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Venkata Rao

2 CHAPTER 2

U

2.1 Introduction

At the start of Sec. 1.1.2, we had indicated that one of the possible ways

of classifying the signals is: deterministic or random. By random we mean

unpredictable; that is, in the case of a random signal, we cannot with certainty

predict its future value, even if the entire past history of the signal is known. If the

signal is of the deterministic type, no such uncertainty exists.

then (we are assuming them to be constants) we know the value of x ( t ) for all t .

time).

Even this value may not remain constant and could vary with time. Then,

observing the output of such a source over a long period of time would not be of

much use in predicting the future values. We say that the source output varies in

a random manner.

receiving antenna of a radio communication scheme. Even if the transmitted

2.1

Principles of Communication Prof. V. Venkata Rao

(radio) signal is from a highly stable source, the voltage at the terminals of a

receiving antenna varies in an unpredictable fashion. This is because the

conditions of propagation of the radio waves are not under our control.

theory involves the assumption that the transmitter is connected to a source,

whose output, the receiver is not able to predict with certainty. If the students

know ahead of time what is the teacher (source + transmitter) is going to say

(and what jokes he is going to crack), then there is no need for the students (the

receivers) to attend the class!

problem unless the transmitted signal is disturbed during propagation or

reception by unwanted (random) signals, usually termed as noise and

interference. (We shall take up the statistical characterization of noise in

Chapter 3.)

unpredictable, do exhibit statistical regularity. Consider again the reception of

radio signals propagating through the atmosphere. Though it would be difficult to

know the exact value of the voltage at the terminals of the receiving antenna at

any given instant, we do find that the average values of the antenna output over

two successive one minute intervals do not differ significantly. If the conditions of

propagation do not change very much, it would be true of any two averages (over

one minute) even if they are well spaced out in time. Consider even a simpler

experiment, namely, that of tossing an unbiased coin (by a person without any

magical powers). It is true that we do not know in advance whether the outcome

on a particular toss would be a head or tail (otherwise, we stop tossing the coin

at the start of a cricket match!). But, we know for sure that in a long sequence of

tosses, about half of the outcomes would be heads (If this does not happen, we

suspect either the coin or tosser (or both!)).

2.2

Principles of Communication Prof. V. Venkata Rao

phenomenon in many cases involving random quantities. Hence, we are tempted

to develop mathematical tools for the analysis and quantitative characterization

of random signals. To be able to analyze random signals, we need to understand

random variables. The resulting mathematical topics are: probability theory,

random variables and random (stochastic) processes. In this chapter, we shall

develop the probabilistic characterization of random variables. In chapter 3, we

shall extend these concepts to the characterization of random processes.

We shall introduce some of the basic concepts of probability theory by

defining some terminology relating to random experiments (i.e., experiments

whose outcomes are not predictable).

2.2.1. Terminology

Def. 2.1: Outcome

The end result of an experiment. For example, if the experiment consists

of throwing a die, the outcome would be anyone of the six faces, F1 ,........, F6

Def. 2.2: Random experiment

An experiment whose outcomes are not known in advance. (e.g. tossing a

coin, throwing a die, measuring the noise voltage at the terminals of a resistor

etc.)

Def. 2.3: Random event

A random event is an outcome or set of outcomes of a random experiment

that share a common attribute. For example, considering the experiment of

throwing a die, an event could be the 'face F1 ' or 'even indexed faces'

A1 , A2 ⋅ ⋅ ⋅ ⋅

2.3

Principles of Communication Prof. V. Venkata Rao

The sample space of a random experiment is a mathematical abstraction

used to represent all possible outcomes of the experiment. We denote the

sample space by S.

called a sample point. We use s (with or without a subscript), to denote a sample

point. An event on the sample space is represented by an appropriate collection

of sample point(s).

Def. 2.5: Mutually exclusive (disjoint) events

Two events A and B are said to be mutually exclusive if they have no

common elements (or outcomes).Hence if A and B are mutually exclusive, they

cannot occur together.

Def. 2.6: Union of events

The union of two events A and B , denoted A ∪ B , {also written as

This concept can be generalized to the union of more than two events.

Def. 2.7: Intersection of events

The intersection of two events, A and B , is the set of all outcomes which

belong to A as well as B . The intersection of A and B is denoted by ( A ∩ B )

more events.

Def. 2.8: Occurrence of an event

An event A of a random experiment is said to have occurred if the

experiment terminates in an outcome that belongs to A .

2.4

Principles of Communication Prof. V. Venkata Rao

The complement of an event A , denoted by A is the event containing all

points in S but not in A .

Def. 2.10: Null event

The null event, denoted φ , is an event with no sample points. Thus φ = S

(note that if A and B are disjoint events, then A B = φ and vice versa).

The probability of an event has been defined in several ways. Two of the

most popular definitions are: i) the relative frequency definition, and ii) the

classical definition.

Suppose that a random experiment is repeated n times. If the event A

occurs nA times, then the probability of A , denoted by P ( A ) , is defined as

⎛n ⎞

P ( A ) = lim ⎜ A ⎟ (2.1)

n → ∞ ⎝ n ⎠

⎛ nA ⎞

⎜ n ⎟ represents the fraction of occurrence of A in n trials.

⎝ ⎠

⎛n ⎞

For small values of n , it is likely that ⎜ A ⎟ will fluctuate quite badly. But

⎝ n ⎠

⎛n ⎞

as n becomes larger and larger, we expect, ⎜ A ⎟ to tend to a definite limiting

⎝ n ⎠

value. For example, let the experiment be that of tossing a coin and A the event

⎛n ⎞

'outcome of a toss is Head'. If n is the order of 100, ⎜ A ⎟ may not deviate from

⎝ n ⎠

2.5

Principles of Communication Prof. V. Venkata Rao

1

by more than, say ten percent and as n becomes larger and larger, we

2

⎛n ⎞ 1

expect ⎜ A ⎟ to converge to .

⎝ n ⎠ 2

Def. 2.12: The classical definition:

The relative frequency definition given above has empirical flavor. In the

classical approach, the probability of the event A is found without

experimentation. This is done by counting the total number N of the possible

outcomes of the experiment. If N A of those outcomes are favorable to the

occurrence of the event A , then

NA

P ( A) = (2.2)

N

where it is assumed that all outcomes are equally likely!

measure (to the various events on the sample space) to obey the following

postulates or axioms:

P1) P ( A ) ≥ 0 (2.3a)

P2) P ( S ) = 1 (2.3b)

(Note that in Eq. 2.3(c), the symbol + is used to mean two different things;

namely, to denote the union of A and B and to denote the addition of two real

numbers). Using Eq. 2.3, it is possible for us to derive some additional

relationships:

i) If A B ≠ φ , then P ( A + B ) = P ( A ) + P ( B ) − P ( A B ) (2.4)

2.6

Principles of Communication Prof. V. Venkata Rao

b) A1 + A2 + ...... + An = S. (2.5b)

Note: A1 , A2 , ⋅ ⋅ ⋅, An are said to be mutually exclusive (Eq. 2.5a) and exhaustive

(Eq. 2.5b).

iii) P ( A ) = 1 − P ( A ) (2.7)

probability, denoted P ( B | A ) ; it represents the probability of B occurring, given

that A has occurred. In a real world random experiment, it is quite likely that the

occurrence of the event B is very much influenced by the occurrence of the

event A . To give a simple example, let a bowl contain 3 resistors and 1

capacitor. The occurrence of the event 'the capacitor on the second draw' is very

much dependent on what has been drawn at the first instant. Such dependencies

between the events is brought out using the notion of conditional probability .

classical definition. Using the former, we have

⎛ nAB ⎞

P ( AB ) = lim ⎜ ⎟

n → ∞

⎝ n ⎠

⎛n ⎞

P ( A ) = lim ⎜ A ⎟

n → ∞ ⎝ n ⎠

2.7

Principles of Communication Prof. V. Venkata Rao

we have

nAB

P ( B | A ) = lim

n → ∞ nA

⎛ nAB ⎞

⎜ ⎟ P ( AB )

= lim ⎜ n ⎟ = , P ( A) ≠ 0 (2.8a)

n → ∞ ⎜ nA ⎟ P ( A)

⎜ n ⎟

⎝ ⎠

or P ( A B ) = P (B | A) P ( A)

P ( AB )

P ( A | B) = , P (B ) ≠ 0 (2.8b)

P (B )

P ( A B ) = P (B | A) P ( A) = P (B ) P ( A | B ) (2.9)

P (B ) P ( A | B )

P (B | A) = , P ( A) ≠ 0 (2.10a)

P ( A)

Similarly

P ( A) P (B | A)

P ( A | B) = , P (B ) ≠ 0 (2.10b)

P (B )

relation can be derived for the joint probability of a joint event involving the

intersection of three or more events. For example P ( A BC ) can be written as

2.8

Principles of Communication Prof. V. Venkata Rao

P ( A BC ) = P ( A B ) P (C | AB )

= P ( A ) P ( B | A ) P (C | AB ) (2.11)

Exercise 2.1

Let A1 , A2 ,......, An be n mutually exclusive and exhaustive events

( ) ( )

P B | Aj P Aj

(

P Aj | B =) n

(2.12)

∑ P (B | Aj ) P ( Aj )

i = 1

Suppose the events A and B are such that

P (B | A) = P (B ) (2.13)

occurrence B than we knew without that knowledge. Then, the events A and B

are said to be statistically independent. Alternatively, if A and B satisfy the

Eq. 2.13, then

P ( A B ) = P ( A) P (B ) (2.14)

Either Eq. 2.13 or 2.14 can be used to define the statistical independence

of two events. Note that if A and B are independent, then

P ( A B ) = P ( A ) P ( B ) , whereas if they are disjoint, then P ( A B ) = 0 . The notion

events. A set of k events A1 , A2 ,......, Ak are said to be statistically independent

if and only if (iff) the probability of every intersection of k or fewer events equal

the product of the probabilities of its constituents. Thus three events A , B , C are

independent when

2.9

Principles of Communication Prof. V. Venkata Rao

P ( A B ) = P ( A) P (B )

P ( AC ) = P ( A ) P (C )

P ( BC ) = P ( B ) P (C )

and P ( A BC ) = P ( A ) P ( B ) P (C )

We shall illustrate some of the concepts introduced above with the help of

two examples.

