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Unit.4. Correlation and spectral densities

PROBABILITY AND RANDOM PROCESSES (MA2261)

SEMESTER –IV
UNIT-IV: CORRELATION AND SPECTRAL DENSITIES
QUESTION BANK ANSWERS

PART-A
Problem1. Define autocorrelation function and prove that for a WSS process  X  t  ,
RXX     RXX   2.State any two properties of an autocorrelation function.
Solution:
Let  X  t  be a random process. Then the auto correlation function of the process
 X  t  is the expected value of the product of any two members X  t1  and X  t2  of
the process and is given by RXX  t1 , t2   E  X  t1  X  t2   or
RXX  t , t     E  X  t  X  t    
For a WSS process  X  t  , RXX    E  X  t  X  t    
 RXX     E  X  t  X  t      E  X  t    X  t    R  t    t   R  
Problem 2. State any two properties of an autocorrelation function.
Solution:
The process  X  t  is stationary with autocorrelation function R   then
( i ) R   is an even function of 
( ii ) R   is maximum at   0 i.e., R    R  0 
Problem 3. Given that the autocorrelation function for a stationary ergodic process with
4
no periodic components is R    25  . Find the mean and variance of the
1  6 2
process  X  t  .
Solution:
Lt Lt 4
 x2  R    25   25
    1  6 2
 x  5
E  X 2  t    RXX  0   25  4  29
Var  X  t    E  X 2  t    E  X  t    29  25  4
2

Problem 4. Find the mean and variance of the stationary process  X  t  whose
25  36
2
autocorrelation function R    .
6.25 2  4
Solution:

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Unit.4. Correlation and spectral densities

36
25  2
25 2  36 
R    
6.25 2  4 6.25  4
2
Lt 25 2500
 x2  R     4
  6.25 625
x  2
36
E  X 2  t    RXX  0   9
4
 
2
Var  X  t    E  X  t    E  X  t    9  4  5
2

Problem 5. Define cross-correlation function and mention two properties.

Solution:
The cross-correlation of the two process  X  t  and Y  t  is defined by
RXY  t1 , t2   E  X  t1  Y  t2  
Properties: The process  X  t  and Y  t  are jointly wide-sense stationary with the
cross-correlation function RXY   then
(i ) RYX    RXY   
(ii ) RXY    RXX  0  RYY  0 

Problem 6. Find the mean – square value of the process  X  t  if its autocorrelation
2

function is given by R    e 2
.
Solution:
  
2

Mean-Square value  E  X  t    RXX  0    e 2   1

2
 
  0
Problem 7. Define the power spectral density function (or spectral density or power
spectrum) of a stationary process?
Solution:
If  X  t  is a stationary process (either in the strict sense or wide sense with auto
correlation function R   , then the Fourier transform of R   is called the power
spectral density function of  X  t  and denoted by S XX   or S    or S X  

Thus S     R   e
 i
d

Problem 8. State any two properties of the power spectral density function.
Solution:
(i). The spectral density function of a real random process is an even function.

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Unit.4. Correlation and spectral densities

(ii). The spectral density of a process  X  t  , real or complex, is a real function of  and
non-negative.
Problem 9. State Wiener-Khinchine Theorem.
Solution:
If X T    is the Fourier transform of the truncated random process defined as
 X  t  for t  T
X T t   
0 for t  T
Where  X  t  is a real WSS Process with power spectral density function S    , then

S   
Lt  1

T    2T
2 
E X T   

 
Problem 10. If R    e
2   
is the auto Correlation function of a random
process  X  t  , obtain the spectral density of  X  t  .
Solution:

S     R   e
 i
d


 e
2  
 cos  isin  d


 2 e2 cos d
0

 2e 2  
2 
 2 2 cos   sin  
 4   0
4
S    2
4   2
Problem 11. The Power spectral density of a random process  X  t  is given by
 ,   1
S XX     Find its autocorrelation function.
0, elsewhere
Solution:

1
RXX     S XX   ei d 
2 
1
1
 
2 1
 ei d
1
1  ei 
 
2  i  1
1  ei  e i 
  
2  i 

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Unit.4. Correlation and spectral densities

1  ei  e i  sin
 
  2i  
Problem 12. Define cross-Spectral density.
Solution:
The process  X  t  and Y  t  are jointly wide-sense stationary with the cross-
correlation function RXY   , then the Fourier transform of RXY  T  is called the cross
spectral density function of  X  t  and Y  t  denoted as S XY   

