the M.G.F, Mean and Variance of the
Exponential distribution.
10) Define Gamma distribution and find the M.G.F, Mean and Variance of the Gamma
distribution.
11) Define Normal distribution and find the M.G.F, Mean and Variance of the Normal
distribution.
- Problems on distributions
1) The mean of a Binomial distribution is 20 and standard deviation is 4. Determine the
parameters of the distribution.
2) If 10% of the screws produced by an automatic machine are defective, find the
probability that of 20 screws selected at random, there are (i) exactly two defectives
(ii) atmost three defectives (iii) atleast two defectives and (iv) between one and
three defectives (inclusive).
3) In a certain factory furning razar blades there is a small chance of 1/500 for any
blade to be defective. The blades are in packets of 10. Use Poisson distribution to
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 4
calculate the approximate number of packets containing (i) no defective (ii) one
defective (iii) two defective blades respectively in a consignment of 10,000 packets.
4) The number of monthly breakdown of a computer is a random variable having a
Poisson distribution with mean equally to 1.8. Find the probability that this
computer will function for a month
a) Without a breakdown
b) With only one breakdown and
c) With atleast one breakdown.
5) Prove that the Poisson distribution is a limiting case of binomial distribution.
6) If the mgf of a random variable X is of the form
8
(0.4 0.6)
t
e + , what is the mgf of
3 2 X + . Evaluate ( ) E X .
7) A discrete R.V. X has moment generating function
5
1 3
( )
4 4
t
X
M t e
| |
= +
|
\ .
. Find
( ) E X , ( ) Var X and ( ) 2 P X = .
8) If X is a binomially distributed R.V. with ( ) 2 E X = and
4
( )
3
Var X = , find
| | 5 P X = .
9) If X is a Poisson variate such that
| | | | | | 2 9 4 90 6 P X P X P X = = = + = , find the
mean and variance.
10) The number of personal computer (PC) sold daily at a CompuWorld is uniformly
distributed with a minimum of 2000 PC and a maximum of 5000 PC. Find the
following
(i) The probability that daily sales will fall between 2,500 PC and 3,000 PC.
(ii) What is the probability that the CompuWorld will sell at least 4,000 PCs?
(iii) What is the probability that the CompuWorld will exactly sell 2,500 PCs?
11) Suppose that a trainee soldier shoots a target in an independent fashion. If the
probability that the target is shot on any one shot is 0.8. (i) What is the probability
that the target would be hit on 6
th
attempt? (ii) What is the probability that it takes
him less than 5 shots? (iii) What is the probability that it takes him an even number
of shots?
12) A die is cast until 6 appears. What is the probability that it must be cast more than 5
times?
13) The length of time (in minutes) that a certain lady speaks on the telephone is found
to be random phenomenon, with a probability function specified by the function.
5
, 0
( )
0, otherwise
x
Ae x
f x
>
=
, find the
probability density function of 2X 3.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 6
2) If X is a uniformly distributed RV in ,
2 2
t t | |
|
\ .
, find the pdf of tan Y X = .
3) If X has an exponential distribution with parameter 1, find the pdf of Y X = .
4) If X is uniformly distributed in
( ) 1,1 , find the pdf of sin
2
X
Y
t | |
=
|
\ .
.
5) If the pdf of X is ( ) , 0
x
f x e x
. Find (i)
1
2
P X
| |
>
|
\ .
; (ii) ( ) P Y X < ; (iii)
1 1
/
2 2
P Y X
| |
< <
|
\ .
. Check whether the conditional density functions are valid.
5) The joint p.d.f of the random variable (X,Y) is given by
( )
2 2
( , ) , 0 ,
x y
f x y Kxye x y
+
= < < . Find the value of K and Prove that X and Y
are independent.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 7
6) If the joint distribution function of X and Y is given by
( ) ( )
( , ) 1 1 , 0, 0
x y
F x y e e x y
= > > and "0" otherwise . (i) Are X and Y
independent? (ii) Find
( ) 1 3, 1 2 P X Y < < < < .
- Covariance, Correlation and Regression
1) Define correlation and explain varies type with example.
2) Find the coefficient of correlation between industrial production and export using
the following data:
Production (X) 55 56 58 59 60 60
62
Export (Y) 35 38 37 39 44 43
44
3) Let X and Y be discrete random variables with probability function
( , ) , 1, 2, 3; 1, 2
21
x y
f x y x y
+
= = = . Find (i) ( ) , Cov X Y (ii) Correlation co
efficient.