Example 2.1

Priya (P1) and Prasanna (P2), after seeing each other for some time (and

after a few tiffs) decide to get married, much against the wishes of the parents on

both the sides. They agree to meet at the office of registrar of marriages at 11:30

a.m. on the ensuing Friday (looks like they are not aware of Rahu Kalam or they

don’t care about it).

However, both are somewhat lacking in punctuality and their arrival times

are equally likely to be anywhere in the interval 11 to 12 hrs on that day. Also

arrival of one person is independent of the other. Unfortunately, both are also

very short tempered and will wait only 10 min. before leaving in a huff never to

meet again.

b) Let the event A stand for “P1 and P2 meet”. Mark this event on the sample

space.

c) Find the probability that the lovebirds will get married and (hopefully) will

live happily ever after.

2.10

Principles of Communication Prof. V. Venkata Rao

Prasanna. Assuming that P1 arrives at 11: x , meeting between P1 and P2

would take place if P2 arrives within the interval a to b , as shown in the

figure. The event A , indicating the possibility of P1 and P2 meeting, is

shown in Fig. 2.1(b).

2.11

Principles of Communication Prof. V. Venkata Rao

Shaded area 11

c) Probability of marriage = =

Total area 36

Example 2.2:

Let two honest coins, marked 1 and 2, be tossed together. The four

possible outcomes are T1 T2 , T1 H2 , H1 T2 , H1 H2 . ( T1 indicates toss of coin 1

resulting in tails; similarly T2 etc.) We shall treat that all these outcomes are

equally likely; that is the probability of occurrence of any of these four outcomes

1

is . (Treating each of these outcomes as an event, we find that these events

4

are mutually exclusive and exhaustive). Let the event A be 'not H1 H2 ' and B be

P ( AB )

We know that P ( B | A ) = .

P ( A)

A B is the event 'not H1 H2 ' and 'match'; i.e., it represents the outcome T1 T2 .

1

Hence P ( A B ) = . The event A comprises of the outcomes ‘ T1 T2 , T1 H2 and

4

H1 T2 ’; therefore,

3

P ( A) =

4

1

1

P (B | A) = 4 =

3 3

4

1

Intuitively, the result P ( B | A ) = is satisfying because, given 'not H1 H2 ’ the

3

toss would have resulted in anyone of the three other outcomes which can be

2.12

Principles of Communication Prof. V. Venkata Rao

1

treated to be equally likely, namely . This implies that the outcome T1 T2 given

3

1

'not H1 H2 ', has a probability of .

3

1 1

As P ( B ) = and P ( B | A ) = , A and B are dependent events.

2 3

Let us introduce a transformation or function, say X , whose domain is the

sample space (of a random experiment) and whose range is in the real line; that

is, to each si ∈ S , X assigns a real number, X ( si ) , as shown in Fig.2.2.

well as the transformation of the event A , which falls on the real line segment

[a1 , a2 ] .

Taking a specific case, let the random experiment be that of throwing a

die. The six faces of the die can be treated as the six sample points in S ; that is,

2.13

Principles of Communication Prof. V. Venkata Rao

then the events on the sample space will become transformed into appropriate

segments of the real line. Then we can enquire into the probabilities such as

or

P ⎡⎣{s : X ( s ) = c}⎤⎦

These and other probabilities can be arrived at, provided we know the

Distribution Function of X, denoted by FX ( ) which is given by

That is, FX ( x ) is the probability of the event, comprising all those sample points

which are transformed by X into real numbers less than or equal to x . (Note

that, for convenience, we use x as the argument of FX ( ) . But, it could be any

other symbol and we may use FX ( α ) , FX ( a1 ) etc.) Evidently, FX ( ) is a function

whose domain is the real line and whose range is the interval [0, 1] ).

Distribution Function CDF), let S consist of four sample points, s1 to s4 , with

1

each with sample point representing an event with the probabilities P ( s1 ) = ,

4

1 1 1

P ( s2 ) = , P ( s3 ) = and P ( s4 ) = . If X ( si ) = i − 1.5, i = 1, 2, 3, 4 , then

8 8 2

the distribution function FX ( x ) , will be as shown in Fig. 2.3.

2.14

Principles of Communication Prof. V. Venkata Rao

i) FX ( x ) ≥ 0, − ∞ < x < ∞

ii) FX ( − ∞ ) = 0

iii) FX ( ∞ ) = 1

v) If a > b , then FX ( a ) ≥ FX ( b )

The first three properties follow from the fact that FX ( ) represents the

{s : X ( s ) ≤ b} ∪ {s : b < X ( s ) ≤ a} = {s : X ( s ) ≤ a}

Referring to the Fig. 2.3, note that FX ( x ) = 0 for x < − 0.5 whereas

1 1

FX ( − 0.5 ) = . In other words, there is a discontinuity of at the point

4 4

x = − 0.5 . In general, there is a discontinuity in FX of magnitude Pa at a point

x = a , if and only if

2.15

Principles of Communication Prof. V. Venkata Rao

Fx ( ) is monotonically non-decreasing, is continuous to the right at each point

TP PT

be an event in the sample space with some assigned probability. (The term

“random variable” is somewhat misleading because an RV is a well defined

function from S into the real line.) However, every transformation from S into

the real line need not be a random variable. For example, let S consist of six

sample points, s1 to s6 . The only events that have been identified on the sample

2 1 1

are P ( A ) = , P ( B ) = and P (C ) = . We see that the probabilities for the

6 2 6

various unions and intersections of A , B and C can be obtained.

P [s : 3.5 < x ≤ 4.5 ] = P ( s4 ) is not known as s4 is not an event on the sample

space.

1

TP PT Let x = a . Consider, with ∆ > 0 ,

∆ → 0 ∆ → 0

{ }

We intuitively feel that as ∆ → 0 , the limit of the set s : a < X ( s ) ≤ a + ∆ is the null set and

F

X

( a+ ) − FX ( a ) = 0 , where a

+

= lim

∆ → 0

(a + ∆ )

That is, F

X

( x ) is continuous to the right.

2.16

Principles of Communication Prof. V. Venkata Rao

Exercise 2.2

Let S be a sample space with six sample points, s1 to s6 . The events

identified on S are the same as above, namely, A = {s1 , s2 } ,

1 1 1

B = {s3 , s4 , s5 } and C = {s6 } with P ( A ) = , P ( B ) = and P (C ) = .

3 2 6

Let Y ( ) be the transformation,

⎧1, i = 1, 2

⎪

Y ( si ) = ⎨2 , i = 3, 4, 5

⎪3 , i = 6

⎩

Show that Y ( ) is a random variable by finding FY ( y ) . Sketch FY ( y ) .

Though the CDF is a very fundamental concept, in practice we find it more

convenient to deal with Probability Density Function (PDF). The PDF, f X ( x ) is

d FX ( x )

fX ( x ) = (2.17a)

dx

or

x

FX ( x ) = ∫ f (α) d α

X (2.17b)

−∞

x = a for one of the two reasons:

2.17

Principles of Communication Prof. V. Venkata Rao

continuous to the right.) The second case is taken care of by introducing the

impulse in the probability domain. That is, if there is a discontinuity in FX at

example, for the CDF shown in Fig. 2.3, the PDF will be,

1 ⎛ 1⎞ 1 ⎛ 1⎞ 1 ⎛ 3⎞ 1 ⎛ 5⎞

fX ( x ) = δ⎜ x + ⎟ + δ⎜ x − ⎟ + δ⎜ x − ⎟ + δ⎜ x − ⎟ (2.18)

4 ⎝ 2⎠ 8 ⎝ 2⎠ 8 ⎝ 2⎠ 2 ⎝ 2⎠

1 1

In Eq. 2.18, f X ( x ) has an impulse of weight at x = as

8 2

⎡ 1⎤ 1

P ⎢ X = ⎥ = . This impulse function cannot be taken as the limiting case of

⎣ 2⎦ 8

1 ⎛x⎞

an even function (such as ga ⎜ ⎟ ) because,

ε ⎝ε⎠

1 1

2 2

1 ⎛ 1⎞ 1

lim ∫ f X ( x ) dx = lim ∫ δ ⎜ x − ⎟ dx ≠

ε → 0

1 −ε

ε → 0

1 −ε

8 ⎝ 2⎠ 16

2 2

2.18

Principles of Communication Prof. V. Venkata Rao

1

2

1

However, lim ∫ f X ( x ) dx = . This ensures,

ε → 0 8

1 −ε

2

⎧2 1 1

⎪⎪ 8 , − 2 ≤ x < 2

FX ( x ) = ⎨

⎪3 , 1 ≤ x < 3

⎪⎩ 8 2 2

Such an impulse is referred to as the left-sided delta function.

As FX is non-decreasing and FX ( ∞ ) = 1, we have

i) fX ( x ) ≥ 0 (2.19a)

∞

ii) ∫ f ( x ) dx

−∞

X = 1 (2.19b)

i) continuous (ii) discrete and (iii) mixed. If the CDF, FX ( x ) , is a continuous

TP PT

random variable if FX ( x ) is discontinuous but not a staircase. Later on in this

we induce k such transformations, then we have a set of k co-existing random

variables.

Consider the case of two random variables, say X and Y . They can be

characterized by the (two-dimensional) joint distribution function, given by

1

TP PT As the domain of the random variable X ( ) is known, it is convenient to denote the variable

simply by X .

2.19

Principles of Communication Prof. V. Venkata Rao

That is, FX ,Y ( x , y ) is the probability associated with the set of all those

sample points such that under X , their transformed values will be less than or

equal to x and at the same time, under Y , the transformed values will be less

than or equal to y . In other words, FX ,Y ( x1 , y1 ) is the probability associated with

the set of all sample points whose transformation does not fall outside the

shaded region in the two dimensional (Euclidean) space shown in Fig. 2.5.