Thus S XY     R  e
XY
 i
d

Problem 13. Find the auto correlation function of a stationary process whose power
 2 for   1
spectral density function is given by s      .
 0 for   1
Solution:

1
R     S   ei d 
2 
1
1
    cos   i sin  d
2

2 1
1 1
 2  sin 
1    cos     sin  
   .cos  d 
2
     2    2 
1     
2
  
3
0
1   sin  2 cos  2sin  
R      
  2  3 
1
Problem 14. Given the power spectral density : S xx    , find the average power
4  2
of the process.
Solution:

1
R     S  e d
i

2 

1  1  i

2   4   2 e d
Hence the average power of the processes is given by
E  X 2  t    R  0 

1 d

2  4 

2


1 d
 2 2
2 0 2   2

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Unit.4. Correlation and spectral densities


1 1   
  tan 1   
 2  2  0
1   1
   0  .
 4  4
Problem 15. Find the power spectral density of a random signal with autocorrelation
 
function e .
Solution:

S     R  e
 i
d



 e  cos   i sin   d
 



 2 e
 
cos  d
0

 e  
2 
 2 2  cos    sin   
  0
 1  2
2 
 2 0  2     2
     
2

PART-B
Problem 16. a). If  X  t  is a W.S.S. process with autocorrelation function RXX   and
if Y  t   X  t  a   X  t  a  .Show that RYY    2 RXX    RXX   2a   RXX   2a  .
Solution:
Ryy    E  y  t  y  t    


 E  X  t  a   X  t  a    X  t    a   X  t    a   
 E  X  t  a  X  t    a    E  X  t  a  X  t    a  
 E  X  t  a  X  t    a    E  X  t  a  X  t    a  
 Rxx    E  X  t  a  X  t  a    2a  
 E  X  t  a  X  t  a    2a    Rxx  
 2 Rxx    Rxx   2a   Rxx   2a 
b). Assume a random signal Y  t   X  t   X  t  a  where X  t  is a random signal and
' a ' is a constant. Find RYY   .
Solution:
RYY    E Y  t  Y  t    


 E  X  t   X  t  a    X  t     X  t    a  

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Unit.4. Correlation and spectral densities

 E  X  t  X  t      E  X  t  X  t    a  
 E  X  t  a  X  t      E  X  t  a  X  t    a  
 Rxx    Rxx   a   Rxx   a   Rxx  
Ryy    2 Rxx    Rxx   a   Rxx   a 
Problem 17. a). If  X  t  and Y  t  are independent WSS Processes with zero means,
find the autocorrelation function of Z  t  , when (i ) Z  t   a  bX  t   C Y  t  ,
(ii ) Z  t   aX  t  Y  t  .
Solution:
Given E  X  t    0 , E Y  t   0 ---------(1)
{ X (t )} and {Y (t )} are independent
E  X  t  Y  t   E  X  t  Y  t    0 -------(2)
(i). RZZ    E  Z  t  Z  t    


 E  a  bX  t   cY  t    a  bX  t     cY  t    
 E a 2
 ab X  t     acY  t     baX  t   b 2 X  t  X  t   
 bc X  t  Y  t     caY  t   cbY  t  X  t     c 2 y  t  y  t   
 E  a 2   abE  X  t      acE Y  t      baE  X  t    b2 E  X  t  X  t    
 bc E  X  t  y  t      caE Y  t    cbE Y  t  X  t      c 2 E Y  t  Y  t    
 a 2  b 2 RXX    c 2 RYY  
RZZ    E  Z  t  Z  t    

 E  aX  t  Y  t  aX  t    Y  t    
 E  a 2 X  t  X  t    Y  t  Y  t    
 a 2 E  X  t  X  t     E Y  t  Y  t    
RZZ    a 2 RXX   RYY  
b). If  X  t  is a random process with mean 3 and autocorrelation Rxx    9  4e
0.2 
.
Determine the mean, variance and covariance of the random variables Y  X  5  and
Z  X  8 .
Solution:
Given Y  X  5 & Z  X  8  , E  X  t    3 --------- (1)
Mean of Y  E Y   E  X  5   3
Mean of Z  E  Z   E  X  8   3
We know that

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Unit.4. Correlation and spectral densities

