18MAB203T-Probability and Stochastic Processes: Dr. S. Athithan

v2-U4&5-18MAB203T-PSP-Lecture Notes
18MAB203T-Probability and Stochastic

Processes
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Prepared by
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Dr. S. ATHITHAN
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Assistant Professor
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Department of of Mathematics
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Faculty of Engineering and Technology

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SRM INSTITUTE OF SCIENCE AND TECHNOLOGY

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Kattankulathur-603203, Kancheepuram District.

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SRM INSTITUTE OF SCIENCE AND TECHNOLOGY

Kattankulathur-603203, Kancheepuram District.
18MAB203T-Probability and Stochastic Processes S. ATHITHAN
Contents
1 Problems based on Stationary Processes 3
2 Problems based on Wide Sense Stationary (WSS) and Strict Sense Stationary
(SSS) Processes 4
3 Problems based on Autocorrelation and Cross-Correlation 5
4 Power Spectral Density Function (PSDF)/ Power Density Spectrum (PDS) 11
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5 Linear System with Random Inputs 14
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6 Exercise/Practice/Assignment Problems 29
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Page 1 of 36 https://sites.google.com/site/lecturenotesofathithans/home
U NIT-4 T OPICS :
? Random Processes-Introduction
? Classification of random processes
? Distribution of the process
? Averages of the process
? Stationary, SSS, WSS processes
? Problems on stationary and SSS processes
? Problems on WSS process
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? Autocorrelation function and properties
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? Proof of properties
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? Problems on autocorrelation function
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? Application of autocorrelation function
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? Cross correlation and properties AT
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? Problems on cross correlation function

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? Ergodicity
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? Mean ergodic process, Mean ergodic theorem

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U NIT-5 T OPICS :
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? Power Spectral Density (Power Density Spectrum)-PSD function and properties

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? Problems on power spectral density function

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? Linear system with random inputs

? Representation of system in the form of convolution
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? Unit impulse response of the system and Properties

? Applications of unit impulse function
? Einstein Weiner-Khinchine Relationship
? Problems on Khinchine relationship
? Cross power density spectrum-properties
? Properties of Cross Power Spectral Density
? Cross power density spectrum-problems
D EAR A LL , H ERE IT HAS BEEN SOLVED FEW PROBLEMS ONLY AND SOME TOP -
ICS MAY NOT BE COVERED . SO, YOU CAN FOLLOW THE REGULAR CLASSWORK
NOTES TO HAVE ALL THE TOPICS FOR YOUR PREPARATION . TAKE EXERCISE
PROBLEMS GIVEN AT THE END FOR YOUR PRACTICE . A PART FROM EXERCISE ,
YOU CAN FOLLOW ANY REFERENCE BOOK IN RELATED TOPICS FOR YOUR PRAC -
TICE .
S OME OF THE SECTIONS / TOPICS IN THIS NOTES ARE PRELIMINARIES WHICH ARE THE
BASIC IDEAS NEEDED TO DO OUR REGULAR COURSE EXAMPLES AND EXERCISES .
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1 Problems based on Stationary Processes
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Example: 1. If X(t) = A cos(t + ψ), where ψ is uniform random variable in the interval
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π π
(− , ). Check whether the process is stationary.
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2 2
Hints/Solution:
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1 1 π π AT
Pdf of ψ is given by, f (ψ) = = , (− , ).
b−a π 2 2
π
2
1 2
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E[X(t)] = A cos(t + ψ) · dy = cos t

π π
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−π
2
If the mean of X(t) i.e. E[X(t)] is constant, then the process X(t) is stationary.
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Here, E[X(t)] is function of t (not a constant).

∴ X(t) is not stationary.
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Example: 2. The process {X(t)} has the distribution

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n−1
(at)
, n = 1, 2, . . .



P {X(t) = n} = (1 + at)n+1
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at . Prove that the process is not sta-

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, n=0



(1 + at)
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tionary.
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Hints/Solution:
∞
( 2 )
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X 1 at at
E[X(t)] = np(n) = 1+2 +3 + ··· + ∞ =
n=0
(1 + at)2 (1 + at) (1 + at)
1 ∞ ∞
X X
E[X 2 (t)] = n2 p(n) = [n(n + 1) − n]p(n) = (1 + 2at)
n=0 n=0
1
Use the formula [1 · 2 + 2 · 3x + 3 · 4x2 + . . . ] = (1 − x)−3 to calculate E[X 2 (t)].
1·2
V ar[X(t)] = E[X 2 (t)] − E[X(t)] = 2at, which is not constant.
∴ X(t) is not stationary.
2 Problems based on Wide Sense Stationary (WSS) and Strict

Sense Stationary (SSS) Processes
Example: 1. If X(t) = A cos λt, where A is uniform random variable in the interval (-1,1).
Check whether the process is WSS.
Hints/Solution:
1 1
Pdf of f (A) = = , −1 < A < 1.
b−a 2
Z1
1
E[X(t)] = y sin λt · dA = 0
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2
−1
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1
RXX (t, t + τ ) = E[A cos λt · A cos λ(t + τ )] = [cos λτ − cos(2λt + λτ )]
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Example: 2. Show that the random process X(t) = A cos λt + B sin λt, where A and B
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are uncorrelated random variables with zero mean and common variance is WSS.
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Hints/Solution: AT
Given that E(AB) = E(A)E(B) = 0 · 0 = 0 and E(A2 ) = E(B 2 ) = k > 0.
Now E[X(t)] = E(A) cos λt + E(B) sin λt = 0 (A constant)
RXX (t, t + τ ) = E[X(t)X(t + τ )] = k cos λτ
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Since the mean is constant the autocorrelation function is a function of time difference τ , the
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process X(t) is WSS.