Looking at the sample space S, let A be the set of all those sample

points s ∈ S such that X ( s ) ≤ x1 . Similarly, if B is comprised of all those

sample points s ∈ S such that Y ( s ) ≤ y1 ; then F ( x1 , y1 ) is the probability

associated with the event AB .

i) FX ,Y ( x , y ) ≥ 0 , −∞ < x < ∞, −∞ < y < ∞

ii) FX ,Y ( − ∞ , y ) = FX ,Y ( x , − ∞ ) = 0

iii) FX ,Y ( ∞ , ∞ ) = 1

iv) FX ,Y ( ∞ , y ) = FY ( y )

v) FX ,Y ( x , ∞ ) = FX ( x )

2.20

Principles of Communication Prof. V. Venkata Rao

FX ,Y ( x2 , y 2 ) ≥ FX ,Y ( x2 , y1 ) ≥ FX ,Y ( x1 , y1 )

∂2

f X ,Y ( x , y ) = FX ,Y ( x , y ) (2.21a)

∂x ∂y

y x

or FX ,Y ( x , y ) = ∫ ∫ f ( α , β ) d α dβ

X ,Y (2.21b)

− ∞− ∞

The notion of joint CDF and joint PDF can be extended to the case of k random

variables, where k ≥ 3 .

the one dimensional PDFs, f X ( x ) and fY ( y ) . We know that,

FX ,Y ( x1 , ∞ ) = FX ( x1 ) .

x1 ∞

That is, FX ( x1 ) = ∫ ∫ f ( α , β) d β d α

X ,Y

− ∞− ∞

d ⎧⎪ 1 ⎡ ⎤ ⎫⎪

x ∞

f X ( x1 ) = ⎨ ∫ ⎢ ∫ f X ,Y ( α , β ) d β⎥ d α ⎬ (2.22)

d x1 ⎩⎪− ∞ ⎣⎢ − ∞ ⎦⎥ ⎭⎪

Eq. 2.22 involves the derivative of an integral. Hence,

d FX ( x ) ∞

f X ( x1 ) = = ∫ f ( x , β ) dβ

X ,Y 1

dx x = x1 −∞

∞

or fX ( x ) = ∫ f ( x , y ) dy

X ,Y (2.23a)

−∞

∞

Similarly, fY ( y ) = ∫ f ( x , y ) dx

X ,Y (2.23b)

−∞

(In the study of several random variables, the statistics of any individual variable

is called the marginal. Hence it is common to refer FX ( x ) as the marginal

2.21

Principles of Communication Prof. V. Venkata Rao

Given f X ,Y ( x , y ) , we know how to obtain f X ( x ) or fY ( y ) . We might also

f X ,Y ( x , y1 )

f X |Y ( x | y1 ) = (2.24)

fY ( y1 )

f X ,Y ( x , y )

f X |Y ( x | y ) = (2.25a)

fY ( y )

f X ,Y ( x , y )

and fY | X ( y | x ) = (2.25b)

fX ( x )

or f X ,Y ( x , y ) = f X |Y ( x | y ) fY ( y ) (2.25c)

= fY | X ( y | x ) f X ( x ) (2.25d)

ordinary PDF; that is,

f X |Y ( x | y ) ≥ 0 (2.26a)

∞

and ∫ f ( x | y ) dx

−∞

X |Y = 1 (2.26b)

2.22

Principles of Communication Prof. V. Venkata Rao

In the case of random variables, the definition of statistical independence

is somewhat simpler than in the case of events. We call k random variables

X1 , X 2 , ......... , X k statistically independent iff, the k -dimensional joint PDF

k

∏ f X i ( xi ) (2.27)

i = 1

f X ,Y ( x , y ) = f X ( x ) fY ( y ) (2.28)

f X ,Y , Z ( x , y , z ) = f X ( x ) fY ( y ) fz ( z ) (2.29)

PDF. Let X and Y be independent. Then,

f X ,Y ( x , y ) = f X ( x ) fY ( y )

f X |Y ( x | y ) fY ( y ) = f X ( x ) fY ( y )

or f X |Y ( x | y ) = f X ( x ) (2.30a)

Similarly, fY | X ( y | x ) = fY ( y ) (2.30b)

Eq. 2.30(a) and 2.30(b) are alternate expressions for the statistical independence

between X and Y . We shall now give a few examples to illustrate the concepts

discussed in sec. 2.3.

Example 2.3

A random variable X has

⎧ 0 , x < 0

⎪

FX ( x ) = ⎨ K x 2 , 0 ≤ x ≤ 10

⎪100 K , x > 10

⎩

i) Find the constant K

ii) Evaluate P ( X ≤ 5 ) and P ( 5 < X ≤ 7 )

2.23

Principles of Communication Prof. V. Venkata Rao

iii) What is f X ( x ) ?

1

i) FX ( ∞ ) = 100 K = 1 ⇒ K = .

100

⎛ 1 ⎞

ii) P ( x ≤ 5 ) = FX ( 5 ) = ⎜ ⎟ × 25 = 0.25

⎝ 100 ⎠

P ( 5 < X ≤ 7 ) = FX ( 7 ) − FX ( 5 ) = 0.24

⎧0 , x < 0

d FX ( x ) ⎪

fX ( x ) = = ⎨0.02 x , 0 ≤ x ≤ 10

dx ⎪0

⎩ , x > 10

Example 2.4

Consider the random variable X defined by the PDF

fX ( x ) = a e

−bx

, − ∞ < x < ∞ where a and b are positive constants.

∞ ∞

∫ dx = 2 ∫ a e − b x dx = 1 .

−bx

represent a legitimate PDF, we require ae

−∞ 0

∞

1

That is, ∫ a e − b x dx = ; hence b = 2 a .

0

2

⎧⎪a e b x , x < 0

fX ( x ) = ⎨ − b x

⎪⎩a e , x ≥ 0.

2.24

Principles of Communication Prof. V. Venkata Rao

x

b bα 1

FX ( x ) = ∫ e d α = eb x .

−∞

2 2

2

FX ( 2 ) = ∫ f (x) d x

X

−∞

∞

= 1 − ∫ fX ( x ) d x

2

∞ −2

X

2 −∞

1 − bx

Therefore, FX ( x ) = 1 − e , x > 0

2

We can now write the complete expression for the CDF as

⎧ 1 bx

⎪⎪ e , x < 0

FX ( x ) = ⎨

2

⎪1 − 1 − bx

e , x ≥ 0

⎪⎩ 2

iii) FX ( 2 ) − FX (1) =

1 −b

2

(

e − e− 2 b )

Example 2.5

⎧1

⎪ , 0 ≤ x ≤ y, 0 ≤ y ≤ 2

Let f X ,Y ( x , y ) = ⎨ 2

⎪⎩0 , otherwise

f X ,Y ( x , y )

(a) fY | X ( y | x ) =

fX ( x )

2.25

Principles of Communication Prof. V. Venkata Rao

addition, for any given x , y ≥ x . Hence,

2

1 x

fX ( x ) = ∫2 dy = 1− , 0 ≤ x ≤ 2

x

2

Hence,

1

fY | X ( y | 1) = 2 = ⎧1 , 1 ≤ y ≤ 2

(i)

1 ⎨

2 ⎩0 , otherwise

1

⎧2 , 1.5 ≤ y ≤ 2

(ii) fY | X ( y | 1.5 ) = 2 = ⎨

1 ⎩0 , otherwise

4

b) the dependence between the random variables X and Y is evident from

the statement of the problem because given a value of X = x1 , Y should

be greater than or equal to x1 for the joint PDF to be non zero. Also we see

then fY | X ( y | x ) = fY ( y ) .

2.26

Principles of Communication Prof. V. Venkata Rao

Exercise 2.3

For the two random variables X and Y , the following density functions

have been given. (Fig. 2.6)

Find

a) f X ,Y ( x , y )

b) Show that

⎧ y

⎪⎪100 , 0 ≤ y ≤ 10

fY ( y ) = ⎨

⎪ 1 − y , 10 < y ≤ 20

⎪⎩ 5 100

The process of communication involves various operations such as

modulation, detection, filtering etc. In performing these operations, we typically

generate new random variables from the given ones. We will now develop the

necessary theory for the statistical characterization of the output random

variables, given the transformation and the input random variables.

2.27

Principles of Communication Prof. V. Venkata Rao

Assume that X is the given random variable of the continuous type with

the PDF, f X ( x ) . Let Y be the new random variable, obtained from X by the

Y ( s1 ) = g ( X ( s1 ) )

Our interest is to obtain fY ( y ) . This can be obtained with the help of the following

Theorem 2.1

Let Y = g ( X ) . To find fY ( y ) , for the specific y , solve the equation

f X ( x1 ) f X ( xn )

fY ( y ) = + ........... + + ......... (2.31)

g ' ( x1 ) g ' ( xn )

Proof: Consider the transformation shown in Fig. 2.7. We see that the equation

y 1 = g ( x ) has three roots namely, x1 , x2 and x3 .

2.28

Principles of Communication Prof. V. Venkata Rao

need to find the set of values x such that y1 < g ( x ) ≤ y1 + d y and the

probability that X is in this set. As we see from the figure, this set consists of the

following intervals:

x1 < x ≤ x1 + d x1 , x2 + d x2 < x ≤ x2 , x3 < x ≤ x3 + d x3

P [ y1 < Y ≤ y1 + d y ] = P [ x1 < X ≤ x1 + d x1 ] + P [ x2 + dx2 < X ≤ x2 ]

+ P [ x3 < X ≤ x 3 + d x3 ]

This probability is the shaded area in Fig. 2.7.

dy

P [ x1 < X ≤ x1 + d x1 ] = f X ( x1 ) d x1 , d x1 =

g ' ( x1 )

dy

P [ x2 + d x2 < x ≤ x2 ] = f X ( x2 ) d x2 , d x2 =

g ' ( x2 )

dy

P [ x3 < X ≤ x3 + d x 3 ] = f X ( x 3 ) d x3 , d x 3 =

g ' ( x3 )

2.29

Principles of Communication Prof. V. Venkata Rao

We conclude that

f X ( x1 ) f X ( x2 ) f X ( x3 )

fY ( y ) d y = dy + dy + dy (2.32)

g ' ( x1 ) g ' ( x2 ) g ' ( x3 )

FX ( x1 ) − FX ( x0 ) .

Example 2.6

Y = g ( X ) = X + a , where a is a constant. Let us find fY ( y ) .

fX ( x )

fY ( y ) d y = d y and as g ' ( x ) = 1, we have

g '(x)

fY ( y ) = f X ( y − a )

⎧⎪1 − x , x ≤ 1

Let f X ( x ) = ⎨

⎪⎩ 0 , elsewhere

and a = − 1

Then, fY ( y ) = 1 − y + 1

as ( − 2, 0 ) .

