RVSP Short Answers

Random Variable
119
FAoo) = 1
FAoo) = ~(2 -e-
b
2a =b
a 1
-=
b 2
P[1 < X < 2] = Fx(2)- Fx(l)
(iii)
=~(2-e2b)-~(2 e- h )
_1 [2 -e -2b - 2 +e -b]
-
1
P[1 < X < 2] =_[e-b _e-2b ]
2
Example 2.19
If the probability density of a random variable is given by

f(x)
for 0< x< 1
X
{
(2
x)
for 1 < x< 2
find the probabilities that the random variable having this probability density will take on a
value
0) between 0.2 and 0.8
(ll)
between 0.6 and 1.2 .
(Aug I Sep 2006)
Solution
Given
(i)
fx(x)
={
x for O<x <1

(2 - x) for 1 < x < 2
Probability between 0.2 and 0.8 is given by

P{O.2 < x < 0.8} ;;;:
r0 8
JO.2
j~ (x)d,
1
f .x dx = ~2 = -[0.8
2
08
0.2
= 0.3
P(0.2 < x < 0.8).
\.
(ll)
Probability betweenO.6 and 1.2
L2
P{0.6<x<1.2} =
0.6
fx(x)dx
0.2 2 ]
120
Probability Theory and Stochastic Processes
J xdx+ J1.2 (2-x)dx

I
0.6
_ x211
X JI1.2
- + [ 2x-
2
0.6
I
2
= 1-0.6 +2(1.2)_1.2 -2+!..

222
= 0.32+2.4-0.72-1.5
P{0.6<x <1.2}=0.5
Example 2.20
A continuous random variable X has a PDF f(x)
3x2 ,0 < X < 1. Find a and b such that (i)
P{X = a} = P{X > a} and (ii) P{X> b} = 0.05.
(Nov 2006)
Solution
Given the probability density function fx (x) = 3x2 , 0 < x < 1.

(i)
P{X>a} =l-P{X::;a}=l-FxCa)
2
= 1- J:3x dx
= 1-x3
1-a 3
P{X = a} = fx(a) = 3a 2
Given thatP{X = a} = P{X > a}
a 2 (a+3) =1
(ii)
P{X>b} =1-P{X::;b}=0.05
1- Fx(b) =0.05
F}( (b) =
:\;r.2(J;r. = h'
1-b 3 = 0.05
b3 = 0.05
b = ~0.05
= 0.3684
The Random Variable
121
Example 2.21
AliJfu1alog signal received at the detector (measured in microvolts) may be modelled at:! a
Ga'ussian random variable N (200, 256) at a fixed point in time. What is the probability that
the signal is larger than 240 !-lV, given that it is larger than 210 !-lV?
(May 2005)
Solution
Given an analog signal is modelled as a Gaussian random variable N (200, 256).

This indicates that the mean value mx = 200 !-lV and variance a/
256 or ax
16!-lV
The required probability is

P(X> 240) = 1- P(X::; 240)
= 1- F(
(240)
2401~200) = 1- F(8.75)
=Q(8.75)
1
=------------r=======~~
(0.66)(8.75)+ 0.34"J8.75 2 + 5.51
P(X > 240) = 1.066 x 10- 18
and F x (240)
=P(X ~ 240) =1- P(X > 240) ~:1d
F(lOJ
16
F (210) =F(21O-200)
x
10
l-QC~) =l-Q(0.625)
1
=1
0.66 x 0.625 +
F x (210) =1-0.1356=0.8643
The probability that the signal is larger than 240 !-lV, given that it is larger than 210 !-lV is
FxC2IO)
Fx (240)
= 0.8643 = 0.8643
1
Example 2.22
The lifetime of Ie chips manufactured by a semiconductor manufacturer is approximately

normally distributed with a mean = 5 x 106 hours and standard deviation of 5 x 106 hours. A
122
mainframe manufacturer requires that at least 95% of a batch should have a lifetime greater
than 4x106 hours. Will the deal be made?
(May 2005)
Solution
The lifetime of les are normally distributed or have a Gaussian distribution.

Mean value J.l x = 5 x 106
Standard deviation
(f x
= 5 x 106
hoUrs
Probability of lifetime greater than 4 xl 06 hours is
P{X > 4 X 106} = 1- P{X :::;:4 x106}
=;1-FA4 x 106]
I-F[
4~5J
= I-F(-O.2) = 1-(1-F(0.2))
F(0.2)
=;1-Q(0.2)
1
=1-
:. P{X > 4 x 106}
=:
e-O2'/2
(0.66)(0.2) + 0.34..j0.2 2 + 5.51
--=1-0.419
J2ii
0.581
Example 2.23
For a Gaussian random variablc with a=O and
(J'
=1, what is P(IX I> 2) andp[X > 2]?

(May 2011)
Solution
Given a Gaussian random variable X with mean value Ilx
0 and spread
The probability
P(IXI>2) =P(X <-2)+P(X>2)
(i)
Now
P(X < -2)
P(X < -2) + 1 P(X < 2)
=F( -2) = 1
F(2)
P(X < 2) = F(2)
PCI XI> 2) =I-F(2)+ 1

P(I X I> 2) = 2(1- F(2
F(2)
(J'
1.
The Random Variable
123
I> 2) =2Q(2)
P(I X
also,
Q(2)
..
P(IX I> 2)
P(X >2)
(ii)
e-2'/2
x--=0.0228
0.66 x 2 + 0.34,,12 2 4- 5.51
2n
2 xO.0228=0.0456
1-P(X <2)
1- F(2) =Q(2)
..
P(X>2)
0.0228
Example 2.24
A Rayleigh density function is given by

X2
f(x)
{xe-
x;;::: 0
x<o
o
(a)
Prove that f(x) satisfies the properties of the pdf
Jf(x)dx = 1.
00
(i) f(x) 20 for all x and
(ii)
(b)
Find the distribution functionF(x).
(c)
Find P(0.5 ~ X
(d)
Find P(O.5 < X < 2).
2).
(Sept 2003)
Solution
(a)
Given fx(x)
xe-X212
{
x;;:::O
x<o
(i) By substituting x values, for x;;::: 0, it is observed that fx(x) is always;;::: 0
(ii) Evaluating the integration for x 20, [fx(x)dx

l~l
2""'"
xdx
:.
dt
[fAx)dx
xe-x'i2 dx
124 Probability Theory and Stochastic Processes
Hence the given function f(x) satisfies the properties of the pdf.
(b)
The distribution function FAx) = [fx(x)dx
x=oo
P(0.5 s X s 2) = P(X s 2) P(X s 0.5)
(c)
=Fx(2)
(0.5)
=1
P(0.5s X s 2)
(d)
_1+e-Gs'12
e -118 -e-2
0.7472
P(O.5 < X < 2) =P(X < 2)-P(X < 0.5)

=P(X s 2)-P(X = 2)-P(X sO.5)+P(X =0.5)
P(0.5 < x < 2)
Now
P(X 0.5)
Fx (2) FAO.5) + P(X

fx(0.5)
P(X = 2) = fx(2)
P(0.5<X <2)
-118
0.5) - P(X =2)
=0.4412
2e-2 0.2706
-2
1 -1/8
e +-e
2
3 -1/8 - 3-2
=-e
e
2
Example 2.25
Assume that the number of automobiles arriving at a gasoline station is Poisson distributed
and occur at an average rate of 50/hour. The station has only one gasoline pump. If all cars
are assumed to require one minute to obtain fuel, what is the probability that a waiting line
will occur at the pump?
(Nov 2007)
The Random Variable
125
Solution
Given that the number of automobile arriving at a station is Poisson distributed.

Average rate A, 50/ hour
Time duration 1 minute
A waiting time occurs iftwo or more cars arrive in anyone minute duration. The probability
of a waiting line is
..
P{k;:: 2}
I-P{ksl}
I-FAl)
[bO! +~l! J
O
But
Fx(l)
[1+~]
FAl)
..
P{k;:: 2}
0.2032
Waiting line occurs at about 20.32% of the time.

Example 2.26
If a mass function is given by
P(x)
(i)
(ii)
(iii)
{A(1~-X)'
1,2 ...,50
x 51,52...,100
otherwise
x
Find A that makes the function a probability mass function and sketch its graph.
Find P(x> 50), P(x < 50), P(25 < x < 75), and P(x: odd numbers).
If the events indicated in (ii) are A, B, C, D respectively, find P (A I B), P (A I C),
P (A I D), P (C ID). Are the pairs A, B; A, C; A, D; C, D; independent evellls?
(Dee 2002)
Solution
Given the mass function of a random variable X is
fAx)
{A(l~-X)'
x =1,2 ...,50
x 51, 52..., 100

otherwise
(i)
lfthe function is a probability mass function, we know that 2:fx(x) = 1

50
100
2:Ax+ 2: A (I00-x)=1
x.,1
.<;51
4'[~~+~(lOO-X)] =1
A[ (l + 2 + ... + 50) +(49 +48+ ... + 1)]
=1
1, A (1275 + 1225):; 1 . (since sum of n numbers = n(n + 1)

2
A =
2500
x
2500
100-x
2500
.0
The mass function is fx(x) =
x = 1,2, ... ,50
x. = 51,52, ... ,100

otherwise
The graph of the probability mass function is shown in Fig. 2.21.

50
.. _ ... "'_ ..................... "'_ .... i "
,"
,
,
,
2'mf{x) ~
4
3
.,
,
..
,,
,,
,,
It,~,,
,{tf
o
2
1
12 34.....................505152...................... 100 x
Fig. 2.21 Probability mass function
(ii) (a)
P(x > 50)
~ 100-x
x~51
2500
1
--[49+48+ ... +1]

25p0
=
49x50 = 49 =0.49
2x2500 100
The Random Variable
(b)
49
X
1
P(X < 50) = :2:- = -'-'-[1 + 2+ 3 + ... +49]
x=1
2500
2500
_l_x 49x50
2500
2
(c)
(d)
'
~=0.49
100
x = 50 = 1 = 0 02
P(X 50) = 2500
2500 50
.
P(25 < X < 75)
...,
<=26
X
2500
~(100-X\
...,
x=51
--j
2500
27 + ... +50)+(49+48+47 + ... + 26)]
2
50
-[26+27... +49]+
2500
2500
x50 _ 25X26J+~
2
2
2500
50
x50 25x26]+-
.
2500
(e)
O.]~
=0.72+0.02
The probability P{x: odd number}
99
P[oddnumber]
Ax+ :2: A(100-x)

<=51,53...
+3+5+ ... +49)+(49+47... + 1)]

2 25
+3+5+ ... +49] =--:2:(2m-l)
2500 m=l
2 x 25 x 25
2500
P[oddnumber] =--x
2500
(or) suice we know that the sum of
nodd numbers n; 1J
=(
:=.!. = 0.5
2
127
128
.
I.e.
:.
(ill)
.
(49+1j,2
[1+3+ ... +49] - 2 - =25x25
2
1
P[oddnumberJ:::: 2500 x25x25:::: 2
0.5
Given the events

peA)
P[X > 50] = 0.49
PCB) = P(X < 50) :::: 0.49

P(C)
1
P(X =50)=-=0.02
50
P(D)
74
P(25 < X < 75) = 100
peE)
P[ odd number] :::: - = 0.5
0.74
Now
(a)
peA IB)
P(AnB)
P(X > 50n X < 50)
::::
PCB)
PCB)
=0
P(AnB) 0, peA) ~ 0, PCB) ~ 0

..
.. A and B are mutually exclusive and independent events .
(b)
peA I C)
.P(AnC)
P(AnC)
P(C)
0,
P(X > 50n X = 50)

P(C)
peA) ~ O,P(C)~ 0
:. A and C are mutually exclusive and independent events
(c)
P(AID)
P(X > 50n25 < X < 75)

P(25 <X < 75)
P(D)
74
}'
::::
100
;:;1
100 x
1)UU
74
100
+48 + ... +26]

74
100
P(AID)
36
74
0.486
36
100
74
100
The Random Variable
peA nD) = 36
100
Since P(AD)
"* P(A)P(D)
peA) =
100'
129
P(D) = 74
100
the events A and D are not dependent.
P(C ID) = P(C nD) = P[X = 50n25 < x < 75]

P(D)
P(D)
(d)
50
74 = 74
100
Since Cc(CnD), P(CnD) =P(C)
:. The events C and D are not independent.
Example 2.27
If the probability density of a random variable is given by
={ceXP(-XI4),
Ix(x)
0::;;x<1
otherwise
find the value that C must have and evaluate Fx (0.5).

Solution
Given probability density function
Ix(x)
c exp(-xI4),
={
otherwise
Ifjjx) is a valid density function, then

00
JIx (x)dx =1 or
JCe- xI4 dt' =1

o
=__1--::-::-:- =1.13
4(1
-----------
0::;;x<1
(May 2010)
O:::::x<1
otherwise
0.5
and
= f1.13 exp (-x/4)dx
Fx(0.5)
= -1.13 x 4[ exp(-x / 4)]~.5
Fx (0.5) = 0.5311
Example 2.28
A random variable Xhas the distribution function

12
n2
= I-u(x-n)
Fx(X)
n=1
650
Find the probability (a) P{-oo<X:::::6.5},(b) P{X>4} and P{6<X:::::9}.
(Nov 2010, May 2010)

Solution
12
Given
Fx(X)
n~
= I-u(x-n)
n=1
650
(a)
Probability of P{-oo < X ::::: 6.5}
n2
n=1
650
=I
Since n should be an integer,

Fx(X::::: 6)
:;:=
_1_[tn2] =_I_n(n +1)(2n +1)1

650 n=1
650
6
n=6
=_I_x 6x7x13 =0.14

650
6
(b)
Probability of P{X > 4} = 1- P{X::::: 4}"
=1- F xC4)
~1-
i:n
n=1
=1- 4x5x9 =0.9538

650 x 6
The Random Variable
(c) Probability of
131
P{6<X~9} =Fx(9)~Fx(6)
i ~=_1_[9X10X19
_ 6x7 X13]
650 650
6
6
n=6
_1_[285 - 91] = 0.2985

650
Example 2.29
The cdf of a random variable Y is

F,(y)
~{l-exP~-O.4JY),
Y20
otherwise
Valuate P{2.5 < Y ~ 6.2}.
(May 2010)
Solution
P{2.5 < Y
6.2)
= Fy (6.2) =
Fy (2.5)
1- exp(-0.4J6.2) - (1- exp(-O.4m))
= exp(-O.4m) - exp(-0.4J6.2)
= 0.531-0.369 = 0.1616
Example 2.30
Find a value for constant A such that
/x(x) = A(I-X
x<-1
)C0s( ~x J
-1~x~1
l<x
(May 2011)
is a validprobability dcnsity function.

Solution
Given
o
/x(x)
A(I-X
x<-1
2)C0s( ~x J
o
1<x
lithe function is a valid probability density function, then
L:fx(x)dx =1
IicX) dx =1
Now LIA(1-x )COSl
Using integration by parts,
-r . icicX
sm
_2_(-2x)dx
=1
4A
x(-coST]
ic
ic
2
8A
iC
'+1
(-cos icX]
r \ ic
11
dx =1
-1
icX 2. icX
-xcos-+-sm- =1
2 ic
2_1
+l
8A[
ic 2. ic (-(-I)cos (-ic]
2. II --ic))]
=1
+-sm
2 -cos-+-:-sm--
iC
ic
\ 2
8A[0+---(-1)
2 2
] =1
-~
ic~
ic ic
32
ic
The Random Variable
107
Example 2.6
Find a constant b > 0, so that the function,

I
fAx)
~oe
3x
is a valid pdf.
otherwise
Solution
Given the function

I
fxCx) =
3x
10:
otherwise
If it is a valid density function, then

fAx);:>: 0, is true, and
3x
-e
J010
d"C =1 or
~[e3X]b
10
-1] =1
3b
In(31)
b = lln(31) = 1.1446
3
Example 2.7
A Gaussian random variable Xwith /lx = 4 and ax

X
S;
3 is generated. Find the probability of
7.75. Write down the function and draw the graph.
Solution
Given a Gaussian random variable with /lx
4 ax = 3. Given the event {X s; 7.75}, then
P{X s; 7.75}
= FxC7.75)
108
We know that, FAx) = F(
x~~x )
or
Fx(7.75)
=Fe7~-4)=Fe;5)=F(1.25)
Using the Q- function approximation,

F(1.25) = l-Q(1.25)
.
1
F(1.25)
e-1.25'12
(0.66)(1.25)+0.34~(1.25i +5.51
x---
= 0.8944
= 0.8944
P{X 57.75}
The Gaussian density function is
fAx)
~e
,,2na/
1
(x) =
(x_4)2
IS
,J2n(9)
_ (>-42'.
0.133e
18
Figure 2.16 shows the Gaussian density function.

fJx)
0.133 ................_ ..........
7
Fig.2.16 Gaussian density function for llx
4, ax
Example 2.8
Assume that the height of clouds ax above the ground ::tt some location is a Gaussian
random variable X with mean value 2 km and ax = 0.25 km. Find the probability of clouds
higher than 2.5 km.
Solution
Given a Gaussian random variable X

Mean valuellx
= 2 km
The Random Variable

Spread
ax
109
0.25 Ian
Favourable event is {X> 2.5 Ian}

..
P{X > 2.5 Ian} = I-P{X S 2.5 km}
=1- FxC2.5)
I_F(2.5- 2)=I-F(2)
0.25
1-(1-Q(2))
=Q(2)
Using Q-function approximation,

P{X > 2.5 km} = Q(2) =
e-2' 12
0.66x 2+0.34.J2 2 + 5.51
J2ii
P{X > 2.5 km} = 0.0228
The probability that clouds are higher than 2500 m is therefore about 2.28%.
Example 2.9
A production line manufactures 1ill resistors that must satisfy 10% tolerance.
(a) If a resistor is described by the Gaussian random variable X, for which
f.lx
= 10000,
ax
400, what fraction of the resistors is expected to be rejected?
(b) Ifa machine is not properly adjusted, the product resistances change to a new value
where f.lx
1050n. What fraction is now rejected?
Solution
Given that the resistor value is described by the Gaussian distribution. The accepted resistor
value is 1 kO l 0% tolerance, that is, {900 0 to 1100 n}.
The resistor is rejected if its value X is {X < 900} or {X> HOO}.
(a)
The probability of rejection is a fraction of the resistors rejected.

P{resistor rejected} = P{X < 900} + P{X > llOO}
Given mean value f.lx
10000, a x = 400.
Then P{X <900}
=Fx(900)=F(900~~000)
F(-2.5)
1- F(2.5) = Q(2.5)
and
P{X > llOO} = I-Fx(1100) =
I_F(1l00~1000)
110

= I-F(2.5)
=Q(2.5)
P {resistors rejected} = Q(2.5) + Q(2.5) = 2Q(2.5)
Using the Q-function approximation,

P{resistors rejected} = 2
0.0124
= 1.24 % resistors are rejected
(b)
If mean value is adjusted to Jix

then
P{X<900}
1050Q,
FA900)
(J'x
=40Q
F(900~~050)
F(-3.75)
1- F(3.75) = Q(3.75)
and
P{X>1100} =1-FX<1100)
I_F(1l00~1050)=1
F(1.25)
1- F(1.25) = Q(1.25)
P{resistors rejected} = Q(3.75) + Q(1.25)

1
e-3.7S'12
(0.66)(3.75)+ 0.34.J3.75 2 + 5.51
J2i
(0.66)(1.25) +0.34.J1.25 2 + 5.51
e- L25'12
x---
J2iC
0.1057
= 10.57% resistors are rejected

Example 2.10
The power reflected from an aircraft received by a radar is described by an exponential

distribution. The pdfis given by fx( x)
~e:-XilO,
10
x:> o. The average power is 10 W. What is
the probability that the received power is greater than the average power?
Solution
Given that the power reflected is an exponential distribution. The pdf is given as
fx(x) = ~e-X/lO, x > 0
10
The Random Variable
2.[_10e- J =1 e10
xlJo
Fx{x) =1_e-xIIO
III
x110
x>O
The required probability is

P{X > 1O}
=I-P{X $; 1O}
I-FAlO)
P{X > 1O}
= e- l ~ 0.368
Example 2.11
The amplitude ofthe output signal ofa radar system, i.e., receiving only noise is a Rayleigh's
random variable with a 0, b = 4V. The system shows a false target detection if the signal
exceeds V volts. What is the value of V, if the probability of false detection is 0.001 ?
Solution
Given that the noise can be described by Rayleigh's distribution. The distribution function is
x:C:a
x<a
Given
a = 0,
b 4 volts
x:C:O
x<O
Ifthe noise exceeds V volts, the system shows false target detection. Given the probability of
false detection is 10-3
10-3 =P{X> V} =I-P{X:::;: V}
-1
10-3
"'"
Fx[V]
1 (I
v2 4
/ )
e-V'/4
or
=~4ln(lOOO) =5.256 volts
112
Example 2.12
The lifetime of a system expressed in weeks is a Rayleigh random variable X for which
~eXp{-X2/400)
x~o
x<o
f(x
) = 200
(a) What is the probability that the system will not last a-full week.
(b) What is the probability that the system lifetime will exceed one year.
Solution
The Rayleigh density function of X is given by
fx(x)
~0
e-x'1400
x<O
200
where x is given in weeks

(a) The probability that the system will not last a full week is
P{X:=;; 1}
F(1) =
L/x (x)dx
_! -200xe
=::
(b)
-x'/400
_e-2/4001~
dx
=::
e-1/400 =::
0.0025
The probability that the system lifetime will exceed one year is (since one year = 52
weeks)
P{X>52} =1-P{x:=;;52}
1-Fx (52)
But
Fx(52)
r 2~O
40
e-x'i dx
_e- x' /400

P{X>52}
I:
= 1-e-'z' 1400
1_(l_e-S2"4oo)
e-52'/400
i::i
0.00116
Example 2.13
A certain large city experiences, on an average, three murders per week. Their occurrence
follows a Poisson distribution.
The Random Variable
(a)
(b)
( c)
113
What is the probability that there are 5 or more murders in a given week?
On an average, how many weeks in a year can this city expect to have no murders?
How many weeks per year (average) can the city expect the number of murders per
week to equal or exceed the average number per week?
Solution
Given in a city, the occurrences of murders per week is a Poisson's distribution.