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Example: 3. Consider a random process X(t) = U (t) cos t − V (t) sin t, where U and V
are independent random variables each of which assumes the values -2 and 1 with probabilities
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1/3,2/3 respectively. Prove that X(t) is WSS but not a SSS process.
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Hints/Solution:
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Given
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P [U ], P [V ] 1/3 2/3
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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
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E[X(t)] = E[U ] cos t − E[V ] sin t = 0

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RXX (t, t + τ ) = E[X(t)X(t + τ)] = E[U 2 ] cos t cos(t + τ) + E[V 2 ] sin t 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.
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
3 Problems based on Autocorrelation and Cross-Correlation
3.1 Properties of Autocorrelation
Property 3.1.1. Autocorrelation function is an even function. (i.e.) RXX (−τ) = RXX (τ)
Proof.
RXX (−τ) = E {X(t)X(t − τ)}

= E {X(t + τ)X(t)} [Replacing t by t + τ]
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= E {X(t)X(t + τ)} = RXX (τ)
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Property 3.1.2. Autocorrelation function R(τ) is maximum at τ = 0. (i.e.) |RXX (τ)| ≤
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RXX (0) AT
Proof. By Cauchy-Schwarz inequality
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[E {X(t)X(t + τ)}]2 ≤ E X 2 (t) E X 2 (t + τ)

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[RXX (τ)]2 ≤ E X 2 (t)

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[Since E {X(t)} and V ar {X(t)} are constant for stationary process]

[RXX (τ)] ≤ [RXX (0)]2
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Taking square root on both sides, we get

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|RXX (τ)| ≤ RXX (0)

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Property 3.1.3. If the Autocorrelation function RXX (τ) of a real stationary process {X(t)}
is continuous at τ = 0, it is continuous at every other point
Proof.
Property 3.1.4. If RXX (τ) is the autocorrelation function of a stationary process {X(t)}
with no periodic components, then lim RXX (τ) = [E {X(t)}]2 = µ2x , provided the limit
τ→∞
exists.
Proof.
3.2 Properties of Cross-correlation
Property 3.2.1. RY X (τ) = RXY (−τ)
Proof.
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Property 3.2.2. |RXY (τ)| ≤ RXX (0) × RY Y (0).
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i.e. The maximum of RXY (τ) can take any value, but it cannot exceed RXX (0) × RY Y (0).
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Proof. For any real number a,
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E[aX(t) + Y (t + τ)]2 ≥ 0
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a2 E[X 2 (t)] + 2aE[X(t)Y (t + τ)] + E[Y 2 (t + τ)] ≥ 0

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Since X(t) and Y (t) are jointly WSS, each is a WSS process. ∴ The second moments are
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constants. But E[X 2 (t)] = RXX (0) and E[Y 2 (t + τ)] = RY Y (0).
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a2 RXX (0) + 2aRXY (τ) + RY Y (0) ≥ 0, ∀ a

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Since RXX (0), RY Y (0) > 0 we have discriminant ≤ 0

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4RXY (τ) − 4RXX (0)RY Y (0) ≤ 0
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|RXY (τ)| ≤ RXX (0)RY Y (0)
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Property 3.2.3. |RXY (τ)| ≤ {RXX (0) + RY Y (0)}.
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Proof.
Property 3.2.4. If the processes {X(t)} and {Y (t)} are orthogonal, then RXY (τ) = 0.
Proof.
Property 3.2.5. If the processes {X(t)} and {Y (t)} are independent, then RXY (τ) =
µx × µy .
Proof.
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3.3 Ergodicity
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Definition 3.3.1. If {X(t)} is a random process, then X(t) dt is called the time-
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average {X(t)} over (−T, T ) and it is denoted by X T .

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Mean-Ergodic Process
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ZT
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If the random process {X(t)} has a constant mean E{X(t)} = µ and if X T = X(t) dt →
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2T
−T
µ as T → ∞, then {X(t)} is said to be mean-ergodic.
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Mean-Ergodic Theorem
ZT
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If the random process {X(t)} has a constant mean E{X(t)} = µ and if X T = X(t) dt ,
2T
−T
then {X(t)} is mean-ergodic (or) ergodic in the mean, provided lim {V arX T } = 0.
T →∞
Example/Solved Problems
Example: 1. 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)
Hints/Solution:
Given that E[X(t)] = E[Y (t)] = 0
RZZ (t, t + τ) = E[Z(t)Z(t + τ)]

= E{[a + bX(t) + cY (t)] · [a + bX(t + τ) + cY (t + τ)]}
= a2 + b2 RXX (τ) + c2 RY Y (τ)
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which is function of τ only.
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25 + τ2
Example: 2. A stationary process has an autocorrelation function R(τ) = . Find
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the mean, mean square value and variance of the process.
Hints/Solution:
25τ2 + 36
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By Property, We know that µ2X = lim RXX (τ) = lim = 4 ∴ µX = 2

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τ→∞ τ→∞ 6.25τ2 + 4

Again by another property, E[X 2 (t)] = RXX (0) = 9
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Now, V ar[X(t)] = E[X 2 (t)] − {E[X(t)]2 } = 9 − 4 = 5

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Example: 3. Given that the auto correlation function for a stationary ergodic process with no
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periodic component is RXX (τ) = 25 + . Find the mean and variance of the process
1 + 6τ2
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{X (t)}.
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Hints/Solution:
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By Property µ2X = lim RXX (τ) = lim 25 + = 25

1 + 6τ2
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τ→∞ τ→∞
∴ µX = 5
Again by another property, E[X 2 (t)] = RXX (0) = 29
Now, V ar[X(t)] = E[X 2 (t)] − {E[X(t)]2 } = 29 − 25 = 4
Example: 4. If X (t) is a WSS process with autocorrelation function RXX (τ) = Ae−α|t| .
Determine the second order moment of the random variable X (8) − X (5).
Hints/Solution:
Given that RXX (τ) = E{X(t)X(t + τ)} = Ae−α|t| .
put τ = 0 we get, RXX (0) = E{X 2 (t)} = A, ∀ t
E{[X(8) − X(5)]2 } = E{X 2 (8)} + E{X 2 (5)} − 2E{X(5)}E{X(5 + 3)}

= A + A − 2RXX (3) = 2A(1 − e−3α )
Example: 5. Prove that the random process {X(t)} with constant mean is mean-ergodic, if
 
ZT ZT
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lim  2 C(t1 , t2 ) dt1 dt2  = 0.
T →∞ 4T
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−T −T
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Hints/Solution:
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W.K.T. the condition for mean ergodicity is lim {V ar(X T )} = 0,
T →∞
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ZT
1
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where X T = X(t) dt and E(X T ) = E{X(t)}
2T AT
−T
ZT ZT
2 1
Now, XT = X(t1 )X(t2 ) dt1 dt2
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4T 2
−T −T
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ZT ZT
2 1
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∴ E{X T } = R(t1 , t2 ) dt1 dt2

4T 2
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−T −T
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∴ {V ar(X T )} = E{X T } − E{X T }

ZT ZT
1
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= [R(t1 , t2 ) − E{X(t1 )}E{X(t2 )}] dt1 dt2