2.30

Principles of Communication Prof. V. Venkata Rao

⎧⎪1 − y + 1 , − 2 ≤ y ≤ 0

Hence fY ( y ) = ⎨

⎪⎩ 0 , elsewhere

simply results in the translation of its PDF.

Example 2.7

Let Y = b X , where b is a constant. Let us find fY ( y ) .

1

Solving for X , we have X = Y . Again for a given y , there is a unique

b

1 ⎛y⎞

x . As g ' ( x ) = b , we have fY ( y ) = fX ⎜ ⎟ .

b ⎝b⎠

⎧ x

⎪1 − , 0 ≤ x ≤ 2

Let f X ( x ) = ⎨ 2

⎪⎩ 0 , otherwise

and b = − 2 , then

2.31

Principles of Communication Prof. V. Venkata Rao

⎧1 ⎡ y⎤

⎪

fY ( y ) = ⎨ 2 ⎢1 + 4 ⎥ , − 4 ≤ y ≤ 0

⎣ ⎦

⎪

⎩ 0 , otherwise

Exercise 2.4

Let Y = a X + b , where a and b are constants. Show that

1 ⎛y − b⎞

fY ( y ) = fX ⎜ ⎟.

a ⎝ a ⎠

b = 1.

Example 2.8

2.32

Principles of Communication Prof. V. Venkata Rao

y

Hence fY ( y ) = 0 for y < 0 . If y ≥ 0 , then it has two solutions, x1 = and

a

y

x2 = − , and Eq. 2.31 yields

a

⎧ 1 ⎡ ⎛ y⎞ ⎛ y ⎞⎤

⎪ ⎢f X ⎜⎜ ⎟⎟ + f X ⎜⎜ − ⎟⎥ , y ≥ 0

⎪ a ⎟⎠ ⎦⎥

fY ( y ) = ⎨ 2a y ⎣⎢ ⎝

a⎠ ⎝

⎪ a

⎪⎩ 0 , otherwise

1 ⎛ x2 ⎞

Let a = 1 , and f X ( x ) = exp ⎜ − , −∞ < x < ∞

2π ⎜ 2 ⎟⎟

⎝ ⎠

1 ⎡ ⎛ y⎞ ⎛ y ⎞⎤

Then fY ( y ) = ⎢ exp ⎜ − 2 ⎟ + exp ⎜ − 2 ⎟ ⎥

2 y 2π ⎣ ⎝ ⎠ ⎝ ⎠⎦

⎧ 1 ⎛ y⎞

⎪ exp ⎜ − ⎟ , y ≥ 0

= ⎨ 2π y ⎝ 2⎠

⎪

⎩ 0 , otherwise

Example 2.9

Consider the half wave rectifier transformation given by

⎧0 , X ≤ 0

Y =⎨

⎩X , X > 0

a) Let us find the general expression for fY ( y )

⎧1 1 3

⎪ , − < x <

b) Let f X ( x ) = ⎨ 2 2 2

⎪⎩ 0 , otherwise

2.33

Principles of Communication Prof. V. Venkata Rao

⎪⎧f ( y ) w ( y ) + FX ( 0 ) δ ( y )

fY ( y ) = ⎨ X

⎪⎩0 , otherwise

⎧1 , y ≥ 0

where w ( y ) = ⎨

⎩0 , otherwise

⎧1 1 3

⎪ , − <x<

b) Specifically, let f X ( x ) = ⎨ 2 2 2

⎪⎩0 , elsewhere

⎧1

⎪4 δ(y ) , y = 0

⎪

⎪1 3

Then, fY ( y ) = ⎨ , 0 < y ≤

⎪2 2

⎪0 , otherwise

⎪

⎩

f X ( x ) and fY ( y ) are sketched in Fig. 2.10.

2.34

Principles of Communication Prof. V. Venkata Rao

Example 2.10

⎧− 1, X < 0

Let Y = ⎨

⎩+ 1, X ≥ 0

a) Let us find the general expression for fY ( y ) .

a) In this case, Y assumes only two values, namely ±1. Hence the PDF of Y

has only two impulses. Let us write fY ( y ) as

fY ( y ) = P1 δ ( y − 1) + P−1 δ ( y + 1) where

P− 1 = P [ X < 0 ] and P1 [ X ≥ 0 ]

3 1

b) Taking f X ( x ) of example 2.9, we have P1 = and P− 1 = . Fig. 2.11

4 4

has the sketches f X ( x ) and fY ( y ) .

Note that this transformation has converted a continuous random variable X into

a discrete random variable Y .

2.35

Principles of Communication Prof. V. Venkata Rao

Exercise 2.5

Let a random variable X with the PDF shown in Fig. 2.12(a) be the

input to a device with the input-output characteristic shown in Fig. 2.12(b).

Compute and sketch fY ( y ) .

Fig. 2.12: (a) Input PDF for the transformation of exercise 2.5

(b) Input-output transformation

Exercise 2.6

The random variable X of exercise 2.5 is applied as input to the

X − Y transformation shown in Fig. 2.13. Compute and sketch fY ( y ) .

2.36

Principles of Communication Prof. V. Venkata Rao

the value x k with probability Pk . In this case, the RV, Y = g ( X ) is also

Example 2.11

Let Y = X 2 .

6

1

a) If f X ( x ) =

6

∑ δ ( x − i ) , find fY ( y ) .

i = 1

3

1

b) If f X ( x ) =

6

∑ δ ( x − i ) , find fY ( y ) .

i = −2

1

a) If X takes the values (1, 2, ......., 6 ) with probability of , then Y takes the

6

∑ δ(x − i ) .

6

1 1

values 12 , 22 , ......., 62 with probability . That is, fY ( y ) = 2

6 6 i = 1

1

b) If, however, X takes the values − 2, − 1, 0, 1, 2, 3 with probability , then

6

1 1 1 1

Y takes the values 0, 1, 4, 9 with probabilities , , , respectively.

6 3 3 6

That is,

1 1

fY ( y ) = ⎡⎣δ ( y ) + δ ( y − 9 ) ⎤⎦ + ⎡⎣δ ( y − 1) + δ ( y − 4 ) ⎤⎦

6 3

Given two random variables X and Y (assumed to be continuous type),

two new random variables, Z and W are defined using the transformation

Z = g ( X , Y ) and W = h ( X , Y )

2.37

Principles of Communication Prof. V. Venkata Rao

⎛ z, w ⎞

J⎜ ⎟ where

⎝ x, y ⎠

∂z ∂z

⎛ z, w ⎞ ∂x ∂y

J⎜ ⎟ =

⎝ x, y ⎠ ∂w ∂w

∂x ∂y

∂ z ∂w ∂ z ∂w

= −

∂x ∂y ∂y ∂x

That is, the Jacobian is the determinant of the appropriate partial derivatives. We

shall now state the theorem which relates fZ ,W ( z , w ) and f X ,Y ( x , y ) .

g ( x , y ) = z1 , (2.33a)

h ( x , y ) = w1 , (2.33b)

g ( x , y ) = z1 ,

h ( x , y ) = w1 ,

f X ,Y ( x1 , y1 )

fZ ,W ( z , w ) = (2.34)

⎛ z, w ⎞

J⎜ ⎟

⎝ x1 , y1 ⎠

Proof of this theorem is given in appendix A2.1. For a more general version of

this theorem, refer [1].

2.38

Principles of Communication Prof. V. Venkata Rao

Example 2.12

X and Y are two independent RVs with the PDFs ,

1

fX ( x ) = , x ≤ 1

2

1

fY ( y ) = , y ≤ 1

2

If Z = X + Y and W = X − Y , let us find (a) fZ ,W ( z , w ) and (b) fZ ( z ) .

1

a) From the given transformations, we obtain x = (z + w ) and

2

1

y = ( z − w ) . We see that the mapping is one-to-one. Fig. 2.14(a)

2

depicts the (product) space A on which f X ,Y ( x , y ) is non-zero.

2.39

Principles of Communication Prof. V. Venkata Rao

A space B space

1

The line x = 1 (z + w ) = 1 ⇒ w = − z + 2

2

1

The line x = − 1 ( z + w ) = − 1 ⇒ w = − ( z + 2)

2

1

The line y = 1 (z − w ) = 1 ⇒ w = z − 2

2

1

The line y = − 1 (z − w ) = − 1 ⇒ w = z + 2

2

is

⎛ z, w ⎞ 1 1

J⎜ ⎟ = = − 2 and J ( ) = 2.

⎝ x, y ⎠ 1 −1

1 ⎧1

⎪ , z, w ∈ B

Hence fZ ,W (z, w ) = 4 = ⎨8

2 ⎪⎩0 , otherwise

∞

b) fZ ( z ) = ∫ f (z, w ) d w

Z ,W

−∞

From Fig. 2.14(b), we can see that, for a given z ( z ≥ 0 ), w can take

values only in the − z to z . Hence

+ z

1 1

fZ ( z ) = ∫ 8 dw = z, 0 ≤ z ≤ 2

−z

4

−z

1 1

fZ ( z ) = ∫ 8 dw = − z, −2 ≤ z ≤ 0

z

4

2.40

Principles of Communication Prof. V. Venkata Rao

1

Hence fZ ( z ) = z , z ≤ 2

4

Example 2.13

⎛Y ⎞

Φ = arc tan ⎜ ⎟ where we assume R ≥ 0 and − π < Φ < π . It is given that

⎝X⎠

1 ⎡ ⎛ x 2 + y 2 ⎞⎤

f X ,Y ( x , y ) = exp ⎢ − ⎜ ⎟⎥ , − ∞ < x, y < ∞ .

2π ⎣ ⎝ 2 ⎠⎦

Let us find fR , Φ ( r , ϕ ) .

write x = r cos φ and y = r sin φ , and the transformation is one -to -one;

∂r ∂r

cos ϕ sin ϕ

∂x ∂y 1

J = = − sin ϕ cos ϕ =

∂ϕ ∂ϕ r

r r

∂x ∂y

⎧ r ⎛ r2 ⎞

⎪ exp ⎜ − ⎟ , 0 ≤ r ≤ ∞ , − π < ϕ < π

Hence, fR , Φ ( r , ϕ ) = ⎨ 2 π ⎝ 2⎠

⎪

⎩0 , otherwise

independent variables.

obtained.