Average no. of murders b = AT = 3
(a) Probability that there will be five or more murders in a given week
P{k ~ 5} = 1-P{k ~ 4}
=l-e-b
bk
L
k!
k=O
32 3 3 ]
=1-e-3 1+3+-+-+
[
2! 3! 4!
92 22 27]
8
= 1-e-3 [ 1+3+-+-+
(b)
Probability of zero (no) murders

-b bk
-3 bO
P[k=O} =_e_=_e_=e-3 =0.0498

k!
O!
Average number of weeks a year, the city has no murders is
52 x 0.0498 = 2.5889 weeks
(c)
The probability that the number of murders per week is equal to or greater than the
average number of murders per week is
P{k ~ 3} =l-P{k ~ 2}
= l-[P(O) + P(1) + P(2)]
= 1-.!2e-3 = 0.5768
.. The average number of weeks in a ye;u when the number of murders exceeds the
average value is 52 x 0.5768 = 30 weeks .
..
_..
_--_._-

Solution
We know that for a given random variable, the binomial density function is given by
N
fAx) =
L NCK pK(1_p)N-KO(x-K)
K=O
For the random variable {X I x
= K }, the probability mass function is
P(x) = NCxpxqN-x
where
The mean value of X is
forx=0,1,2 ... N
q =1-p
E[X] = LXP(x)
;'(=0
E[X] = LX NCxpXqN-X
x=o
We know that NC = N(N-l)(N-2)
x
x(x -1)(x - 2) ...
NC = N (N-I)C
X
Since x =
(x-I)
is not valid,
N
E[X] = N.p"
N Ie
pX IqN
L(x-I)
x=l
Since
(~-I)C(X_l)pX-lqN-l-(X-l) =
(p +q)N-l = 1
x=l
E[X] =Np(1)=Np
E[X]=Np
The mean square value of X is
1;,'[X2]
LX2p(X)
x=o
N
= Lx2 NCx pXqN x

x=Q
1 (x-I)
Operations on One Random Variable
189
Example 3.22
The pdf of a random variable X is given by
x
20 '
fAx)
2~x~5
Find the pdf of Y ::: 3X 5.
Solution
Given
2~x~5
Ix (x)
otherwise
and the transformation
Y:=3X-5
Y+5
y+5
or
X=-
and
We know that fy(y)

Now,
:=
1 (Y
+5)
?/X
-3
frey)
I' (
Jy
The limits are for
1:1
fx(x)
x=2,
and x=5,
:=
1 (y + 5) / 3 = y + 5
3
20
180
y
=1
y=10
l~y ~10
otherwise
Example 3.23
A Gaussian random variable
with variance 10 and mean 5 is transformed to Y eX. Find the
,
pdfof Y.
190
Solution
Given
(J/
'"
10,
mx = 5.
We know that the pdf of a Gaussian random variable is
1 ex (-CX-5)2J
.J2nlO p
20
fAx)
The transformation
or
= InCY) ,
x:::: In(y)
y.
We know that
1
~ fx(lny)
frey)
. (-(In(Y)-5)2)
20
'
= y../20n exp
More Solved Examples

Example 3.24
Let X and Ybe random variables such that Y s X, then show that E(Y] s E[X], provided that
the expectation exists.
Solution
Given two random variables X and Y, and Y s X, or Y - X

Take expectations on both sides
s O.
E(Y -X]sO
From the addition theorem, E(Y] E(X] ~ 0

or E( Y] s E(X]
Example 3.25
What is the mathematical expectation of winning Rs. lOon a balanced coin coming up
heads, or losing Rs 10 on its coming up tails?
191
Solution
Let winning of Rs.l 0,

losing of Rs.I 0,
XI
X2
+1
= -1
Since the coin is balanced, the probability ofheads is P(xl )
1 and the probability oftails is
1
P(~)=2'
We know that the expectation

E[X] = L>;P(x;)
..
XI P(XI )+X2 P(X2 )
.!.(+1)+.!.(-1) 0
2
2
mathematical expectation is zero
Example 3.26
A fair coin is tossed until a tail appears. Find the mathematical expectation of the number of
tosses.
Solution
Let X be a random variable of the event "number of tosses". Since the coin is fair, the
probability of getting a head is .!. and the probability of getting a tail is .!..
2
2
The possible outcomes oftossing until a tail appears is T, HT, HHT, H, HHT, HHHHT, ...
and so on.
The probabilities of the outcomes are
P(T) =.!.
2
P(HT) =.!..!. = .!.
22 4
P{HHT) = 1 1 1
222
P(HHHT) =
L!. 1..!. = ~
2222
16
1
['(IIlL..IIT) ==
2"
The expectation of X is
E[X]
L>nP(xn}
11
and
192
lx-+2x-+3x-+4x-+ .....+nx-........
.
2
4
8
16
2n
n
2n
E[X] =
Let
then
Substracting
OO(n
n)
~
2" - 2n
+l
Expand the tenus,
1 2 2 3 3 4 4 5 5
-+---+---+++ ........
2 4 4 8 8 16 16 32 32 64
2
S
i+(~-~)+(~-~)+C: -1~)+(;2 - 3~)+'
1 1 1 1 1
=-+-+ +-+-+ .......
2 2 4 8 16 32
2"
=2_2_=2
1-1
2
:. The required expectation is 2.

Example 3.27
A box contains 4 red and 2 green balls. Two balls are drawn together. Find the expected
value of the number of red balls drawn.
Solution
Let X be the random variable for the event ofnumber ofred balls drawn. When two balls are
drawn together, assume the events are
No red ball and two green balls
= Xl
One red ball and one green ball = x 2

Two red balls and no green ball
= X3
193
The probabilities of the events are
4~O 2C2
P(X ) =
1
lxl x2
6x5
C2
1
15
6
15
The expected value is
1
8
6
= "xP(x.)=Ox-+lx-+2x
..,;
15
15
15
E(X]
=~+g 20 =i=1.33
15 15
15
1.33
E(X]
Example 3.28
When two unbiased dice are thrown, find the expected value of the product of the numbers
shown on the dice.
Solution
When two dice are thrown, the sample space is

S
{(1,1), (1,2), ... ,(1,6),(2,1),(2,2), ... ,(2,6),(3,1 ),(3,2), ... , (3,6), ... ,(1,6)..... ,(6,6)}
Let X be the random variable for the events of product of the numbers shown on dices
The possible outcomes areX {I, 2, 3,4, 5, 6, 2,4,6,8,10,12, 3,6,9,12,15,18
4,8,12,16,20,24,5,1O,15,20,25,30,6,12,18,24,30}
Here, products 1,9, 16,36 appear one time, products 2,3,5,8, 10, 15, 18,20,24,25,30
appear two times, products 4,12 appear three times and product 6 appears 4 times.
:. The probabilities are shown in Table 3.5.
Table 3.5 Values of X and P(x)

X=X 1
P(x)
3
36
36 36
36
36
~ r2
10
12
15
16
18
20
24
25
30
36
3
36
-1
36
36
-36
Then
E(X]
= LX,P(x,)
i
- -
36 36
-36 -36 -36 -36
36 36
194
1
36
2
36
2
36
3
36
2
36
= lx-+ 2x-+3x-+4x-+5x-+ ...... 36x

E[X]
1
36
= 12.61
Example 3.29
When two unbiased dice are thrown, fmd the expected value of the sum of the numbers
shown on the dice.
Solution
When two dice are thrown, the sample space is

S
= {(I,1),(l,2), ... ,(l, 6),(2, 1),(2,2), ... ,(2,6),(3, 1),... ,(3,6),(6, 1), ... ,(6,6)}
Let X be the random variable for the event of the sum ofthe numbers shown on the dices.
The possible outcomes are
X
{2, 3,4, 5, 6, 7,3,4,5,6, 7,8,4,5, 6, 7,8,9,5,6, 7,8,9,10,6,7,8,9,10,11, 7,8,1O,1l,12}
The probabilities are shown in Table 3.6.

Table 3.6 Values ofX and P(x)
2
10
36
6
36
36
3
36
3
36
X=x i
P(x)
-
36
E[X]
36
36
36
1
2
3
4
5
65
2x--+3x--+4x--+5x--+6x--+7x--+8x
36
36
36
36
36
36
36
+9x
432
1
+lOx--+llx--+12x
36
36
36
36
E[X] =7
Example 3.30
Let Xbe a random variable with probabilities as shown in Table 3.7.

Table 3.7 M:zlues ofX andP(x)
X(X j )
-1
p(x)
1
6
-31
1
2
Find (a) E[X], (b) E[X2], (c) E[(2X +1)2] and (d)
(J/ .
195
Solution
Given a discrete random variable with probabilities shown in Table 3.7.
(a)
L>;P(x;)
E[X]
(b)
E[X2] = LX;2p(X;)
(~1)2 x
1
1
+(1)2 X_+22 x
6
3
2
1 !..+ 2= 2+!.. 2.5

3
2
(c)
E[(2X +1)2] = L(2x; +1)2 P(x/)

i
1 9
6 3
25
2
-+ +
(or)
E[(2X+l)2]
1
1
1
(2(-1)+1)2 x-+(2xl+ 1)2 x-+(2x2+ 1)2 x
6
3
2
47
3
E[4X2+4X+1J
4E[X2]+4E[XJ+ 1
=4x 25 +4x2+1=1l+ 14 = 47
10
6
3
3
Example 3.31
Consider a random variable X with E[X]=5 and
(j/ =3.
Another random variable is given
as Y=-SX+10. Find (a) E[X2] (b) E[XY] (c) E[y2] and (d)
(j/.
Solution
Given E[X] =5 and (j/
3
Y
-SX +10
9+52 =9+25 =34
(b)
E[XY] = E[X(-SX + 10)]
E[-SX + lOX]
-SE[X2] + 10E[X]
----
--------
............................
_--_ ..
_ -
196
= -8(34) + 1O(S)
= -272 + SO = -222
(c)
E[y2] =[(-8X+1O)2]=E[64X2+100-16X]
= 64E[X2]-16E[X]+ 100
= 64x 34-16xS+100
=2196
(d)
0/ =E[y2]-E[Yf
Now E[Y]
=E[-~X +10]
=-8E[X]+1O
=-8xS+1O=30
0"/
and
= 2196-30 2 = 2196-900 = 1296
Example 3.32
Consider that a pdf of a random variable X is

I
fxCx) = KO
{
-2:5:x:5:3
otherwise
and another random variable Y = 2X. Then fmd (a) value K, (b) E[X], (c) E[l1 and
(d) E[XJ1.
Solution
(a)
Given
Ix (x)
=H
otherwise
Since fx(x) is a valid density function, then S:fx (x)dx = 1as shown in Fig. 3.7.
fx(x)
11 Kr----+-----,
-2
Fig. 3.7 Uniform density function
r~dx
2K
=1
..::.1
K
=1
-2
or
_3-_(0---2.. :. . )
K
or
(b)
197
=1
K =5
E[X] = [x/x(x)dx
=
x.!dx=! Xll3
5
5 2
-2
=~(32
(-2l)
lO
9-4
10
(c)
(d)
E[Y]
=E[2X]
2- =1
2
E[XY] =E[X2X]=2E[X2] =2
r x 2 !dx
.1-2 5
2
38
E[XY] =-[27+8]=
=2.53
15
15
Example 3.33
The pdf of a random variable X is given as
Ix (x) ={0.3507,1x
0
O<x<3
otherwise
Find the (i) mean, (ii) mean of the square and (iii) variance of the random variable X.
(Nov 2010)
Solution
O<x<3
Given
(i)
Mean value is
E[X]
=[, xfAx)ctt
198
=r x(0.3507.[;)dx
E(X] =O.l4x3 5/2 =2.18674
(ii)
Mean square value
= 0.3507
r
X
5/2
7/2
dx
=0.3507~
7/2 10
(iii) Variance
O'i =E(X2]
X2
= 4.68589 - (2.18674)2 = 0
Example 3.34
A random variable X has a pdf

-1(;
<x<
1(;
elsewhere
Find the mean value ofthe function g(X)
4X2.
(May 2011)
Solution
-1(;
Given
1(;
-<x<
2
2
elsewhere
Operations on a Single Random Variable
This can be written as

N
L)x(x-l)+x) NCxpxqN-X
x=O
Since x
= x(x-l)+x
N
n=O
n=O
Lx(x-l) NCxpxqN-x + LX NCxpXqN-X
E[X2]
So,
Now NCx can be written as

NC
or
(N-I)C
NC
(x-I)
N(N -1)
x(x-I)
(N-2)C
(x-2)
~ x(x-l) N(N 1) (N-2)C

x N-x + N;
( -1)
(x-2)P q
'P
x=O
x x
...
x=O
Since x
0 and 1 are not valid,

N
E[X2] = N(N -1) L (N-2)C(X_2)pX-2 p2qN-2-(x-2) + Np

x=2
N
N(N _I)p2 L (N-2)C(X_2)pX-2 qN-2-(X-2) + Np

x=2
N
'"' (N-2)C
x-2 N-2-(x-2) (p+qi N - 2 ) = 1
.
Smce ...
(x-2)P
q
x-2
:. The variance of X
=E[X2]-E[X]2
(1 2
N(N-I)p2+Np (Npi
(1/
N'2p2 _Npl +Np_N'2p'l.
(1/
(1 2
= Np-Np2 = Np(l- p)
Npq
181
199
and the function

Mean value ofthe function g(X),
E[g(X)] = [g(X}fx(x)dx
12
= [ 11:12 (4x 2)-cosx

2
E[g(X)]
2[
dx
12 2
x cosx dx
11:12
To evaluate the integration,

2
2
Jx cosx =x sinx- J(2x)(sinX)dx
x 2 sinx- 2[x(-cosx)
J(-cosx)dx]
Jx cosx =x 2 sinx+ 2xcosx-2sinx
or
E[g(X)] =2[12 x 2cosxdx=2[x 2sinx+2xcosx 2sinxJ11:12

11:12
-11:12
=
E[g(X)]
n2 . n+-cos-
2n n 2'smn)
-sm
2[[
. 4
2 2
2
2
n2
Example 3.35
Givcn thc Rayleigh random variable with density function

f(x)
2
_(.< __ a)2
-(x-a)e b u(x
show that the mean and variance are
E[X]=a+
{7ib
V4
a)
(May 2011)
200
Solution
Given Rayleigh's density function

2
_(x_a)'
f(x) =-(x-a)e b u(x-a)

b
The mean value is
E[X]
= [:if(x)dx
2X
-(x-a)~
= [ -(x-a)e
b
dx
.
To evaluate the integration,

x(x a) =x2 xa =x2 +a 2 -2ax-a2 +ax
x(x-a) =(x-a)2 +a(x-a)
or
2
-(x-a)
2
E[X] =- [(x-aie-b-dx+~ [(X a)e b dx
b "
b
[f(x)dx
We know that
Now let
2(
-{x-a)'
)
x;a e-b-dx=l
x-a
.Jb
dx
The limit at
=1
=.Jb
dt
x=ais 1=0
(From Appendix A)
E[X] =a+
----.~---
Jib
2
E[X] =a+
(ii)
201
{1ib
V4
Variance of X is
_(x_a)'
2X
b dx
-(x-a)e
a
b
To evaluate the integration, the term x 2(x- a) can be expressed in terms of (x-a) as
2
E[X]
=
Now
x 2(x- a)
= (x-a+ a)2(x-a)
=[(x-a)2 +a 2 +2(x-a)a](x-a)
x 2(x- a)
= (x -
E[X2]
a)3 + 2a(x- a)2 + a 2(x- a)
2
-(x-a)
-(x-a)
[-(x-a)3e-b-dx+~ [(x-a)2 e- b-dx
2
-(x-a)
2a [
+b
(x-a)e b dx
The integrations are

for
2( x ~ a )3 e -(x~a)' dx, let
(x-a)2
2(x-a) dx= dt
b
---'-----------'--=t,
2(x-a)3
Then [
(x-a)2
_(x_a)'
dx = [
a
_(x_a)'
2(x-a)dx
For
J1ib
and
r
a
=2a--=a,mb
2
_(x_a)'
2( x-a ) -b-dx
=a 2
e
b
..
-.------.~~--
'
202
The variance of X is
=E[X ]-X
u'x
=a'+aM+b (a+{!)'
(j2
=a2 +a.Jib +b-a2 _1rb -2a

4
2-
2
(jX
fib
'/4
r::::;1rb
a-v1rb =b-
4
Proved.
Example 3.36
Find the characteristic function for a random variable with density function
Ix (x)
=x
for 0:5: x :5: 1
Solution
The characteristic function of X is given by

tPx(m)
E(e1"'x]
= [, e
tPx (m) ==
jOJx
! xe
Ix (x)dx
jrox
dx

Example 3.37
The density function of a random variable is given as

fAx) ae-bx x;?: 0 .
Find the characteristic function and the first two moments.
Solution
Given fAx) =ae-h>: X;?:O. The characteristic function is

lfrx(m) = E[e
jWx
:::= [ ,
e jWX fx(x)dx
:::= [ ,
ae-h>: ~wx dx
ae-'(b-jwx) fx(x)dx
: := a(~J[e(b-jW)XJ'"
b-]m
0
lfrx(m)
:::=(~)(0-1)
b jm
a
b-jm
lfrx(m) = - - .
b ]m
The moments are
(b-~milm==o= a
m2
- ].
:m[ (b- ~m)2 ]

2ja I
(b- jm) m
2a
I
m2 = (b- jm)3im
0
2a
0 == IT
203
204
Example 3.38
Find the characteristic function for fx(x) e-J.tl,

Solution
Given fAx)=e-l xt , The characteristic function is
1 e(l+ o)XIO +--e

-1 -(I-jO)x!'"
-l+jOJ
'""'"
I-jOJ
1
-1
=-,-[1-0]--,-[0-1]
1+ ]OJ
1-]OJ
1
1
2
lPx(OJ) = - - + - - = -
1+ jOJ 1- jOJ 1+ OJ2
Example 3.39
Show that the characteristic function of a Gaussian random variable with zero mean and
variance
(J'2
is
Solution
We know that the probability density fimction of a Gaussian random variable is

fx(x)
1. e-h2a2
~21t: (J'2
The characteristic function is lPx(OJ) = E(~(OX]
= [fx(x)ejO)xdx
Now take the function

_X2
-2
20'
+ jOJx
To convert it into a square form
;: +
jrox =-[(;2uJ -jrox)
U"J- f2u )-'2~

=-[UJ -21" j;; +e;;)' -(j;;J;
2(
= -[
jro)
=-[(f2u -j;;J-(j;)']
Then the characteristic function is
jwu)' (jwu)'
CPxCOJ) = _1_ [ e- .J'ln -.fi +.fi dx

5 0 ' '"
(
(x j(J)(J)'
-{Jia 2
CPxCOJ)
_1_ e-
50'
Let
- - JOJO'
0'
2-
e- .fi" -.fi dx
'"
= Y
dx =dy
0'
dx=dyO'
205
206
Substituting the values,
_1-.c e~ll2dy
=e-cu'(f2 12 -,
5'->
We know that the area under the Gaussian pdf is
.in [e-
Y212
dy =1
Proved.
Example 3.40
Find the density function of the random variabl,? X if the characteristic function is
~~
I-ol co I
1co I::;; I
otherwise
~b~~
Solution
. Given the characteristic function
tPx (co)
f1-1 co I' 1co I::;; I
otherwise
The density function is the inverse Fourier transform of the characteristic function
with (-m)
207
(1-OJ) -jOlXI
1 fl -jOlXdx
=--e
+ J/
jx
0
jx
and
1
1 -i(J)xl
=-+-e
jx
_x 2
()
[1 -e-iX] +
1
=12
jx
Substituting the values in /x(x), we get
1[1 .
ix(x) =21r
~(_eJx+l)+
1 .]
x2(1-e-J",)
[_iX 1 (1 -e- ix'J]

- 12
2 -tf" + +
1rX
jX
el_ +_e_-_]
_l_[l __
1rX2
2
Example 3.41
Show that the distribution function for which the characteristic nmction is e-1(0\ has the density
function
-oo<x<oo
Solution
Given the characteristic function <p,y (OJ)
e -iwi .
The density function ix(x) is the inverse Fourier transfonn of the characteristic function
with (-(I)).
Therefore,
) - 1
f x(X
21r
[ e-lOlle-jOlXdOJ
208
[eO-iXl"'J!:", + 1+1jX [e-"'(I+PlI]

-0)
1]]
1
21r
1+X2
=-x-
Proved.
Example 3.42
The characteristic function for a Gaussian random variable X; having a mean value of zero,
is </Jx(m) ::;:::exp ( -<.i;m2} Find all the moments of X using </JxCm).
Solution
Given characteristic function
We know that the
nth
moment is
:eo[e-U;W 1
=je
(Uf (2eo)J
(Nov 2010)

Example 3.15
Find the mean and variance of Poisson's distribution fimction.
(May 2011)
Solution
We know that for a given random variable, Poisson's distribution fimction is given by
N
AK
fAx)
0 (x-K)
L:>-4_
Kl
K=O
For the random variable {XI x
where A
= K}, the probability mass fimction is

e- 4 Ax
P(x)
= --for
E[X]
= L XP(x)
xl
Np.
The mean value of X is

00
x=o
Since x = 0 is not valid,

.
00
E[X] - ~
or
'"
Since
-4
(x-I)!
E[X]
x-l
L-e -Ax=1
A Ax-I e- 4
(x-I)!
1 (sum ofall probabilities)

E[X] =Axl
E[X] A=Np
The mean square value of X i8

E[X2]
= fX2p(X)
x=o
= O,I,2, ... ,N,...oo
(J)(j2
=j_X_e
co=o
_d
209
=0
-d(
=--2Px(CO)
=-l--GXCO e 2
dco
CO=O dco
ui[e
+( -~i Jm]
.~Ui[e
and
..
m3
Similarly, we can obtain all other moments.
Example 3.43 .
Show that the characteristic function of a random variable having a binomial density is
Px(co)
=[1 p+ p ej())t .
(Nov-20l0)
210
Solution
The binomial density function is

P(x) = NCxpXqN-X
for
0, 1, 2,....,N
The characteristic function is
tPx (m) = E[ e
jrox
= L ejwXp(x)
x=o
N
tPx(m)
=L
NCxpXqN-Xejrox
x=o
q =l-p
N
tPx(m)
= L NCx(pejcoY(1
p)N-x
x=o
Since
(a+bt
X
L NCxaxb N
x=o
Example 3.44
Find the moment generating function and the characteristic function ofa Poisson distribution.
Solution
Given that the Poisson density function of X is

e-,l A:
P(x) = - -
x!
The moment generating function of X is
x~O
M x(v) = E[e.\V]
00
= Le.\V P(x)
x=o
M (v) = e-,l ~ (,levy

x
L...
I
x=o
x.
We know that eX =
211
L
'" XII
:;;=0
n!
:. The moment generating function is Mx (v)

of X is given by
.,
</Ix(m)
E[ejQ)X]
:= eA(e" -1).
Similarly, the characteristic function
LejQ)X P(x)
x=O
:. The characteristic function is </Ix (m)
eA(eit -I)
Example 3.45
A random variable Xhas pdf

1
f(x) = 2 X '
x:::::l,2,3, ...... ,n
Find the moment generating function M( v ).
(May 2011)
Solution
Given
f(x)
1,2,3, ... , n
Since X is a discrete random variable
P(X) =f(x) = 2X
1,2,3, ... ,n
The moment generating function is
1\1xCv) == E[eh-, =
i.>xv P(x)
<=11
II exv ( 1 '\
(eV)A
=2:
- =2:
x=o
2X) x=o 2
fJ
Operations on a Single Random Variable
Since x 2
=x(x-l)+x,
Il .<-2
'" e-'<Il
L-e(x-2)!
_
1 (sum of all probabilities) and LX -- mean value : : : Il

co
Since
183
-A.
x=o
.<=2
So,
x!
E[X2] =1l (1)+1l
E[X2] ::::: 112 + Il
The variance of X is
=E[X2]-E[X]2
0'/
=1l 2 +1l-1l 2 :::::1l
.. for Poisson's distribution, E[X] O'ill = Np
Example 3.16
Five coins are thrown simultaneously. Find the mean and variance ofthe probability ofgetting
a head.
Solution
When coins are thrown simultaneously, it is a binomial distribution. Assume the coins are fair.
The probability of getting head = p :;;; ~ ,
q =p-l=
The mean value of X, E[X]

The varianee
0'/
= No. of coins
1
Np = 5x- =-
2 2
=Npq
1
2
=5
2.5
5x..!..x..!..=~=1.25
2 2
184
Example 3.17
The mean and variance of a binomial distribution are given by 6 and 2.4 respectively. Find
P(X> 2).
Solution
Given that it is a binomial distribution with mean = Np = 6 and variance = Npq = 2.4.
Then
and
q = 2.4 = 0.4
6q = 2.4,
P =1-q=1-0.4=0.6
p =0.6, q=O.4
0.6
0.6
N =-=-=10
The probability
P(X>2)
=1--:-P[X~2]
= 1-
[~ IOCxpVO- x ]
= 1- [lOCO 0.60.410
P[X> 2]
= 1-[0.410
+ lOCI 0.6 1 0.49 + IOC20.62 0.48 ]
+ 1OxO.6x0.49 + 10;9 0.62 X 0.48 ]
= 1-[1.048x 10-4 + 1.57x..10-3 + 0.0106]
P[X> 2]
= 1-0.lH23 = 0.9878
Example 3.18
Probability mass function of a discrete random variable is given as

-1
-4
-4
2
1
rex)
2
3
(a) Find the moment generating function, moments and

(b)
tht:: mil for t::quiprobable events.
Solution
(a)
The moment generating function for a discrete random variable is

MxCv) = E[eVx ] = ~>vx; P(xJ
i
From the given table,Mx(v) =eV(-II2) (~J+eV(1/2)i
3 vI2
MAv) = -e
4
Using the infinite series expansion,
=~[e-VI2+3eVI2J
Mx(v)
185
1 -v12
+-e
(v)=~rl+r+ (~)2 +(~)3 +(~J +.. +(~J1+.!..rl_r+ (~)2 _(~)3 +(~J +.. +(-1)"(~J1
42
2!
M (v)
x
3!
4!
n!
2!
3!
4!
n!
~I+!"-+(~J +! (~J + (~)' +........+2 (~J + (-I)" (~J
22
2!
2 3!
4!
But we know that
Equating the nth of terms of M x (v)
mv
n
or
n!
The moments are
=~[~+ (-I Y ]
2 n n! 4
=J...[~+(-IY
[!]]
2 4
4
n
1 3 1 1 11
=-x---x-=--=
2 4 2 4 22 4
1 3 1 1 1
1
m =-x-+-x-=-xl=
4 4 4 4 4
4
1311111
m3 =-x---x-=-x-=
8 4 8 4 8 2 16
m1
4 n!
n!
186
m4
(b)
From the
nth
=-1 x -3 + -1 x -1
16 4
1
16
1
and so on
16
- x 1 =-
16 4
moment, it is observed that
mn =(x1t P(Xj ) + (X2tP(X2)

If
P(xj ) =P(x2 )
~
=1
(equiprobable), then
1
~ =0, m4
4
=0, m2 =-,
{i"
Hence
1
16 ,.....
n=even
n=odd
Example 3.19
If a pdf of a random variable X is given by Ix(x) = be-laxl , where a and b are real constants,
find the moment generating function, mean and variance.
Solution
Given
lAx)
(i)
The moment generating function
=be-lax,.
Mx(v)
E[eVx ]
=b[ (evXeQXdx+
=b[ (e(aw)xdx+
e VX e-axdx]
e-(a-v)xdx]
=b[_l_eIP+v.lA!O +2 e-(O-Vl,t!"']
a+v
a-V
-00
~b
11
.
1
(
0)--(0-1)
[a+v
a-V
=b[_I_+_1-J=~
2
2
a+V
2ab
a 2 _v 2
a-V
a _v
(ii)
187
The mean value is

1'nt = d M x (v)
dv
Iv
o = 2 ab (a
-1 2 2
-v )
(-
2v)
V =
4aba 4
4b
0=-a
8 -=
(ill)
The variance is
Example 3.20
[X j,X 2 , ... ,X n ] with pmf P(xJ, i=I,2,...... ,n

xjnp(x ) +X np(X ) +X np(X )+ ....
Find the mgffor a discrete random variable X

and hence show that the
nth
moment, mn
Solution
The moment generating function for a discrete random variable is

Mx(v) = E[eVx ] = 2:eVX;P(xJ
Using the infinite series expansion,

Mx(v)
eVX1 P(xj)+eVX2 P(xJ+ eVX3 P(X) + ........
+ ~!
[x/ P(x1 )+ X2 2 p(X2 )+ ......]+ .......
188

1,
Since
p(X 1)+P(X2)+..
MAv)
=1 +v[XIP(Xt ) + x2 P(x.) +........]
+2T[X1 P(XJ+X2 P(X2)+X3 P(X;)+ ........ ]
+............ + :~[Xlnp(Xl)+X2"-P(X2)+ .........J
We know that
v2
vII.
v3
+-mz+-m3 + ...... +-m.
2!
3:
n!
Comparing the above two.equations, the nth order moments are Mx(v).
l+v~
Mx(v)
mil. =Xt"P(Xl)+X2"P(X2)+X3n(X3)+ ...... +xnP(x.)+ ........ Proved
Example 3.21
If ix(x) =
, find the density function for Y = X2 .