4) Two random variables X and Y have the following joint probability density function.
2 , 0 1, 0 1
( , )
0, otherwise
x y x y
f x y
s s s s
=
4 , 0 1
( )
0, otherwise
Y
by y
f y
s s
=
4 , 0 1
( )
0, otherwise
Y
by y
f y
s s
=
> >
=
. Find the
density function of
2 2
U X Y = + .
3) X and Y be independent exponential R.Vs. with parameter 1. Find the j.p.d.f of
U X Y = + and
X
V
X Y
=
+
.
(Or) (The above problem may be ask as follows)
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 9
The waiting times X and Y of two customers entering a bank at different times are
assumed to be independent random variables with respective probability density
functions.
, 0
( )
0, otherwise
x
e x
f x
>
=
and
, 0
( )
0, otherwise
y
e y
f y
>
=
Find the joined p.d.f of the sum of their waiting times, U X Y = + and the fraction of
this time that the first customer spreads waiting, i.e
X
V
X Y
=
+
. Find the marginal
p.d.fs of U and V and show that they are independent.
(Or)
If X and Y are independent random variable with pdf , 0
x
e x
> and , 0
y
e y
> >
=
, and
X
Y e
= , find
the p.d.f of the R.V. Y.
9) If the joint p.d.f of the R.Vs X and Y is given by
2, 0 1
( , )
0, otherwise
x y
f x y
< < <
=
find the
p.d.f of the R.V.
X
U
Y
= .
10) Let X be a continuous random variable with p.d.f
, 1 5
( ) 12
0, otherwise
x
x
f x
< <
, find the
probability density function of 2X 3.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 10
- Central Limit Theorem
1) If
1 2
, , ...
n
X X X are Poisson variables with parameter 2 = , use the Central Limit
Theorem to estimate (120 160)
n
P S < < where
1 2
...
n n
S X X X = + + + and
75 n = .
2) The resistors
1 2 3 4
, , and r r r r are independent random variables and is uniform in
the interval (450 , 550). Using the central limit theorem, find
1 2 3 4
(1900 2100) P r r r r s + + + s .
3) Let
1 2 100
, ,... X X X be independent identically distributed random variables with
2 = and
2
1
4
o = . Find
1 2 100
(192 ... 210) P X X X < + + + s .
4) Suppose that orders at a restaurant are iid random variables with mean .8 Rs =
and standard deviation .2 Rs o = . Estimate (i) the probability that first 100
customers spend a total of more than Rs.840 (ii)
1 2 100
(780 ... 820) P X X X < + + + s .
5) The life time of a certain brand of a Tube light may be considered as a random
variable with mean 1200 h and standard deviation 250 h. Find the probability, using
central limit theorem, that the average life time of 60 light exceeds 1250 h.
6) A random sample of size 100 is taken from a population whose mean is 60 and
variance is 400. Using Central limit theorem, with what probability can we assert
that the mean of the sample will not differ from 60 = by more than 4.
7) A distribution with unknown mean has variance equal to 1.5. Use central limit
theorem to determine how large a sample should be taken from the distribution in
order that the probability will be at least 0.95 that the sample mean will be within
0.5 of the population mean.
Unit III (Classification of Random Processes)
- Verification of SSS and WSS process
1) Define the following:
a) Markov process.
b) Independent increment random process.
c) Strict sense stationary process.
d) Second order stationary process.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 11
2) Classify the random process and give example to each.
3) Let cos( ) sin( )
n
X A n B n = + where Aand Bare uncorrelated random variables
with
( ) ( ) 0 E A E B = = and
( ) ( ) 1 Var A Var B = = . Show that
n
X is covariance
stationary.
4) A stochastic process is described by ( ) sin cos X t A t B t = + where Aand Bare
independent random variables with zero means and equal standard deviations show
that the process is stationary of the second order.
5) If ( ) cos sin X t Y t Z t e e = + , where Y and Z are two independent random variables
with
2 2 2
( ) ( ) 0, ( ) ( ) E Y E Z E Y E Z o = = = = and e is a constants. Prove that
{ } ( ) X t is a strict sense stationary process of order 2 (WSS).
6) At the receiver of an AM radio, the received signal contains a cosine carrier signal at
the carrier frequency
0
e with a random phase u that is uniformly distributed over
( ) 0, 2t . The received carrier signal is
( )
0
( ) cos X t A t e u = + . Show that the
process is second order stationary.
7) The process
{ } ( ) : X t t T e whose probability distribution, under certain conditions,
is given by ( )
( )
1
1
( )
, 1, 2...