Var Y   E Y 2    E Y  
2

E Y 2   E  X 2  5  
But E  X 2  t    RXX  0 
 9  4e 0.2101
 9  4  13
Thus Var Y   13   3  13  9  4
2

Var  Z   E  Z 2    E  Z  
2

E  Z 2   E  X 2  8    Z  X  8  
 RXX  0 
 9  4  13
Hence Var  Z   13   32   13  9  4
E YZ   R  5,8   9  4e
0.2 58
 R  t , t   9  4e
1 2
0.2 t1 t2

 9  4e 0.6
Covariance  R  t1 , t2   E  X  t1   E  X  t2  
 R  5,8   E 5 E 8
 9  4e 0.6   3  3   4e 0.6  2.195
Problem 18. a). The autocorrelation function for a stationary process is given by
2
Rxx    9  2e . Find the mean value of the random variable Y   X  t  dt and


variance of X  t  .
Solution:
Given Rxx    9  2e


Mean of X  t  is given by
Lt
X  E  X  t    R  
2 2

   xx
Lt

 

9  2e   
2
X 9
X 3
Also E  X 2  t    RXX  0   9  2e  9  2  11
0

Var  X  t   E  X 2  t     E  X  t   
2

 11  32  11  9  2
Mean of Y  t   E Y  t  

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Unit.4. Correlation and spectral densities

2 
 E   X  t  dt 
0 
2
  E  X  t   dt
0
2
  3dt  3  t 0  6
2

 E Y  t    6
b). Find the mean and autocorrelation function of a semi random telegraph signal process.
Solution:
Semi random telegraph signal process.
If N  t  represents the number of occurrences of a specified event in  0,t 
, then  X  t  is called the semi random signal process and N  t  is a
N t 
and X  t    1
poisson process with rate  .
By the above definition X  t  can take the values  1 and 1 only
P  X  t   1  P  N  t  is even 
e  t  t 
k

 
K  even K!
  t 2
 t

 e 1   ...
 2 
P  X  t   1  e cosht
 t

P  X  t   1  P  N  t  is odd 
e  t  t 
k

 
K  odd K!
  t  
3
 t
 e  t   ...
 3! 
 t
 e sinht
Mean  X  t    K P  X  t   K 
K 1,1

 1 e cosht  (1)  e t sinht

 t

 e  t  cosh t  sinht 
 e 2 t  cosh t  sinht  e t 
R    E  X  t  X  t    
 1 P  X  t  X  t     1  1 P  X  t  X  t     1

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Unit.4. Correlation and spectral densities

     
n n

 
n  even
e
n!
 e
t

n  odd
 t

n!
 e cosh  e  sinh
 

 e    cosh  sinh 
 e   e  
R    e 2 
Problem 19. a). Find Given the power spectral density of a continuous process as
2  9
S XX    4
  5 2  4
find the mean square value of the process.
Solution:
We know that mean square value of  X  t 

1
 E  X  t  2
 S   d 
XX
2 

1 2  9

2   4  5 2  4  d

1 2  9
 .2 4 d
2 0   5 2  4

1 2  9
 0  4   2  4 2  4
 d

1 2  9
 0  2  2  1  4  2  1
 d


1 2  9
i.e., E  X 2  t   0  2  4  2  1d

let 2  u
2  9 u9
 We have 
  4   1  u  4  u  1
2 2

4  9 1  9
5 8
 4  1  1  4    ….Partial fractions
u4 u 1 3  u  4  3  u  1
2  9 5 8
i.e.,  
  4   1 3   4 3  2  1
2 2 2

 From (1),
1  5 8 

1
E  X 2  t   0 3   2  4   2  1 d
 

 

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Unit.4. Correlation and spectral densities


 11 1  
 5. 2 tan 2  8 tan  
1

3 0

1  5    
     8   0
3  2  2   2  
1  5  1  11 
 .    8   
3 2  2  6 2 
11
E  X 2  t   .
12
b). If the 2n random variables Ar and Br are uncorrelated with zero mean and
E  Ar2   E  Br2    r2 . Find the mean and autocorrelation of the process
n
X  t    Ar cos r t  Br sin r t .
r 1
Solution:
 
Given E  Ar   E  Br   0 & E Ar2  E Br2   r2  
 n

Mean: E  X  t      Ar cosr t  Br sinr t 
 r 1 
n
   E  Ar  cosr t  E  Br  sinr t 
r 1