9
Solution
X2
and the transformation Y = - .
9
Given
Then
:. The roots are
So,
&
Xl
-3/y
I~II =
3JY
and
-3 ,
X2
=3/Y
Id;21= 2~
We know that the density function of a transformed random variable Y is
JX(Xl)I~II+ JAX )1:1

2
+3
f,,(y)
1 -9y
3
1 -9y
- - e 2 +----e 2
.J2i
2JY .J2i
344

Example 5.24
Random variablesXand Yhavethejointdensity Ix y(x,y) ;::;,_1 , 0 < x< 6, 0< y < 4. What
24
is the expected value of the function g(x,y) =(XYl?

(Nov 2008, May 2010, May 2011)
Solution
Given the joint density function

Ix y(x,y) =
{_I24
0<x<6,
0<y<4
The expected value of the function of g(X,Y) = (xyi

E[g(XY)] = LLg(XY)lx,y(x,y)dx(Y
=
rr
(xy)2
= 1
r x2dx ~ y2dy
24 k
=_1
2~ dxdy
k.
.[~]6[lT
24 3
3 Jo
=~x 216 x 64 =64

24
Example 5.25
Two random variables X and Yhave thc joint characteristic function
XY (cop co2 )
(i)
(ii)
=exp( - 2~2 - Sro; )
Show that X and Yare zero mean random variables.

Are X and Y correlated?
(Nov 2008, May 2010, Nov 2010)
Operations on Multiple Random Variables

Solution
Given characteristic function

(,lIxy(co,,~)
exp(-2coI2 -8co;)
The joint moments of order n + k are

mnk
(_ y+k
n k
+
)
(i)
c{Jxr (~,C02)1
8~n 801;
~ =~ = 0
The fIrst order moments are
= _ j 8exp(-2co]2 - 8co;) 1
8ml
m] =m2 =0
mlO =0
. . The mean value of X is zero

E[Y] = (_ j) 8c{JXy(m p m1 )1
8m2
m1 =m2 =0
and
=0
:. The mean value of Yis zero.
Correlation of X and. Y is
mOl
(ii)
CXY
ll
Rxy
= (_ j)2
E[XYJ" 11J11
a~y((i)pco2)1
8m1 am2
_8 exp( -2C01
8ml 8m2
ml
= m2 = 0
8m;) 1
m1 = m2
'
=0
345
346
=-(-4<01 )(-16(02) exp(- 2ro.2 - 8(0;)1 (01 = (02 = 0

mil
=0 and C XY
X and Yare uncorrelated.
Example 5.26
Show that two random variables Xl and X 2 with joint pdf,
h~
ix,x, (x"x,)
elsewhere
are independent and orthogonal.
(May 2009)
Solution
/
Given the joint pdf
elsewhere
The marginal density functions are
00
IXI (XI) =
lXIX, (XI' X2 )dx2
4 1 dx
J16
1[
and
]4
2
4- 2
== 16
lx, (X2 )
==
4J1dx
-4
16
j~, (x2 ) =~,

Since
= 16 ~2
1 ==
1[]4
16 XI -4
2 < x2 < 4
4+41
=--u;2
347
The two random variables are statistically independent. For othogonality, the
condition is
Now
'" '"
JJ
E[XI X 2 ]
xjx2fxlX2 (Xl'
-00
Xi)dxl dx2
->
=~[16
64
16][16-4] 0
E[X j X 2 ] =0
:. Xl andX2 are orthogonal. Hence the random variables Xl andX2 are independent
and orthogonal.
Example 5.27
If X and Y are two independent random variables such that E[X] = A" variance of X
;=:
0' 12 ,
E[Y];::; A2 and variance of Y=
a; ,prove that variance [X,Y] -- a a; + Nai +

2
l
2
;";0'1
(May 2010)
Solution
EfXl
Given
Variance of X
Now variance of X;
A"
2
=0'1 ,
E[(xy)2]
E[Y] = ~
Variance nfY
a;
E[XYf
var[ XY] = E[X2 y2] - E[XY]E[XY]
Since X and Yare independent,
E[XY]
= E[X]E[Y]
348
We know that
Variance of X = a)2
= E[X2 ] - E[X]2
E[X2] =a12 + E[X] =a12 + ~2
..
and Variance of Y
= a; = E[y2] - E[y]2
E[y2] = a; + E[y]2 = a; + A;
So,
var[XY]
= (a12 + ~2)(a; + A;) - ~2 A;

= a;a; + ~2a; + A;a12 + ~2 A;
var[XY]
- ~2 A;
=a)2a; + ~2a; + A;a;
Proved.
Example 5.28
Three statistically independent random variabks X; ,X2 and X3 have mean values
Xl
= 3, X 2 = 6
and X3
= -2. Find the mean values of the following functions:
(a)
g(XI ,X2,X3) = Xl +3X2 +4X3
(b)
g(X),X2,X3) = X lX 2X 3
(c)
g(X"X2,X3) = -2X,X2 -3X)X3 +4X2X 3
(d)
g(X"X2,X3)=X,+X2+X3
(Nov 2007, May 2009)
Solution
Given X" X 2 and X 3, are statistically independent.

X, =3
X 2 =6
X3 =-2
(a) The mean value of g(X" X 2 ,X2 ) = X, + 3X2 + 4X3
E[g(X, ,X2, X 1 )]
= E[X, + 3X2 + 4X1 ]

= E[X,] + 3E[X2]+ 4E[X3]
= 3+3 x6+4(-2) = 13
(b)
The mean value of g(X"X2,X3)=X,X2X 3
E[g(XI ,X2,X3)]
=E[XI X 2X 3]
- - -
--------
349
Since XI'X1 and X3 are independent
=E[XdE [X2 JE[X3]
(c)
=3x 6x (-2) =-36

The mean of the function
g(Xp X 2, X 3)
= -2XjX2 -3XjX3 + 4X2X 3
E[g(Xl'X1,X3)] =E[-2XJX 1 -3XJX 3 +4X1X 3]

=E[-2XJX1]-E[3X1X3]+E[4X2X3]
=-2E[X1X 2 ] ..,..3E[X1X 3]+4E[X2 X 3]
= -2E[XJ ]E[X1 ] -3E[X1 ]E[X3 ] +4E[X2]E[X3]
=-2 x3x 6-3 x3 x (-2) + 4x 6x(-2)

(d)
=-66
The mean value of the function
g(X1,X2 ,X3)
E[g(X], X 2 , X 3)]
E[XI
+ X 2 + X 3]
=E[Xj] + E[X2 ] + E[X3]

=3+6 2 7
Example 5.29
A joint density is given as
/x,y(x,y)
X(YO+I.5)
{
Find all the joint moments m nk, where n and k
o< x < 1 and
0 <y <1
elsewhere
0,1,2, ...
Solution
Given the joint density
. ) _ {X(Y + 1.5)
f Xy, (x,y
0
O<x<1 and O<y<1

elsewhere
The joint moments mnk are
JJxnl /x,y(x,y)dxdy
+GO GO
E[xnyk] =
-00-00
(May 2010)
350
ffX"l x(y+ 1.5)dx cry = ! x"+ldx ! (yk+l + 1.5yk)dy

00
I I
= [~]l [yk+2 + 1.5yk+l

n+20 k+2
= (n
mk
"
The moments are
k+l
1 1
]1
0
3)
+ 2) (k + 2) + 2(k + 1)
5k+8
2(n + 2)(k + l)(k + 2)
nand k
0,1,2,.
13
36
1
2
m20 =-.....
Example 5.30
Statistically independent random variables X and Y have moments mlO
mll = -6 . Find the moment
Given the moments

m02
The moment
/122
12
m20 =14
and
mIl
=-6
is a central moment and is given by

/122
= E[(X
XY(Y _ y)2]
= [E[X2]_~[X]2][ E[y2]_ E[Yf]

We also know that
or
=14,
and
(Feb 2007, Feb 2008, May 2011)
/1 22 '
Solution
m lo =2,
2, m20
-6
2
mOl
=mlJm lO
/122
=(14-22)(12 (-3i)
/1 22
= 30
351
Example 1,31
For two random variables X and Y
Find
/ xr(x,y) = 0.38(x + 1)8(y) + 0.18(x)O(y) + 0.18(x)8(y 2)

+0.158(x 1)8(y+ 2) + 0.28(x-I)8(y-l) +0.158 (x-l)8(y-3)
(a) The correlation
b) The covariance
(c) The correlation coefficient of X and Y
(d) Are X and Yeither uncorre1ated or orthogonal?
(Nov 2006, May 2009)
Solution
Given X and Yare discrete random variables.
The density function / xr(x,y) is a probability mass function
Pxr(x,y) =/xr(x,y)
The values can be put in the Table 5A.
Table 5.4 Probability Pxr(x,y)
Pxr(x,y
(-1,0)
0.3
(a)
(0,0)
0.1 .
(X,Y)
(0,2)
(1,2)
0.1
0.15
(1,1)
0.2
I (1,3)
I 0.15
The correlation of X and Y is

Rxr E[XY]
= LLxyPxr(x,y)
=
(IX -2)(0.15.) + (1)(1)(0.2) + (1)(3)(0.15)

-0.3 + 0.2 + 0.45
(b)
0.35
:. Rxr =0.35
The covariance of X and Y is
CXy=Rxr -E[X]E[Y]
Now
wht!rt!
E[X]
PXy(x,oo)
= LXPxr(x,oo)
O.38(x+l)+O.18(x)+U.18(x)
+O.158(x-l)+0.28(x 1)+0.158(x-l)
=0.38(x+ 1)+ 0.28(x) + 0.58(x 1)
E[X]
(0.3)(-1) + (0.2)(0) + (0.5)(1)

=-0.3+0+0.5
0.2
-_
... _ - -
Also
where
E[Y]
LYPxy(oo,y)
Pxy(oo,y) = 0.38 (y) + 0.18 (y) + 0.18 (y- 2)

+O.158(y + 2) + 0.2b(y 1) + 0.158(y - 3)
=O.46(y) + O.18(y- 2)+O.158(y+ 2) +O.2(y-I) +0.158(y- 3)

E[Y] = 0.4(0)+ 0.1(2) +0.15(-2) +0.2(1) +0.15(3)
=0+0.2-0.3+0.2+0.45=0.55
CXY =Rxy -E[X]E[Y]
= 0.35 - (0.2)(0.55) = 0.24
Cxy 0.24
(c) The correlation coefficient of X and Y is
Pxy
Now
and
Then
0'; E[X2]-E[X]2
0'; =E[y2]-E[Yf
E[X2]
= Lx2pxy (x,oo)
= (0.3)( -Ii + (0.2)(0) + (0.5)(1)2

=0.3 +0.5 =0.8
and
E[y2] = ~:>2pXY(oo,y)
= (0.4)(0) + (0.1)(2)2 + (0.15)(-2)2 + (0.2)(1)2 + (0.15)(3)2
=0+0.4+0.6+0.2+1.35 =2.55
E[y2 ]=2.55
0';
0';
Pxy
(d)
0.8 0.22 =0.76

2.35 - 0.55 2 = 2.0475
0.24
.J0.76.J2.0475
=0.1924
Since CXY =0.24* 0 and
Rxy =0.35*0 the given random variables are neither orthogonal nor
uncorrelated.
Operations on MUltiple Random Variables
353
Example 5.32
Two random variables X and Yhave means X = I and Y = 2, variances
0'; =4 and 0'; =1,
and PXY = 0.4. New random variables Wand V are defined by

V =-X +2Y
and
W =X+3Y
Find (a) the means, (b) the variances, (c) the correlations and (d) the correlation coefficient
Pvw
of Vand W.
Solution
Given
and
(a)
Mean values
1,
0';
4,
0'; =1,
-X +2Y
Y=2
PXY =
0.4
W =X+3Y
E[V] =E[-X +2Y]=-E[X]+2E[Y]
+2x2=3
and
E[W]
= E[X + 3Y] = E[X] + 3E[Y]

1+3x2=7
(b)
Variances
O'~ =E[V2]-E[Vf
=[E(-X +2Yi]-32
E[X2 +4y2 -4XY]-9
0';
E[X2]+4E[y2]-4E[XY]-9
Now we know that

ErX
and
1 =O'.~ + ErXr ="'4+ 1= 5
E[y2]
Also
PXY
or
CXy
E[XY]
- - - - - - - - - _.. _
o:+E[Yf~=1+4=5
E[XY]
E[ X]E[Y] = P xyO'xO'y
PxyO'xO'y
+ E[X]E[Y]
354
=0.4 x 1x 2 + 1 x 2 = 2.8
a; =5+4x5-4x2.8 9=4.8
and
a!
=E[W2] E[Wf
E[(X + 3y)2] _7 2
=E[X2 +9y2 +6XY]-49

=E[X2]+9E[y2]+6E[XY] 49
= 5+9 x 5 +6 x 2.8- 49 17.8

(c)
Correlations
E[WV]
E[(-X +2Y)(X +3Y)]

= E[- X2 + 2XY - 3XY + 6y2]
_E[X2] - E[ XY] + 6E[y2]
=-5 -2.8+6 x5
(d)
22.2
Correlation coefficient Pvw = Cvw

avaw
E[VW] - E[V]E[W]
Pvw
22.2-7x3 =~=0.13
Pvw. -../17.8J4i 9.243
Example 5.33
Two random variables X and Yhave the density function

2
-(x+O.5y)2
f
43
' 0 ..
/<,y(x,y) =1
O<x<2 and O<y<3
elsewhere
(i) Find the first and second ordcr moments.

iii) Are X and Yuncorrelated?
(ii) Find the covariance.
(May2011)

Solution
-(X+O.5y)2
Given
(i)
/x.y(X,y) = 43
0< x < 2 and 0 < y < 3
0
elsewhere
The joint moments mnk are
:;::;.c [xnl /x,y (x,y)dx dy
E[xnyk]
= 2 r2
43.lJ
xnyk ( x+ y)2 dxdy
Now the fIrst order moments
mlO =2- [ 12+ 9 + 12]
43
57
43
1.326
and
mOl
Second order moments
=2[12+ 81 +18]=1.866
43
8
355
356
2 [96
] =2.009
=- -+6+18
43 5
m02
=~[~[!.)+~[35)+~[34)l
43 3 3
4 5 2 4
2 [ 24+-+. 243 81] .=4.13

m02 =43
10
2
(ii)
Covariance
CXY
=JlII =E[(X
mll
=~[18+ 81 +24]=2.424
X)(Y
Y)]
Now,
43
Cxr = 2.424 (1.326)(1.866)

=-0.05
(iv) Since covariance Cxr* 0, X and Y are notuncorrelated.
Example 5.34
If X, Y and Z are uncorrelated and independent variables with the same variance
zero mean. fmd the correlation coefficient between (X + Y) and (Y + Z).
Solution
Given
E[X]
2
E[Y]
2
E[Z]=O
2
0'
O'x =O'y =O'z
So,
E[X2] :::: E[y2]
=E[z2] =0'2
Since X, Y, Z are independent,
E[XY] =E[YZ]
Also
E[XZ]=O
E[X +Y] =E(Y +Z]
Now variance of
0'2
and
= E[X2] + E[y]2 = 20'2

Also
O';+z
= E[(Y + Z)2] -
E[Y + Z]2
E[y2] +E[Z2] =20'2
and
cov[(X + y), (Y + Z)]
=E[(X + Y)(Y + Z)] -
E[X + Y]E[Y + Z]
= E[XY] + E[y2] + E[XZ] + E[YZ]
:. The correlation coefficient between (X + Y) and (Y + Z) is
cov[(X +Y,Y +Z)]
P(X+Y)(Y+Z) =
2
2
O'X+Y O'Y+Z
0'2
0'2
=../20'2 .,/20'2 = 20'2 ="2

Example 5.35
Joint density functions of two random variables is given by

18y2
for 2<x<00 and O<y<1
fxy(x,y)
= -3,
Find (a) E[X],
(b) E[Y],
x
and (c) E[XY]
Solution
Given
fx,y {x, y)
2 < x < 00 and 0 < y < 1

r18y2
fx{x) = 1-3- dy
x
2<x<00
.!![y3]1 =.!!x..!. =6x
x'
6
fx{x) =3
x
and
x'
2<x<00
frey) = [fx,y(x,y)tb:
O<y<l
357
358
18y2
fy(Y) =18y 2[-2- =
2x22
8
..
(a)
The mean of X is
9 '
-y"
4
frey)
O<y<l
E[X] = [, xfx(x)dx
= x.dx=
3
6x-=3
2
The mean of Y is E[Y] = ( y fY(Y)~
f y_y2
9 dy
4
E[Y]
E[Y]
..
(c)
(-IT
dx
=6 -:;
x2
E[X]
(b)
ThemeanofXYis
=~[:4]
=~ !y3dy
9
16
E[Y]
9
16
0.5625
E[XY] = [[xyfx,r(x,y)dxdy
r
2
18
r xy 184dxdy
Jo
x
rr
y3
1 x2
dx~ = 18
=18 !lx~~
EIXY]
=9x y4jJ
4
1>3[-IJ'
-:;- "
dy
9 !ldy
2.25
Example 5.36
Two random variables have a un.iform del1s1ly
/Xy(x,y)
~{"~'
UH
a circular region defined by
elsewhere
250

co
Now
fx(x) = fe- x e- Y~u(x):=; e-Xu(x)
Similarly,
fy(y) =e-Yu(y)
fx(x,y)
fx(x) fy(y)
:. X and Yare statistically independent.
Example 4.7
If the joint pdf of X and Y is

fx,y(x,y)
Solution
Given
and a circle region, x 2 + y2 $; a 2
fx,y(x,y) =---;:'e
as shown in Fig 4.5. The mass in the circle (probability) is
Fig. 4.5 Circle region x 2 + y2 = a 2

Presion
f f fx,r(x,y)dxdy
region
Converting x, y into polar coordinates

r $; a and 0 $; 8 $; 2n:
x = rcosO
Y
rsinO
r2
x2+ l
dx~
=rdrdO
Multiple Random Variables
=_1_
21(; (1'2
f" re- r'/2o'drdO

.b
21(;
-21(;
_.
21(; (1'2
-1
re-r'/20' ur
.. The mass in the given region is l_e-a'I2a'.
Additional Problems
Example 4.8
(a)
Find a constant b (in terms of a) so that the function

fx,y(x,y)
be-(x+Y )
{ 0
0 <: x < a
elsewhere
and
O<y<oo
o< x < a
and
0 < y < 00
is a valid joint density function.

Solution

.
{be-(X+Yl
ix,y(x,y) = 0
Since it is a valid density function,

[, [,fX,y(x,y)dxdy
-vi'o"
e'
b[e- a -1][1]
elsewhere
251
250

co
Now
fx(x) = fe- x e- Y~u(x):=; e-Xu(x)
Similarly,
fy(y) =e-Yu(y)
fx(x,y)
fx(x) fy(y)
:. X and Yare statistically independent.
Example 4.7
If the joint pdf of X and Y is

fx,y(x,y)
Solution
Given
and a circle region, x 2 + y2 $; a 2
fx,y(x,y) =---;:'e
as shown in Fig 4.5. The mass in the circle (probability) is
Fig. 4.5 Circle region x 2 + y2 = a 2

Presion
f f fx,r(x,y)dxdy
region
Converting x, y into polar coordinates

r $; a and 0 $; 8 $; 2n:
x = rcosO
Y
rsinO
r2
x2+ l
dx~
=rdrdO
=_1_
21(; (1'2
f" re- r'/2o'drdO

.b
21(;
-21(;
_.
21(; (1'2
-1
re-r'/20' ur
.. The mass in the given region is l_e-a'I2a'.
Additional Problems
Example 4.8
(a)
Find a constant b (in terms of a) so that the function

fx,y(x,y)
be-(x+Y )
{ 0
0 <: x < a
elsewhere
and
O<y<oo
o< x < a
and
0 < y < 00
is a valid joint density function.

Solution

.
{be-(X+Yl
ix,y(x,y) = 0

[, [,fX,y(x,y)dxdy
-vi'o"
e'
b[e- a -1][1]
elsewhere
251
The limits are:

If x = 1,
2 - 3 ;;;;:; -1
If x= 5,
10-3=7
fy(y)
_I (y+3)
48
-I<y<7
elsewhere
Questions
(1)
State and prove the properties of variance of a random variable.
(Nov 2006, Feb 2007)

(2)
(3)
(4)
Explain the following: (i) variance and (ii) skew.