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4T 2
−T −T
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ZT ZT
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= C(t1 , t2 ) dt1 dt2
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4T 2
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−T −T
ZT ZT
1
This proves that C(t1 , t2 ) dt1 dt2 = 0
4T 2
−T −T
Example: 6. Consider the process W (t) = X(t) cos ωt + Y (t) sin ωt, where X(t) and
Y (t) are two real jointly stationary processes. 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).
Hints/Solution:
Since X(t) and Y (t) are jointly WSS, each is a WSS process. ∴ The first and second moments
are constants. Moreover RXX (t, t + τ), RY Y (t, t + τ) and RXY (t, t + τ) depends only
on τ. Let E[X(t)] = K1 , E[Y (t)] = K2 . Now,
E[W (t)] = E[X(t)] cos(ωt) + E[Y (t)] sin(ωt)
= K1 cos(ωt) + K2 sin(ωt)
= constant, only if K1 = K2 = 0.[ Condition-1 ]
RW W (t, t + τ) = E[W (t)W (t + τ)]

= E{[X(t) cos(ωt) + Y (t) sin(ωt)]
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·[X(t + τ) cos(ωt + ωτ) + Y (t + τ) sin(ωt + ωτ)]}
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= E[X(t)X(t + τ)] cos(ωt + ωτ) · cos(ωt)
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+E[Y (t)Y (t + τ)] sin(ωt + ωτ) · sin(ωt)
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+E[X(t)Y (t + τ)] sin(ωt + ωτ) · cos(ωt)
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+E[Y (t)X(t + τ)] cos(ωt + ωτ) · sin(ωt)
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= RXX (τ) cos(ωt + ωτ) · cos(ωt) + RY Y (τ) sin(ωt + ωτ) · sin(ωt)
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+RXY (τ) sin(ωt + ωτ) · cos(ωt) + RY X (τ) cos(ωt + ωτ) · sin(ωt)
RW W (t, t + τ) = RXX (τ) cos(ωτ) (only if RXX (τ) = RY Y (τ))[ Condition-2 ]

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+RXY (τ) sin(ωt + ωτ) · cos(ωt)

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+RXY (−τ) cos(ωt + ωτ) · sin(ωt) [ By property ]

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= RXX (τ) cos(ωτ)

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+RXY (τ) sin(ωτ) (only if RXY (−τ) = −RXY (τ))[ Condition-3 ]

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(i.e.) RW W (t, t + τ) = RXX (τ) cos(ωτ) + RXY (τ) sin(ωτ) (which is function of τ only)
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∴ RW W (t, t + τ) becomes WSS if the following conditions are satisfied.

(i) E[X(t)] = E[Y (t)] = 0,
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(ii) RXX (τ) = RY Y (τ) and

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(iii) RXY (−τ) = −RXY (τ)

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Example: 7. If {X (t)} is a WSS process with autocorrelation function RXX (τ) and if
Y (t) = X(t + a) − X(t − a), show that RY Y (τ) = 2RXX (τ) − RXX (τ + 2a) −
RXX (τ − 2a).
Hints/Solution:
RY Y (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)
4 Power Spectral Density Function (PSDF)/ Power Density

Spectrum (PDS)
Definition 4.0.2. The power spectral density SXX (ω) is given by
Z ∞
SXX (ω) = RXX (τ)e−iωτ dτ
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−∞
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Here, the power spectral density SXX (ω) and the autocorrelation fuction RXX (τ) forms a
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Fourier transform pair. i.e.
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Z ∞
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SXX (ω) = RXX (τ)e−iωτ dτ
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−∞
and
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∞
1
Z
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RXX (τ) = SXX (ω)eiωτ dω

2π
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−∞
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Same way, the cross power spectral density SXY (ω) and the cross-correlation fuction RXY (τ)
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forms a Fourier transform pair. i.e.

Z ∞
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SXY (ω) = RXY (τ)e−iωτ dτ

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−∞
and
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∞
1
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RXY (τ) = SXY (ω)eiωτ dω

2π −∞
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Note: Sometimes, in the power spectral density SXX (ω) the variable ω is raplaced by 2πf , in
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this case the spectral density function is function of f , the corresponding effect is given below:
Z ∞
SXX (f ) = RXX (τ)e−i2πf τ dτ
−∞
4.0.1 Properties of PSDF
Property 4.0.1. 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 4.0.2. 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 ∞
2
E{X (t)} = RXX (0) = SXX (ω) dω
−∞
Proof.
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Property 4.0.3. The spectral density of a real process is an even function. i.e. SXX (−ω) =
A
SXX (ω).
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Proof.
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Property 4.0.4. The spectral density of any real or complex process {X(t)} is a real function
∗
of ω. i.e. SXX (ω) = SXX (ω).
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Proof.
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Property 4.0.5. The spectral density and the autocorrelation function of a real WSS process
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forms a Fourier cosine transform pair.

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Proof.
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( Theorem). If XT (ω) is the Fourier transform of the trun-

Property 4.0.6 (Wiener-Khinchine
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X(t), for |t| ≤ T

cated random process XT (ω) = where {X(t)} is a real WSS process
0, for |t| > T

1 2
with PSD function S(ω), then we have SXX (ω) = lim E{|XT (ω)| } .
T →∞ 2T
Proof.
4.1 Properties of Cross PSDF
Property 4.1.1. SXY (−ω) = SY X (ω)
Proof.
Z∞
SXY (ω) = RXY (τ)e−iωτ dτ
−∞
Z∞
∴ SXY (−ω) = RXY (τ)eiωτ dτ
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−∞
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Now,
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Z∞
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SY X (ω) = RY X (τ)e−iωτ dτ
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−∞
H
Z∞ AT
= RXY (−τ)e−iωτ dτ
−∞
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Put u = −τ we have,
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−∞
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Z
SY X (ω) = − RXY (u)eiωu du
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∞
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Z∞
RXY (τ)eiωτ dτ
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=
−∞
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= SXY (−ω)
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Property 4.1.2. Re[SXY (ω)] and Re[SY X (ω)] are even functions of ω.
Proof.
Property 4.1.3. Im[SXY (ω)] and Im[SY X (ω)] are odd functions of ω.
Proof.
Property 4.1.4. If {X(t)} and {Y (t)} are orthogonal, then SXY (ω)] = 0 and SY X (ω) =
0.
Proof.
Property 4.1.5. 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.
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Definition 4.1.1 (Average Power). The average power of a random process {X(t)} is denoted
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by PXX and is given by Z ∞
1
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PXX = SXX (ω) dω
2π −∞
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In terms of the the time average it is given by
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T
1
Z
PXX = lim E[X 2 (t)] dt
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T →∞ 2T −T
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If X(t) is a WSS process, then E[X 2 (t)] is constant and PXX = E[X 2 (t)].
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5 Linear System with Random Inputs