E  X  t    0  E  Ar   E  Br   0
Autocorrelation function:
R    E  X  t  X  t    
 n n
 E   Ar cosr t  Br sinr t   As coss  t     Bs sins  t    
 r 1 s 1
Given 2n random variables Ar and Br are uncorrelated
E  Ar As  , E  Ar Bs  , E  Br As  , E  Br , Bs  are all zero for r  s
n
  E  Ar2  cosr t cosr t  t     E  Br2  sinr tsinr  t   
r 1
n
   r2cosr  t  t   
r 1
n
   r2 cosr   
r 1
n
R      r2cosr
r 1

Problem 20. a). If  X  t  is a WSS process with autocorrelation R    Ae

 
,
determine the second – order moment of the random variable X  8   X  5  .
Solution:

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Unit.4. Correlation and spectral densities

Given R    Ae
 

R  t1 , t2   Ae
 t1 t2

E  X 2  t    RXX  0   Ae
 0
A
 E  X  8   X  5    E  X 2 8    E  X 2  5   2 E  X 8  X  5   
2

E  X 2  8   E  X 2  5    A
Also E  X  8 X  5    R  8,5   Ae
 85
 Ae 3
Substituting (2), (3) in (1) we obtain
E  X  8   X  5    A  A  2 Ae 3
2

 2 A  2 Ae 3

 2 A 1  e 3 .
b). Two random process  X  t  and Y  t  are given by
X  t   A cos  t    , Y  t   A sin t    where A &  are constants and  is a
uniform random variable over 0 to 2  . Find the cross-correlation function.
Solution:
RXY    E  X  t  Y  t    
 E  Acos t    Asin   t       
 A2 E  sin t      cos t   
1
 is a uniform random variables f    , 0    2
2
2
A2
 RXY     sin t      cos t    d
2 0

A2 2
 sin  2t    2   sin  t  

2  
0
2
 d

2
A  cos  2t    2 
2

    sin t  
4  2 0
2
A
  0  2 sin 
4
A2
 sin
2
Problem 21. a). Find the cross-correlation function of
W  t   A  t   B  t  & Z  t   A  t   B  t  where A  t  and B  t  are statistically
independent random variables with zero means and autocorrelation function
 
RAA   e ,       , RBB   3e       respectively.
Solution:

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Unit.4. Correlation and spectral densities

Given E  A  t    0, E  B  t    0
 A  t  & B  t  are independent
RAB    E  A  t  B  t      E  A  t   E  B  t      0
Similarly RBA    E  B  t  A  t      E  B  t   E  A  t      0
 RWZ    E W  t  Z  t    


 E  A  t   B  t    A  t     B  t     
 E  A  t  A  t     A  t  B  t     B  t  A  t     B  t  B  t    
 E  A  t  A  t      E  A  t  B  t      E  B  t  A  t      E  B  t  B  t    
 RAA    RAB    RBA    RBB  
 RAA    RBB  
 
 e  3e
RWZ    2e


b). The random processes  X  t  and Y  t  defined by

X  t   A cos t  B sin t , Y  t   B cos t  A sin t where A & B are uncorrelated zero
mean random variables with same variance find its autocorrelation function.
Solution:
 
Given E  A   E  B   0 & E A2  E B 2   2  
Also A and B are uncorrelated i.e., E  AB   0
RXY    E  X  t  Y  t    


 E  Acost  B sint   B cos  t     Asin  t     
 ABcostcos  t     A2costsin  t    
 E 2 
  B sintcos  t     BAsintsin  t    
 E  AB  costcos  t     E  A2  costsin  t   
 E  B 2  sintcos  t     E  BA  sintsin  t   
 E  B 2  sintcos  t     E  A2  costsin  t     E  AB   0 
  2  sintcos  t     costsin  t      E  A2   E  B 2    2 
  2 sin  t  t   
  2 sin   
RXY     2 sint  sin      sin 

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Unit.4. Correlation and spectral densities

Problem 22. a). Consider two random processes X  t   3cos t    and
 
Y  t   2 cos  t     where  is a random variable uniformly distributed in
 2
 , 2  . Prove that RXX  0  RYY  0   RXY   .
Solution:
Given X  t   3cos t   
 