2.41

Principles of Communication Prof. V. Venkata Rao

W = Y . Then, X = Z − W , and Y = W .

As J = 1 ,

fZ ,W ( z , w ) = f X ,Y ( z − w , w )

∞

and fZ ( z ) = ∫ f (z − w , w ) d w

X ,Y (2.35)

−∞

∞

fZ ( z ) = ∫ f ( z − w ) f (w ) d w

X Y (2.36a)

−∞

Example 2.14

Let X and Y be two independent random variables, with

⎧1

⎪ , −1 ≤ x ≤ 1

fX ( x ) = ⎨ 2

⎪⎩0 , otherwise

⎧1

⎪ , −2 ≤ y ≤ 1

fY ( y ) = ⎨ 3

⎪⎩0 , otherwise

If Z = X + Y , let us find P [ Z ≤ − 2] .

2.42

Principles of Communication Prof. V. Venkata Rao

1

P [ Z ≤ − 2] is the shaded area = .

12

Example 2.15

X

Let Z = ; let us find an expression for fZ ( z ) .

Y

X = ZW

Y = W

1

As J = , we have

w

∞

fZ ( z ) = ∫ w f X ,Y ( zw , w ) dw

−∞

⎧1 + x y

⎪ , x ≤ 1, y ≤ 1

Let f X ,Y ( x , y ) = ⎨ 4

⎪⎩0 , elsewhere

∞

1 + zw 2

Then fZ ( z ) = ∫ w dw

−∞

4

2.43

Principles of Communication Prof. V. Venkata Rao

x ≤ 1 and y ≤ 1 (Fig.2.16a). Let fZ ,W ( z , w ) be non-zero if ( z , w ) ∈ B . Under

the given transformation, B will be as shown in Fig. 2.16(b).

appropriate ranges.

i) Let z < 1; then

1 + zw 2 1 + zw 2

1 1

fZ ( z ) = ∫ w dw = 2 ∫ w dw

−1

4 0

4

1⎛ z⎞

= ⎜ 1+ ⎟

4⎝ 2⎠

ii) For z > 1 , we have

1

z

1 + zw 2 1⎛ 1 1 ⎞

fZ ( z ) = 2 ∫0 4 w dw = 4 ⎜⎝ z2 + 2 z3 ⎟⎠

iii) For z < − 1, we have

− 1

z

1 + zw 2 1⎛ 1 1 ⎞

fZ ( z ) = 2 ∫ w dw = ⎜ 2 + ⎟

0

4 4 ⎝z 2 z3 ⎠

2.44

Principles of Communication Prof. V. Venkata Rao

⎧1 ⎛ z⎞

⎪4 ⎜1 + 2 ⎟ , z ≤ 1

⎪ ⎝ ⎠

Hence fZ ( z ) = ⎨

⎪1 ⎛ 1 1 ⎞

⎪⎩ 4 ⎜ 2 + ⎟, z > 1

⎝z 2 z3 ⎠

Exercise 2.7

Let Z = X Y and W = Y .

∞

1 ⎛z ⎞

a) Show that fZ ( z ) = ∫ f X ,Y ⎜ , w ⎟ d w

−∞

w ⎝w ⎠

1

fX ( x ) = , x ≤ 1

π 1 + x2

⎧⎪

2

−y

and fY ( y ) = ⎨ y e 2

, y ≥ 0

⎪⎩0 , otherwise

1 2

Show that fZ ( z ) =

−z

e 2

, − ∞ < z < ∞.

2π

situation where one of the variables is continuous and the other is discrete; such

cases are handled better, by making use of the distribution function approach,

as illustrated below.

Example 2.16

The input to a noisy channel is a binary random variable with

1

P [ X = 0] = P [ X = 1] = . The output of the channel is given by Z = X + Y

2

2.45

Principles of Communication Prof. V. Venkata Rao

y2

1 −

where Y is the channel noise with fY ( y ) = e 2

, − ∞ < y < ∞ . Find

2π

fZ ( z ) .

Let us first compute the distribution function of Z from which the density

function can be derived.

P ( Z ≤ z ) = P [ Z ≤ z | X = 0] P [ X = 0 ] + P [ Z ≤ z | X = 1] P [ X = 1]

As Z = X + Y , we have

P [ Z ≤ z | X = 0 ] = FY ( z )

Similarly P [ Z ≤ z | X = 1] = P ⎡⎣Y ≤ ( z − 1) ⎤⎦ = FY ( z − 1)

1 1 d

Hence FZ ( z ) = FY ( z ) + FY ( z − 1) . As fZ ( z ) = FZ ( z ) , we have

2 2 dz

⎡ ⎛ z2 ⎞ ⎛ z − 1 2 ⎞⎤

fZ ( z ) =

1⎢ 1

exp ⎜ − ⎟+

1

exp ⎜ −

( ) ⎟⎥

2 ⎢ 2π ⎜ 2 ⎟ 2π ⎜ 2 ⎟⎥

⎣ ⎝ ⎠ ⎝ ⎠⎦

very basic method and can be used in all situations. (In this method, if

d FY ( y )

Y = g ( X ) , we compute FY ( y ) and then obtain fY ( y ) = . Similarly, for

dy

transformations involving more than one random variable. Of course computing

the CDF may prove to be quite difficult in certain situations. The method of

obtaining PDFs based on theorem 2.1 or 2.2 is called change of variable

method.) We shall illustrate the distribution function method with another

example.

Example 2.17

Let Z = X + Y . Obtain fZ ( z ) , given f X ,Y ( x , y ) .

2.46

Principles of Communication Prof. V. Venkata Rao

P [Z ≤ z ] = P [ X + Y ≤ z ]

= P [Y ≤ z − x ]

This probability is the probability of ( X , Y ) lying in the shaded area shown in Fig.

2.17.

That is,

∞ ⎡z − x ⎤

FZ ( z ) = ∫− ∞ ⎢⎢ −∫∞ fX ,Y ( x , y ) d y ⎥⎥

d x

⎣ ⎦

∂ ⎡ ⎡z − x ⎤⎤

∞

fZ ( z ) = ⎢ ∫ d x ⎢ ∫ f X ,Y ( x , y ) d y ⎥ ⎥

∂ z ⎢⎣ − ∞ ⎣⎢ − ∞ ⎦⎥ ⎥⎦

∞ ⎡ ∂ z− x

⎤

= ∫− ∞ d x ⎢⎢ ∂ z ∫ f X ,Y ( x , y ) d y ⎥

⎣ −∞ ⎥⎦

∞

= ∫ f (x, z − x) d x

−∞

X ,Y (2.37a)

2.47

Principles of Communication Prof. V. Venkata Rao

∞

fZ ( z ) = ∫ f (z − y , y ) d y

X ,Y (2.37b)

−∞

variables. This can be generalized to the case of functions of n variables. Details

can be found in [1, 2].

The PDF of a random variable provides a complete statistical

characterization of the variable. However, we might be in a situation where the

PDF is not available but are able to estimate (with reasonable accuracy) certain

(statistical) averages of the random variable. Some of these averages do provide

a simple and fairly adequate (though incomplete) description of the random

variable. We now define a few of these averages and explore their significance.

expectation or simply expectation) of random variable X is defined as

∞

mX = E [ X ] = X = ∫ x fX ( x ) d x (2.38)

−∞

∞

E ⎡⎣g ( X ) ⎤⎦ = g ( X ) = ∫ g (x) f (x) d x

X (2.39)

−∞

Remarks: The terminology expected value or expectation has its origin in games

of chance. This can be illustrated as follows: Three small similar discs, numbered

1,2 and 2 respectively are placed in bowl and are mixed. A player is to be

2.48

Principles of Communication Prof. V. Venkata Rao

blindfolded and is to draw a disc from the bowl. If he draws the disc numbered 1,

he will receive nine dollars; if he draws either disc numbered 2, he will receive 3

dollars. It seems reasonable to assume that the player has a '1/3 claim' on the 9

dollars and '2/3 claim' on three dollars. His total claim is 9(1/3) + 3(2/3), or five

dollars. If we take X to be (discrete) random variable with the PDF

1 2

fX ( x ) = δ ( x − 1) + δ ( x − 2 ) and g ( X ) = 15 − 6 X , then

3 3

∞

E ⎣⎡g ( X ) ⎦⎤ = ∫ (15 − 6 x ) f ( x ) d x

X = 5

−∞

∞

E ⎡⎣ X n ⎤⎦ = ∫ x n fX ( x ) d x (2.40)

−∞

The most widely used moments are the first moment ( n = 1, which results in the

mean value of Eq. 2.38) and the second moment ( n = 2 , resulting in the mean

square value of X ).

∞

E ⎡⎣ X 2 ⎤⎦ = X 2 = ∫ x 2 fX ( x ) d x (2.41)

−∞

n

∞

E ⎡( X − m X ) ⎤ = ∫ (x − m ) fX ( x ) d x

n n

(2.42)

⎣ ⎦ X

−∞

k ( k ≥ 2 ) random variables. Consider a function of two random variables,

g ( X , Y ) . Then,

2.49

Principles of Communication Prof. V. Venkata Rao

∞ ∞

E ⎡⎣g ( X , Y ) ⎤⎦ = ∫ ∫ g (x, y ) f (x, y ) d x d y

X ,Y (2.43)

− ∞− ∞

Z = g ( X , Y ) = α X + βY where α and β are constants, then Z = α X + βY .