Find the nth moment of a uniform random variable and hence its mean. (Feb 2008)
State and prove the properties of the characteristic function of a random variable X
(Nov 2007)
(5) Defme the moment generating function of a random variable.
(Nov 2007, Feb 2008)
(6) State the properties of a moment generating function.
(Nov 2007, Feb 2008)
(7) Find the moment generating function about the origin ofPoisson's distribution.
(Nov 2007, Feb 2008)
(8) Explain transformations.
(May/June 2004)
(9)
Explain the concept of transformation of a random variable X
(Nov 2007)
Problems
3.1
LetXbe a random variable which can take on the values 1,2 and 3 with respective
probabilities 1/3, 116 and 1/2. Find its 3rd moment about the mean.
3.2 A random variable X has distribution
P(X = 0) = P(X =2)
3.3
p and P(X;;:; 1) = 1- p for 0 s P s
2"1
For what value of p, will X have maximum variance.

'.
Calculate the coefficient of variation between X and Y from the data shown in
Table P3.I.
Now
dy
217
= sine de
del
1
dy = sine
or
Example 3.50
A random variable X is unifonnly distributed in (0, 6). If X is transformed to a new random

variable Y = 2(X _3)2 - 4, fmd (i) the density of Y, (ii) Y and (iii)
Solution
Given
ix(x)
1
-6
{0
otherwise
The transformed variable is
Y =2(X -3l
=2(X2 +9 6X) 4
=2X 2 +18 12X 4
=2X 2
or
12X +14
X 2 -6X +7- Y =0
2
The roots are
6
X =--~--------2
X = 6.J36-28+2Y
2
a;.
(Nov 2010)
218
X =3.!."'8+2Y
2
or
x
XI
=3 ~.j4+y
=3+0.707.jy+4
x2 =3-0.707.jy+4
(i)
dx l
0.707
dx 2
dy
2.jy +4'
-0.707
di- 2.jy +4
We know that the density function of Y is
I' (
}y Y
The limits for Yare for
0.707
(1.+1.)
2~y +4 6 6
=.!. x 0.707
6.jy +4
= 0, y = 14 and for x = 6,y = 4
fy(y) = 0.1178
.jy +4
(ii)
The mean of Y is
Y = ( y fy(y)dy
=
f O.1178 ~dy
=0.1178 fy(y +4t1/2dy
y+4
=0.1178[2Y .jY +4 _ (y +4)3/2]

3/2
---"-"-"---------"-----"-"-----
"--
= 0.1178[118.79 Y
219
50.91]
Example 3.51
Let X be a continuous random variable with pdf

1<x<5
fAx)= 102
elsewhere
Find the probability density function of Y
= 2X
3.
Solution
l<x<5
Given
elsewhere
and
Y =2X-3
X
or
2
So
Now the pdf of Y is
dx
dy
fy(y)
+ 1.5
2
fX(X)I:1
=2 Ix l-2 I 1.5j
1
fy(y)
+-=-+1.5
222
fV
fy(y) =_1 (y +1.5J=_1 (y+3)

24 2
48
(May 2011)
252
-a
=-+1
b
or a=ln(_b)
l+b
Example 4.9
Discrete random variables X and Yhave a joint distribution function

Fx.y(x,y)
O.lu(x +4)(y -1) +O.l5u(x +3)u(y -1)+ 0.22u(x)u(y -3)
+O.18u(x -2)u(y + 2) +0.23 u(x-4)u(y+ 2) +O.l2u(x-4)u(y+3)
Find (a) the marginal distribution functions Fx (x) and Fy (y); (b) P{-l < X S 4,-3 < Y s 3}.
Solution
Given the joint distribution function

FX,y(x,y)
O.lu(x +4)u(y -1)+O.l5u(x+3)u(y -I) + 0.22u (x)u(y - 3)

+O.l8u (x- 2)u(y + 2)+ 0.23u(x-4)u(y + 2) + 0.12u(x -4)u(y+ 3)
(a)
The marginal distribution functions are

Fx(x) =Fx,Y(x,co)
= O.lu(x+4)+ 0, 15u(x + 3) +O.22u(x) + O.18u(x - 2)+ 0.23u(x-4) + O.12u(x-4)
Fx(x) =0.lu(x+4)+O.l5u(x+3)+0.22u(x) +O.18u(x-2)+0.35u(x-4)
and
Fy(y) == FX,y(CX:>,y)
O.lu(y -1)+0.15u(y -1)+0.22u(y-3)

+o.18u(y + 2)+ 0.23u(y + 2) + 0.12u(y + 3)
Fr(y) = 0.25u(y-l) +0,22u(y-3) +0.41u(y+ 2)+0.12u(y +3)
Figure 4.6 shows the marginal distribution functions.
FAx)i _____O~6r=-5---l~
0.47
25
0. 1
0.11
~~---_3~i-_2ri-_~1~~i~2r-~3-+~-+~
(a)
Fig. 4.6 Marginal distribution functions (a) Fx<x) (b) FlY)
b)
P{-1 < X ~ 4, -3< Y ~3} =0.22+0.18+0.23
0.63
Example 4.10
Show that the function

Gx ,y(x,y)
X<Y
x;;::Y
={O1
cannot be a valid joint distribution function,

Solution
Given the function
o
{1
Gx,y(x,y) =
X<Y
x;;::y
Consider two points (xl' y) and (X2' Y2) in the sample space such that
~ < Yl' Xl < Y2 and (xI'Y 1) ~(X2'Y2)
The joint probability is
P{xJ <X~X2'YI <Y~Y2} =P{X~xl'Y~Yl}+P{X~x2'Y~Y2)

-P{X ~xl'Y~Y2)-P{X ~x2'Y ~Yl}
Gx,y(x i ,YI ) + Gx .y(x2'Yz)- Gx,y (Xl 'Y2)-Gx .r (X2'YI)
From the given function,
Gx,y(Xl'YI)
P{X~XPY~YI}=O
since
XI
<YI
Gx,y(::S,Yz )
{X ~ Xl' Y ~ Yz} ::::: 0
sll1ce
X2
< Y2
Gx .y(Xl' Yz)
P{X ~ XI ,Y ~ ,Va} ::::: 0
since
XI
GX ,y(X2 'YI)
P{X~X2,Y~yJ=1
.. P{XI<X~X2'Yl<Y~Y2}
Probability p
0+0+0-1=-1
--1 is not valid.
Hence the given function is not a valid distribution.
Example 4.11
Joint probability density function of X and Y is

llab
f x.Y (X,Y ) {
.
0
O<x<a
elsewhere
and
O<y<b
< Y7
253
254
Probabillty Theory and Stochastic Processes
(a)
Find and sketch FX,y(x,y).
(b)
If a<b, fmd P{X+Y53a/4}
(May 20ll, May 2010)
Solution
Given the joint probability density function is
ix,(x,y)
( a)
=H
o< x < a,
0<y
~b
elsewhere
The distribution function is

FX,y(x,y) =
t [a~
dxdy
ab
If 0 < x < a and y
b, then
xb x
FXY ( x,y ) = - =
,
ab a
If 0 < y < b and x ~ a, then

y
ab
If y
~b
and x ;::: a, then
ab
ab
If y < 0 or x < 0, then

FX,Y(x,y) = 0
The distribution function is

0
x<O
.xy
O<x<a
ab
FX,Y(x,y) =
O<x<a
a
l.
b
II
O<y<b
x~a
or
y<O
and O<y<b
and
y~b
and
x~a
and
y~b
Figure 4.7 shows the joint distribution function FX,Y(x,y).
Fx,y(x,y)
Fxr(x,y)
function
Fig. 4.7 Distribution function Fx ,Y (x, y)
(b) If a < b and given X + Y :::;; 3a.

4
Now take the limit
3a
3a
x+ y =-or x =
:. The probability is
p{x + y~ 3a}
= rt rTY_l duiy
4
.Iv={).Ix={) ab
_t,3; - 1 (3a
- - y )dy
y=o ab
3aY_LJ
_1
ab
..
1 1~oI4(3a
ab y=o
_y)dy
al4
p{x + y:::; 3a4 1= 32b

9a
J
Example 4.12
Determine a constant b such that the given function is a valid joint density function.
(
X,y
) {b(X +4y2 )
x,y
O~lxl<1
elsewhere
and
O~y<2
255
256
Solution
o: :;1 x 1<1
Given
and
0 :::; y < 2
elsewhere
Since ix,y(x,y) is a valid joint density function,

[ [iX,y(x,y)dxdy::::l
l, (x' y +
YL
bIt e3 +
2
2X2 ) dx :::: 1
')'
2x
~1
dx
+-3-
=1
-I
2b [33 +}
68b
J :: 1
=1
or
b::::~
68
Example 4.13
Given the function
_ {(X 2 + y2)/8n
f Xy, (x,y)
0
x 2 +y2 <b
elsewhere
(a)
Find a constant b so that this is a valid joint density function.
(b)
Find P{O.5b < X 2 + y2
:::;
O.8b}.
Solution
Given the density function
' )' _ [(x 2 + y2)/8n

f x y(x,y -I
'
x 2 + y2 < b
elsewhere
x 2 + y2 < b represents the area of the xy plane within a circle of radius
the origin, Converting
ex, y) into polar coordinates, as,shown in Fig. 4.8.
.Jb
with centre at
257
Fig. 4.8 Area ofthe density function
.Jb
, r
o = tan ~
-I (
and
(a)
~ 0 ~ 2n
rdrdO
Since the function is a valid density function,
f fx
circular plane
So
duly
),
+ Y dxdy
2".b -rdrdO
r2
r'
.b
=1
8n
8n
IJb
4
=_r_
x2n
=1
32n
b
16
=1, b =16, b 4
(b) The probability, P{O.2b < X 2 + y2
~ O.6b}
is, after converting into polar coordinates:
P{O.2b < r2 ~ u.6b}
or P{.JO.2b < r~ .JO.6b}
21f 1:'6b r3
O.2b
-drdO
8n
I~
r4
--x2n
32n
.J02I,
258
l.-[(O.6b)2 -(O.2b)2]
16
1~ [0.36- 0;04Jb2 (0~~2 )42

:. P{0.2b < x 2 + y2 ~ 0.6b}
0.32
Example 4.14
The joint density function of X and Y is given by

/x.y(x,y)
(a)
(b)
ax2y
{ 0
O<y<x<1
elsewhere
Find a so that the function is a valid density function.

Find the marginal density functions.
Solution
Given
ax 2y
/x,y(x,y) = { 0
O<y<x<l
elsewhere
!aY(;l~
1
l ;[l-l]dy
a
4
3 1r (y-y)dy
=1
l
_.i.]1
.5.
=1
1[I~J =1
a =10

fx(x) == L=xfx,y(x,y)dy
~ LlOx'y<!v
2
fx(x) == {5X (10 x
2
)
0 <x<l
lOx'
(~' ~ 5x'[I-x']
0 < X< 1
otherwise
and
==10y L == 3.33y 4
3
fr(y)
={3.3~y4
O<y<1
otherwise
Example 4.15
The joint distribution function of a bivariate random variable (X; Y) is given by
Fx,Y(x,y)
0 x<O
y<O
0.2 O:S;x<a, O:s;y<b
O:s;y<b
0.4 x~a,
0.8 O:s;x<a, y~b
x~a,
y~b
Find the marginal distributions ofX and Y.
Solution
Given the joint distribution ofX and Y is
Fx,r
0
x<O,
y<O
0.2 o:: ; x < a, O:S; Y < b
O:s;y<b
0.4 x~a,
0.8 O:::;x<a, y~b
1
x~a,
y~b
259
260
The marginal distribution functions are

x <0
O~X ~a
x~a
y<O
and
O~y~b
y~b
Example 4.16
The joint pdf of a bivariate random variable (X, Y) is given by

O<x<y<l
KXY
fx,y(x,y) = { 0
otherwise
where k is a constant.
(a)
Find the value of K.
(b)
Are X and Y independent?
Solution
Given the joint probability density function of X and Y:
_
f x ,y (x,y )
(a)
{K xy
0
0 < x < y <1

otherwise
Since fx,y(x,y) is a valid density function, we know that

((fX,y(x,y)dxdy =1

K
- =1
K =8
(b)
The marginal pdfs are

fAx) =
fAx)
Lxfx,y(x,y)~
!8xy dy
O<x<1
2
= 8x Y2
I:
=4x(1-x 2 )
O<x<1
otherwise
and
fy(Y)
! fX,y(x,y)dx= !8.xydx
Y
. x 21.
Y3
3
=8y- =8y-=4y
2 0
2
O<y <1
O<y<1
otherwise
If X and Yare independent, then

fAx)fy(Y) = 4x(1- x 2 )4y 3
= 16x i (1- x 2 )
:#;
fx,y(x,y)
Therefore X and Y are not independent.

Example 4.17
Consider that the joint pdf of random variables, X and Y is

I
-(x+ y)
fx,y(x,y) = 8
{
0
O<x<2
otherwise
Find the (a) conditional density functions and (b) PO < Y < 1/2) I X = 1).
261
262
Solution
Given the joint density function,

fx,y(x,y)
(a)
.!.(X+ y)
8
{
0
O<x<2
otherwise

fx(x) = [fx,y(x,y)cry
=
r21
.b g(x+ y)cry
1
y2
- .xy+ -
1
fx(x) =-(x+1)
Similarly, fy(Y)
.!.(y + 1)
4
2
]
= -[2x+ 2]
0
O<x<2
0< y < 2
The conditional density functions are
.f X,y
(X IY ) -_ fx,y(x,y)
fy(y)
and fx,y(YI x)
..
- -2("--y-::"+-1)
fx,y(x,y)
x+ y
fAx)
2(x+1)
{ x+y
fx.y(xly) = 2(YO+1)
0<x<2,
0<y<2
otherwise
r x+
fx.y(ylx)
12(X +1)
o
(b)
PO < Y < 1/ 2) I X == 1)
0<x<2,
0<y<2
otherwise
/2
/2 1+
fx ,y(ylx=1)= 2(1+1)
.!.{' (y+ 1)dy = .!.[L+ yJlI2

4
4 2
.!.[.!.+.!.l
=~ = 0.156
4 8 2J 32
400
Since E[Xj2] =E[X/] =1 and E[XjX2] =0

Now
Ry,y, (r) = cos wtsin wet +r) +sin wtcos w(t+r)

= sin(wt+ wr+wt)
Ry,y, (r) = sin(2wt + wr) = sin w(2t +r)
The cross correlation is a function of time f. Therefore, YI(f) and Y2 (t) are riot jointly WSs.
Example 6.6
For a given random process X(t), the mean value is X
6 and autocorrelation is
RxAr) = 36+ 25e-1tl
Find (a) the average power of the process X(t) and (b) variance of X(t).
Solution
RxAr) = 36+ 25e- 1tl
Given
(a)
The average power is

E[X2(t)]
Rxx(O)
:. Rxx(O) = 36 + 25e-(O) =36+25=61
., The average power is 61 watts.
(b)
Variance of X(t) is
-2
ax =Rxx(O)-X
a/
=61-6 2 =61-36=25
Example 6.7
The autocorrelation function of a stationary random process X(t) is given by

RvAr)
~u, . ,
16
1+8r2
~36+--
Fincllhe mean, mean square ancl VariaIll,;e uf Ule prul,;ess.
Solution
Given the autocorrelation function
(a)
16
Rxx(r) =36+-
2
1+ 8r
Since the process is stationary, we know that
Random Processes
x'
401
= limRxx(r)
T--.<Xl

[ 36+-16 ]
X-' =lim
r"",,<Xl
1+8r 2
=36+0=36
(b)
The mean value is X =6.
We know that the mean square value is

E[X2] Rxx(O)
=36+
16
1+8(0)
36+16=52
(c) Variance of X is given by
(1/
E[XZ]_X2
(1/
52-36=16
:.(1/=16
Example 6.8
Given a WSS Gaussian random process X(tJ, ti == 1,2,3, the autocorrelation function is
Rxx(r)
=16e-21rl
with mean X =3. Find the covariance matrix.
Solution
Given
Rxx(1:)
16e- T!, X
=3
and the random process is X(tJ, Ii = 1,2, 3. Since it is wide sense stationary.
:. Rxx(1:)
RXX(tk
-tJ = 16e-211,-I;1
The autocorre1atiol1111atrix is
[ 1n2
[RxJ 16e16e1
The covariance of X(t) is
..
The variance
matrix is
16e-2
16
16e 2
I~~l
[16
16e- = 2.16
2
16
0.21
2.16
029]
16
2.16
2.16
16
402
"
t
16e-i -9
16-9
-8.71]"
[ex] = 16e- -9
-6.83
7
16-9
16e-4 -9 16e-2 -9

Example 6.9
A random process is described by X(t)
= A , where A is a continuous random variable uni
formly distributed on (0,1). Show that X (t) is stationary process.
(Feb 2007)
Solution
Given X(t)
= A, whereA is a continuous random variable with uniform distribution on (0,1)

:. fAA)
(i)
={~
O~A~l
otherwise
Mean value of X(t) is
E[X(t)]
1X(t) fA (A)dA
= .( A d A = ~(constant)
(ii)
The autocorrelation of X(t) is
Rxx('r) =E[X(t)X(t+r)]
= .( A,AfA(A)dA = .( A2 dA =
A311
3
1
3
Rxx(r) is independent of time.
:. The given fimction X(t) is a stationary process.
Example 6.10
Consider random processes, X(t)=Acos(cqt+O) and Y(t)

A, B, cq and co2 are constants, while 0 and
uniformly distributed on (0, 2n).
= Bcos(co2t +l/J),
where
l/J are statistically independent random variables
Random Processes 403
(i)
Show that X(t) and yet) are jointly WSs.
(ii)
If 0
, showthatX(t)andY(t)arenotjointlyWSSunless COl = co2'
(Feb 2008)
Solution
Given the random processes are

X(t)
Acos(co1t+0)
yet) =Bcos(co2t+)
Also 0 and are uniformly distributed over (0,211:').
Then
and
(i)
{2;
o~O ~211:'
J,(~) ~{~
o~ ~ 211:'
10(0)
otherwise
otherwise
For the processes to be jointly WSS,

E[X(t)] =E[Acos(~t+O)]
A
cos(~t + 0)/0 (O)dO
~~ r cos(~t+O)dO
2Jr
211:' .b
2~ (sin (COlt + O)I~lt)

=~(Sin(COlt)
.. E[X(t)]
sin(co/)]
211:'
0 and the autocorrelation of X(t) is
A2
E[X(t)X(t I'r)]
A2
cos(~t I f))cos(col(t H:)+O))/(J(O)dO
'2lt I
r'
211:'.b
--[cos~T+cos(2~t+~T+20)]
2
404
A2
RxxCr)
=-cos~r
Similarly,
E[Y(t)]
B2
Ryy(r) = TCOSCOz r
and
Now the cross correlation function between X(t) and yet) is
Rxr(r)
= E[X(t)Y(t +r)]
= [ [ X(t)Y(t + r)!e,1J(8,/fd8d/f>
Since 8 and /f> are statistically independent,
fe,,,,(8,/f
=!e (8).frp (/f
Rxr(r) = [X(t)fe(8)d8 [Y(t+r).frp(/fd/f>

AB2
r2,. cos(~t+8)d8 rZ" cos(co2 (t +r)+/fd/f>
161& k
- AB (0)
- 161&2 ..
Rxr(r)
Therefore, the mean values of X(t) and yet) are constant. The autocorrelation of both
X(t) and yet) are independent of t. The cross correlation is also independent of t.
Hence the random processes are jointly WSs.
(ii)
If 8 = /f>, the expression for cross correlation between X(t) and yet) is
RXy(r) E[X(t)Y(t +r)]
=E[Acos(wl+ 8)Bcos(w2 (t +r) +8)]

= A2B R[ cosm? - fI~)t + 0)?1:) + coscoz + col)t + wz"r + 20)1
=AB
2"
cos((COz coat + co2 r )d8 + A R

41&
41&
The second term is equal to zero.
AB
41&
2" cosCOz
2" cos((coz + ~ )t + COzr + 28)d8
~)t+cozr)d8
AB
Rxr(1:) =-COSW2 -Wl)t + W21:)
2
The cross correlation function is a function of both t and 1:. Therefore the givenX(t) and
yet) are not jointly WSS.
But if w2 = WI ' then

.
AB
cos co2 1:
2
The cross correlation function is independent of time t. Therefore the given processes are
Rxr (1:) == -
jointly WSS, at () = and 01
= Ol.!.
Example 6.11
A random process yet) = X(t) X(t + 1:) is defined in terms of a process, X(t) that is at least
WSS.
(a)
Show that the mean value of yet) is zero even if X(t) has a non-zero mean value.
(b)
Show that
(c)
If yet)
a; = 2[Rxx(0)
Rxx(1:)].
X(t)+X(t+1:), fmd E[Y(t)] and
cr;.
Solution
Given the random process

yet)
X(t)
X(t+1:)
where X(t) is a WSS random process.

(a) The mean value of Yet) is
E[Y(t)]
E[Y(t)]
E[X(t) - X(t +1:)]

E[X(t)] - E[X(t +1:)]
For a stationary process, we know that E[X(t)] = E[X(t +1:)].
Given
E[X(t)] -::j:. 0
Then
R[Y(t)]
(b) The variance of Y(t) is
cr; = E[y2(t)] - E[Y(t)]2 .

cr; =E[y2(t)] O=E[y2(t)]
cr; E[[X(t)-X(t+1:W]
(Nov 2007)
406

E[X2 (t)] + E[X\t + 'l')] - 2E[X(t)]E[X(t + 'l')]
a;
a;
a;
(c)
= E[X2(t)] + E[X 2(t)]-2E[X(t)]E[X(t +'l')]

Rxx(O) + Rxx(0)-2R,rr('l')
2[Rxx (0)
Rxy('l')]
If the random process is given by

Y(t) =X(t)+X(/+'l')
then the mean value is

E[Y(tn
E[X(t) + X(t + 'l')]

;::::E[X(t)]+E[X(t+'l')]
Y(t)
= 2X(/)
2E[X(/)]
The variance of Y(t) is
a; ;: : E[y2(t)] E[Y(t)]2
a; = E[(X(t) + X(t +'l')f] - (2X(t)i

2
ay
ay
ay
_2
E[X2(t)] + E[X 2 (t + 'l')] + 2E[X(t)]E[X(t +'l')]-4X(t)

~
=Rxx(O) + RxAO) + 2Rxx('l') -4X(I)

_2
=2[Rxx(0) + Rxx('l')] -4X(t)
Example 6.12
Determine if the random process X(t) = A, where A is a random variable with mean
variance a~ is mean ergodic.
(Feb 2007)
Solution
Given X(t);:::: A, and X(t)
A.
If X(t) is mean ergodic, then

E[X(t)]
= A[X(t)]
The time average of X(t) is

A[X(t)]
A and
1 I'l' X(t)dt
lim2T T
T->oo
= lim-l
r ....oo 2T
fr Adt
r
X(I) "" A[X(t)] = A
:. The random process is ergodic in mean:

Example 6.13
Statistically independent zero mean random processes X(I) and Yet) have
functions
Rxx(-r) == e-jTl
and
aut~correlation
Ryy(-r) = cos(2m) respectively
(a)
Find the autocorrelation function of the sum ';(t)=X(t)+Y(t).
(b)
Find the autocorrelation function of the difference
(c)
Find the cross correlation function of W1(t) and W2(t).
~(t)
X(t) Yet).
(Nov 2007)
Solution
Given X(t) and yet) are two statistically independent zero mean random processes. The
autocorrelation functions are
Rxx(-r) = e-1rl .
Ryy(-r) = cos(2m)
(a)
';(t) =X(t)+Y(t)
Given
The autocorrelation function is
Rw,w. (-r)= E[';(t)W; (I +-r)]
Rw.w. (-r)
=E[(X(/) + Y(t(X(t +-r)+ yet +-r)]

= E[X(t)X(t +-r)+ X(t)Y(t+-r)+ X(t+-r)Y(-r)+ Y(t)Y(t+-r)]
..
Rw.w. (-r)
E[X(t)X(1 +-r)] +E[X(t)Y(t +(1] + E[Y(t)X(t +-r)] + E[Y(t)Y(t+-r)]

Rw,w, (-r) :;:: Rxx(r)+ R.rr(r) + Ryx(r) + Ryy(r)
Since X(t) and yet) are statistically independent,
RXY (r) == Rrx <,t) == 0
..
(b)
Given
Rw.w.(-r) =Rxx(-r)+Ryy(-r)
W2 (t)
= X(t) -
The autocorrelation function of

RW2WZ (-r)
~ (t)
e-1rl+cos21rr
yet)
is
= E[W; (t)W; (t +-r)]
408
= E[(X(t) - Y(t(X(t +-r)
Y(t +-r]
E[X(t)X(t +(IJ E[X(t)Y(t +-r)] --, E[Y(t)X(t +-r)J + E[Y(t)Y(t +-r)]

Rw,w, (-r)
Rxx(-r)- Rxy(-r)- Rrx (-r) + Ryy(-r)

Rxx(-r) + Ryy(-r) =e-Itl + cos(2/rr)
(c)' The cross correlation of
~ (t)
and W2 (t) is
Rw,w, (-r) =E[~(t)W2(t+-r)]

:;;; E[(X(t) + Y(t(X(t + -r)
yet + -r]
Rxx(-r)- Rxy(-r)+ Rrx(-r)- Ryy(-r)

RX)[> (-r) - Ryy(-r)
cos(2n-r)
Example 6.14
A random process is described by X(t) = A2 cos 2 (we + 0), where A and
we are constants and
o is a random variable uniformly distributed between in. Is X (I) wide sense stationary?
(May 2010)
Solution
Given
X(t) = A2 cos 2 (av + 0), 0 is uniformly distributed between n.
The density function is
1&(0)
{)no
otherwise
The mean value of X (I) is

E[X(I)J -
'"
Jx(t) .ftJ(O)dO
: : : ~ [2n + sin 2(av + 8)\11:

4n
2_11:
A2
A2
4n
E[X(t)] ::::: A2
2
(constant)
-[2n + 0] ==

Rxx(r)
E[X(t)X(t +r)]
E[ A2 cos
(coc + 8)A2 cos2(COc(t +r) + 8)]
A4E[ cos2(coct + 8) cos2(coct + coer + 8)]
= -8A4[ .l-1I:.l-n
r dB + r cos(2coct + 2B)dB + .l-n
r cos(2aV + 2coc T + 2B)d8
n
410
A4
=-[2n +0+0+ 2ncos2ro-r +0]

8n
c
Example 6.15
Prove that the random process X(t) = Acos(ro/ + 0) is wide sense stationary if it is assumed
that roc is a constant and 0 is a unifOlmly distributed variable in the interval (0,2n).
Solution
Given X(t) = Acos(roct + 0), where 0 is unifonnly distributed between (O,2n).