Y  t   2cos  t    
 2
RXX    E  X  t  X  t    
 E 3 cos t    3 cos  t      
9
 E cos  2t    2   cos    
2 
1
  is uniformly distributed in  0, 2  , f   
2
2
9 1

2  cos  2t    2   cos   2 d
0
2
9 1  sin  2t    2  
    cos 
2 2  2 0
9   sin  2t    2   2 
  0  2 cost      0 
4   2 0 
9
RXX    cos
2
9
RXX  0  
2
RYY    E Y  t  Y  t    
     
 E  2cos  t     2cos  t       
  2  2 
4
 E cos  2t    2     cos 
2
2
1
 2  cos  2    2     cos  d
0
2
2
1  sin  2t    2    
    cos 
 2 0
 2cos

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Unit.4. Correlation and spectral densities

 
Similarly, RXY    3cos    
 2
RXY   max  3
By property (2) i.e., RXX  0  RYY  0   RXY  
9  
 .2  3cos     , 
2  2
In this care R XY   takes on its maximum possible value of 3 at
 n 2
  , n
2 
Since it is periodic
RXX  0  RYY  0  RXY   max
2

b). State and prove Wiener – Khinchine Theorem

Solution:
Statement:
If X T   is the Fourier transform of the truncated random process defined as
 X  t  ,  T  t  T
X T t   
0 , otherwise
Where  X  t  is a real WSS process with power spectral function S XX   , then

S XX   
lim  1
T    2T
E X T   
2 
  
Proof:

Given X T     X t  e T
 it
dt

T

 X t  e
 it
 dt
T

Now X T     X T    X T   
2

T T

 X  t e  X  t e
 it1  it2
 1 dt1 2 dt2
T T
T T

  X  t X  t  e
 i  t1 t2 
 1 2 dt1dt2
T  T

 
T T
 E X T     E  X  t  X  t e
 i  t1 t2 
2
 1 2 dt1dt2
T  T
T T
   R t
T T
1  t2  ei  t1 t2  dt1dt2

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Unit.4. Correlation and spectral densities

T T
   0 t
T T
1  t2 dt1dt2 ----------- (1)

{ X (t )} is WSS its autocorrelation is a function of time difference ie., t1  t2  

T
AT , T  B

T T
Q
t1  t2   d
S
P
D R C T , T 
T

The double integral (1) is evaluated over the area of the square ABCD bounded by the
t1  T , T & t2  T , T as shown in the figure
We divide the area of the square into a number of strips like PQRS, where PQ is given by
t1  t2   and RS is given by t1  t2    d .
When PQRS is at A, t1  t2  T  T  2T and t1  t2  2T and at C
 varies from 2T to 2T such that the area ABCD is covered.
Now dt1dt2  elemental area of the t1 , t2 plane
 Area of the strip PQRS------- (2)
At P , t2  T , t1    t2    T
At Q , t1  T , t2  t1    T  
PC  CQ  2T   ,  0
PC  CQ  2T   ,  0
RC  SC  2T    d ,   0
When   0 ,
Area of PQRS  PCQ  RCS
1 1
  2T      2T    2 
2 2

2 2
  2T    d Omitting  d  ------------- (3)
2

From (2) & (3)

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Unit.4. Correlation and spectral densities

dt1dt2   2T   d       (4)
Using (4) in (1)

 
2T
E X T    0    2T    d
2

2T

    
2T
1
E X T      0   1 
2
 d
2T 2T  2T 

E X 
lim 1 lim 2T lim 
T  w 0   d 
2

T   2T
 
T   2T 
T   2T
d

  0   d



 R   e
 i
 d


 S  
This theorem provides an alternative method for finding S    for a WSS Process.
Problem 23. a). Define the spectral density S   of a real valued stochastic
processes  X  t  : t  0 , obtain the spectral density of Y  t  : t  0 , Y  t    X  t  when
1
 is increment of X  t  such that P   1  P   1  .
2
Solution:
If  X t  is a stationary process {either in the strict serve or wide sense with
autocorrelation function R  , then the Fourier transform of R  is called the Power
spectral density function of  X t  denoted by S  

Thus S     R   e
 i
d

1
Given P   1  P   1 
2
1 1
 E    1.   1 .  0
2 2
2 1 2 1
 E  2   1 .   1 .  1
2 2
E Y  t    E  X  t  
 E   E  X  t    X  t  areindependent 
E Y  t    0  E    0 
RYY    E Y  t  Y  t    
 E  X  t   X  t    