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5.1 System in the form of Convolution

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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.
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Z ∞
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Y (t) = h(u)X(t − u) du
−∞
Note: The system weighting function h(t) is also called unit impulse response function.
Properties
Property 5.1.1. If the output Y (t) is expressed as a convolution

Z ∞ of the input X(t) with a
system weight function h(t) 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 5.1.2. If the input to a time invariant, stable linear system is a WSS process, then
output will also be a WSS process.
Proof.
Z ∞
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Property 5.1.3. If {X(t)} is a WSS process and if Y (t) = h(u)X(t − u) du , then
−∞
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we have the following.
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(a). RXY (τ) = RXX (τ) ∗ h(−τ) (∗ denotes convolution)
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(b). RY Y (τ) = RXY (τ) ∗ h(τ) (∗ denotes convolution)
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(c). SXY (ω) = SXX (ω)H ∗ (ω)
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(d). SY Y (ω) = SXX (ω)|H(ω)|2
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Proof.
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Z ∞
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Property 5.1.4. If {X(t)} is a WSS process and if Y (t) = h(u)X(t − u) du , then

−∞
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(i) RY Y (τ) = RXX (τ) ∗ K(τ)

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Z ∞
where K(τ) = h(t) ∗ h(−t) = h(u)h(t + u) du
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−∞
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Proof.
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Property 5.1.5. The power spectral densities of the processes in the system are connected by
the relation SY Y (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
Example: 1. If the input x(t) and the output y(t) are connected by the differential equation
dy(t)
T + y(t) = x(t), prove that they can be related by means of a convolution types
dt
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) =
S
dt T T
N
dy(t)
where x(t) = y(t) = 0 for t ≤ 0. This equation is of the linear DE form as +
A
dt
P y(t) = Q
H
1
Z
IT
t/T
The solution is given by y(t)e = et/T x(t) dt + c
T
H
By the initial conditions x(t) = y(t) = 0 for t ≤ 0, we have c = 0.
∴
AT
Zt
1
y(t) = e−t/T · eu/T x(u) du
F
T
O
0
 
Zt Za Za
S
1
= e−u/T x(t − u) du ∵ f (x)dx = f (a − x)dx
TE
T
0 0 0
O
Given x(t) = 0 for t ≤ 0 =⇒ t−u≤0 =⇒ t≤u

N
 1 e−u/T , t > 0

E
R
Define h(t) = T
TU
0, otherwise
Z∞
We can rewrite the integral as h(t)x(t − u) du = h(t) ∗ x(t)
C
LE
2
Example: 2. Find the PSD of a WSS process with auto correlation function RXX (τ) = e−ατ
Hints/Solution:
Z∞
2
SXX (ω) = e−ατ e−iωτ dτ
−∞
Z∞
iω 2
−ω 2 /4α
= e e−α(τ+ 2α ) dτ
−∞
r
π 2 /4α
= e−ω
α
S
N
A
H
(
a + jbω, for |ω| < 1
Example: 3. If SXY (ω) =
IT
0, otherwise
a, b are constants, find the cross-correlation function.
H
Hints/Solution:
(
AT
a + jbw, −1 < w < 1
SXY (w) =
0, otherwise
F
O
Z∞
1
S
RXY (τ) = (a + jbw)ejwτ dw

TE
2π
−∞
Z1
O
1
= (a + ibw)eiwτ dw
N
2π
−1
E
1
= [(aτ − b) sin τ + bτ cos τ]
R
πτ2
TU
C
LE
Example: 4. If RXX (τ) = Ae−α|τ| cos(βτ), (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 (βτ) e−iωτ dτ
−∞
A[2α(α2 + β 2 + ω 2 )]
=
(α2 + β 2 − ω 2 ) + 4α2 ω 2
Example: 5. The power spectral density of a random process {X (t)} is given by SXX (ω) =
(
π, |ω| < 1
. Find its autocorrelation function.
0, elsewhere
Hints/Solution: Z ∞
1
We know that RXX (τ) = SXX (ω)eiωτ dω
2π −∞
S
Z 1
1 1
RXX (τ) = πeiωτ dω = sin τ
N
2π −1 τ
A
H
IT
4
Example: 6. The power spectrum of a WSS process X(t) is given by SXX (ω) = .
H
AT (4 + ω 2 )
Find the corresponding autocorrelation and average power.
1
F

O
2π −∞
Also we know from the Fourier transform that
S
TE
Z ∞
−a|τ|
Fs (e ) = e−aτ sin ωτ dτ
0
O
−aτ ∞
e
N
= (−a sin ωτ − ω cos ωτ)

a2 + ω 2 0
ω
E
= ,a > 0
R
a2 + ω 2
TU
,
Z ∞
C
−a|τ|
Fc (e ) = e−aτ cos ωτ dτ
LE
0
−aτ ∞
e
= (−a cos ωτ + ω sin ωτ)
a2 + ω 2 0
a
= ,a > 0
a2 + ω 2
and
Z ∞
−a|τ|
F (e ) = 2 e−aτ cos ωτ dτ
0
∞
e−aτ

= 2 (−a cos ωτ + ω sin ωτ)
a2 + ω 2 0
2a
= ,a > 0
a2 +ω 2
−a|τ| −1
2a
=⇒ e = F
a2 + ω 2

4
S
−1 −1
Substituting a = 2, we get F [SXX (ω)] = F 2
= e−2|τ| = RXX (τ)
4+ω
N
A
Aliter:
H
We know that
IT
∞ ∞
1 2 1
Z Z
H
iωτ
RXX (τ) = SXX (ω)e dω = eiωτ dω (5.1)
2π −∞ 4+ AT π −∞ ω2
eiaz
Z
This integral is calculated by contour integration technique. Consider dz , where
(b2 + z 2 ) C
F
C is the closed contour consisting of the real axis from −R to R and the upper half of the circle
O
|z| = R.
S
y
TE
O
N
×+ai
E
R
TU
−R O R x
C
LE
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)
(z − bi)(m) f (z)