The density function is
1.(8)
={ ~
O<0<2n
elsewhere
For a process to be wide sense stationary, mean value of X(t) is
E[X(t)] =
Jx(t)fo(O)dO
'"
21<
=-
Jcos(ro t + O)dO = -[sin(ro t + 0)]21<

2n 0
c
2n
c
0
and autocorrelation of X(t) is

Rxx(t,t+-r) =E[X(t)X(t+-r)]
1
ACOS(CO 1+ 8)Acos(COc(1 +-r) +8) -d8
c
2n
o
2n
-4nA2 [2nfcosco -rd8 + fcos(2coi + 28 + -r)d8

2n
A2
A2
'-(coscoc -r)(2n) =-coscoc-r
4n
2
Since the mean value is constant and autocorrelation is independent of time, X(I) is wise
sense stationary.
Example 6.16
Let X(t) be a stationary continuous random process that is differentiable. Denote its time
derivative by X(t).
(a)
Show that E[X(t)]=O. (b) Find R . . (-r) in terms of Rxx(-r). (Feb 2007, Feb 2008)
xx
Solution
(a) Given X(t) is a stationary random process.

The time derivative of X(/) is X(/). From derivative principles,
The mean values is

E[.i'(t)] ""
lim [X (I + f1) - X(/)]

" ""
f1
. E[X(t + f1)] - E[X(t)]

11m --=-----'--....::..::....-::..-.:..=
11.--+0:>
A
We know that if X(/) is stationary, then

E[X(t + -r)]
E[X(t)] = E[X(t + f1)]
:. E[X(t)] = 0
412
(b)
We know that Rxx(T)
E[X(t)X(t +T)] with the derivative of X(t) as
=E[X(t)X(t+T)]
R . . (T)
xx
Consider X (t) has N random variables with joint density function. Then
Rxx(T)
[, [, ... [, ~(t)~(t +T)!Axl'x2 , ' ,XN;tl,t2 .. tN)dx1dx 2 .. dxN

ax(t) OX(t+T)
f x (xI ' x2' .. x N'.[12[ .. tN)dxdx
.. dxN
[, [, '" [~ --.
dt
dt
I
2
Interchanging integration and differentiation,

Rxx (T)
R . . (T)
xx
!:[[,[,...
02
ot
=-2
[,x(t)X(t+T)!x(XpX2, .. ,XN;tlt2 .. tN)dxldx2 .. dxN]
[R.rr(T)]
Example 6.17
Given X=6andR.rr(t,t+T)
36+25exp(-T) for a random process X(t). Indicate which
of the following statements are true based on what is known, with certainty: X(t)
(a)
is first order stationary
(b)
has total average power of 61 W
(c)
(d)
(e)
(f)
is ergodic
is wide sense stationary
has a periodic component
has an AC power of 36 W
(Feb 2007, May 2009)
Solution
Given the random process X(t):

mean value X 6
autocorrelation R;v. (t,t +f) = 36 + 25exp(-T)
(a) First order stationary:
Since the mean value X(t) 6, a constant, the first order density function does not change
with time t.
:. X(t) is first order stationary.
(b) We know that the average power is
Pavg = Rxx(O)
Random Processes
Pavg
(c)
413
36+ 25exp(-0) = 36+25 =61 W
:. The average power is 61 W.

If the process is ergodic, the ensemble average is equal to time averages
A[X(t)] =X=6
and A[Rxx(t,t + -r)] = Rxx(t,t +-r) = 36 + 25e-I~1

Therefore the process is ergodic.
(d)
Wide sense stationary (WSS):
The conditions for the process to be WSS is
E[X] = 6 :::: constant
Rxx(t,t+-r)
and
Rxx(-r) =36+ 25e-1T1
is independent of the absolute time t.

..
The process is WSS.
(e)
The process has no periodic components:
Since
limRxx(t, t J +-r) =E[X]2
T->'"'
lim36+25e-1T1
36
E[X]2 =36
(f)
The AC power of the process is the variance ofX(t).
0-;
E[X(ty]
2
0-x
E[X(/)2]-E[X(t)]2
Rxx (t,t + -r) l-r =0= Rxx(O) =61
= 61- 62 = 25
AC power is 25 watts.
Example 6.18
A random process is defined by X (I) :::: X 0 + Vt ,where Xo and V, are statistically independent
random variahles, unifonnly distributed 011 intervals
[XOl ,XoJ
(a)
(c)
mean, (b) autocorrelation and

autocovariancc fWlctiun.
(d)
Is X(t) stationary in any sense? If so, state the type.
Solution
The given random process is

X(t)
Xo + Vt
and [V; ,f;] respectively. Find
(Feb 2008)
414
where Xo and V are statistically independent.
elsewhere
1
elsewhere
(a) The mean value of X(t) is
E[X(t)]
=E[Xo + Vt] = E[Xo] + E[Vt]

<X)
a)
Jxolxo (xo )dxo+ JVt Iv (V)dV

-a)
X~ -xg1 + t(~2 _~2)

2(X{)2 -XOl ) 2(~ -~)
=
E[X(t)]
(b) The autocorrelation function of .x{t) is
Rxx(t,t+1:)
= E[X(t)X(t+1:)]
E[(Xo + Vt)(Xo + Vet +1:]
=E[(Xo + Vt)(Xo + Vt + V1:)]

=E[Xg +XoVt+XoV1:+XoVt+V2t2 + V 2t1:]
Rxx(t,t+'t) =E[X~]+(2t+f)E[XoV]+(t2 +tf)E[V2]
_ 1 [V}_~3]
11;-~
3
~2 +~2 + ~11;
Since Xo and V, are independent.

E[Xo V]
. Rxx'
(tt+~)
..
=~[Xo] E[V]
X;2+ X ;r+ X oI X 02 + (2t+'r)(X02+XOl)(~+V;)

t(t+'r)(V22+~2+V;V2)
, +-O----'-'-""--'----'...L:...
3
4
3
(c) The autocovariance ftmction of X(t) is

Cxx (t,t +'r)
Rxx(t,t +'r) - E[X(t)]E[X(t +'r)]

.
1
Now E[X(t+'r)] =-[(X02 +X01)+(t+r)(J!; +~)]
.2
and
E[X]E[X(t+:r)]
l'
=2[X02 +XOI +f(J!; + ~)]2[X02 +XOI +(t+r)(J!; +~)]
t(t +r) 2
2
1
2
(11; + ~ + ~J!;)--(X02 +XoJ
3
4
- (2t;r) (X02 +X01 )(1I; + V;) t(t;r) (11;
+~)2
416

X~ + X;l + 2X02 X 01
4
Cxx {t,t+1:)
.
= X;2 + X;! -2X02 X 01 + t(t+1:) (v;,2 +V;2 -2V;V2)

12
12
(1) The mean of X(t) is not constant.

(2) The autocorrelation function depends on time t. .
(3) The auto covariance function depends on time t.
Hence the given random process is not stationruy.
(d)
Example 6.19
Let X( t) be a WSS process with autocorrelation function Rxx (r) = e -atrl, where a > 0 is a
constant. AssumeX(t) amplitude modulates a carrier cos(a>ot+8) as shown in Fig. 6.4,
where Wo is a constant and 8 is a random variable uniformly distributed on (-1', 1'). IfX(t)
and 8 are statically independent, determine the autocorrelation function of Yet).
x (t) 'lrQ3)
'lr
Y(t)=X(t)cos(o~l+6)
cos(att+ 8)
Fig. 6.4 Modulation system
(Feb 2008)
Solution
Given a WSS random process X (t) has autocorrelation Rxx (1:) = e -alrl a > 0, where 6 is a
uniformly distributed random variable on (-11:,11:).
elsewhere
and X(t) and 6 are statistically independent. FrornFig. 6.4, yet) =X(t)cos(wot+fJ).Thc
autocorrelation of yet) is
Ryy(t,t+1:)
= E[Y(t)Y(t+1:)]
E[X(t)cos(Ct>ot + 6)X(t +1:)cos(C%(t + 1:)+ 6)]

::=
E[X(t)X(t +-r)]E[cos(av +8)cos(mo(t +-r) +8)]
::=
1
R,rr (-r)- E[cos mo-r + cos(2mot+ 28 + mo-r)]
. .
Ryy(-r)
Example 6.20
Consider a random process X(t)::= Acosmt, where m is a constant and A is a random variable
uniformly distributed over (0,1). Find the autocorrelation and autocovariance of X(t)....
(May 2010)
Solution
Given a random processX(t)
Acosmt
O<A<1
fAA)
otherwise
1
::=
JAcosmt Acosm(t+-r) dA
o
1
2
JA cosmtcosm(t+-r)dA
o
=cosmtcosm(t+-r)
~3/
3
1
0
RXl((t" It) "" cosmtcosro(tH')

3
(b) Autocovariance of X(t) is

C,rr (t,t +-r)
Now
E[X(t)]
R,rr (I, 1+-r)- E[X(t)]E[X(t+-r)]

::= .( x(t)fA(A)dm
418
cos lOt
=cos lOt ,LAdA =-2

and
E[X(t+r)]
= cosm(t+r)
.
Cxx (t,t+r )
cosmtcosm(t+r)
3
::::---~-...:..
cosmtcosm(t+f)
Cxx(t,t+r) :::: cosmtcosm(t+r)

12
Example 6.21
A stationary
~dom
process X(t) with mean 2 has the autocorrelation function Rxx(r)

I
:::: 4+exp(-1 r 1110). Find the mean and variance of Y = fX(t)dt.

o
Solution
I
Given E[X(t)] = 2, Rxx(r)
=4+e-1fll1O
and yet)
= fX(t)dt.
o
(a)
Mean value of yet) is

E[Y(t)] ::::E[jX(t)dt]
1
fE[X(t)]dt
o
I
E[Y(t)]
= f2dt = 2
o
(b)
Variance of yet) is
Now for E[y2(t)] we know that, if Y(t)::: fX(t)dt, then

o
T
f (1-1 r I)Rxx(r)dr
-T

1
= J(1-ITI)(4+e-ITIIIO)d'r
.. E[y 2 (t)]
-I
-I
f (l +T)(4 + e~110 )dT + f(l-T)(4 + e-rIlO)dT
E[y2(t)]
fTe~!lOdT
-I
-I
-I
-I
= f4dT+ f4TdT+ fef/lodT+

1
+f4dT
o
0
=4T
f4TdT+ fe-filO - fTe-fllodT
+ T
_I
2
1
=-4+ 2 + 10(l-e'!) -lOe-o. 1 -lOO(l-e-c'!)

+4-2 lO(e'!
==200e-ol
E[y2 (t)] ;;:: 200e-cI
(1: =E[y2 (t)]

(1; =4.967
Variance of yet) is
1) + 1Oe-o. I +lOO(e-cl-l)
200+20+4
176 == 4.967
E[Y(t)]2
= 0.967.
Example 6.22
A stationary process has an autocorrelation function given by

_ 25T 2 + 36
T - 6.25T 2 +4
R( )
Find the mean value, mean square value and variance of the process
(May 2011)
420
Solution
R(1')
Given
(i)
251' 36
6.251'2 + 4
The mean square value is

E[X2]
=R(1')I1' = 0
E[X2]
= 36 =9
4
(ii)
Mean value is
25+ 36
25
6.25
X =2
(iii)
Variance
~)(ample
C1x
2"";
E[X ]-X =9-4
6.23
Assume that an Ergodic random process x(t) has an alitocorrelation function

..
2
18+-2 (1+4cos(21'
6+1'
(i)
F:ind IX I.
(ii)
(iii)
Does this process have a periodic component?

What is the average power in x(t)
Solution
R;IT ('r) "" 18 + '--6
2 2 (1 + 4 cus(2(
+1'
(i)
Mean value:
(May 2011)
Random Processes
10
6+'t"
6+'t"
421
IRxx(,r) I =18+--2 (1+4)=18+-2
IXI
=18
IXI =Ji8 =4.2426

(ii)
For a periodic component

limRxx('t") = lim(18
'1'->00
'1'->00
+~)(1
+4cos(2't"))
6 + 't"
=00
.'. The process has a periodic component.

(iii) Average power of X(t) is
E[X2]
=Rxx(O)
2
=18 + 6(1 + 4cos(0))

E[X2]
18+ 10
6
=19.667
Example 6.24
A stationary ergodic random process has the autocorrelation function with the periodic com
ponents as Rxx ('t")
25 +
4 . Find the mean and variance of X(t).

1+6't"2
(May 2011)
Solution
Given
The mean value:
X-' == limRxx ('t")
'1'->00
X =5
25
422
Mean square value is
:. Variance
Example 6.25
A Gaussian random process is known to be WSS with a mean ,of X

R xx (r) = 25 e -3 trIl2. Find the covariance function necessary to
random process and give the covariance matrix for
Xi
4' an:d autocorrelation
~pecify t1ae joint density of the
=xttj)' where i
= 1,2, .... ,N.
Solution
Given a WS~ Gaussian random process X(t), wit~ X(t)

X(t), i = 1, 2, .... N
N random variables are given by

i and k
4 and Rxx(r) = 25 e-3trl12

with
tk - ti
= (k
i)
= 1, 2, 3,..... ,N.
The autocorrelation function for N random variables is

RXX(ti,tk )
Rxx (ti'tk )
Rxx~tk-tJ';'Rxx(1:')
= 25 e-311,
-Ii
1/2
The covariance
function is defined as
..
'
Cxx (I;, tk )
But given
E[X(t)]
= E[X(tk)]
Rxi(tp 1k)":" E[X(ti)]E[X(tk
)'
E[x(t)] = 4
Cxx (tp tk )
25 e-311, -li V2 - 4 x 4
Cxx (Ii ,tk )
25e-31I,-lilh -16
.'. The covariance matrix is

25-16
25e-3/2
[Cx]
25e-
16
16
25e- N12 -16
25e:
3/2
-16
25e-3
25 -16
25e-3/2
3/2
25
25e-
-16
25e-(Nll)h -16
For example if N = 2
9
-10.42]
[ -10.42
9
16
16
25~'-(NI2)/2
16
25e-{NI2)h
25e- N12 16
25e-(N/l)/2 )6
16 ...
-16
25 16
1:',

. Example 6.26
Telephone calls are initiated through an exchange mean average rate of 75 per minute and
are described by a Poisson process. Find the probability that more than 3 calls are initiated in
(Feb 2007)
any 15 second period.
Solution
Given A. = 75 per minute = 70 per second

60
time period t
5 second
70
At =-x5=6.25
60
No of calls initiated N = 3
Since the process is a Poisson's process, we know that the probability of the number of
calls initiated being ~ N is
P[X(t) ~ N] ==
2:N (At)kk!e-.:u ' k == 0,1,2,3, ......

t=O
Thus, the probability that the number of calls initiated more than 3 is
P[X(t) > 3] == 1 P[X(t) ~ 3]
== 1 [(6.25)0 e-<>25 + 6.25
e-6.25
+ (6.25)2 e-6.25 + (6.25)3

2!
3!
e-625 ]
1-0.1302
P[X(t) > 3]
= 0.869
Questions
(1) Explain the concept ofa random process.
(Nov 2010, May 2004)
(2) Explain how random processes are classIfied willl neat sketches.
(Nov 2003, Nov 2006)
(3) Briefly explain the distribution and density functions in the context of stationary and
independent random processes.
(4) Distinguish between stationary and non-stationary random processes.
.
(Nov 2010, May 2009, May 2004)

Proved.
Pxx
Rxx(O)
The average power Pxx is the autocorrelation of X(t) at the origin.
7.3
Properties of the Power Density Spectrum
The properties of the power density spectrum S xx(m) for a wide sense stationary random
process X{t) are given as
(1)
(7.14)
Sxx(m) 2: 0
Proof
From the defmition, the expected value of a non-negative function E
[I X
T (m)
12]
is always
non-negative.
Hence S.yx (m) 2: 0
(2)
The power spectral density at zero frequency is equal to the area under the curve of
the autocorrelation Rxx (7:) .
That is, Sxx(O)
= [,Rxx(7:)d7:
(7.15)
Proof
From the definition, we know that
At m=O,
Sxx(O)
(3)
[, Rxx(7:)d7:
The power density spectrum of a real process X(t) is an even function
Sxx (-m)
i.e.,
=Sxx (m)
X(t) is real
Proof
CUllsiu~r
a WSS
r~al pruc~ss
Then
Substitute
X(I).
Sxx(m)
7:
= [R xx (7:)e- jCtn d7:
-7:, then
(7.16)
Random Processes: Spectral Characteristics
Sxx(-ro)
437
I Rxx (-1')e- jWf d-r
SinceX(t) is real, from the properties of autocorrelation of (6.47) we know that,
Rxx(--r) =Rxx(-r)
SxxC-ro)
= IRxx (-1')e- JWf d-r
Sxx(-())) =Sxx(ro)
. . Sxx (ro) is an even function.
(4)
(7.17)
Sxx(ro) is always a real function.
Proof
From (7.3) we know that
Since the function 1X T (ro) 12 is a real function, Sx (ro) is always real.
(5)
If S xx (ro) is a psd of the WSS random process X(t), then

(7.18)
(or) the time average of the mean square value of a WSS random process equals the area
under the curve of the power spectral density.
Proof
From (6.34) we know that
Rxx (-r)
A {E[X(t +-r)X(t)]}
= 1 r'Sxx(ro)eJWfdro
2n: Lx,
Now at -r
0,
Rxx(O)
= A{E[X2(t)]} = 2~
I Sxx(f)dro
= Area under the curve of SxX<ro)

(6) If X (t) is a WSS random process with psd Sxx ((f) , then the psd of the derivative of
X(t) is equalto (f)2 times the psd Sxx(ro).
- - - -..........
-~-
.. - - - - - - -......
438
(7.19)
Proof
From (7.3), we know that
Sxy(oo)
= lim E[lXT(oo)n
T~ro
and
2T
XT(oo)
= [TX(t)e-jllJ/dt
XT(oo)
= dXT(OO)'=~IT X(t)e-jllJldt
doo
doo
= [TX(t)(-joo)e-jllJldt
=(-joo) [TX(t)e-jllJldt
XT (00)
=(- jro)XT(oo)
S .. (00)
xx
S .. (00) =oo2 Sxy (OO)
(7)
Proved..
xx
The power density spectrum and the time average of the autocorrelation function
form a FOllfier transform pair.
Random Processes: Spectral Characteristics 439
(7.20)
(7.21)
and
Proof
Consider a WSS random process X (t). We know that the time average ofthe autocorrelation
function is
A[Rxy(t,t+r)] = A {E[X(t) X(t+r)]}
For a WSS random process,

A[Rxy(t,t +r)] = Rxx(r)
Now the power spectral density is
-1" E[I XT(~)

S xy (w) - 1m --='------=
2T
T->oo
But we know that

1XT(w) 12
X T(w)X; (w)
fT X (tl)e- jrol, dt
Let
X T(w)
=::
and
X;(w)
= fTX(t)ejrol dt
Sxy(w) =
S (w)
xy
T
T
limE[~
r
X(t)droldt r X(tl)eC-)roIldtl]
T->oo
2T iT
iT
= lim_l rT
T->oo
rr E[X(tI)X(t)]e-jw(t,-I)dtdtI
2T iT .LT
We know that,
E[X(tl)X(t)] - Rxy(t,tt>
Su.(co) = lim_l_
rT rr Rxy(t,tj)e-jW(I,-Odtjdt
T--2T iT.LT
(7.22)
By taking inverse Fourier transform,
T T
r
r R (t t )(_1) [e-jW(II-H~dw dt dt1
T->oo2T iT iT XY , 1 2n
= lim_l
440
. 1 [T [T Rxx(t,t) 8(tt -t-r)dtdl

=T'-?a;J
hml
2T T T
.
(7.23)
fT 8(/1 - I -r)dt, =1, let
Since
t)
t +r.
= A[Rxx(t,t +r)]
1 [ Sxx (00)ej(Qr dr
(7.24)
2rc
Taking Fourier transform,
Sxx (00) = [A[Xx(/,t +r)]e
jlm
dr
Fora WSS,
. . Rxx (r) and S xx (00) are a Fourier transform pair.
Note I
For a WSS random process X(t), the Fourier transform pairs
and
Sxx(oo)
= [Rxx(r)e-j(Q!dr
Rxx(r)
=L [Sxx(oo)eJlmdoo
2rc
are called Wiener-Khintchine relations.
Note 2
The knowledge of the power spectral density of a process X(t) gives the complete form of
autocorrelation function when X(t) is atleast wide sense stationary. For a non-stationary
random proccss, we can get only the time average of the autocorrelation function.
Example 7.1
Determine which of the following functions are valid power density spectrums and why?
(a) eos8(oo)
2 + 00 4
(c)
00
6
2
00 + 300 + 3
Solution
' S ( ) cos8(co)
G Iven
xx CO =
4'
2+co
From the properties of psd,
(a)
(i) The given function S xx (co) is real and positive,
(ii) S
(-co) = cos8( -co)
xx'
2+ (-cot
The function is even. Hence the given function is a valid psd.
(b) GivenSxx(co)
e-(W-I)2,
_ ) _ _(W_I)2
Sxx ( co-e
:. Sxx(-co):7f:Sxx (co)
:. The given function is not a valid psd.
co2
(c) Given Sxx (co) =--;---;:--
+
+3
(i) The given function is real and positive.
S xx (-co)
=Sxx (co) is an even function.
:. The given function is a valid psd.
7.4
Bandwidth of the Power Density Spectrum
Baseband process
Assume that X(t) is a lowpass process, that is, its spectral components are clustered at the
origin, co O. As frequency increases, the spectrum magnitude decreases as shown in
Fig. 7.1. The nonnalisation of a power spectrum is a measure of its spread. It is called
rms bandwidth.
The rms bandwidth is obtained from
(7.25)
442
Fig. 7.1 Baseband process
Bandpass process
In a bandpass process, the spectral components are clustered near some frequencies
roo and -roo,
as shown in Fig. 7.2. The mean frequency
roo can be expressed as

(7.26)
Fig. 7.2 Spectrum ofa bandpass process
and the rms bandwidth is

2
4 [(m-ro o)2Sxx (m)dm
Wms=~~-------------
[Sxx(m)dm
Example 7.2 .
The power density spectrum of a baseband random process X(t) is
Find the rms bandwidth.