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Unit.4. Correlation and spectral densities

 E  2 X  t  X  t    
 E  2  E  X  t  X  t    
 1 E  X  t  X  t    
 (1) P  X  t  t     1  (1) P  X  t  t     1
e  T   T  e  T   T 
n

 (1) 
n  even n! n  odd
 (1) 
n!
 T  T
e cosh  e sinh
 e    coshT  sinhT 
 e  T e  T  e 2 T

S     R  e
 i
d



e
2  
 ei d

0 

e d   e 2  e i d
2   i
 e
 0
0 
 2  i   2  i 
 e

d   e
0
d
0 
 e 2  i    e  2  i  
   
 2  i      2  i   0
1 1
 
2  i 2  i
2  i  2  i

4 2   2
4
 2
4   2
b). Show that (i) S    0 & (ii) S     S    where S    is the spectral density of a
real valued stochastic process.
Solution:
(i) S    0
Proof:
If possible let S    0 at   0
 
i.e., let S    0 in 0 
   0  , where  is very small
2 2
Let us assume that the system function of the convolution type linear system is

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Unit.4. Correlation and spectral densities

  
1 , 0     0 
H     2 2
0 , elsewhere

Now SYY    H   S XX  
2

  
 S XX    , 0     0 
 2 2
0 , elsewhere
E Y 2  t    RYY  0 

1

2  S  d

YY


0 
2
1
  S XX   d 
2 
0 
2

 S XX 0 
2
[ S XX   Considered a constant S XX 0  band is
narrow] E Y 2  t    0, S xx 0   0 which is contrary to our initial assumption.
 S XX    0 everywhere, since   0 is arbitrary
(ii) S     S   
Proof:

Consider S      R  e
i
d

Let   u then d  du and u varies from  and 

S      R  u  e  du 
 iu




 R  u  e
 iu
 du


  R  u  eiu du R   is an even function of  


 S  
Hence S    is even function of 
Problem 24. a). An autocorrelation function R (  ) of  X  t  ;   t   in given by
 
ce , c  0,   0 . Obtain the spectral density of R (  ).
Solution:
Given R    ce
 

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Unit.4. Correlation and spectral densities

By definition

S     R   e
 i
d



 ce
 
 e i d

 
      
  ce

ei d   ce
0
e i d

 0 

 c   e  d   e   d 
 i     i 

  0 
  e  
  i 
0
 e    
   i 


 c     
    i       i   0 
 1 1 
 c 
   i   i 
   i    i 
 c 
  
2 2

2 c
S    2
  2
b). Given that a process  X t  has the autocorrelation function
RXX    Ae cos 0  where A  0 ,   0 and 0 are real constants, find the power
 

spectrum of X t  .
Solution:

By definition S      R   e
 i
d


  Ae
 
cos 0  ei d


 A  e  cos 0     cos  isin  d

 
 A  e  cos0 cos  A  e   cos0  sin  d
 

 2A  e cos0 cos d
0

 cos  0     cos   0  
 2 A  e   d
  2 

a
Using  e  ax cosbxdx  2
0
a  b2

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Unit.4. Correlation and spectral densities

   
S    A  2  2
   0        0  
2 2

 1 1 
 A  2  2 
   0        0  
2 2

Problem 25. a). Find the power spectral density of the random binary transmission
1   for   1
process whose autocorrelation function is R     .
0 elsewhere
Solution:

By definition S     R  e
 i
d

1
  1    ei d
1
0 1

 1    e d   1    e i d
 i

1 0
0 1
  1    e i d   1    e i d
1 0

 i  i 0 1
 e e   e i ei 
 1      1      1 2 2 
 i i 2 2  1  i i  0
 2 e i  e i 
 2  
 2 
1
 2  2  2cos 

2
 2 1  cos 

2    
 2 1  1  sin 2  
   2 
2  
 2  2 sin 2 
  2
4 
 2 sin
 2
2
  
 sin 2 
S    
 
 
 2 

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Unit.4. Correlation and spectral densities

 
b). Show that the power spectrum of the autocorrelation function e 1     is
4 3
.
 2  w2 
2

Solution:

By definition, S     R  e
 i
d



e
 
 1     e i d

0 
 e
 i 
1    d   e i  1    d
 0
0 
 e 
  i 
e  
  i   e 
  i 
e  
   i 
 1           1        2 
   i   i    
2
   i    i   0
 1    1  
     0   2
   i   i      i   i  
2

 1 1   1 1 
      2
   i   i     i    i  
2

   i 2    i 2 
 2
2
 
    
    2   2  
2 2

 
2 2    
2 2

 2 
   2   2 
2 2

2  2   2   2  2   2 

  2 
2 2

2  2   2   2   2 

  2 
2 2

4 3

 2 
2 2

Problem 26. a). Find the spectral density function whose autocorrelation function is
 
1  ; T
given by R     
0 ; elsewhere

Solution:

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Unit.4. Correlation and spectral densities


S     R  e
 i
d

T
1  
  i
  
T

e d

T
  
  1    cos  isin  d
T 
T 
T
  
  1   cos d
T 
T 
T
  
 2  1   cos d
0
T
 
T

 2 1   cos d
0 
T
T
   sin  1   cos  
 2  1      
 T      
2
 0
 cosT 1 
 2  2 
 T  T
2

2
 2 1  cos T 
T
2  T 
 2 2 sin 2  
T  2 
 T 
4 sin 2  
S     2 
 2T
b). Find the power spectral density function whose autocorrelation function is given by
A2
R    cos 0 
2
Solution:

S     R   e
 i
d


A2
  cos  0  ei d

2

A2

2 
 cos    cos  isin  d
0

A  
2  
    cos   0   cos   0  d  i   sin   0   sin   0   d 
4    

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Unit.4. Correlation and spectral densities

A2 
 
   
 cos    0   isin     0 
 d   cos   0   isin   0  d
4   

A2   i  0  
 

 e d   e  0  d 
 i   

4    
By definition of Dirac delta function

1
S     e d
i

2 

2     e
 i
d

 (1) reduces to
A2
S     2   0   2    0  
4 
 A2
S       0      0  
4 
Problem 27. a). If the power spectral density of a WSS process is given by
b
 a   ;   a
S     a find its autocorrelation function of the process.
0 ; a

Solution:

1
R     S   e
i
d
2 
a
1 b
 a a   e
i
 d
2 a
a
1 b

2  a  a     cos  isin  d
a
a
2 b

2  a  a    cos d
0
a
b  sin cos 
  a    
 a    2  0
b  cosa 1 
   2
 a   2  
b
 1  cosa 
 a 2
b  a 
 2 sin 2  
 a 2
 2 

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Unit.4. Correlation and spectral densities

b).The power spectral density function of a zero mean WSS process  X  t  is given
1 ;   0   
by S     . Find R   and show also that X  t  & X  t   are
0 ;elsewhere  0 
uncorrelated
Solution:

1
R     S    ei d 
2 
0
1

2 
 0
ei d 

0
1  ei 

2  i  
0

1  ei0  ei0 

  2


sin0


  
To show that X  t  & X  t   are uncorrelated we have to show that the auto
 0 
covariance is zero.
   
i.e., C  X  t  X  t     0
  0  
Consider,
         
C  X  t  X  t     RXX    E  X  t   E  X  t   
  0    0    0  
 
 RXX    0
 0 
     sin
C  X t  X  t    0
  0   
  
Hence X  t  & X  t   are uncorrelated.
 0 
Problem 28. a). The power spectrum of a WSS process  X  t  is given
1
by S    . Find the autocorrelation function and average power of the process.
1    2 2

Solution:

1
R     S   e
i
d
2 

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Unit.4. Correlation and spectral densities


1 1
  ei d  ------- (1)
2  1   
2 2

The integral in (1) is evaluated by contour integration technique as given below.

eiaz dz
Consider  , where C is the closed contour consisting of the real axis from R to
C 1  z 
2