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

∞
eiaz
Z
dz = 2πi(Sum of the residues)
−∞ (b2 + z 2 )
e−ab πe−ab

= 2πi =
2bi b
Applying these results to equation (5.1),

i.e. replacing a by τ and b by 2 in (5.1), we get RXX (τ) = e−2|τ|
Now, the average power is given by PXX = RXX (0) = E{X 2 (t)} = e0 = 1
S
N
A
H
Example: 7. If {X (t)} is a WSS process with autocorrelation function RXX (τ) and if
IT
Y (t) = X(t + a) − X(t − a), show that RY Y (τ) = 2RXX (τ) − RXX (τ + 2a) −
RXX (τ − 2a) & hence prove that SY Y (ω) = 4 · sin2 (aω) · SXX (ω).
H
Hints/Solution:
AT
F
RY Y (t, t + τ) = E[Y (t)Y (t + τ)]

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

S
= E[X(t + a)X(t + a + τ)] − E[X(t + a)X(t − a + τ)]

TE
−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)
O
= 2RXX (τ) − RXX (τ + 2a) − RXX (τ − 2a)

N
Taking Fourier Transforms on both sides, we have

E
R
Z∞ Z∞ Z∞
TU
−iωτ −iωτ
RY Y (τ) e dτ = 2 RXX (τ) e dτ − RXX (τ + 2a) e−iωτ dτ
−∞ −∞ −∞
C
Z∞
LE
− RXX (τ − 2a) e−iωτ dτ

−∞
Substituting u = τ − 2a and v = τ + 2a, we get
SY Y (ω) = 2SXX (ω) − eiω2a SXX (ω) − e−iω2a SXX (ω)

= 2SXX (ω) − 2 cos(2aω)SXX (ω)
= 4 sin2 (aω)SXX (ω)
Example: 8. Find the autocorrelation function corresponding to the PSD SXX (ω) =
157 + 12ω 2
. Also find the average power.
(16 + ω 2 )(9 + ω 2 )
1
2π −∞
Using partial fractions, we will have
157 + 12ω 2 5 7
= +
(16 + ω 2 )(9 + ω 2 ) (16 + ω 2 ) (9 + ω 2 )
S
Z ∞
−a|τ|
N
0
−aτ ∞
A
e
= 2 2 (−a cos ωτ + ω sin ωτ)
H
a + ω2 0
IT
2a
= ,a > 0
a2 +ω 2
H

−a|τ| −1
2a AT
=⇒ e = F
a2 + ω 2
F
2·4 2·3

5 7
O
−1 −1 −1
F [SXX (ω)] = F + F
8 16 + ω 2 6 9 + ω2
S
5 7
TE
= e−4|τ| + e−3|τ| = RXX (τ)

8 6
O
N
Aliter:
We know that
E
∞
1
Z
RXX (τ) = SXX (ω)eiωτ dω (5.2)
R
2π −∞
TU
eiaz
Z
This integral is calculated by contour integration technique. Consider dz ,
C
(b2 + z 2 )(d2 + z 2 ) C
where C is the closed contour consisting of the real axis from −R to R and the upper half of
LE
the circle |z| = R.

y
×bi
×di
−R O R x
Here the function f (z) has the pole of order 1 (simple poles) at z = bi, di

z=bi z→bi
eiaz
= lim (z − bi)
z→bi (z + bi)(z − bi)(z 2 + d2 )
e−ab
=
2bi(d2 − b2 )
e−ab
|||ly we have, Residue =
z=di 2di(b2 − d2 )
S
N
∞
(157 + 12z 2 )eiaz
Z
A
dz
(b2 + z 2 )(d2 + z 2 )
H
−∞
IT
= 2πi(Sum of the residues)
(157 − 12b2 )e−ab (157 − 12d2 )e−ab

H
= 2πi + AT
2bi(d2 − b2 ) 2di(b2 − d2 )
(157 − 12b2 )e−ab (157 − 12d2 )e−ab

= π +
b(d2 − b2 ) d(b2 − d2 )
F
O

S
TE
i.e. replacing a by τ and b, d by 4,3 respectively in (5.2), we get

∞
(157 + 12ω 2 )eiτω
O
1
Z
RXX (τ) = dω
N
2π −∞ (42 + ω 2 )(32 + ω 2 )
E
= i · (Sum of the residues)

R
(157 − 12 · 42 )e−4τ (157 − 12 · 32 )e−3τ

= i· +
TU
2 · 4i(32 − 42 ) 2 · 3i(42 − 32 )
(157 − 12 · 42 )e−4τ (157 − 12 · 32 )e−3τ

C
= +
8(32 − 42 ) 6(42 − 32 )
LE
5 −4|τ| 7
= e + e−3|τ|
8 6
5 7 43
Now, the average power is given by PXX = RXX (0) = E{X 2 (t)} = + =
8 6 48
Example: 9. (
The auto correlation function of the binary transmission is given by
1 − |τ| , for |τ| ≤ 1
RXX (τ) = . Find the PSD.
0, elsewhere
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
S
0
N

2 2 w 4
= [1 − cos(w)] = sin
A
w2 w2 2
H
IT
H
AT
Example: 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.
F
O
Hints/Solution:
We know that the PSD of the output process Y (t) is given by SY Y (w) = SXX (w)|H(w)|2
S
TE
From h(t) we will get,

Z∞
O
H(ω) = h(t)e−iωt dt
N
−∞
E
Z∞
2
R
= 2e−t e−iωt dt =
1 + iw
TU
0
C
From RXX (τ) we will get,

LE
Z∞
SXX (w) = RXX (τ)e−iωτ dτ
−∞
Z∞
= e−2|τ| e−iωτ dτ
−∞
Z0 Z∞
= e2τ e−iωτ dτ + e−2τ e−iωτ dτ
−∞ 0
1 1 4
= + =
2 − iw 2 + iw 4 + w2
Now,
SY Y (w) = SXX (w)|H(w)|2