∞ ∞

E [Z ] = ∫ ∫ ( α x + β y ) f ( x , y ) d x dy

X ,Y

− ∞− ∞

∞ ∞ ∞ ∞

= ∫ ∫ ( α x ) fX ,Y ( x , y ) d x dy + ∫ ∫ (β y ) f ( x , y ) d x dy

X ,Y

− ∞− ∞ − ∞− ∞

Integrating out the variable y in the first term and the variable x in the second

term, we have

∞ ∞

E [Z ] = ∫ α x f (x) d x + ∫ β y f (y ) d y

X Y

−∞ −∞

= α X + βY

2.5.1 Variance

Coming back to the central moments, we have the first central moment

being always zero because,

∞

E ⎡⎣( X − m X ) ⎤⎦ = ∫ (x − m ) f (x) d x

X X

−∞

= mX − mX = 0

E ⎡( X − m X ) ⎤ = E ⎡⎣ X 2 − 2 m X X + m X2 ⎤⎦

2

⎣ ⎦

From the linearity property of expectation,

E ⎡⎣ X 2 − 2 m X X + m X2 ⎤⎦ = E ⎡⎣ X 2 ⎤⎦ − 2 m X E [ X ] + m X2

= E ⎡⎣ X 2 ⎤⎦ − 2 m X2 + m X2

2

= X 2 − m X2 = X 2 − ⎡⎣ X ⎤⎦

2.50

Principles of Communication Prof. V. Venkata Rao

The second central moment of a random variable is called the variance and its

(positive) square root is called the standard deviation. The symbol σ 2 is

generally used to denote the variance. (If necessary, we use a subscript on σ 2 )

Specifying the variance essentially constrains the effective width of the density

function. This can be made more precise with the help of the Chebyshev

Inequality which follows as a special case of the following theorem.

E ⎡⎣g ( X ) ⎤⎦

P ⎡⎣g ( X ) ≥ c ⎤⎦ ≤ (2.44)

c

∞

E ⎡⎣g ( X ) ⎤⎦ = ∫ g (x) f (x) d x

X

−∞

A

X

B

X

E ⎡⎣ g ( X ) ⎤⎦ ≥ ∫g (x) f (x) d x

X

A

If x ∈ A , then g ( x ) ≥ c , hence

E ⎡⎣g ( X ) ⎤⎦ ≥ c ∫ f X ( x ) d x

A

But ∫ f X ( x ) d x = P [ x ∈ A] = P ⎡⎣g ( X ) ≥ c ⎤⎦

A

Note: The kind of manipulations used in proving the theorem 2.3 is useful in

establishing similar inequalities involving random variables.

2.51

Principles of Communication Prof. V. Venkata Rao

To see how innocuous (or weak, perhaps) the inequality 2.44 is, let g ( X )

Then Eq. 2.44 states that the probability of choosing a person over 16 m tall is at

1

most ! (In a population of 1 billion, at most 100 million would be as tall as a

10

full grown Palmyra tree!)

1

i) P ⎡⎣ X − m X ≥ k σ X ⎤⎦ ≤ 2 , k > 0 (2.45a)

k

1

ii) P ⎡⎣ X − m X < k σ X ⎤⎦ > 1 − 2 (2.45b)

k

where σ X is the standard deviation of X .

2

1

P ⎡( X − m X ) ≥ k 2 σ2X ⎤ ≤ 2

2

⎣ ⎦ k

In other words,

1

P ⎡⎣ X − m X ≥ k σ X ⎤⎦ ≤ 2

k

which is the desired result. Naturally, we would take the positive number k to be

greater than one to have a meaningful result. Chebyshev inequality can be

interpreted as: the probability of observing any RV outside ± k standard

1

deviations off its mean value is no larger than . With k = 2 for example, the

k2

probability of X − m X ≥ 2 σ X does not exceed 1/4 or 25%. By the same token,

we expect X to occur within the range ( m X ± 2 σ X ) for more than 75% of the

observations. That is, smaller the standard deviation, smaller is the width of the

interval around m X , where the required probability is concentrated. Chebyshev

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Principles of Communication Prof. V. Venkata Rao

'variance is indicative of the spread of the random variable'.

Note that it is not necessary that variance exists for every PDF. For example, if

α

f X ( x ) = 2 π 2 , − ∞ < x < ∞ and α > 0 , then X = 0 but X 2 is not finite.

α +x

(This is called Cauchy’s PDF)

2.5.2 Covariance

An important joint expectation is the quantity called covariance which is

obtained by letting g ( X , Y ) = ( X − m X ) (Y − mY ) in Eq. 2.43. We use the

λ X Y = cov [ X ,Y ] = E ⎡⎣( X − m X ) (Y − mY ) ⎤⎦ (2.46a)

λ X Y = E [ X Y ] − m X mY (2.46b)

E [ X Y ] − mX mY

ρX Y = (2.47)

σ X σY

The correlation coefficient is a measure of dependency between the variables.

Suppose X and Y are independent. Then,

∞ ∞

E[XY] = ∫ ∫ x y f X ,Y ( x , y ) d x d y

− ∞− ∞

∞ ∞

= ∫ ∫ x y f X ( x ) fY ( y ) d x d y

− ∞− ∞

∞ ∞

= ∫ x fX ( x ) d x ∫ y f (y ) d y

Y = m X mY

−∞ −∞

2.53

Principles of Communication Prof. V. Venkata Rao

many times, and given X = x1 , then Y would occur sometimes positive with

many trials of the experiments and with the outcome X = x1 , the sum of the

sum

numbers x1 ( y − mY ) would be very small and the quantity, ,

number of trials

tends to zero as the number of trials keep increasing.

On the other hand, let X and Y be dependent. Suppose for example, the

outcome y is conditioned on the outcome x in such a manner that there is a

that, given X = x1 , then Y = ± α x1 , α being constant. Then ρ X Y = ± 1 . That

is, for X and Y be independent, we have ρ X Y = 0 and for the totally dependent

random variables are independent, they are uncorrelated. However, the fact that

they are uncorrelated does not ensure that they are independent. As an example,

let

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Principles of Communication Prof. V. Venkata Rao

⎧1 α α

⎪ , − < x <

fX ( x ) = ⎨ α 2 2,

⎪⎩0 , otherwise

and Y = X 2 . Then,

α

∞ 2

1 1

XY = X3 = ∫ x3 d x = ∫ x3 d x = 0

−∞

α α −α

2

2

E [Y ] = k1 m1 + k 2 m2

E ⎡⎣Y 2 ⎤⎦ = E ⎡⎣ k1 X12 + k 2 X 22 + 2 k1 k 2 X1 X 2 ⎤⎦

σY2 = k1 σ12 + k 2 σ22 + 2 ρ12 k1 k 2 σ1 σ 2 (2.48a)

Then σ2Z = σW2 = σ12 + σ22 . That is, the sum as well as the difference random

n variables. That is, if

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Principles of Communication Prof. V. Venkata Rao

n

Y = ∑k

i = 1

i X i , then

n

σY2 = ∑k

i = 1

i

2

σ2i + 2 ∑∑ k i k j ρi j σi σ j

i j

i < j

(2.49)

where the meaning of various symbols on the RHS of Eq. 2.49 is quite obvious.

We shall now give a few examples based on the theory covered so far in

this section.

Example 2.18

Let a random variable X have the CDF

⎧0 , x < 0

⎪x

⎪ , 0 ≤ x ≤ 2

⎪8

FX ( x ) = ⎨ 2

⎪x , 2 ≤ x ≤ 4

⎪16

⎪

⎩1 , 4 ≤ x

⎧0 , x < 0

⎪1

⎪ , 0 ≤ x ≤ 2

⎪8

fX ( x ) = ⎨

⎪1 x , 2 ≤ x ≤ 4

⎪8

⎪0 4 ≤ x

⎩ ,

Therefore,

2 4

1 1 2

E[X] = ∫0 8 x d x + ∫2 8 x d x

2.56

Principles of Communication Prof. V. Venkata Rao

1 7 31

= + =

4 3 12

2

b)

2 4

1 2 1 3

E ⎡⎣ X 2 ⎤⎦ = ∫0 8 x d x + ∫2 8 x d x

1 15 47

= + =

3 2 6

2

47 ⎛ 31 ⎞ 167

σ 2

= −⎜ ⎟ =

X

6 ⎝ 12 ⎠ 144

Example 2.19

Let Y = cos π X , where

⎧ 1 1

⎪1, − < x <

fX ( x ) = ⎨ 2 2

⎪⎩0, otherwise

1

2

2

E [Y ] = ∫ cos ( π x ) d x = = 0.0636

− 1

π

2

1

2

1

E ⎡⎣Y ⎤⎦ =

2

∫ cos2 ( π x ) d x = = 0.5

− 1

2

2

1 4

Hence σY2 = − 2 = 0.96

2 π

Example 2.20

Let X and Y have the joint PDF

⎧ x + y , 0 < x < 1, 0 < y < 1

f X ,Y ( x , y ) = ⎨

⎩0 , elsewhere

2.57

Principles of Communication Prof. V. Venkata Rao

∞ ∞

E ⎡⎣ X Y 2 ⎤⎦ = ∫ ∫ x y 2 f X ,Y ( x , y ) dx dy

− ∞− ∞

1 1

17

= ∫ ∫ x y ( x + y ) dx dy =

2

0 0

72

show that

7 11 48

E [ X ] = E [Y ] = , σ2X = σY2 = and E [ X Y ] =

12 144 144

1

Hence ρ X Y = −

11

communication theory is the conditional expectation. The quantity,

∞

E ⎡⎣g ( X ) | Y = y ⎤⎦ = ∫ g ( x ) f ( x | y ) dx

X |Y (2.50)

−∞

∞

E[X | Y = y] = E[X |Y ] = ∫ x f X |Y ( x | y ) dx (2.51)

−∞

Similarly, we can define the conditional variance etc. We shall illustrate the

calculation of conditional mean with the help of an example.

Example 2.21

Let the joint PDF of the random variables X and Y be

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Principles of Communication Prof. V. Venkata Rao

⎧1

⎪ , 0 < x < 1, 0 < y < x

f X ,Y ( x , y ) ≡ ⎨ x .

⎪⎩0 , outside

Let us compute E [ X | Y ] .

f X ,Y ( x , y )

To find E [ X | Y ] , we require the conditional PDF, f X |Y ( x | y ) =

fY ( y )

1

1

fY ( y ) = ∫x dx = − ln y , 0 < y < 1

y

1

1

f X |Y ( x | y ) = x = − , y < x < 1

− ln y x ln y

1

⎡ 1 ⎤

Hence E ( X | Y ) = ∫ x ⎢⎣ − x ln y ⎥⎦ d x

y

y −1

=

ln y

Note that E [ X | Y = y ] is a function of y .