Solution
Given power density spectrum
(7.27)
Now the nTIS bandwidth is
32[ 2(4-00+ +_1

tan-I (00)]00
2 x 2
2-<X)
2
(0 )
=32[0+ :]
and
[S xx (oo)doo
=[
22
8n
doo
(1+: )
r 32
= .Lx, (4'; 002 )2 doo
32[ 8(4 +00
2
(0 )
=32[0+ 16n
+ 2 x 8 tan
=2n
-I
(00 )]00
2"
-<X)
444
w;.~s
7.5
J4i == 2J1i == 3.55 radls
Cross Power Density Spectrum
Definition I
Consider two real random processes X(t) and y(t). If X(t) and yet) are jointly wide sense
stationary random processes, then the cross power density spectrum is defined as the Fourier
transfonn of the cross correlation function of X(t) and Yet). It is expressed as
and
Sxy(m) = [Rxy(r)e-j{Qt" d1'
(7.28)
Syx(m)
(7.29)
[Ryx(r)e-Jmd1'
By inverse Fourier transfonnation, we can obtain the cross correlation functions, i.e.,
(7.30)
(7.31)
Therefore, the cross psd and cross correlation functions are a Fourier transfonn pair.
Definition 2
If X T (m) and 1;. (m) are the Fourier transfonns of X(t) and Y(t) respectively in the interval
[-T,T] , then the cross power density spectrum is defined as

(7.32)
(7.33)
and
7.5.1 Average Cross Power

The average cross power, Pxy of the WSS random processes X(t) and yet) is defmed as
the cross correlation function at
That is,
l'
= O.
451
The cross correlation function is

Rxy('r) Inverse Fourier transform of S Xy(w)
=F-l[(a+~wi ]
We know from the Fourier transform that
I
-----::-~
(a+
e- al tu(t)
Additional Problems
Example 7.4
Consider the random process
X(t)
Acos(wt+e)
where A and (f) are real constants and e is a random variable uniformly distributed
over [0, 2n]. Find the average power Pxx'
Solution
We know that
Pxx
A {E[X2(t)]}
Now
X(t)
= Acos(f)t + e)
and
1,(9)
{2;
o<e::;; 2n
otherwise
= .br
L
?
I
A2
cos~((f)t +e)-de
..
2n
"
= A2. [" 1+ cos(2(f)t +2e) de]

2n
. 2
452
=:; [fl< dO + 12l< cos(2cut + 20)dOJ

2
= A2 [2n + (-)sin(2cut+ 20)1 l<]

4n
A2
=-[2n 4n
4 sin (2cut)]
The time average power is

Pxx
1
= A [E[X2(t)]] = lim-
A2
]dt
r'T [A2
---sin(2cut)
2
n
T~oo2T!T
1 A2
=--(2T)-0
2T 2
Example 7.5
The psd of X(t) is given by

S xx (cu)
={I +0 cu
Find the autocorrelation function.

Solution
for Icu I < 1

otherwise
(May 2011)
. ro 2 II
r oleJorr dro =_._
I'
Now take,
11
e Jorr
J-r
I
r .-(2ro)dro
1
-I
Also,
453
eJ())~
-.
11 J-r
j-r
2
]
1 eJ~ - e - J~ e J~ - e - J~ 2 (J~
_ R ()
-r +
+-2 e +e- J~) - -3 (J~
e -e -J~)
.IT
27r [
j-r
j-r
-r
j-r
Example 7.6
The autocorrelation of a WSS random process X(t) is given by

R.cr(-r) = Acos(roo-r)
where A and Wo are constants. Find psd.
Solution
We know that the power spectral density

S.IT (ro) = Fourier transform of R.IT (-r)
S.IT(ro)
= [Rxx(-r)e-Jmd-r
454
A
-[2no (m - mo) + 2no( m + mo)]
2
Sxx(m) o=An[o(m-mo)+o(m+mo)]
The power density spectrum is shown in Fig. 7.3.
Fig. 7.3 Power density spectrum of A cos
(001:'
Example 7.7
Find the psd ofa WSS random processX(t) whose autocorrelation function is Rxxf"C) == ae-bl~1
Solution
We know that the power spectral density,

Sxx(m)
c:::
S,'i,I,(m) ;;;;;
Fourier transform of Rxx(r)
r:
Ru (T)e- j OJ1:dT
e{b- jro)r:
-w
JOJ
e-{b+ jro)r:
I""
+a---
-(b + JOJ) 0
b-jOJ
b+jOJ
= - - .[1-0]---.[0-1]
a(b+ jOJ+b- jro)
b- JOJ
b+ JOJ
b +OJ
--+-
Example 7.8
A random process has autocorrelation function

Rxx(r)
= {l-ol'l' I,
I'l'l s 1
otherwise
(Nov 2010)
Find the psd and draw plots.

Solution
The autocorrelation function is given as
I'l'l s 1
otherwise
The power spectral density is
Sxx(OJ)
= [R,u('l')e-jWTd'l'
Sxx(OJ) = 11(1-I'l'l)e-
and
jWT
d'l'
-jWT
-jm
J'l'e-jWTd'l' =_e_'l'_ J_e_-d'l'
- JOJ
(-jill)
- _ .._-_ .. _
....
...
_ _...._---_..._
456
jm
--t:e-jW~
or
jm
jwr
Now
jO
_e- 1 _e- 11
Sx:r (m) = . - +. - +
)!
Jm
1 (jW
--1 (1 -e -jill) - e
jm
jm
-1
e-
jm
Jm
-1
1)
jill
S.rr(m) =-.-+ .
Jm Jm
(e jWl2
e jill
jm
jm
e- J(12 )2
/m
(e
e jW
jm
jilll2
e jill
e- jill
e - jill
jm
+---+--+--+
2
2
2
2
m
-e - j(12)2
sin2(m/2)
(m/2)2
Sin(m/2)2
( (m/2)
S.rr(m) =sa (m/2)
Plots of autocorrelation function
R)(X(-t:)
and the power density spectrum are
shown in Fir,. 7.4.
Fig.7.4 (a) Autocorrelation/unction
Fig.7.4 (b) Power spectral density

Example 7.9
The cross power spectrum of X(t) and yet) is defined as
Sxy(ro)
K + J:'ro
-w<ro<w
elsewhere
where W> 0 and K are constants. Find the cross correlation fimction.
Solution
We know that the cross correlation fimction is
Now the integration

ej(J)'t
L ir
-~(ro)-,
ir
-e
iW'[W
~]
-+j1:
1:7
and
rw
lH e
-w
W
jm
eJ(J)'t
d1:
dro
. I
=-.
J1: -w
j1:
e -i
W'
[-W
1]
--+
j1:
1:7
458
~[2sinWr]+-1-[2cosWr]2m
Rxy ()
r
2m
I) .
1 z[2sinWr]
211:Wr
K - - - sm W r +cos
Wr
=( -
z
1I:r 1I:Wr

Example 7.10
Find the autocorrelation function and power spectral density of the random process
X(t) = Acos(lIV +8), where 8 is a random variable over the ensemble and is unifonnly
distributed over the range (0,211:).
(June 2003)
Solution
Given the random process

Acos(lIV+8)
X(t)
and
(i)
1e(8) = 211:
0~8 ~211:

R"u(r) =E[X(t)X(t+r)]
E[Acos(% +8)Acos(mo(t+r)+8)]
=A ZE[cos(mot +8)cos(mot + mor + 8)]

AZ
= -E[cos(2mot + mor + 28) + cosmor]

2
= A2 1z" cos m0r

2
211:
d8 + A2
2
r"
I
-[cos(2mot+
mor + 28)]d8
211:
..
(ii)
Rxx(r)
A2
Tcosmo1'
The power spectral density is

S xx (m) = Fourier transform of Rxx (1')
A2
.
A2
- (cosmo1' e- Jtm d1' == - (
2
.
2
l"e ())o7: +e- lI>7:) e- .

J
Jtm
d1'
~ [ ( e-/())-lI7: d1' + (e-/())+lIT d1']

A2
- 2rc[o(m-mo) + o(m +mo)]
4
2
A rc[o(m mo)+o(m+mo)]
Example 7.11
The autocorrelation function of a 'vVSS random process is Rxx(1') = aexp(-(1' I bi). Find
the power spectral density and normalised average power of the signal.
(Nov 2002, May 2011)
Solution
Given the autocorrelation
Then the power spectral density is

Sxx(m) = (Rxx(1')e-/())Td1'
460
.r:
exp (
IF- j{fJ<
J.n
Converting the exponential term to get a perfect square
((~+ J~. b)2J exp (.J~b )12 dr
=a [exp -
bdz
J2
abe
J2
-z'
[e T
We know that
(ii)
A vcragt;; puwer of the signal is

Pxx =Rxx(O)
Given
Rxx('r;)
= aexp (
_;2 J
At-r =0, Rxx(O) =aexp(O) = a watts
dz
(or) we can also fmd from S xx (co),

Average power
1
Let
or
-lIh'
Pxx
=-[
abJiie21C
=2
cob
4-
dco
'-l
T=J2
zJ2
co = -
b
J2
dco = - dz
b
J2 dz = a -1 - [-z'/2d
b
J2ii e z
D
xx
= ab
- - [ e -z'/2 -
2Jii
Pxx
00
'-l
= a(1) =a watts
Example 7.12
Two independent stationary random processes X(t) and Y(t) have power spectrum densities
S xx (co) =
16
co 2
6 and S xy (co) = 2
respectively with zero means. Let another random
co +1
co +16
2
process U(t) = X(t) + y(t). Then find (i) psd of U(t), (ii) S Xy(co) and (iii)Sxu (co).
(June 1999)
Solution
OiVt:l1
X(t) and y(t) are independent random processes.
=y=o
462
(i)
Power density of Vet) is

Suu(OJ) :::::sxAOJ)+Syy(OJ)
(ii)
Since X(t) and yet) independent and uncorrelated.

Sxy (OJ)
(iii) Sxu(OJ)
::=
21(; X Y 8 ( OJ) '" 0
= Fouriertransfonnof Rxu('r)
Now
Rxu(r) =E[X(t)V(t+r)]
E[X(t) (X(t+ r) + Y(t + r))]
=E[X(t) X(t+r)+X(t)Y(t+r)]
= E[X(t) X(t +r) + E[X(t)Y(t + r)]
Rxx(r) + Rxy(r)
Sxu(OJ) = Fouriertransfonn of [RxxCr) + RXy(r)]

.'
= Sxx (OJ) + SXy(OJ)
\..
Sxu(OJ)
16
=--:-2
OJ
+16
Example 7.13 .
Find the cross correlation function for the psd S xy(OJ)

Solution
Givenpsdis

Rxy(r) =F-J[Sxy(OJ)]
F-I(25~OJ2 )
= 25 + oi
We know from the Fourier transform that
2a ~ eat,
_II
--::----::a> 0, a constant
2
a +0/
..
1
25 +m2
1
2x5
Example 7.14
Find the cross power spectral density. if (a) Rxy(r,)
A2
=Tcos(mor).
Solution
Given
(a)
The power spectral density
Sxy(m)
(b)
=F[ ~2 sinmo-z-]
A2
RXA, (-z-) =-COS(Olo-Z-)
2
S xy(m)
=F[ ~2 cos(mo-z-)]
A2
TSin(mor) and (b) Rxy(r)
464
Both power density spectrums are shown in Fig. 7.5.

______ jfrc/2
-COo
-.frc/2
-- ------
(a)
A2
Fig.7.5 (a) psdfor -
sin (Oor
A2
Fig. 7.5 (b) psdfor -
cos roo'r
Example 7.15
X(t) is a stationary random process with spectral density S xx (co). Y (t) is another independent
random process, y(t)
= Acos(coct + 0),
where 0 is a random variable uniformly distributed
over (-n,n). Find the spectral density function of Z(t) = X(t)Y(t).

Solution
Given two independent random processes X(t) and Y(t)
= A cos(coJ + 0) .
The power spectral density of X (t) is Sxx (co). 0 is uniformly distributed over (-n - n).
otherwise
The autocorrelation of Y(t) is
Ryy(r) =E[Y(t)Y(t+r)]
OJ
Jy(t)y(t +r)h(O)dO
A2
TcosrocT
Now
Z(t) ::: X(t)Y(t)

Rzz (T)
=E[X(t)Y(t)X(t +T)Y(t + T)]
Since X(t) and yet) are independent,

Rzz (T)
=E[ X(t)X(t +T)]E[Y(t)Y(t + T)]
The power density spectrum is
Szz(ro)
= F[Rzz(T)]
A2
x F[R,IT (T)cosrocT]
A2
-fC
[sxx (ro + roc) + S xx(ro -
roc)]
Example 7.16
If the autocorrelation of a WSS process is Rxx(T) = K e- K1T1 , show that its spectral density is
given by S(ro)
2
1+(ro/K)2 '
(Nov 2010)
Solution
Given the random process is WSS. The autocorrelation function is Rxx(T)

know that the power spectral density is
; ; ; JK ero
Ktrl e-jUYt: dT
=K[e(K-jaJ)T 1 + i- KA - jro
-00
jaJ
)1:
-(A + jro)
Ke- K1T1
We
466
=K[ K~ joo + K: jOO]

2K2
K2 +002
2
S xx (m) = -----::
1+(00/ K)2
Example 7.17
Consider a WSS random process X(t) with power spectral density Sxx (00). Another random
process is given by yet) = X(t + T) + X(t T), where T is a constant. Find the power
spectrum of Y(t).
Solution
Given a WSS random process X(t) with psd Sxx (00)

'.
yet) =X(t+T)+X(t-T)
and
Let the autocorrelation function of X(t) be Rxx(r.). We know that the autocorrelation
function is
RIT(r.)
= E[Y(t)Y(t +r.)]
=E[(X(t+ T) + X(t
T(X(t + T +r.)+ X(t -T +r.]
E[X(t+ T)X(t+ T +r.) + X(t +T)X(t-T +r.)

+X(t T)X(t+T+r.)+X(t
T)X(t T+r.)]
= E[X(t + T)X(t+ T +r.)]+ E[X(t+ T)X(t
T +r.)]
+E[X(t-T)X(t+T +r.)]+ E[X(t T)X(t-T +r.)]
Let
1+ T
= II andt
12 , Then
RIT(r.) =E[X(tl)X(t1 +r.)]+E[X(tl)X(t1 +r.-2T)]

+R[ x(t2 )X(t2 +T. + 2T)]+ E[X(!)X(t~ +r.)]
RIT (r.)
or
RIT(r.)
= Rxx(r.) + Rxx (r.
2Rxx(r.) + Rxx(r. - 2T) + Rxx(r. + 2T)
Now the power density spectrum is

SIT (00)
2T) + Rxx (r. + 2T) + Rxx(r.)
=F[Ryy(r.)]
467
00
f[2R xx (r) + Rxx(r - 2T) + Rxx('r + 2T) ]e-j(Jn d'r
JRxx ('r)e-
co
00
=2
JQYr d'r
+ Rxx ('r 2T)e-jO)"1: d'r
00
+ Rxx ('r + 2T)e- JQYr d'r
fRxx('r-2T)e- j(U(T-2T) e- j(U2Td'r
00
=2Sxx (m)+
00
+ Rxx ('r + 2T)e-j(u(H2T) e+ j(U2T d'r

= 2Sxx (m) + e- j (U2T Sxx(m) + e j (J}2T Sxx(m)
(2 + e j(U2T +e- j (J}2T)Sxx(m)

=(2+2cos2mT) Sxx(m)
Syy(m) =4cos 2(wr)Sxx(m)
Example 7.18
Consider the random process X(t)=Acos(mot+8), where A and
mo are real constants
and 8 is a random variable uniformly distributed on the interval (0, 1'C 12). Find the average
power of X(t).
Solution
Given the random process X (t)
Acos(mot + 8) and 8 is uniformly distributed over (0, 1'C 12).

0<8<1'C12
otherwise
The power is Pxx =E[X 2 (t)]
-00
468
-A2rc [nil()JdO+. nl2Jcos2(CtV+O)dO]

0
=A2 [rc + sin2(CtV + o)/nI2]

. rc 2
2
()
~[rc
+ (sin(2CtV + rc) - sin2CtV)1
2rc
A2
-[rc
2rc
2sin2CtV]
A2
-sin2wt
rc
Since the power is a function of time, the time average power is
Pxx:
A[pxx:l
Pxx:
1 T
lim- Pxx: dt
T...."'2T
Pxx: =hmr....""2T
-T
J
T (
A2
rc
2wt)dt

Example 1.19
The power spectral density of a stationary random process is given by
-K<(f)<K
otherwise
(Feb 2008)
Find the aucorrelation function.

Solution
We kno"", that the autocorrelation function is
_ A . (K ) _ AK sin(Kr)
Rxx ()
r --sm 1:
1Cr
1C
Kr
Example 1.20
A stationary random process XCI) has autocorrelation function Rxx(r)=10+5cos(2r).

+ lOe-21't"1. Find the dc and ac average powers of X(t).
(Nov 2(03)
470
Solution
Rxx(-r)
Given
1O+5cos(2-r)+1Oe~2Irl.
(a) The average power of the dc component (without -r) is

10 watts
Pdc
(b).
The average power of the ac component (with -r at -r = 0) is
P"c
P"c
5 + 10 = 15 watts
is also called variance of the process X (t) .
(c) The average power of the process X(t) is
Pxx =Rxx(O) 10+5+10 25 watts

Example 7.21
Assume that the ergodic random process X (t) has an autocorrelation function
Rxx (-r)
18 + - - 2 [1 + 4cos(l2-r)]
6+-r
What is the average power of X(t)?
(May 2010, May 2011)
Solution
Given X(t). is an ergodic process.
Rxx (-r)
= 18 + - - 2[1 + 4cos(12-r)]
6+-r
The average power in X(t) is
Pxx
Rxx(-r)I-r=o
2
18+-(1+4cosO]
6+0
1~+-!-l1 + 4J =18+~
3
Pxx
19.67 wallIS
Example 7. 22
The cross spectral density of two random processes X(t) and Y(t) is given as
Find the cross correlation function.

Solution
Given the cross spectral density
1
+ j4oo+4
1
(2+ joo)2
(From Appendix B)
Example 7.23
The power density spectrum of a WSS process is
Sxx(oo)
4n8(oo)+3n8(m 5n)+3n8(oo+5n) +2n 8(00-4) + 2n8(oo+4)
(a)
What are the frequencies in X(t)?
(b)
Find mean variance
~d
average power of X(t).
Solution
Given the random process is WSS with psd,
Sxx (01)
4n 8(01) + 3no (00 - 5n) + 3n 8(00+ 5n) +2n 8(00- 4) + 2n8 (00+ 4)
Using inverse Fourier transfonnation, the autocorrelation function is
472
Rxx (r) = 2 + 3cos51IT -+ 2cos41'

(a)
:. The frequencies in X(t) are
It
and
(b)
5n and
02
5n
=-=2.5 Hz
2n
h= 2n
2
n
-Hz
The mean value of X(t) is the dc component of Rxx(1').

E[X(t)]
The average power or the mean square value of X(t) is Rxx(O).
The variance of X(t) is
al
:=:R xxCO)-E[X(t)]2
Example 7.24
Given a random process X(t) AcosOot, where 00 is a. constant and A is uniformly

distributed with mean 5 and variance 2. Find the average power of X(t).
Solution
Given
X(t)
== A.cosOo!
E[A]
=5
a A2
=2
Then
E[A2] a~ +E[A]2
The autocorrelation of X(t) is
2+52 =27
Rxx (t,t + 1') = E[X(t)X(t +1')]
E[A cos (Oot) A cos 00 (t + 1')]
= E[A2 COS(Wot)COSWo(t+1')]
= E[A2]COS(wot) cos Wo(t +1')
Rxx (t,t + 7:) = 27 cos(Wot) cos COo (t + 7:)

We know that the mean square value
E[X2(t)] =limRxx(t,t+1')
.-..0
= 27cos2 wot
E[X2(t)]
1 T
Pxx = lim- E[X2(t)]dt
T-..""
2T -T
=limE[ [1+COS2QV] dt
r-"""2T T
2
=E[2T-O]
4T
27
2
Pxx =13.5 watts

Example 7.25
Find the average power of the random process X(t) which has the power spectral density
othelwise
Solution
GiVt:ll psd or x(t) is
~{l ~:
We know that the average power
otherwise
474

2
Pxx =E[X (t)]
f Sxx(m)dm
1
Jdm
=- f 1 -
<f)
2n
_00
41f (
2n -41f
2~[
(jJ
4n
OJ- : ; [
_1{4n - (-4n)
2n
1
=-[8n]=4
2n
Pxx
=4
watts
Example 7.26
A random process has the power density spectrum ; xx (m)
6m2
- - . Find the average power
1+ (jJ2
in the process.
(May 2011)
Solution
Given
;xx(m)
6m2
1+m2
=-
Average power of X(t) is
- 6
- 2n
Pxx
I'' --dw
m
]
1+ m
-d)
2~ [2h] 2~
(From Appendix A)
1.06 watts

Example 7.27
Find the average power of the WSS random process X(t) which has the power spectral density
Sxx (m) ==
m -17
(m2 + 49)(m2 + 16)
Solution
We know that the average power of X(t) is

Pxx
E[X (t)] == 1
21C
Sxx(m)dm
-<X)
OO
l
m -17
d
21C-m(m2 +49)(m2 -16) m
1
== 21C
==
1oo[
2
m2 +49
m2 +16 dm
2~ [~tan-l(ml7) -tan- (ml 4)

I
:J ~[~-]
-2~_[2; Pxx ==
watts
56
Example 7.28
A WSS random process X(t) has psd

Sxx<m)
m2
== 4 10 2 9
m+ m+
Find the autocorrelation and mean square value of the process.

Solution
Given WSS random process with psd
J:
(FromAppendixA)
476
The autocorrelation function

Rxx(r) =F-1[Sxx(m)]
_ F- 1 [
m
]
(m2 + 1)(m2 + 9)
1
=F
[i(m29+9 m/+l)]
We know that
(From Appendix A)
The mean square value of the process X(/) is
xx
(O)-~-16
16
1
8
watts
Example 7.29
The spectral density of a WSS random process X(t) is given by
Sxx (m)
oi
= ---:-----::--
2
ol + 13m + 36
Find the autocorrelation and average power of the process.