2 2

4
=
4 + w2 1 + iw
4 4 16
= · =
4+ w2 1+ w2 (4 + w2 )(1 + w2 )
S
Example: 11. Consider two random processes X(t) = 3 cos(ωt + θ) and Y (t) =
N
2 cos(ωt + θ − π/2) where θ is uniformly distributed in (0, 2π). Prove that |RXY (τ)| ≤
p
A
RXY (0)RXY (0)
H
Hints/Solution:
IT
H
1 1
Pdf of θ is f (θ) = = , 0 < θ < 2π. AT
b−a 2π
Z2π
9 1 9
RXX (t, t + τ) = E[X(t)X(t + τ)] = cos(2wt + wτ + 2θ) · dθ + cos wτ =
F
2 2π 2
0
O
9
cos wτ
S
2
9 9
TE
i.e. RXX (τ) = cos wτ =⇒ RXX (0) =

2 2
|||ly RY Y (τ) = 2 cos wτ =⇒ RY Y (0) = 2.
O
Now, the cross-correlation is given by RXY (t, t + τ) = RXY (τ) = E[X(t)Y (t + τ)] =
N
Z2π
3 1
sin(2wt + wτ + 2θ) ·
E
dθ + 3 sin wτ = 3 sin wτ
2π 2π
R
0
TU
p
From these results, |RXY (τ)| ≤ RXY (0)RXY (0) = 3
C
LE
Example: 12. Consider a random process X(t) = U cos t − V sin t 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 ] cos t − E[V ] sin t = 0
RXX (t, t + τ) = E[X(t)X(t + τ)] = E[U 2 ] cos t cos(t + τ) + E[V 2 ] sin t 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.
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
S
1, 0 ≤ t ≤ T

N
Example: 13. A circuit has an impulse response given by h(t) = T . Eval-
0, elsewhere
A
uate the output spectrum SY Y (w) in terms of the input spectrum SXX (w).
H
IT
Hints/Solution:
We know that the PSD of the output process Y (t) is given by
H
SY Y (w) = SXX (w)|H(w)|2
AT
F
O
From h(t) we will get,

S
TE
Z∞
H(w) = h(t)e−iwt dt
O
−∞
N
Z∞
2 sin wT

1 −iwt 2
wT wT
= e dt = cos − i sin
E
T wT 2 2
R
0
TU
" #2
2 sin wT
∴ |H(w)|2 = 2
wT
C
LE
Hence " #2
2 sin wT
2
SY Y (w) = SXX (w)
wT
Example:
 14. If the power spectral density of a WSS process is given by SXX (w) =
b
(a − |w|), |ω| ≤ a

a . Find the autocorrelation function of the process.
0, otherwise
Hints/Solution:

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
S

2b 2 aτ
= sin
aπτ2 2
N
A
H
IT
Example: 15. Find the autcorrelation function of the process whose power density spectrum is
H
9 + ω2 AT
given by 4 . Also find its average power(mean square value).
ω + 5ω 2 + 4
Hints/Solution:
F
O
∞
1
Z
S
2π −∞
TE
Using partial fractions, we will have

9 + ω2 8/3 −5/3
O
= +
(1 + ω 2 )(4 + ω 2 ) (1 + ω 2 ) (4 + ω 2 )
N

Z ∞
E
−a|τ|
R
0
∞
TU
−aτ
e
= 2 2 (−a cos ωτ + ω sin ωτ)
a + ω2 0
C
2a
= ,a > 0
LE
a2 +ω 2
−a|τ| −1
2a
=⇒ e = F
a2 + ω 2
2·1 2·2

−1
4 −1
5 −1
F [SXX (ω)] = F − F
3 1 + ω2 12 4 + ω2
4 5
= e−|τ| − e−2|τ| = RXX (τ)
3 12
4 5 11
3 12 12
Aliter:
We know that ∞
1
Z
RXX (τ) = SXX (ω)eiωτ dω (5.3)
2π −∞
eiaz
Z
This integral is calculated by contour integration technique. Consider dz ,
(b2 + z 2 )(d2 + z 2 )
C
where C is the closed contour consisting of the real axis from −R to R and the upper half of
the circle |z| = R.
S
N
A
×bi
H
×di
IT
−R O R x
H
Here the function f (z) has the pole of order 1 (simple poles) at z = bi, di
AT
z=bi z→bi
F
eiaz
O
= lim (z − bi)
z→bi (z + bi)(z − bi)(z 2 + d2 )
S
e−ab
TE
=
2bi(d2 − b2 )
O
e−ab
|||ly we have, Residue =
N
z=di 2di(b2 − d2 )
E

R
∞
(9 + z 2 )eiaz
Z
TU
dz
−∞ (b2 + z 2 )(d2 + z 2 )
C
= 2πi(Sum of the residues)

LE
(9 − b2 )e−ab (9 − d2 )e−ab

= 2πi +
2bi(d2 − b2 ) 2di(b2 − d2 )
(9 − b2 )e−ab (9 − d2 )e−ab

= π +
b(d2 − b2 ) d(b2 − d2 )
i.e. replacing a by τ and b, d by 4,3 respectively in (5.3), we get

∞
1 (9 + ω 2 )eiτω
Z
RXX (τ) = dω
2π −∞ (12 + ω 2 )(22 + ω 2 )
= 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|
S
= e − e
3 12
N
A
4 5 11
H
3 12 12
IT
H
AT
F
O
S
TE
O
N
E
R
TU
C
LE
6 Exercise/Practice/Assignment Problems
1. A process {X(t)} has
 the distribution
(at)n−1
, n = 1, 2, . . .


 n+1
P {X(t) = n} = (1 + at) . Prove that the process is not sta-
at
, n=0



(1 + at)
tionary.
2. Show that the random process X(t) = A cos(ω0 t + θ) is WSS, where A and ω0 are
constants and θ is uniformly distributed random variable in (0, 2π).
S
3. Given a RV Y with characteristic function
N
φ(ω) = E(eiωY )
A
= E[cos ωY + i sin ωY ]
H
IT
and a random process defined by X(t) = cos(At+Y ), show that {X(t)} is stationary
in the wide sense if φ(1) = φ(2) = 0.
H
AT
4. Show that the random process X(t) = A cos λt + B sin λt, where A and B are
uncorrelated random variables with zero mean and common variance is WSS.
F
5. State all the properties of Auto-correlation and Cross- correlation function.

O
6. State and Prove the first 3 properties of Auto-correlation function.

S
7. State and Prove the first 3 properties of Cross-correlation function.