In the concluding section of this chapter, we shall discuss certain

probability distributions which are encountered quite often in the study of

communication theory. We will begin our discussion with discrete random

variables.

i) Binomial:

Consider a random experiment in which our interest is in the occurrence or non-

occurrence of an event A . That is, we are interested in the event A or its

complement, say, B . Let the experiment be repeated n times and let p be the

2.59

Principles of Communication Prof. V. Venkata Rao

probability of occurrence of A on each trial and the trials are independent. Let X

denote random variable, ‘number of occurrences of A in n trials'. X can be

equal to 0, 1, 2, ........., n . If we can compute P [ X = k ], k = 0, 1, ........., n , then

we can write f X ( x ) .

(representing the outcomes of these five repetitions) has 32 sample points, say,

s1 , ..........., s32 . The sample point s1 could represent the sequence ABBBB . The

sample points such as ABAAB , A A A B B etc. will map into real number 3 as

shown in the Fig. 2.18. (Each sample point is actually an element of the five

dimensional Cartesian product space).

= p (1 − p ) p 2 (1 − p ) = p 3 (1 − p )

2

⎛5⎞

There are ⎜ ⎟ = 10 sample points for which X ( s ) = 3 .

⎝3⎠

In other words, for n = 5 , k = 3 ,

⎛ 5⎞

P [ X = 3] = ⎜ ⎟ p3 (1 − p )

2

⎝ 3⎠

Generalizing this to arbitrary n and k , we have the binomial density, given by

2.60

Principles of Communication Prof. V. Venkata Rao

n

fX ( x ) = ∑ P δ(x − i )

i = 0

i (2.52)

⎛n⎞

where Pi = ⎜ ⎟ p i (1 − p )

n−i

⎝i ⎠

As can be seen, f X ( x ) ≥ 0 and

∞ n n

⎛n⎞ i

fX ( x ) d x = ∑ ∑ ⎜i ⎟ p (1 − p )

n −i

∫

−∞ i = 0

Pi =

i = 0⎝ ⎠

= ⎡⎣(1 − p ) + p ⎤⎦

n

= 1

the formulae for the mean and the variance of a binomial PDF are simple, the

algebra to derive them is laborious).

We write X is b ( n , p ) to indicate X has a binomial PDF with parameters

communication problem.

Example 2.22

A digital communication system transmits binary digits over a noisy

channel in blocks of 16 digits. Assume that the probability of a binary digit being

in error is 0.01 and that errors in various digit positions within a block are

statistically independent.

i) Find the expected number of errors per block

ii) Find the probability that the number of errors per block is greater than or

equal to 3.

Let X be the random variable representing the number of errors per block.

Then X is b (16, 0.01) .

i) E [ X ] = n p = 16 × 0.01 = 0.16;

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Principles of Communication Prof. V. Venkata Rao

ii) P ( X ≥ 3 ) = 1 − P [ X ≤ 2]

2

⎛ ⎞ 16

∑ ⎜ i ⎟ ( 0.1) (1 − p )

i 16 − i

= 1−

i =0 ⎝ ⎠

= 0.002

Exercise 2.8

P ⎡⎣ X ≥ 3 ⎤⎦ ≤ 0.0196 0.02 . Note that Chebyshev inequality is not very

tight.

ii) Poisson:

A random variable X which takes on only integer values is Poisson

distributed, if

∞

λm e− λ

fX ( x ) = ∑

m = 0

δ ( x − m)

m!

(2.53)

∞ ∞

λm

Evidently f X ( x ) ≥ 0 and ∫ f X ( x ) d x = 1 because ∑

m = 0 m!

= eλ .

−∞

E [ X ] = λ = σ2X

Since,

∞

λm

e = ∑

λ

, we have

m = 0 m!

( )

d eλ ∞

m λm − 1 1 ∞

λm

dλ

= eλ = ∑

m = 0 m!

=

λ

∑

m = 1

m

m!

∞

m λm e− λ

E[X] = ∑ = λ eλ e − λ = λ

m = 1 m!

Differentiating the series again, we obtain,

2.62

Principles of Communication Prof. V. Venkata Rao

E ⎡⎣ X 2 ⎤⎦ = λ 2 + λ . Hence σ2X = λ .

i) Uniform:

A random variable X is said to be uniformly distributed in the interval

a ≤ x ≤ b if,

⎧ 1

⎪ , a ≤ x ≤ b

fX ( x ) = ⎨ b − a (2.54)

⎪0

⎩ , elsewhere

(b − a)

2

a+b

E[X] = and σ2X =

2 12

Note that the variance of the uniform PDF depends only on the width of the

interval ( b − a ) . Therefore, whether X is uniform in ( − 1, 1) or ( 2, 4 ) , it has the

1

same variance, namely .

3

ii) Rayleigh:

An RV X is said to be Rayleigh distributed if,

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Principles of Communication Prof. V. Venkata Rao

⎧x ⎛ x2 ⎞

⎪ exp ⎜− ⎟, x ≥ 0

fX ( x ) = ⎨ b ⎝ 2 b⎠ (2.55)

⎪

⎩0 , elsewhere

encounter it later in the study of narrow-band noise processes.

2.64

Principles of Communication Prof. V. Venkata Rao

Exercise 2.9

∞

a) Let f X ( x ) be as given in Eq. 2.55. Show that ∫ f X ( x ) d x = 1. Hint: Make

0

dz

the change of variable x 2 = z . Then, x d x = .

2

πb

b) Show that if X is Rayleigh distributed, then E [ X ] = and

2

E ⎡⎣ X 2 ⎤⎦ = 2 b

iii) Gaussian

By far the most widely used PDF, in the context of communication theory

is the Gaussian (also called normal) density, specified by

1 ⎡ ( x − m X )2 ⎤

fX ( x ) = exp ⎢− ⎥, −∞ < x < ∞ (2.56)

2 π σX ⎢⎣ 2 σ2X ⎥

⎦

where m X is the mean value and σ2X the variance. That is, the Gaussian PDF is

completely specified by the two parameters, m X and σ2X . We use the symbol

PT

As can be seen from the Fig. 2.21, The Gaussian PDF is symmetrical with

respect to m X .

1

TP PT In this notation, N ( 0, 1) denotes the Gaussian PDF with zero mean and unit variance. Note that

⎛ X − mX ⎞

( )

if X is N m X , σ X , then Y =

2

⎜ σ ⎟ is N ( 0, 1) .

⎝ X ⎠

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Principles of Communication Prof. V. Venkata Rao

mX

Hence FX ( m X ) = ∫ f (x) d x

X = 0.5

−∞

Consider P [ X ≥ a ] . We have,

∞

1 ⎡ ( x − m X )2 ⎤

P [ X ≥ a] = ∫ exp ⎢− ⎥dx

2 π σX ⎢⎣ 2 σ2X ⎥

a ⎦

This integral cannot be evaluated in closed form. By making a change of variable

⎛ x − mX ⎞

z = ⎜ ⎟ , we have

⎝ σX ⎠

∞ z2

1 −

P [ X ≥ a] = ∫ e 2

dz

a − mX 2π

σX

⎛ a − mX ⎞

= Q⎜ ⎟

⎝ σX ⎠

∞

1 ⎛ x2 ⎞

where Q ( y ) = ∫ exp ⎜ − ⎟dx (2.57)

y 2π ⎝ 2 ⎠

given in appendix A2.2 at the end of the chapter.

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Principles of Communication Prof. V. Venkata Rao

theorem called central limit theorem which essentially states that:

where each component makes only a small contribution to the sum, then FX ( x )

individual components.

you may refer [1-3]. The electrical noise in a communication system is often due

to the cumulative effects of a large number of randomly moving charged

particles, each particle making an independent contribution of the same amount,

to the total. Hence the instantaneous value of the noise can be fairly adequately

modeled as a Gaussian variable. We shall develop Gaussian random

processes in detail in Chapter 3 and, in Chapter 7, we shall make use of this

theory in our studies on the noise performance of various modulation schemes.

Example 2.23

A random variable Y is said to have a log-normal PDF if X = ln Y has a

⎧ 1 ⎡ ( ln y − α )2 ⎤

⎪⎪ exp ⎢− ⎥, y ≥ 0

fY ( y ) = ⎨ 2 π y β ⎢⎣ 2 β2 ⎥⎦

⎪

⎪⎩ 0 , otherwise

a) Show that Y is log-normal

b) Find E (Y )

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Principles of Communication Prof. V. Venkata Rao

dx 1 1

= → J =

dy y y

Also as y → 0 , x → − ∞ and as y → ∞ , x → ∞

1 ⎡ ( x − α )2 ⎤

Hence f X ( x ) = exp ⎢− ⎥, −∞ < x < ∞

2π β ⎢⎣ 2 β2 ⎥

⎦

Note that X is N ( α , β2 )

⎡ − ( x − α) ⎤

2

∞

1 x ⎢ ⎥dx

Y = E ⎡⎣e X ⎤⎦ = ∫

2 β2

b) e e

2π β − ∞ ⎢ ⎥

⎣ ⎦

⎡∞ ⎡ x − ( α + β2 ) ⎤ ⎤

2

β2 − ⎣ ⎦

α+ ⎢ 1 ⎥

⎢∫

2 β2

= e 2

e d x⎥

⎢− ∞ 2 π β ⎥

⎣ ⎦

As the bracketed quantity being the integral of a Gaussian PDF

between the limits ( − ∞ , ∞ ) is 1, we have

β2

α +

Y = e 2

c) P [Y ≤ m ] = P [ X ≤ ln m ]

That is, ln m = α or m = e α

As an example of a two dimensional density, we will consider the bivariate

Gaussian PDF, f X ,Y ( x , y ) , − ∞ < x , y < ∞ given by,

1 ⎧ 1 ⎡ ( x − m X )2 ( y − mY )2 ( x − mX ) ( y − mY ) ⎤⎫

fX , Y ( x , y ) = exp ⎨− ⎢ + −2ρ ⎥⎬ (2.58)

σX σY σ X σY

2 2

k1 ⎩ k2 ⎣ ⎦⎭

where,

k1 = 2 π σ X σY 1 − ρ2

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Principles of Communication Prof. V. Venkata Rao

k 2 = 2 (1 − ρ2 )

The following properties of the bivariate Gaussian density can be verified:

P1) If X and Y are jointly Gaussian, then the marginal density of X or Y is

P2) f X Y ( x , y ) = f X ( x ) fY ( y ) iff ρ = 0

That is, if the Gaussian variables are uncorrelated, then they are

independent. That is not true, in general, with respect to non-Gaussian

variables (we have already seen an example of this in Sec. 2.5.2).

