Practice Problem Set - 2

Random Processes
EC-501 (Modelling and Simulation)
Spring 2014
1. Let X
n
be a sequence of IID Bernoulli random variables with p = 1/2. Find the joint PMF of any k
time samples.
2. Let D
n
= 2I
n
1, where I
n
is the Bernoulli random process. Find the mean and variance of D
n
.
3. Let X
n
be a Gaussian random process with zero mean and variance
2
. Find the joint PDF of the
corresponding sum process at times n
1
and n
2
.
4. Inquries arrive at a recorded message device according to a Poisson process of rate 15 inquiries per
minute. Find the probability that in a 1 minute period, 3 inquiries arrive during the rst 10 seconds
and 2 inquiries arrive during the last 15 seconds.
5. Consider a random process X(t) that assumes the values 1. Suppose that X(0) = 1 with probability
1/2, and that X(t) changes polarity with each occurance of an event in a Poisson process of rate .
Find the PMF of X(t), and hence, its mean and variance.
6. Let X(t) = A for all t, where A is a zero-mean, unit-variance random variable. Find the limiting value
of the time average.
7. A discrete-time random process X
n
is dened as follows. A fair coin is tossed. If the outcome is heads,
X
n
= (1)
n
for all n; if the outcome is tails, X
n
= (1)
(n+1)
for all n. Find the PMF of X
n
and the
joint PMF of X
n
and X
n+k
. Find the mean of X
n
.
8. Let S
n
be a Binomial counting process. Find the probability that S
n1
= j conditioned on the fact that
S
n2
= i, where n
2
> n
1
.
9. Customers arrive at a soft drink dispensing machine according to a Poisson process with rate . Suppose
that each time a customer deposits money, the machine dispenses a soft drink with probability p. Find
the PMF for the number of soft drinks dispensed in time t.
10. Noise impulses occur on a telephone line according to a Poisson process of rate . Suppose that the
message is encoded so that errors caused by a single impulse can be correted. What is the probability
that a t-second message is either error-free or correctable?
11. Messages arrive at a computer from two telephone lines according to independent Poisson processes of
rates
1
and
2
, respectively.
(a) Find the probability that a message arrives rst on line 1.
(b) Find the PDF for the time until a message arrives on either line.
(c) Find the PMF for N(t), the total number of messages that arrive in an interval of length t.
1
(d) Generalize the result of part (c) for the merging of k-independent Poisson processes of rates

1
,
2
, . . . ,
k
, respectively.
N(t) =
k

i=1
N
k
(t)
12. Suppose that the time required to service a customer in a queueing system is an exponential random
variable with parameter . If customers arrive at the system according to a Poisson process with
parameter , nd the PMF for the number of customers that arrive during one customers service
time.
13. Let Z(t) be the random signal obtained by switching between the values 0 and 1 according to the
events in a counting process N(t), where
Pr{N(t) = k} =
1
1 +t

t
1 +t

k
, k = 0, 1, 2, . . .
Find the PMF of Z(t) and its mean value as a function of time.
14. Prove that the moving average process Y
n
= (1/2)(X
n
+ X
n1
), where X
n
is a Bernoulli random
variable with p = 1/2, is not a Markov process.
15. A Markov model for packet speech assumes that if the n
th
packet contains silence, then the probability
of silence in the next packet is 1 . Similarly, if the n
th
packet contains speech activity, then the
probability of speech activity in the next packet is 1 . Find the steady state probabilities for this
process.
16. Find the steady state probabilities for a Poisson process with parameter .
17. Let M
n
denote the sequence of random means from an IID random process X
n
:
M
n
=
1
n
n

i=1
X
i
Is M
n
a Markov process? If yes, nd the state transition PDF, given by f
Mn
(x | M
n1
= y).
18. An urn initially contains ve black balls and ve white balls. The following experiment is repeated
indenitely : A ball is drawn from the urn; if the ball is white, it is put back in the urn, oterwise it
is left out. Let X
n
be the number of black balls remaining in the urn after n draws from the urn. Is
X
n
a Markov process? If so, nd the appropriate state transition probabilities. Do these probabilities
depend on n?
19. Let X
n
be the Bernoulli IID process and let Z
n
be a vector process, dened by Z
n
= (X
n
, X
n1
).
Show that Z
n
is a Markov process and draw its state transition diagram, with the appropriate state
transition probabilities.
20. A critical part of a machine has an exponentially distributed lifetime with parameter . Suppose that
n spare parts are initially in stock. Let N(t) be the number of spare parts left at time t. Find the
state transition probability matrix.
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