TE
8. Consider the process W (t) = X(t) cos ωt + Y (t) sin ωt, where X(t) and Y (t) are
O
two real jointly stationary processes. What are the conditions for W (t) to be a WSS?
N
In case W (t) is WSS, find its autocorrelation in terms of autocorrelations of X(t) and
Y (t).
E
R
9. Check whether the following functions are valid auto-correlation functions or not. If so,
find the mean and variance.
TU
4
(a) 25 +
C
1 + 6τ 2
LE
(b) 9 + 4e−0.2|t1 −t2 |

10. If X(t) is a WSS process with autocorrelation function RXX (τ ) = Ae−α|τ | . Deter-
mine the second order moment of the random variable X(8) − X(3).
11. Prove that the random process {X(t)} with constant mean is mean-ergodic, if
 
ZT ZT
1
lim  2 C(t1 , t2 ) dt1 dt2  = 0.
T →∞ 4T
−T −T
12. The random binary transmission process {X(t)} is a WSS process with zero mean and
|τ|
autocorrelation function R(τ) = 1 − , where T is a constant. Find the mean and
T
variance of the time average of {X(t)} over (0, T ). Is {X(t)} is mean ergodic?
13. 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).
S
14. Check whether the following functions are valid autocorrelations or not? if so find the
N
4 25 + τ2
mean and variance of the process. (a) Ae−α|τ| (b) 25 + (c) .
A
1 + 6τ2 6.25τ2 + 4
H
IT
H
15. Given that {X(t)} is a random process with mean 3 and autocorrelation function R(t1 , t2 ) =
AT
9 + 4e−0.2|t1 −t2 | . Determine the mean, variance and covariance of the random variables
X(10), X(7).
F
O
S
16. The autocorrelation function of a stationary process is given by RXX (τ) = 9 + 2e−|τ| .
TE
Z2
Determine the mean value of the random variable Y = X(t) dt and variance of
O
0
N
{X(t)}.
E
R
TU
17. 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
C
jointly WSS if A and B are uncorrelated random variables with mean 0 and same vari-
LE
ances and ω is is a constant.
18. 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)p where θ is uniformly distributed in (0,2π) and ω is
a constant. Prove that |RXY (τ)| ≤ RXX (0) × RY Y (0).
19. Consider the process W (t) = X(t) cos ωt + Y (t) sin ωt, where X(t) and Y (t) are
two real jointly stationary processes. 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).
20. If X(t) and Y (t) are two independent WSS processes with zero means. Find the auto-
correlation functions of (i) Z(t) = a + bX(t) + cY (t) and (ii) Z(t) = aX(t)Y (t).
21. Two random processes {X(t)} and {Y (t)} are defined by X(t) = A cos(ωt + θ)
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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.
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22. Consider the random process {X(t)} defined by X(t) = A cos t + B sin t where
A, B are independent random variables each of which takes the values -2 and 1 with
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probabilities 1/3 and 2/3 respectively. Prove that {X(t)} is WSS and not SSS.
AT
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23. Consider the random process {X(t)} defined by X(t) = A cos t + B sin t, t ≥ 0
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where A, B are independent N (0, σ 2 ) random variables. Examine the stationarity of

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{X(t)}.
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24. 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
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function RXX (t1 , t2 ) and autocovariance CXX (t1 , t2 ) of {X(t)}.

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25. Let {X(t)} and {Y (t)} be two mean ergodic processes with means µX and µY . Let
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Z(t) = X(t) + Y (t), where A is a random variable independent of Y (t) and taking
1
values 0 and 1 with probability . Check whether {Z(t)} is mean ergodic?
2
The power spectral density of a random process {X (t)} is given by SXX (ω) =
26. (
π, |ω| < 1
. Find its autocorrelation function.
0, elsewhere
27. If RXX (τ) = e−2λ|τ| is the autocorrelation function of a random process{X (t)},
obtain the spectral density of {X (t)}.
The power spectral density of a random process {X (t)} is given by SXX (ω) =
28. 
b
(a − |ω|), |ω| ≤ a
a . Find its autocorrelation function.
0, elsewhere
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29. If RXX (τ) = Ae−α|τ| cos(ω0 τ), (where A > 0, α > 0 and ω0 are constants) is
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the autocorrelation function of a random process{X (t)}, obtain the spectral density of
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{X (t)}.
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30. Find the spectral density of the random process {X (t)} = K cos(ω0 t + θ) where
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K, ω are constants and θ is uniformly distributed in the interval (0, 2π).
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31. A random process X(t) = A cos λt + B sin λt, where A and B are uncorrelated
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random variables with zero mean and common variance. Find the PSD of the process.
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32. Check whether the following functions are valid spectral densities, if so find their corre-
sponding autocorrelation functions and the average power
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(i) SXX (ω) =

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(1 + ω 2 )2
4
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(ii) SXX (ω) =

(4 + ω 2 )2
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(iii) SXX (ω) =
(4 + ω 2 )
4 + ω2
(iv) SXX (ω) =
(4ω 4 + 3ω 2 + 3)
ω2
(v) SXX (ω) =
(ω 6 + 3ω 2 + 3)
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 )
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The autocorrelation function of the Poisson increment process is given by RXX (τ) =
33. 
H
λ 2 , for |τ| >
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|τ|

λ .
λ 2 + 1− , for |τ| ≤

H
AT 4λ sin2 ωt
Prove that its spectral density is given by S(ω) = 2πλ2 δ(ω) + 2
.
2 ω 2
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The power density spectrum of a zero mean WSS process is given by SXX (ω) =
34. (
S
1, for |ω| < ω0

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.
0, for |ω| ≥ ω0
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π
Find R(τ) and show that {X (t)} and X t + are uncorrelated.
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ω0
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The autocorrelation function of the Poisson increment process is given by RXX (τ) =
35. (
1 − |τ|, for |τ| ≤ 1
.
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0, for |τ| > 1

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Find the PSD.

ibω
a+ , for |ω| < α, α > 0

36. If SXY (ω) = α
0, otherwise
(
a + ibω, for |ω| < 1
37. If SXY (ω) =
0, otherwise
38. If {X (t)} is a WSS process with autocorrelation function RXX (τ) and if Y (t) =
X(t + a) − X(t − a), show that RY Y (τ) = 2RXX (τ) − RXX (τ + 2a) −
RXX (τ − 2a).
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39. If {X (t)} is a WSS process with autocorrelation function RXX (τ) and if Y (t) =
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X(t + a) − X(t − a), show that RY Y (τ) = 2RXX (τ) − RXX (τ + 2a) −
A
RXX (τ − 2a) & hence prove that SY Y (ω) = 4 · sin2 (aω) · SXX (ω).
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IT
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40. A randomprocess {X(t)} is the input to a linear system whose impulse response is
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1, 0 ≤ t ≤ T
h (t) = T . Evaluate SY Y (ω) in terms of SXX (ω).
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0, otherwise
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41. 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
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RXX (τ) = e−α|τ| . Find the power spectral density(PSD) of the input and output pro-
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cess. Also find (i) E {Y (t)}, (ii) the autocorrelation function of {Y (t)} if the power
R
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transfer function H(ω) = .