P3) If Z = α X + βY where α and β are constants and X and Y are jointly

computing mZ and σ2Z with the help of the formulae given in section 2.5.

Figure 2.22 gives the plot of a bivariate Gaussian PDF for the case of

ρ = 0 and σ X = σY .

1

TP PT Note that the converse is not necessarily true. Let fX and fY be obtained from fX , Y and let fX

and fY be Gaussian. This does not imply fX , Y is jointly Gaussian, unless X and Y are

independent. We can construct examples of a joint PDF fX , Y , which is not Gaussian but results in

fX and fY that are Gaussian.

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Principles of Communication Prof. V. Venkata Rao

the striker missing! For ρ ≠ 0 , we have two cases (i) ρ , positive and (ii)

ρ , negative. If ρ > 0 , imagine the bell being compressed along the

X = − Y axis so that it elongates along the X = Y axis. Similarly for

ρ < 0.

Example 2.24

Let X and Y be jointly Gaussian with X = − Y = 1 , σ2X = σY2 = 1 and

1

ρX Y = − . Let us find the probability of (X,Y) lying in the shaded region D

2

shown in Fig. 2.23.

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Principles of Communication Prof. V. Venkata Rao

Let A be the shaded region shown in Fig. 2.24(a) and B be the shaded

region in Fig. 2.24(b).

Fig. 2.24: (a) Region A and (b) Region B used to obtain region D

1

For the region A , we have y ≥ − x + 1 and for the region B , we have

2

1

y ≥ − x + 2 . Hence the required probability is,

2

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Principles of Communication Prof. V. Venkata Rao

⎡ X ⎤ ⎡ X ⎤

P ⎢Y + ≥ 1⎥ − P ⎢Y + ≥ 2⎥

⎣ 2 ⎦ ⎣ 2 ⎦

X

Let Z = Y +

2

Then Z is Gaussian with the parameters,

1 1

Z =Y + X = −

2 2

1 2 1

σ2Z = σ X + σY2 + 2 . ρ X Y

4 2

1 1 1 3

= + 1− 2. . =

4 2 2 4

1

Z+

⎛ 1 3⎞ 2 is N ( 0, 1)

That is, Z is N ⎜ − , ⎟ . Then W =

⎝ 2 4⎠ 3

4

P [ Z ≥ 1] = P ⎡⎣W ≥ 3 ⎤⎦

⎡ 5 ⎤

P [ Z ≥ 2] = P ⎢W ≥ ⎥

⎣ 3⎦

⎟ ( 0.04 − 0.001) = 0.039

3⎠

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Principles of Communication Prof. V. Venkata Rao

Exercise 2.10

X and Y are independent, identically distributed (iid) random variables,

each being N ( 0, 1) . Find the probability of X , Y lying in the region A shown in

Fig. 2.25.

product space. From example 2.12, we feel that if we transform (X,Y) into

would be square. Find fZ ,W ( z , w ) and compute the probability ( Z , W ) ∈ B.

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Principles of Communication Prof. V. Venkata Rao

Exercise 2.11

Two random variables X and Y are obtained by means of the

transformation given below.

1

X = ( − 2 loge U1 ) 2 cos ( 2 π U2 ) (2.59a)

1

Y = ( − 2 loge U1 ) 2 sin ( 2 π U2 ) (2.59b)

range 0 < u1 , u2 < 1 . Show that X and Y are independent and each is

N ( 0, 1) .

Y = Y1 sin Θ , where Θ = 2 π U2 .

Note: The transformation given by Eq. 2.59 is called the Box-Muller

transformation and can be used to generate two Gaussian random number

sequences from two independent uniformly distributed (in the range 0 to 1)

sequences.

2.74

Principles of Communication Prof. V. Venkata Rao

Appendix A2.1

Proof of Eq. 2.34

The proof of Eq. 2.34 depends on establishing a relationship between the

differential area d z d w in the z − w plane and the differential area d x d y in

the x − y plane. We know that

fZ ,W ( z , w ) d z d w = P [ z < Z ≤ z + d z , w < W ≤ w + d w ]

one-to-many.) Consider the mapping shown in Fig. A2.1.

parallelogram in the x − y plane. (We may assume that the vertex A transforms

to A' , B to B' etc.) We shall now find the relation between the differential area of

the rectangle and the differential area of the parallelogram.

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Principles of Communication Prof. V. Venkata Rao

and P4 .

⎛ ∂ g− 1 ∂ h− 1 ⎞

P2 = ⎜ x + dz, y + d z⎟

⎜ ∂z ∂z ⎟

⎝ ⎠

⎛ ∂x ∂y ⎞

= ⎜x + dz, y + d z⎟

⎝ ∂z ∂z ⎠

⎛ ∂x ∂y ⎞

P3 = ⎜ x + dw , y + dw⎟

⎝ ∂w ∂w ⎠

V1 = ( P2 − P1 ) and V2 = ( P3 − P1 ) .

That is,

∂x ∂y

V1 = dz i + dz j

∂z ∂z

∂x ∂y

V2 = dw i + dw j

∂w ∂w

where i and j are the unit vectors in the appropriate directions. Then, the area

A of the parallelogram is,

A = V1 × V2

2.76

Principles of Communication Prof. V. Venkata Rao

∂x ∂y ∂y ∂x

V1 × V2 = − d z dw

∂ z ∂w ∂ z ∂w

⎛ x, y ⎞

A = J⎜ ⎟ d z dw

⎝ z, w ⎠

That is,

⎛ x, y ⎞

fZ,W ( z , w ) = f X ,Y ( x , y ) J ⎜ ⎟

⎝ z, w ⎠

fX , Y ( x , y )

= .

⎛ z, w ⎞

J⎜ ⎟

⎝ x, y ⎠

2.77

Principles of Communication Prof. V. Venkata Rao

Appendix A2.2

Q( ) Function Table

∞

1 2

Q (α) =

− x

∫

α 2π

e 2

dx

that Q ( 0 ) = 0.5 .

y Q (y )

y Q (y ) y Q (y ) y Q (y )

10− 3 3.10

10− 3

0.05 0.4801 1.05 0.1469 2.10 0.0179 3.28

2

0.10 0.4602 1.10 0.1357 2.20 0.0139 10− 4 3.70

0.15 0.4405 1.15 0.1251 2.30 0.0107 10− 4

3.90

0.20 0.4207 1.20 0.1151 2.40 0.0082 2

10− 5 4.27

0.25 0.4013 1.25 0.0156 2.50 0.0062

10− 6 4.78

0.30 0.3821 1.30 0.0968 2.60 0.0047

0.35 0.3632 1.35 0.0885 2.70 0.0035

0.40 0.3446 1.40 0.0808 2.80 0.0026

0.45 0.3264 1.45 0.0735 2.90 0.0019

0.50 0.3085 1.50 0.0668 3.00 0.0013

0.55 0.2912 1.55 0.0606 3.10 0.0010

0.60 0.2743 1.60 0.0548 3.20 0.00069

0.65 0.2578 1.65 0.0495 3.30 0.00048

0.70 0.2420 1.70 0.0446 3.40 0.00034

0.75 0.2266 1.75 0.0401 3.50 0.00023

0.80 0.2119 1.80 0.0359 3.60 0.00016

0.85 0.1977 1.85 0.0322 3.70 0.00010

0.90 0.1841 1.90 0.0287 3.80 0.00007

0.95 0.1711 1.95 0.0256 3.90 0.00005

1.00 0.1587 2.00 0.0228 4.00 0.00003

2.78

Principles of Communication Prof. V. Venkata Rao

Note that some authors use erfc ( ) , the complementary error function which is

given by

∞

2

erfc ( α ) = 1 − erf ( α ) = ∫e

− β2

dβ

π α

α

2

and the error function, erf ( α ) = ∫e

− β2

dβ

π 0

1 ⎛ α ⎞

Hence Q ( α ) = erfc ⎜ ⎟.

2 ⎝ 2⎠

2.79

Principles of Communication Prof. V. Venkata Rao

Appendix A2.3

(

Proof that N m X , σ2X is a valid PDF )

We will show that f X ( x ) as given by Eq. 2.56, is a valid PDF by

∞

establishing ∫ f (x) d x

−∞

X = 1 . (Note that f X ( x ) ≥ 0 for − ∞ < x < ∞ ).

∞ 2 ∞ 2

−v −y

Let I = ∫e

−∞

2

dv = ∫e

−∞

2

dy.

⎡ ∞ − v2 ⎤ ⎡ ∞ − y2 ⎤

Then, I 2

= ⎢∫e 2

dv⎥ ⎢ ∫ e 2 d y⎥

⎣⎢ − ∞ ⎥⎦ ⎣⎢ − ∞ ⎥⎦

∞ ∞ v2 + y2

−

= ∫ ∫e

− ∞− ∞

2

dv d y

⎛y⎞

Let v = r cos θ and y = r sin θ . Then, r = v 2 + y 2 and θ = tan−1 ⎜ ⎟ ,

⎝v ⎠

and d x d y = r d r d θ . (Cartesian to Polar coordinate transformation).

2π ∞ r2

−

= ∫ ∫e r dr dθ

2 2

I

0 0

= 2 π or I = 2π

∞ v2

1 −

That is,

2π −∞

∫e 2

dv = 1 (A2.3.1)

x − mX

Let v = (A2.3.2)

σx

dx

Then, d v = (A2.3.3)

σx

Using Eq. A2.3.2 and Eq. A2.3.3 in Eq. A2.3.1, we have the required result.

2.80

Principles of Communication Prof. V. Venkata Rao

References

1) Papoulis, A., ‘Probability, Random Variables and Stochastic Processes’,

McGraw Hill (3rd edition), 1991.

P P

Engineering’, John Wiley, 1965.

3) Hogg, R. V., and Craig, A. T., ‘Introduction to Mathematical Statistics”, The

Macmillan Co., 2nd edition, 1965.

P P

2.81

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