1
( )
, 0
1
n
n
at
n
at
P X t n
at
n
at
+
= =
+
. Show that it is not stationary .
- Ergodic Processes, Mean ergodic and Correlation ergodic
1) Consider the process ( ) cos sin X t A t B t e e = + where Aand Bare random variables
with ( ) ( ) 0 E A E B = = and ( ) 0 E AB = . Prove that { } ( ) X t is mean ergodic.
2) Prove that the random processes ( ) ( ) cos X t A t e u = + where A and e are
constants and u is uniformly distributed random variable in ( ) 0, 2t is correlation
ergodic.
3) Consider the random process { } ( ) X t with
( )
2
( ) cos X t A A t | = + , where| is a
uniformly distributed random variable in( ) , t t . Prove that { } ( ) X t is correlation
ergodic.
Note: The same problem they may ask by putting 10 A= .
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 12
4) Let
{ } ( ) X t be a WSS process with zero mean and auto correlation function
( ) 1
XX
R
T
t
t = , where T is a constant. Find the mean and variance of the time
average of
{ } ( ) X t over
( ) 0,T . Is
{ } ( ) X t mean ergodic?
Note: The same problem they may ask by putting 1 T = .
5) Given that the autocorrelation function for a stationary ergodic process with no
periodic components is
2
4
( ) 25
1 6
XX
R t
t
= +
+
. Find the mean and variance of the
process
{ } ( ) X t .
- Problems on Markov Chain
6) Consider a Markov chain
{ } ; 1
n
X n> with state space
{ } 1, 2 S= and one step
transition probability matrix
0.9 0.1
0.2 0.8
P
| |
=
|
\ .
.
i) Is chain irreducible?
ii) Find the mean recurrence time of states 1 and 2.
iii) Find the invariant probabilities.
7) A raining process is considered as two state Markov chain. If it rains, it is considered
to be state 0 and if it does not rain, the chain is in state 1. The transitions probability
of the Markov chain is defined as
0.6 0.4
0.2 0.8
P
| |
=
|
\ .
. Find the probability that it will
rain for 3 days. Assume the initial probabilities of state 0 and state 1 as 0.4 and 0.6
respectively.
8) A person owning a scooter has the option to switch over to scooter, bike or a car
next time with the probability of (0.3, 0.5, 0.2). If the transition probability matrix is
0.4 0.3 0.3
0.2 0.5 0.3
0.25 0.25 0.5
| |
|
|
|
\ .
. What are the probabilities vehicles related to his fourth
purchase?
9) Assume that a computer system is in any one of the three states: busy, idle and
under repair respectively denoted by 0, 1, 2. Observing its state at 2 pm each day,
we get the transition probability matrix as
0.6 0.2 0.2
0.1 0.8 0.1
0.6 0 0.4
P
| |
|
=
|
|
\ .
. Find out the 3
rd
step transition probability matrix. Determine the limiting probabilities.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 13
10) Two boys
1
B and
2
B and two girls
1
G and
2
G are throwing a ball from one to the
other. Each boys throws the ball to the other boy with probability 1/2 and to each
girl with probability 1/4. On the other hand each girl throws the ball to each boy
with probability 1/2 and never to the other girl. In the long run, how often does each
receive the ball?
11) A housewife buys 3 kinds of cereals A, B, C. She never buys the same cereal in
successive weeks. If she buys cereal A, the next week she buys cereal B. However if
she buys B or C the next week she is 3 times as likely to buy A as the other cereal.
How often she buys each of the 3 cereals?
12) Three boys A, B, C are throwing a ball each other. A always throws the ball to B and
B always throws the ball to C, but C is just as likely to throw the ball to B as to A. Find
the transition matrix and classify the states.
13) The transition probability matrix of a Markov chain
{ }
1,2,3...
n
n
X
=
having 3 states 1, 2
and 3 is
0.1 0.5 0.4
0.6 0.2 0.2
0.3 0.4 0.3
P
| |
|
=
|
|
\ .
and the initial distribution is ( )
(0)
0.7, 0.2, 0.1 P = . Find
( )
2
3 P X = and
( )
3 2 1 0
2, 3, 3, 2 P X X X X = = = = .
14) The tpm of a Markov chain with three states 0, 1, 2 is
3 / 4 1/ 4 0
1/ 4 1/ 2 1/ 4
0 3 / 4 1/ 4
P
| |
|
=
|
|
\ .
and
the initial state distribution of the chain is
( )
0
1/ 3, 0,1, 2 P X i i = = = . Find (i)
( )
2
2 P X = and (ii)
( )
3 2 1 0
1, 2, 1, 2 P X X X X = = = = .