R + iLω
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42. A random process {X(t)} is the input to a linear system whose impulse response is
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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.
43. 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).
44. A WSS process {X(t)} is the input to a linear system whose impulse response is
h (t) = 2e−7t , t ≥ 0. If the autocorrelation function of the process is RXX (τ) =
e−4|τ| , find the power spectral density(PSD) of the output process.
45. A WSS noise process {N (t)} has an autocorrelation function of the process is RN N (τ) =
P e−3|τ| , where P is a constant. Find the power spectral density(PSD) of the process.
N0
46. Consider a Gaussian white noise of a zero mean and power spectrum applied to
2
1
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a low pass RC filter whose transfer function is {H(f )} = . Find th
1 + 2πif RC
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autocorrelation function
A
H
IT
47. A WSS noise process {N (t)} has an autocorrelation function of the process is RN N (τ) =
H
P e−3|τ| , where P is a constant. Find the power spectral density(PSD) of the process.
AT
F
48. If {Y (t)} = A cos(ω0 t + θ) + N (t), where A is constant and θ is a random variable

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with uniform distribution in (−π, π) and  {N (t)} is a band-limited Gaussian white

 N0
S
, for|ω − ω0 | < ωB
noise with a power spectrum SN N (τ) = . Find the power
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2
0, otherwise
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spectral density(PSD) of the output process {Y (t)}. Assume that {N (t)} and θ are
independent.
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49. Find the power spectrum of the random telegraph signal. (Note that the autocorrelation
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of the random telegraph signal is RXX (τ) = e−2λ|τ| )

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50. Let Y (t) = X(t) + N (t) be a WSS process, where X(t) is the actual signal and
2
N (t) is the zero-mean noise process with variance σN and independent of X(t). Find
the power spectral density of Y (t).
51. 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 au-
tocorrelation 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) athithansingaram@gmail.com

Visit: https://sites.google.com/site/lecturenotesofathithans/home
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v2-U4&5-18MAB203T-PSP-Lecture Notes

18MAB203T-Probability and Stochastic

Faculty of Engineering and Technology

SRM INSTITUTE OF SCIENCE AND TECHNOLOGY

Kattankulathur-603203, Kancheepuram District.

SRM INSTITUTE OF SCIENCE AND TECHNOLOGY

3 Problems based on Autocorrelation and Cross-Correlation 5

4 Power Spectral Density Function (PSDF)/ Power Density Spectrum (PDS) 11

? Problems on cross correlation function

? Mean ergodic process, Mean ergodic theorem

? Power Spectral Density (Power Density Spectrum)-PSD function and properties

? Problems on power spectral density function

? Linear system with random inputs

? Unit impulse response of the system and Properties

E[X(t)] = A cos(t + ψ) · dy = cos t

Here, E[X(t)] is function of t (not a constant).

Example: 2. The process {X(t)} has the distribution

at . Prove that the process is not sta-

2 Problems based on Wide Sense Stationary (WSS) and Strict

process X(t) is WSS.

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[X(t)] = E[U ] cos t − E[V ] sin t = 0

Hence X(t) is not a SSS process

3 Problems based on Autocorrelation and Cross-Correlation

3.1 Properties of Autocorrelation

RXX (−τ) = E {X(t)X(t − τ)}

[E {X(t)X(t + τ)}]2 ≤ E X 2 (t) E X 2 (t + τ)

[Since E {X(t)} and V ar {X(t)} are constant for stationary process]

Taking square root on both sides, we get

|RXX (τ)| ≤ RXX (0)

3.2 Properties of Cross-correlation

Property 3.2.1. RY X (τ) = RXY (−τ)

a2 E[X 2 (t)] + 2aE[X(t)Y (t + τ)] + E[Y 2 (t + τ)] ≥ 0

a2 RXX (0) + 2aRXY (τ) + RY Y (0) ≥ 0, ∀ a

Since RXX (0), RY Y (0) > 0 we have discriminant ≤ 0

average {X(t)} over (−T, T ) and it is denoted by X T .

RZZ (t, t + τ) = E[Z(t)Z(t + τ)]

By Property, We know that µ2X = lim RXX (τ) = lim = 4 ∴ µX = 2

τ→∞ τ→∞ 6.25τ2 + 4

Now, V ar[X(t)] = E[X 2 (t)] − {E[X(t)]2 } = 9 − 4 = 5

By Property µ2X = lim RXX (τ) = lim 25 + = 25

put τ = 0 we get, RXX (0) = E{X 2 (t)} = A, ∀ t

E{[X(8) − X(5)]2 } = E{X 2 (8)} + E{X 2 (5)} − 2E{X(5)}E{X(5 + 3)}

∴ E{X T } = R(t1 , t2 ) dt1 dt2

∴ {V ar(X T )} = E{X T } − E{X T }

= [R(t1 , t2 ) − E{X(t1 )}E{X(t2 )}] dt1 dt2

RW W (t, t + τ) = E[W (t)W (t + τ)]

RW W (t, t + τ) = RXX (τ) cos(ωτ) (only if RXX (τ) = RY Y (τ))[ Condition-2 ]

+RXY (τ) sin(ωt + ωτ) · cos(ωt)

+RXY (−τ) cos(ωt + ωτ) · sin(ωt) [ By property ]

= RXX (τ) cos(ωτ)

+RXY (τ) sin(ωτ) (only if RXY (−τ) = −RXY (τ))[ Condition-3 ]

∴ RW W (t, t + τ) becomes WSS if the following conditions are satisfied.

(ii) RXX (τ) = RY Y (τ) and

(iii) RXY (−τ) = −RXY (τ)

4 Power Spectral Density Function (PSDF)/ Power Density

RXX (τ) = SXX (ω)eiωτ dω

forms a Fourier transform pair. i.e.

SXY (ω) = RXY (τ)e−iωτ dτ

RXY (τ) = SXY (ω)eiωτ dω

4.0.1 Properties of PSDF

forms a Fourier cosine transform pair.