Solution
Given WSS random process with psd

Rxx(r)
F-1[Sxx(m)]
477
We know that
6
R ('r) =F -I [-1
- x -4- +9- x xx
5 oi + 4 30 (j)2 + 9
Rxx(,r)
= -1 e-4lrl +~ e-3lrl
30
xx
(1:)1
-1
9
30
--+
1: =0 - 5
Pxx =0.1 watts
Questions
(1)
State and prove any four properties ofthe power spectral density of a random process.
(Feb 2007, Feb 2008)

(2) State and prove the Wiener - Khintchin relations.
or
Power spectrum and autocorrelation functions are a Fourier transform pair. Prove
this statement.
(Nov 2006, Feb 2007, Nov 2007, May 2011)
(3) The psd of a random process is given by
1(j)1<1
elsewhere
Find its autocorrelation function.
(Feb 2008)
500
8.4
Spectral Characteristics of a System Response
Consider that the random process X(t) is a wide sense stationary process with the auto
correlation function Rxx(1') applied through an LTI system. It is noted that the output
response yet) is also a WSS and the processes X(t) and yet) are jointly WSS. We can obtain
power spectral characteristics of the output process yet) by taking the Fourier transform of
the correlation: functions.
8.4.1 Power Density Spectrum of Response

Consider that a random process X(t) is applied on an L TI system having a transfer function
H(ro). The output response is Yet).
If the power spectrum of the input process is Sxx (ro), then the power spectrum of the
output response is given by
(8.33)
Proof
Let Ryy(1') be the autocorrelation of the output response Yet). Then the power spectrum of
the response is the Fourier transform of Ryy(1').
(8.34)
00
= f Ryy(1')e-jUYrd1'
00
We know that
Ryy(1')
00
f f Rxx(1' +1'1 -1'2 )h(1'Jh(1'2 )d1'1 d1'2

-00-00
ro ro
Then
Syy(ro)
00
= f f f Rxx(1' +1'1 -1'2 )h(1' 1)h(1'2 )d1'1 d1'2e- j d1'

OJ'r
co
00
\1,)
fh(1'1) Ih(r 2 ) f RXX (r+1'1 1'2 )e-;OJfd1'dr:2 dr:]
= [h(r:I)ej()jf1
Let
l'
[h(1'z)e jOJf, [Rxx(1' +1'1 -1'2 )e- j ()jf e- j ()jf'e i (Of 2 d1' dr] d1' 2
+1'] -1'2 =t, d1' =dt

ro
Syy(ro)
00
00
fh(1'])ei0J'r1d1'] f h(1'z )e-i ()jf2d1' 2 f Rxx(t)e-iOJldt
Linear System with Random Processes
501
From (8.8)~
Syy(m) =H*(m)H(m)Sxx(m)=H(-m)H(m)Sxx(m)
2
Syy(m) =IH(m)1 Sxr(m)
Proved.
Similarly, we can prove that the cross power spectral density function is
and
:. From (8.27),
SXy(m) =Sxr(m)H(m)
(8.35)
Srx(m) =Sxr(m)H(-m)
(8.36)
0)
Syy(m) =Sxy(m)H(-m)
(8.37)
= Syx(m)H(m)
(8.38)
A random processX(t) whose mean value is 2 and autocorrelation function is Rxx("C)
4e-21rl
and
Sxy(m)
Example 8.4
is applied to a system whose transfer function is _1_._ . Find the mean value, autocorrelation,
2+Jm
power density spectrum and average power of the output signal Yet).
Solution
Given
Rxx("C)
I
4e-21T1 ,X=2
and H(m)=-
2+jm
16
16
..
Sxx(m)
+4
The mean value of yet) isE[Y(t)]
E[X]H(O).
XH(m)
Y =2. 1 =1
2
Y
The power density spectrum of yet) is
502
Syy(w)
=IH(W)1 Sxx(W)
1
16
--x
oi +4 w2 +4
16
(oi +4)2
The autocorrelation of yet) is
Ryy{r) = F- 1[Syy (w)]
F- [(m 2l:4i]
16 -21TI
=-re
Ryy(r) =4U-2iTI
Average power of input,Pxx
= Rxx(O)
Average power of output, Pyy
Ryy (0) = 0
8.4.2 Spectrum Bandwidth

The power spectral density is mostly concentrated at a certain frequency value. It decreases
at other frequencies. The bandwidth of the spectrum is the range of frequencies having
significant values. It is defined as "the measure of spread of the spectral density" and is also
called rms bandwidth or nonnalised bandwidth. It is given by
~:lS
= -=-0::.-"'_ _ _ __
fSxAm)dm
8.5
(8.39)
Types of Random Processes
In practical situations, random processes can be categorised into different types depending
on their frequency components. For example, information bearing signals such as audio.
video and modulated waveforms etc., cany the information WIthin a specified frequency
hfmd.
Some important types of random processes arc
(l) Lowpass random processes
(2) Bandpass random processes.
(3) Band limited random processes.
(4) Narrow band random processes
518
8.13
Equivalent Noise Temperature
It is defmed as the noise temperature with respect to the available noise power or power
spectral density. For a passive RLC network, the noise temperature is given by
T
(8.70)
kelvin
kB
This is the same as physical temperature. For active devices, where the power or power
spectral density is amplified, the temperature increases as the density increases. This
temperature is called equivalent or effective noise temperature.
The effective noise temperature is
T"
Also
SNN(W)
or
kB
wattslHz
(8.71)
Tn
k
The equivalent noise temperature depends on the power spectral density of noise.
Series resistance
If two resistors are in series and operating at different temperatures as shown in Fig. 8.18(a),
then the noise temperature at the output is given by
Tn
=--'--'----"--"'7;+7;
Fig. 8.18 (a) Two series resistors at T/ and T2
Proof
We know that for resistor Rp the mean square noise voltage is
2
V nl
For R2
4K7;RjB
(8.72)
Linear System with Random Processes 519
(8.73)
If Tn is the noise temperature of R] and R2 , then
4KT"BR =4KB(R]T; +R2T2)
Tn
or
= (R]T; + R2T2)/ R
(R]T; +~T2)
(8.74)
Parallel resistance
If two resistors R] and R2 at temperature T] and T2 respectively are connected in parallel,

the noise temperature of the combination can be obtained as
Fig. S.lS (b) Two parallel resistors at T, and Tz
From Fig. 8.13 (b), the mean square noise current is
where
G =_1
2
But
where
Example 8.7
Two resistors of 3kQ and 6.kQ are at temperature 3000 K and 400 0 K respectively. Find
the psd of the noise voltage at the output when resistance are in (a) series and (b) parallel.
520
Solution
Given
(a)
3kn,
4000 K
R2 =6kn,
3000 K
Rl
When resistors are in series (Fig. 8.19(a)):
R\
_--'\
\r----'\
T2
8.19 (a) Series resistance
The noise temperature is
3000 x 400 + 6000 x 300

3000+6000
RJ +R2
T
Also
Req
3000000
9000
Rl+~
1000 = 138.330 K
3
9000n
:. The power spectral density is
(b)
2x1.38xlO-23 X 10;0 x 9000
S,,(m)
2kT Req
S,,(m)
6x1.38xlO- 17
wattslHz
When the resistance are in parallel (Fig.8.19(b)):
Fig. 8.19 (b) Parallel resistance
For parallel resistance, noise temperature is
T
T = 400 x 6000 + 300 x 3000
9000
T
3300000 = 1100 = 336.670K

9000
3
521
Sn(m) =2kT Req
=2 x 1.38 X 10-23 X 2000 x 336.67 =2.024 x 10-17 watts/Hz

8.14
Noise Through Two Port Networks
Consider a two port network with input spectral density S ni (m) and output spectral density
Sno(m) with network transfer function H(m) as shown in Fig. 8.20.
Network
Sni(m)
8,,,,(0)
H(m)
Fig. 8.20 Two port network
When the message signal is passed through the two port network, the noise available at
the output is contributed by (i) input noise and (ii) noise generated internally by the system.
Since the resistors and active devices in a two port network act -as independent noise
sources, the signal quality degrades at the output. The signal which is corrupted by the noise
at the output can be measured in tenns of signal-to-noise ratio, noise figure, equivalent noise
temperature etc.
The output noise spectral density is
Sno (co)
=Sni{m) 1H(m) 12
Output noise power is
and the nns noise voltage is
v;, =[_1_ ""f Sfll} {m)dm]h

21t
8.15
(8.75)
-ro
Signal-to-Noise Ratio
The ratio ofthe signal power to the accompanying noise power is called signal-to-noise ratio.
It is given by
Signal power
Noise power
v2
=-'
v;
522
or
S
N
Ss(oo) Signal power spectral density

--=---"'--------"---=----_--:
Sn(OO) Noise power spectral density
Input signal-to-noise ratio is
S,,/oo)
S;i (00)
Output signal-to-noise ratio
(~1=
s~ (00)
where
input signal power spectral density

output signal power spectral density
Sn: (00)
input noise power spectral density
Sn; (00) output noise power spectral density

The signal-to-noise ratio at the output of the noise-free two port network is the same as at
the input. But for noisy networks, since the noise power increases, the signal-to-noise ratio at
the output deteriorates.
8.16
Available Power Gain
The available power gain of a system is defmed as

Maximum psd of the signal at the output
Maximum psd of the signalat the input
(8.76)
TIle available output power is
p
aO
= 2rc
1
[Sso(oo)doo
1 [Ga(W)Ssi(w)dw
2rc
8.17
Equivalent Noise Bandwidth
The equivalent noise bandwidth of a system is defmed as the bandwidth of the ideal system
whieh has the same output power as the actual system with infmite bandwidth.
523
'"
II H(m) 12 dm
It is expressed as
W
N
and
BN
WN
2n
(8.77)
rls
IH(O) 12
Hz
Proof
Consider a low pass filter as shown in Fig. 8.21 and assume that a white noise is applied at
the input of the filter.
~o
____
-+)I~___~_~_;_~__~--~P.~IT~)
Fig. 8.21 Low pass filter
The output power is
=_1_} No I H(m) 12 dm
2n--l2
PIT = No
2n
}I H(m) 12 dm
0
Now consider an ideal system with bandwidth 2WN

The transfer function is
H(m)
={H~O)
Iml<WN
otherwise
The output power is
Pi~.,,1
No
2
=I- "'I --IH(m)1
Pideal
No
2 WIN
=-IH(O)I
2n--l2
4n
. Equating (8.78) and (8.79),
-_ ....
-_.
__ ._.- - - - -
dm
No
dm=-IH(O)
-WN
4n
12
2WN
(8.79)
524
<Xl
~ H(ro) 12 dro
W = -"-0_ _----:-_
N
1H(O) 12
Similarly, for a band pass filter, the equivalent noise bandwidth is the bandwidth of the
ideal band pass filter which produces the same output power as the actual system with
infmite bandwidth.
(8.80)
where roo is the resonant frequency.
Note: Noise band width is always greater than a 3-dB bandwidth.
Example S.S
1C
Show that for the RC low pass filter shown in Fig. 8.22 the noise bandwidth is equal to 2
times the 3-dB bandwidth
R
~
}oJC Ie y(~)
x~(O)
Fig. 8.22 RC Low passjilter
Solution
A 3-dB bandwidth is defined as the bandwidth of a system at which the power becomes half
or the voltage becomes 1I.J2 times the m~ximum voltage.
From Fig. 8.22, the syslem lnms[er function is
Let We
= RC
H(m) _
1
l+jmRC
H(m) _
1
1+ jmRC
is a 3-dB bandwidth and 1 H (0) I
=1.
1
H(m)
IH(m)1 2 = _ _
1_
1+
We know that noise band width,
II H(m) 12 dm
00
=-"-0_ _ __
I H(O) 12
00
I1+ m IWe dm
2
WN
_0
-
:. The noise bandwidth is equal to

W N -
or Noise bandwidth,
rc
"2
rc
2RC
WN
BN
= 2rc
times the 3-dB bandwidth.

rl s
1 Hz.
4RC
525
531
Solution
Given
We know that
T:
=T(F-I)
Noise figure
T
F =1+-!
T
F =1+
8.21
400
300
=2.33
Noise in Cascade Amplifiers
Noise figure
Consider two amplifiers that are cascaded.
Ga, : Power gain of amplifier 1
Ga2 : Power gain of amplifier 2
T:, : Equivalent input noise temperature of amplifier 1

Tez : Equivalent input noise temperature of amplifier 2
F; : Noise figure of amplifier 1

F2 : Noise figure of amplifier 2
The overall gain is
(8.99)
Go =G01 xG02
The total output noise power available is
No
where NOl
No, +NOJ. + No,
= output noise power due to input noise power N/.
(8.100)
N02 : : : output noise power due to noise power generated internally by the first amplifier.
From (K99),
NS)'SJ = Ga,N,.(FJ -1) G
(8.101)
O:l
= output noise power due to noise power generated by the second amplifier
532
N03 = Ga,Nj(F',. -1)
(8.102)
We know that the overall noise figure is
GaNjF = GaNi + GaNi(F; -1)+ Ga,~(F; -1)

1+F:1 -1+
(8.103)
(F -1)G
2
a2
Ga1 Ga2
or
Similarly, for three amplifiers cascaded,
17
j',
F2 -1
+--+--=-
Gal
Ga ] Ga2
For N amplifiers cascaded as shown in Fig. 8.23,
-[D---[D---{I}- - - -0
Fig. 8.23 Cascaded networks
the overall noise figure is
(8.104)
F=F:+
]
G
al
This equation is called Fris's formula. It shows that the contribution to overall noise figure
is mainly at the first stage.
Equivalent noise telllperatute

We know that, F -:-1 + r;, IT
1']' =l+T", IT
The overall noise figure for two amplifiers cascaded is F
= F; +
Ga ,
1+ T: =1+T:l +
T
533
Gal
.. The equivalent noise temperature is
(8.105)
For N amplifiers cascaded, the equivalent noise temperature is
(8.106)
Te =T", + G
0,
Example 8.10
Find the overall noise figure and equivalent input noise temperature of the system shown in
Fig. 8.24.
Amp!
--~Gl =!5dB f--~
:Z:1 =100 K
Amp 2
25dBt---~
=100 K
Room temperature
Fig. 8.24 Two stage amplifier
Solution
Given
q
G2
15dB 101.5
-
31.62
25dR 102.5 = 316.23
T:l =100
T:2 = 150
Noise figure
F; = 1+ T:l
=]
+ 100 J.:B
300
F;
Overall noise figure
1 + Te2 = 1 + 150
T
300
F -1
F =1'; +_1_
G1
= 1.5
534
=1.33+ 1.5-1
31.62
F = 1.33 + 0.02 = 1.35
Equivalent noise temperature is
., --100 +150
+1'-
Gh
31.62
104.94K
Also
8.22
F =1+
=1.35
Antenna Noise Temperature
Antenna noise temperature is the equivalent temperature of the noise with respect to the
available spectral density of the noise at the antenna. It is denoted by Tant
When the antenna is connected to the receiver, the input spectral density of noise is
given by
k(Tant + 1'.)
2
and input noise power, N; = k(Tant + 1'.)BN
8.2l
(8.107)
(8.108)
Narrow Band Noise
If white noise is passed through a bandpass filter whose band width is WN << (00' the noise
process appearing at the output is called narrow band noise. The spectral components of a
narrow band noise are concentrated about some mid-band frequency (Oo'
We can represent the narrow band noise in canonical form as
N(t) = N j (t) cos( (Oot) - N Q (t)sin( (Oot)
where Nj(t)
and
where
In polar form,
(8.109)
in phase component and NQ(t) = quadrature phase component, given by

N/(t)
N(t)cosV+N(t)sinav
NQ(t)
= N(t)cosV-N(t)sinV
N(t)
= Hilbert transform of N(t)
538
Additional Problems
Example 8.11
Find the transfer functi?n of the network shown in Fig. 8.29.
~rr.'
R,
Input
C Output
R,
I.
. 0
Fig. 8.29 RC Network
Solution
Let X(co) and Y(co) be the input and output functions. The given network is drawn with
reactance values as shown in Fig. 8.30.
1
jmC,
Y(ro)
Fig. 8.30 (a) RC network with reactance
The impedances are
1
Z =R
I
jcoC
1
R1 + -
jcoC
1+ jcoR1C 2
and
Rx-
2
jcoC2
R +_1_
2
jCOC2
Now from Fig. 8.30(b),
Y(m)
Fig. 8.30 (b) With impedance

Yew)
= Z2
539
X(w)
ZI +Z2
.. The transfer function is
H(w)
= Yew)
X(w)
Note
H(w) = - = -
RI+R2
Then the network acts as a pure resistive attenuator and is independent of frequency.
Example 8.12
The power density spectrum ofa random process is given by S,rx (w)
16. Find whether

(t}2+16
it is a valid spectral density or not. If it is transmitted through a system as shown in Fig. 8.31,
find the output power density spectrum.
X(/)
...
Fig. 8.31 A delay system
540
Solution
16
Sxx(co) =2-
co +16
Given
For a valid spectral density, S xx (co) should satisfy

(1)
Sxx(co) > 0 for any value of co
(2)
Sxx(co) = Sxx (-co)
It is observed that S xx (co) satisfies both conditions. .. S xx (co) is a valid spectral

density.
From Fig. 8.31, the output is
yet) = X(t + 2T) + X(t
2T)
The Fourier transform is
Y(co) =eJ2Tw X(co) + e- J2TW X(co)

Y(co) =X(co)(e j2TW +e- JZTW )
H(co)
We know that
eJZTW + e- jZTW = 2cos(2coT)
Y(co)
X(co)
2
Syy(co) =IH(co)1 Sxx(co)
16
2
Syy(co) =4cos (2coT)-z-
co +16
Syy(co)
= 64cos 2 (2coT)
co 2 +16
Example 8.13
A stationary random processX(t) and yet) has spectral density functions Sxx(co) =
m2
and Syy(co) =
2
l!)
+16
16
co +16
. Let another stationary random process be Vet) = X(t) + Yet). Find
the spectral densities Suu (co), S xu (co), and Sw (co) . Assume thatX(t) and yet) are uncorrelated
with zero mean value.
541
Solution
Given that
U (t) . X(t) + yet)

Suu(ro) = F[Ruu(1')]
Ruu(1') =E[U(t)U(t+1')]
E[(X(t) + Y(t))(X(t +1')Y(t +1')]
=E[X(t)X(t +1') + X(t)Y(t +1') + Y(t)X(t +1') + Y(t)Y(t +1')]
= Rxx(1')+ Rxr(1')+ RyxC1') + Ryy(1')

:. The power spectral density is
Suu(ro)
Suu (ro)
F[Rxx(1')] + F[Rxr(1')] + F[ Ryx(1')] + F[Ryy(1')]
= S xx (ro)+ S Xy(ro)+ Sr.x(ro) + Syy (ro)
Since X(t) and Y(t) are uncorrelated and zero have mean values, then.
Suu(ro)
and
16
ro2
ro 2 + 16
+
0+
0+
"-'
ro2 +16
ro2 +l6 ro2 +l6
Sxu(ro) =F[Rxu(ro)]
Now Rxu(ro)
E[X(t) U(t +1')]

:::: E[X(t) (X(t +1') + Y(t +1')]
Rxu(ro) = Rxx(1') + Rxr(1')

Sxu(ro) =Sxx(ro)+Sxr(ro)
or
Similarly,
S xu (ro)
16
=--;:-
2
ro + 16
542
Example 8.14
A random process yet) is obtained from the system as shown in Fig. 8.32. Find the o/p
spectral density in terms of i/p spectral density, where Ao and
00
are constants, X(t) is the
input random process and its power spectral density is S xx (0) .
X(t)
Product modulator f-Y:-,-(t~)---liI"
Fig. 8.32 Product modulator
Solution
From Fig. 8.32, yet) is given by
yet)
Ryy(t,t+r)
= X(t)Ao cos mot

E[Y(t) yet +r)]
E[X(t) Ao cos(Oot) X(t +r) Ao cos 00 (t +r)]
= AgE[X(t)X(t +r)]cos(Oot) cosOo(t +r)
=AgRxx(r)cos(Oot) cosOo(t+r)
1
Ryy(t,t +r) = AgRxx(r)-(cosOor +cos(2Oot + %r

2 .
Since Ryy depends on t, the output is not a wide sense stationary random process. The
output spectral density is S yy (0)
=F {A[Ryy (t, t + r)]} .
We know that,
1
A[Ryy(t,t +r)] = lim- Ryy(t,t + r)dt

T--+oo 2T -T
1 T Ag
lim- J-R xx (r)(cos%r + cos(2Oot + Oordt
T->oo 2T
2
-T
1 AgR ()r
Sin(2Oot+%r)]T
= 1I m
- - xx r LtcosClV+
T->"'2T
2%
543
1~
= T-.oo
lim--Rxx{'r)[2Tcosroo'l' + 0]
2T 2
The power spectral density is S yy (ro)
= F[ Rxx (r)]
F[ ~ Rxx(r)Cos<q,r]
F[Rx.x('l')cos av]
(From Appendix B)
Example 8.15
If the input auto correlation function is Rxx (r) = A e-alrl , where A and a are constants, find
the output spectral density and draw the output power spectrum for
~ xx(ro- %)+ Sxx(ro + roo)]'

Syy(ro) =4[S
Solution
JA e
00
..
S xx ( ro)
-al,1
e j(J)T d'l'
-<0
JA
00
eaTe - jmT
dr + fA e -aT e- jwr d'l'
-'"
Al J
e(a-j(olT dr
+ 'je-ra+JCOlT dr
..,
)'
La
\l
A2a
jro
a + jro
544
and
S xx ( co + coo)
2Aa
2
Given the output power density, Syy(co)
S,,(w)
(co+coo) +a
[Sxx(CO- coo) + S xx (co + coa )]
~A(1lw-~~+a' + (w+~~+a' 1
Figure. 8.33 shows the input autocorrelation and its density spectrum and Fig. 8.34 shows
the output power density spectrum.
2A/a
o
(a)
Fig. 8.33 (a) Input correlation/unction
Fig. 8.33 (b) Input power spectral density

1_~
Syy(w)
____ _
2a
o
Fig 8.34 Output power density spectrum
Example 8.16
A WSS random process X(t) with psd S.rr(m) is applied at the input of a delay system
shown in Fig. 8.35. Find the psd of Yet).
y(t)
Fig. 8.35 Delay system
..
545
Solution
Given the psd ofX(t) is S xr(m). From Fig. 8.35,
yet) = X(t) + X(t-2T)
Taking Fourier transform
jru2T
Y(m) = X(m) + X(m) e
Y(m)
=X(m)[1 + e-J2ruT ]
The system transfer function is
H(m) Y(m) =1+e-J2ruT

X(m)
Outputpsdis Syy(m)
H(m) 12 Sxr(m)
=11+e- J2ruT 12 Sxr(m)
Syy(m)
(1 + cos 2mT
=11 + e-J2ruT 12 Sxr(m)

j sin 2mT) (l + cos 2mT + j sin 2mT)Sxr (m)
[(1 + cos2mT)2 + sin 2 2mT]Sxr(m)
=[I + cos 2 2mT + 2 cos 2mT + sin 2 2mT]Sxr (m)

2[1 + cos2mT]Sxr(m)
Syy(m)
4cos 2 (mT)Sxr(m)
Example 8.17
A random process net) has a psd G( m) = No for 2

transfer function H (m)
{2
. 0
-%
~m~mo
.
otherwIse
00
< m ~ 00. It is processed through a LPF
. Find the psd of the output.
(Nuv 2002, Nov 2003)

Solution
Given
N
G(m) =_0
The output psd is
-oo<m<oo and H(m) =
{20
mo <m <mo
otherwise
546
Example 8.18
A random noise X(t) having power spectrum S xx (ro) =
3 2 is applied to a network for

49+ro
which h(t) =u(t)r e-71 The network response is denoted by Y(t).