- Poisson process
1) Define Poisson process and obtain its probability distribution.
2) Prove that the Poisson process is Covariance stationary.
3) Show that the sum of two independent Poisson process is a Poisson process.
4) Suppose that customers arrive at a bank according to a Poisson process with a mean
rate of 3 per minute; find the probability that during a time interval of 2 mins.
(i) Exactly 4 customers arrive and
(ii) More than 4 customers arrive.
5) If customers arrive at a counter in accordance with a Poisson process with a mean
rate of 3 per minute, find the probability that the interval between 2 consecutive
arrivals is
(i) more than 1 minute
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 14
(ii) between 1 minute and 2 minutes
(iii) 4 minutes or less
6) A radar emits particles at the rate of 5 per minute according to Poisson distribution.
Each particles emitted has probability 0.6. Find the probability that 10 particles are
emitted in a 4 minutes period.
7) Queries presented in a computer data base are following a Poisson process of rate
6 = queries per minute. An experiment consists of monitoring the data base for
m minutes and recording ( ) N m the number of queries presented
i) What is the probability that no queries in a one minute interval?
ii) What is the probability that exactly 6 queries arriving in one minute
interval?
iii) What is the probability of less than 3 queries arriving in a half minute
interval?
- Normal (Gaussian) & Random telegraph Process
1) Let { } ( ) X t is a Gaussian random process with { } ( ) 10 X t = and
1 2
1 2
( , ) 16
t t
XX
C t t e
= . Find the probability that (i) (10) 8 X s (ii) (10) (6) 4 X X s .
2) Prove that a random telegraph signal process ( ) ( ) Y t X t o = is a wide sense
stationary process when o is a random variable which is independent of ( ) X t ,
assume values 1 and 1 + with equal probability and
1 2
2 ( )
1 2
( , )
t t
XX
R t t e
= .
Unit IV (Correlation and Spectral densities)
Section I
1) Determine the mean and variance of process given that the auto correlation
function ( )
2
4
25
1 6
XX
R t
t
= +
+
.
2) A stationary random process has an auto correlation function and is given by
( )
2
2
25 36
6.25 4
XX
R
t
t
t
+
=
+
. Find the mean and variance of the process.
3) If { } ( ) X t and { } ( ) Y t are two random processes then ( ) (0) (0)
XY XX YY
R R R t s
where ( )
XX
R t and ( )
YY
R t are their respective auto correlation function.
4) If { } ( ) X t and { } ( ) Y t are two random processes then
1
( ) (0) (0)
2
XY XX YY
R R R t s + (
where ( )
XX
R t and ( )
YY
R t are their respective auto correlation function.
Section II
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 15
5) State and Prove Wiener Khinchine theorem.
6) The auto correlation of a stationary random process is given by
( ) , 0
b
XX
R ae b
t
t
= > . Find the spectral density function.
7) The auto correlation of the random binary transmission is given by
1 ,
( )
0,
XX
for T
R T
for T
t
t
t
t
>
=
>
.
8) Show that the power spectrum of the auto correlation function 1 e
ot
o t
(
is
( )
3
2
2 2
4o
o e +
.
9) Find the power spectral density of a WSS process with auto correlation function
2
( ) , 0
XX
R e
ot
t o
= > .
10) Find the power spectral density of the random process, if its auto correlation
function is given by ( ) cos
XX
R e
ot
t |t
= .
11) Find the power spectral density function whose auto correlation function is given by
2
0
( ) cos( )
2
XX
A
R t e t = .
Section III
12) If the power spectral density of a WSS process is given by
( )
,
( )
0,
XX
b
a a
a S
a
e e
e
e
>
. Find ( )
XX
R t and show that ( ) X t and X t
a
t | |
+
|
\ .
are
uncorrelated.
14) Find the autocorrelation function of the process { } ( ) X t , for which the spectral
density is given by
2
1 , 1
( )
0, 1
S
e e
e
e
+ s
=
>
.
Engineering Mathematics Material 2012
Prepared by C.Ganesan, M.Sc., M.Phil., (Ph:9841168917) Page 16
15) The cross power spectrum of real random processes
{ } ( ) X t and
{ } ( ) Y t is given by
, 1
( )
0, elsewhere
XY
a jb
S
e e
e
+ <