R and the upper half of the O le , Z  R

1 Z 2  0
Z 2  1
Z  i
Z  i is a double pole.
1 Lt d
[Res] Z  i   z  i  2   z  
 z  1! z  i dz  
 
1 Lt d  eiaz 
 z  i 2 2
2

1! z  i dz 
  z  1 
Lt d eiaz

z  i dz  z  i  2

Lt   z  i  i a eiaz  eiaz 2  z  i  .1 
2

  
z  i   z  i
4

Lt   z  i  i a eiaz  2eiaz 
  
z  i   z  i
3

e a  2a  2  2e  a 1  a  e  a 1  a 
  
8  i  8i 4i
Res
f  z dz  2i 
n
By Cauchy residue theorem,  i1 z  ai
f  z  and taking limits R  
c
and using Jordan’s lemma
2iea 1  a  ea 1  a 

eiax
 dx   ----- (2)
 1  x 
2 2 4i 2
Using (2) in (1)
1 1    e  1    e
 

R    
2 2 4
Average power of  X  t    R    0
 1    e   1
    0.25
 4  0 4

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Unit.4. Correlation and spectral densities

b). Suppose we are given a cross – power spectrum defined by

 jb
a  , W    W
S XY     W where   0 , a & b are real constants. Find the cross
0 , elsewhere
correlation
Solution:

1
RXY     S XY   e d
j

2 
jb  j
W
1 

2   a 
W
W 
 e d
W W
a  e j  jb  e j e j 
   2 2
2  j  W 2 W  j j   W
a  e jW  e  jW  jb We jW e jW We  jW e  jW  
  2 W  j   2  j   2 

2  j   
asin W  bW  e  e jW   jW 
 jb  e  e
jW   jW 

     2  
  W  2  W  2 
asin W  b cos W  bsin W  
  
   W 2
1  b 
 2  a   sin W   b cos W  
  W 
Problem 29. a). The cross-power spectrum of real Random process  X  t  and Y  t 
a  jb;   1
is given by S XY     . Find the cross correlation function.
0 ;elsewhere
Solution:

1
RXY     S XY   e d
j

2 
1
1
  a  jb  e
j
 d
2 1
1 1
a  e j  b  e j e j 
   2 2
2  j  1 2  j j   1
a  e j  e j  jb  e j e j e  j e  j 
   2  j   2  j   2 
2  j   
a jb  e  e  jb  e  e 
j  j j  j
  sin      2   2 
 2  j   
asin bcos bsin
  
   2
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Unit.4. Correlation and spectral densities

1
  a  b  sin  b cos 
 2 
b). Find the power spectral density function of a WSS process with autocorrelation
function. R    e  .
2

Solution:

S XX      R   e
XX
 i
d



e
 a 2
 e  i d



 a 2  i  d


e
  i 
 a  2  
 e d
 a 


  i 
 a  2  2. . 
 e 
d
a 


 2 i i 2 2  i 2 2 
  a  2  t  
2 a 22 a 2  22 a 2 


e 
d

 i 2  2 
  a      2 


e  2 a  4 a 
d
 i 2 
  a      2


e
 2 a  
 .e 4 a2
d

2
2   i 
  a   
 S XX    e 4a
e  2a 
d

2
 i   i 
Now let, a     u 2 i.e. u  a   
 2a   2a 
 du  a d
and as,   ,u   and as   ,u  
2 
 du
 S XX    e 4a
e
u2

 a
2
 
e 4a
.2 e u du .... e  u is even
2 2

a 0
 2

2e 4a
 x
... Standard Result :  e  X dx 
2

a 2 0
2

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Unit.4. Correlation and spectral densities

2
 4a
 S XX    e
a
Problem 30. a). The autocorrelation function of the random telegraph signal process is
given by R    a 2e 2  . Determine the power density spectrum of the random telegraph
signal.
Solution:
 
S XX      R  eXX
 i
d  ae
2 2  
e  i d
 
0 
 a2  e e
2   2  
e  i d  a 2
e  i d
 0
0 
2     2   
e e
 i
a 2
e d  a 2
. e  i d
 0
0 
 a 2  e
2   i   2 i 
d  a 2  e d
 0
0 
 e 2 i    e  2 i  
a  2
 a 
2

  2  i       2  i   0
a2 a2

 2  i 
 e0  e  
 2  i 
 e  e0 
a2 a2
 1  0    0  1
2  i  2  i 
 1 1  
2 2  i  2  i

 a2     a  
 2  i 2  i    2   
2 2

 4  4 a 2
i.e., S XX     a 2  2 2

 4    4  
2 2

b). Find the power spectral density of the random process  x  t  if E  x  t   1

and Rxx    1  e   .
Solution:

S     R   e
XX
 i
d

  0 
1  e   e  i d 
  e d   e e d   e e d
 i   i   i
  
   0

1 1
     
  i   i
2
     2
  2
*******
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