(a)
What is the average power in X(t)?
(b) . Find the power spectrum of Yet).
(c)
Find the average power in Yet).
(Feb 2007, Feb 2009)
Solution
Given input power spectrum Sxx (ro) =

and
(a)
.3 2
49+ ro
h(t) = t 2 e-7I u(t)
The average power in X(t) is
_1 [Sxx(ro)dro
21C
00
3 1C
-x21C 7
0.2143
Pxx =0.2143 watts

(b) Output power spectrum is
Syy(ro) = IH(ro) 12 Sxx(ro)
Now
H(ro) =.F[h(t)] = F[t2 e-7I u(t)] =:
2
,
(7 + }ro)"
(From Appendix A)
Syy(ro)
=[
547
2
[2 X__3--=2
(7 + jroi
49 + ro
(c) Average power in yet) is
Pyy = 1 [Syy(ro)dro
2rc -00
(From Appendix A)
Example 8.19
A white noise with spectral density No 12 is transmitted through a linear system as shown in
Fig. 8.36. Find the output spectral density, and average power.
x:: R~
L
Y~W)
Fig. 8.36 Linear RL system
Solution
Given that
S.\:\,(m) =No 12
H(ro)
Y(ro)
X(ro)
R
R + jroL
IH(ro) I
= R 2 +ro2L2
Output spectral density Syy (ro) = IH( roW Sxx (ro)
548
Syy(CO)
The average power
R2
R2 + co2L2
N 12
0
1S
=N oR2 _1_ tan -1 (roL )'"

41t' R L
NoR
R->
NoR
--1t'=-
41t'L
4L
:. The average power is Pyy
2 2L
watts
Example 8.20
Find the noise bandwidth of a system having the power transfer function 1H( ro) 12
1
4 ' where roo is a real constant.
1+ (rol COo)
Solution
Given
H(ro) 12
=I + (COlI %)4
We know that the noise balluwiuth is
Now
549
i
1 dx
2rc .L:, 1+ X4
Since [
-<J)
1 dx _ rc
1+ X4
(From Appendix A)
Example 8.21
A white noise X(/) of psd No is applied on an LTI system having impulse response h(t). If
2
Y(t) is the output, find: (a)E[y2(t)]; (b) Rxy(r); (c) Rrx(r); and (d) Ryy(r).
Solution
Given
S xx(m) = psd of white noise= No

2
Then
(a)
E[y2(t)]
..
RxxCrp r 2 )
o(rl -r2 )
[Rxx(rl,r2)h(rl)h(r2)drldr2
F,[y2(t)]
= [ ~o h2(r)dr
E[y2(t)]
I h2(r)dr
Hence the output power is proportional to the area under the curve of h2(t).
(b) We know that,
Rxy(r)
Rxx(r) *h(r)
[
~o o(r-rl)h(rl)drl
550
N
RXy('C) =fh('C)
(c)
Ryx('C) =Rxx('C)*h(-'C)
R'LY
(d)
No h(-1:)
('C)
Ryy('C)
=Rxx('C)*h('C)*h(-'C)
[ [ Rxx('C +'C 1 'CZ)h('CI)h('Cz)d'Cld'C2
RyY('C)
E[y2(t)]
RyY('C) = No [ h2('C)d'C
co
Example 8.22
The bandwidth of a system is 10 MHz. Find the thennal noise voltage across an 800n
resistor at room temperature.
Solution
Given BN
10 MHz, R 800 n, T :: 300 K.
The mean square value of noise is
v "2 =4kTRB,v
v~ = 4 X 1.3810-23 X 300 x 800 x 10 X 106
1"1118
noise voltage
V,~
132.48 X 10- 12
V" _
.JJJ2.48 x 10
12 ;:;:: 11.5
It volts
Example 8.23
Find the noise voltage across the capacitor shown in Fig. 8.37 at room temperature.
551
Fig. 8.37 RC netlvork
Solution
The impedance across 1, 2 is
ZI2
R
jroC
= 1 + jroC R
=
1
R+-
jroC
Z12
= 1+ (mCR)2
_
R-,,-(1_-:c!-jro_C_R~)
R
Re[Z ] -----;:
12
- 1 + (roCR)2
The power density spectrum is
2kTRe[ZI2] =
2kTR
2
l+roCR
We know that the noise power is
-2
Vn
1 [
= 21C
2kTR
kTR [
1C
-2
+ ro 2C 2 R2
-C<)
ro
1
dro= kTR ltan-l(mC'R)r
1+ ro2 C2 R2
1CCR
~
kT
kT
V'1 =-X1C=
1CC
The noise power across the capacitor is
-2
kT
=V I1 =
Given
k =1.38xlO-23 , T=300 K, C=47pF
552

23
1.38 x 10- x300 =8.8xlO- W

"
47xlO- '2
The nus noise voltage is
Vn =
Vn
.J8.8 X 10- 11
=9.38 X 10-6 volts
=9.38 f.1 volts

Example 8.24
The noise present at the input of a two port network is 5 JlW. The noise figure is 0.5 dB.
The gain is 106. Calculate
(a)
(b)
the available noise power contributed by the two port system.

OIP available noise power.
Solution
Given watts Ni
F
(a)
5f.1w =5 X 10-6 watts

0.5dB or F=10o.o5 =1.122
G 106
Available noise power contributed by the two port system is
Nsys
G(F -1)N,
Nsys =106 (1.122-1)x5xlO-6

(b)
0.61 watts
Noise power available at the output
No
GFNi
106 x 1.122 x5 x 10-6
= 5.61 watts
Example 8.25
An antenna having noise temperature 300 K is connected to the iJp of a receiver. Equivalent
iJp noise temperature is 2700 K. The mid-band available power gain is 1010 The noise bandwidth
is 1.5 MHz..Find the available output noise power.
Solution
Given
T.nt =30 K,
r: = 270
The input noise power density
K, Ga
= 1010 , BN 1.5 MHz
Linear System with Ra.ndom Processes
23
1.38 X 10- x (30 + 270)
2
553
2.07 x 10-21
Output noise power density
Sno(co)
= GaSni(co)
2.07 X 10-21
GaSni(co)
1010 =2.07xlO- 11 watts/Hz
No =Sno(co)x2BN 2.07xlO-1i x2x1.5x106
Output noise power
.No = 62 f1 watts
Example 8.26
The noise figure of a system is 0.3 dB and the power gain is 108 Find the o/p noise power at
room temperature. Bandwidth is 10 MHz.
Solution
Given
F. =0.3 dB
F=10.03=1.0n,
Ga =108 and BN =10MHz, T=300oK
=GaNi + GaN;(F -: 1)
~"
r., .
No =GfiiF
No =GaBNSi F
No
No
=108 X lOx 106 xkTx1.072
L072x 101.5 xL38xlO-23 x300 = 4.43 x106
4.43 f1 watts
Example 8.27
A communication receiver is shown Fig. 8.38. Find the effective noise temperature of the
receiver, ovemll noise figure and availahle noise power at the output of the receiver.
Antenna 280 K
RF
amplifier
~1",,20K
G1 23dB
f--
L
amplifier ..
Mixer/IF
1'; =6dB
F; =12dB
G3 =40dB
BN 5MHz
G2 =20dB
aJlljJlili<:1
Fig. 8.38 Communication receiver
r-
554
Probability Thepry and Stochastic Processes
Solution
Given
G1 = 25 dB,
G1 = 102.5
G2 = 20 dB,
G2
G3 = 40 dB,
G) = 104
F; =6 dB,
F; =106 =3.98
F;
T
=12 dB,
0
300 K,
102
~ = 101.2
T"
= 316.23
100
::::
10000
=15.85
BN
= 20 K,
5 X 10 Hz,
T.nt = 28 K
We know that
1'",
1) = 300(3.98 1) =894 K
0
T(F;
T,.'J = T(F;
1) = 300(15.85 -1)
4455 K
:. Effective noise temperature
1'"
1'"
Overall noise figure
= 20+
894 + 4455
316.23 31623
=22.96 K
I +T"
T
1+ 22.96
300
F =1.077
Overall gain G = G1 G2 G3
Output noise power,
316.23 x 106
No == GFk(T.nl + T,,)BN
Nfl = 316.23 X 106 x 1.077 x 1.38x 10-23 x (28 + 22.96) x 5 x 106
N" =1.198 JlW
Available noise voltage
vn
=.IN: = 1.0945m volts
Example 8.28
The noise output ofa resistor is amplified by a noiseless amplifier of gain 60 at a bandwidth
of 20 kHz. A meter connected at the output of the amplifier reads 1 mV rms. The
555
bandwidth of the amplifier is reduced to 5 kHz, keeping its gain constant. Find the reading
of the meter.
Solution
Given amplifier gain Ga

Voltmeter reading Vrms,
60, bandwidth B.v,
20 kHz
1mV, Bandwidth reduced to BN, == 5 kHz.
Since the amplifier is noiseless, noise figure is constant.
For BN,
V';;'s 2
or
or
Vrms,
= .jO.25 X 10-6 = 0.5 m volts
The metre reading is 0.5 m volts.

Example 8.29
Determine which of the following impulse response does not correspond to a system that is
stable or realisable, or both, and state why.
(i)
h(t) =u(t + 3)
(ii)
h(t) == u(t)e -I'
(iii)
h(t) =e' sin(av), coo: real constant
(iv)
h(t) = u(t)e-3t ,
WO:
real constant
(Feb 2006, Feb 2007)

Solution
(i)
Given h(t) = u(t + 3).

The system is unstable and unrealisable because:
(1) For stable system, we know that yet) = [h(r)x(t -r)dr < 00.
Let x(t) = A, finite constant. then, the output
y(t) = [Au(r + 3)dr = A [u(r + 3)dr = 00

(2) Also for the system to be causal, h(t) = 0 for t < 0
he-I) =u(2)*0
but
System is non-causal. Hence the given system is unstable and unrealisable.
(ii)
t2
Given h(t) = u(t)e- .
The system is stable and realisable because:
(1) For a stable system,
y(t) = [A u(r)e-~2 dr
y(t) = A [ u(r)e-~2 dr
= A e-~2 dr = AJii
Bounded output.
(2) For the system to be causal
Hence
h(t) = 0,
t <0
u(t) = 0,
t <0
System is causal. :. The system is stable and realisable.
(iii) Given h(t) = e sine wot), wo: real constant.

l
The system is unstable and unrealisable because:

(1) For a stable system,
y(t)
= [, A e~ sin(wor)dr = 00
Since the exponential function grows without bound.
557
(2) For a causal system,

h(t)
0 for t < 0
Here e sin(av)"* 0 for t < O. System is non-causal.

:. The system is unstable and unrealisable.
u(t)e- 31 , roo: is a real constant
(iv) Given h(t)
The system is stable and realisable because:

(1) For a stable system
yet)
A u(1:)e-3t d1:
3t
yet) A[e- d1:=+AI3
.. Bounded output.
(2) For a causal system
h(t)
Here e-31: u(t)
0 for t < 0
0 for t < O. System is causal.
. . The system is stable and realisable.
Example B.30
A signal x(t) =u(t)e4X1 is applied to a network having an impulse response h(t) = Wu(t)e- w1 .
Here a and Ware real positive constants and u(t) is a unit step function. Find (a) y(t) and
(b) the output spectrum.
(Nov 2006, Nov 2008)
Solution
Given
x(t) u(t)e- at
h(t) W u(t)e- Wt
(a) We know that the system response is

yet) x(t) * h(t)
yet) .[ h(1:)x(t -1:)d1:

Wt
a
yU) [Wu(1:)e- u(t-1:)e- (H)d1:
Since u(1:)u(t -1:)
I 0 <1: ~ t
{ o otherwise
558
therefore
y(t)
y(t)
= We-at
We-at e-(w-a)~ dT
e-~(W-a)
]'
-(W -a)
y(t)
[-at -e-WI]
-W
-e
for t>O
W-a
y(t) =~[e-at -e-Wt]u(t)

. W-a
or
(b)
The input spectrum is
X(eo) =F[x(t)]
X(eo) =F[e-a1u(t)]
a+ jeo
and
!l(eo)
= F[h(t)]
=F[We-Wtu(t)]
W
W+ jeo
The output spectrum is
Y(m)
= X(eo)H(eo)
Y(eo) = - - - -
(a + jeo)(W + jeo)
We can also find the output spectrum using Fourier transform

Y(m)
F[y(t)]
W
=W
[1
a a + jeo
1]
W + jeo
W .[ W + jeo-a- jeo]
W -a (a + jeoXW + jeo)
(a+ jm)(W+ jm)
559
Example 8.31
Two systems have transfer fimction Hi (m) and H 2 (m) .

(a) Show that the transfer fimction H (m) of the cascade of the two, which means that
the output of the first feeds the input of the second system is H (m)
=HI (m)H 2 (m) .
(b) For a cascade of N systems with transfer fimctions

Hn(m), n =1,2,3 .....N, show that
N
(Nov 2006, May 2009)
H(m) =nHn(m)
n=1
Solution
(a) Consider the cascade system as shown in Fig.8.39(a).

X(w)
Fig. 8.39 (a) Cascade ~ftwo systems.
We know that
=H2 (m); (m)
and
1';(m)
or 1';(m)
H2 (m)HI (m)X(m)
If H (m) is transfer fimction of the system, then

H(m)
= 1';(m)
X(m)
So
(b) . If the third system
H(m)
~hown
HI (m)Hz(m)
in Fig.8.39(b) is cascaded to the first two systems, then
1;(m)
1'; (m)H3(m)
H 3(m)H 2 (m)H 1(m)X(m)
or
H(m)
Y, (m) ::;: H (0) H (m) H (m)
X(w)
y;;(w)
1';(m)
Fig. 8.39 (b) Third system
560
Similarly, for a cascade of N systems as shown in Fig. 8.39(c), the output function is
Fig. 8.39 (c) Cascade olN system
Y(m) = H] (m)H2 (m)H3(m) ... .HN(m)X(m)
If H(m) is the overall transfer function, then

Y(m) = H(m)X(m)
or
H(m)
= TIHn(m)
n=]
Proved.
Example 8.32
A random process net) has a psd G(f) = 10-4 for
-00::;
f ::; 00. The random process is
passed through an LPF whose transfer function is
H (f) = {100
- fm ::; ( ::; fm. Find the psd of the wavefonn at the olp of the filter
otherwIse
(May 2011)
Solution
= 10-4
Given
G(f)
and
H(f) =100
00::;
f::;
00
- f m ::; f::; fm
The output psd is
Go(f)
= 1H(f) 12
G(f)
Go(f) =100 2 xl0-4
-f", ::;f::;/,,,
Example 8.33
X(t), a stationary random process with zero mean and autocorrelation Rxx (r)
to a system of function H (m)
= e-21~1 is applied
= _1_ . Find the mean and psd of its output.

2+jm
(May 2011)
Linear System with Random Processes 561

Solution
Rxx(r)
Given
H(j)=
=e-.2lrl,
I
.
2+J(j)
Then the psd is
= F[Rxx(r)] =F[e-2Irl ]
S xx(j)
2(2)
psd of the output is
Syy(co) =Sxx(co)IH(j)1 2
=- - X - - ; : - - 7 " =-2 - x -
(j)2 + 4
co + 4 (j)2 + 4
4
S yy (j) == ----,,.--___:_
Mean value of X(t) is
-2
limRxx (r)
lime-2lrl
T-}OO
r~oo
-2
X =0
or
.. Mean value is zero.

Example 8.34
Consider a linear system as shown in Fig. 8.40.

x(t)
yet)
Fig. 8.40 Linear system
x(t) is the input and yet) is the output of the system.

The autocorrelation ofx(t) is Rxx(r)
mean square value ofthe output yet).
50(r). Find the psd, autocorrelation function and
(Nov 2010)
Solution
Given
H(j) =_1_
6+5(j)
Rxx(r) ==50(r)
(i)
psd of the output is

Sxx(m) IH(m) 12
Syy(m)
psd ofthe input
Sxx(m) :==F[Rxx('r)]
5
+36
(ii) Output autocorrelation function:
Ryy('/:) ::; F- 1[Syy (m)]
- F- 1 [
Since
2a
m +a2
m2 +36
e -al't'l
_____- - B
2
(iii) Mean square value:

Ryy(O) ::;
5
12
5
watts
12
::; 0.4167 watts

Example 8.35
A received SSB signal has a power spectrum which extends over the frequency range from
fe ::; 1 MHz to fe + fm ::; 1.003 MHz. The signal is accompanied by noise with uniform
spectral density 10-9 watts/ Hz .

(a) The noise net) is expressed as
net) =nl(t)cos21fj~t
n,(t)sin2nfet
Find the power spectral densities of the quadrature components in the spectral range
specified as fe ::; f ::; fe + fm
(b) The signal plus its accompanying noise is multiplied by a local carrier cos(21f fet) .
Plot the psd of the noise at the o/p of the multiplier.
(May 1998)
563
Solution
Given SSB has frequencies fc :::: 1 MHz to fc + 1m
:. 1m
:::: 1.003 MHz
3 kHz
Noise psd SN(/) :::: 10-9 watts! Hz

(a) Given the noise net)
nJ(t)cos27rfct n.(t)sin27rfct.
The power densities of the in phase and quadrature phase components are
S NJ (f)
S No< (I)
= S N (fc /,,,) + SN (fc + 1m)
:::: 10-9 + 10-9
(b)
=2 X 10-9 watts! Hz
When the signal is multiplied by a local carrier cos(27r fct) , its power will be reduced
by 4 times. The output power has uniform power spectral density of 10--9 watts! Hz,
4
with
frequency
components.
fc + fc + 1m:::: 2fc + 1m (iv) fc -
(i) fc + Ie
= 21e
(ii)
Ie
fc
(iii)
Ie + 1m 1m
The plot ofthe output psd is shown in Fig. 8.41.
psd
10-9
Fig.8.41 Output psd
Example 8.36
A stationary random processX(t) having an autocorrelation function Rxx (1')
2e-41'1'1 is applied
to the networkshowll in Fig. 8.42. Find (i) S.\.",(m), (ii) 1H(m) 12 am.l (iii) Syy(ro).
(Nov 2007)
R=1.5Q
X(t)
C2
2F
Fig. 8.42 RC network
Y(t)
564
Solution
(i)
2[
]0
-(jOJ 4)
-<t)
2[
.
e--r(jCO+4)
]'"
-,-(ja>+ 4)
2x8
16
--4-) + jOJ1+4]
16
+16
The circuit with reactance values is shown in Fig. 8.43.
Sxx(OJ)
(ii)
=--:-
:R
~,--t------<J
I
jwe,
Y(co)
X(w)
(a)
Fig. 8.43 (a) RC network with reactance
Fig. 8.43 (b) RC network with impedance
The impedances are
and
The transfer function
565
I
y (f)
H(oo)
x (f)
::=
1.50, C1
= _~-'=--'=---_
I + R
jooC2 jooC,R
1+ jroC(R+ jroC2 R
4F, C2
H (f)
Z2
Z( +Z2
l+joo~R
H(oo)
Now given R
::=
l+jroC1R
1+ jooR(CI +C2 )
= 2F
1+ joo6
1+ joo9
H (00 )H* (f) = (I + joo6)(1

(I + joo9)(1
(iii)
joo6) _ 1+ 3600
j(09) - 1+81002
The output power density spectrum is

2
Syy(oo) =1 H(oo) 12 S (00)= (1+3600 ) x 16

xx
(1 + 81(0 2 ) 00 2 + 16
Example 8.37
White noise with power density
-t
N
is applied to a network with impulse response
h(t) =u(t)Wt exp( -Wt), where 00 > 0 is a constant. Find the cross correlation of the input
and output.
(May 2011)
Solution
=
and
h(t)
=Wte- Wt
u(t),
W >0
566
H(ro)
(W + jro/
Cross power spectral density is
Sxy(ro) = Sxx(ro)H(ro)
W
No
S (ro) xy
- (W + jrof 2
S (ro) _ WNo
1
xy
--2- (W + jro)2
Cross correlations of the input and output is
Rxy('r) =F-1[Sxy(ro)]
Wt e-Wf u(t)
Example 8.38
White noise with a two-sided spectral density of 7J / 2 is passed through a low pass RC
network with time constant r == RC and thereafter through an ideal amplifier with a voltage
gain oflO.
(a)
Write the expression for the autocorrelation function Rn(r) of the white noise.
(b)
Write the expression for the power spectral density of the noise at the output of the
amplifier.
Write the expression for the autocorrelation of the output noise in (b). (Nov 1998)
(c)
Solution
Given the white noise is applied on an LPF and amplifier as shown in Fig. 8.44.
W~it~
nOIse 1112
T=RC
LPF
G=lO
Ideal
Amp
Fig. 8.44 Filter and amplifier
~)
567
1]
The spectral density of the white noise is S NN (w)
1
- --
1+ jwRC 1+ jon
The transfer function of the LPF is HI (w)
Transfer function of the amplifier is Hz(w) =10. The overall transfer function is
H(w)
= HI (w)Hz(w).
H(w)
(a)
10
I+jon
The autocorrelation ofthe function RN('f) of the white noise is
(2) Output psd is
So(w)
So(w)
1H(w)
=1
Z
I
10 121]
1+ jon 2
100
(c)
SNN(W)
1]
501]
==
Autocorrelation function of the output noise is
Ro(t) ;;;;;:F-1[So(W)];;;;;:F- 1 [
Ro(t) ; ; ;: 251] XF-1[
'f
Ro(t) ; ; ;: 2511 xe
501] ]
1+ W 2'f2
2/'f
w2 + (1/ 'f)2
If IN
'f
Ro(t) ; ; ;: 251] e-III/RC

RC
Example 8.39
Find the noise bandwidth of an the RC lowpass filter shown in Fig. 8.45.
568

R=lOCl
X(~Y(o)
-
lwcI
c=2J.1f
0
Fig. 8.45 RC lowpass filter
Solution
1
H(ro)
The transfer function is
= Y(ro) =
X(ro)
H(ro)
Now
jOJC
R+_l_
jOJC
1
l+jroRC
We know that the noise bandwidth is

B
N
and
[I
_1
H(ro) 12 dro
- -=2=n_ _ _::--_
IH(O) 12
I H (0) I = 1
B
N
=_1 [
1
dro
2n
1 + (roCR)2
1
1
1
=-x-tan(OJCR) 100
2n RC
0
B
N
1
n
=--x2nRC 2
1
4RC
Now
R =10 Q
C -I, pf
B
N
:. Noise bandwidth,
1
106
- ----------- ---
- 4x20xlO--{) - 80
BN =12.5 KHz
569
Example 8.40
If two resistors R, == 600 Q and ~ 200 n at temperatures r; == 30C and T2 100C

respectively are connected in parallel, find the noise temperature of the combination.
Solution
If two resistors are connected in 'parallel, then equivalent noise temperature is

T
:=
Now
~R2 +TzR ,
R, +Rz
T.I =30C:= 30+ 270 = 300 K
T2
100C:= 100+ 270:= 370 K
T := 300x600+200x370
800
Tn =317.5 K=47.5C
Example 8.41
An amplifier has input and output impedance of 75 ohms, 60 dB power gain and a noise
equivalent bandwidth of 15 kHz. When a 75
resistor at 290 K is connected to the input,
the output rms noise voltage is 151!V . Determine the effective noise temperature of the
amplifier assuming that the meter is impedance matched to the amplifier.
Solution
Given
Power gain
Go == 60dB or Go = 106
Bandwidth
BN
1'"
15kHz,
==290o K
rms noise voltage at the output Vnus
=151!V
V!s : -: 22.5
Output noise power,
No ==
Input l10ise power
N, =k1'oB
1.38 x 10-23
X 10-
N
=,__
0_
GaNi
watts
290x 15 x 103
== 6 x 10-17 watts
:. Noise figure F
11
570
== 22.5xlO-
11
=375
106 x 6xl0- 17
We know that
~
~
(F -1)1;,
== (3.75 -1)270
742.5K
Example 8.42
An amplifier has 3 dB noise figure. Find the equivalent i/p noise temperature at 30C.
Solution
Given
Now
F =3dB or F=10o. 3 =2
T
= 30C = 30+ 273 = 303 OK
=T(F-1)
=303(2 -1) = 303
K.
Example 8.43
For. the satellite receiver shown in Fig. 8046, calculate the effective noise temperature.
(Nov 2011)
Waveguide
L=O.4dB
Maser
gz 26dB
Tez =4K
Toff'
g3=17dB
F; =6dB
Br =25MHz
Fig. 8.46 Satellite receiver
Solution
Given the loss in the wave guide is
L ;::; Oo4dB or L::: 100.04
Gain in the wave guide is gj
=1.09
= ~ = _1_ =0.91
L
Noise figure of the wave guide F;
1.09
=L =1.09
571
Effective temperature of the wave guide

~l
~l
(1'; -1)Ta
=(1.09
1)270
26K
Also given
26dB or g2
398.1
F; = 6 dB or F;
3.98
g2
~3
=(F; -1)Ta
(3.98-1)270
~3
864.2 K
Now the effective noise temperature of the receiver is
T
+_e3_
Te =Tel +
g,
glg2
4
864.2
==26+--+---
0.91 0.91x398.l
Example 8.44
An amplifier has 3 stages for which T~ == 2000 K (first stage), T~ == 450 0 K and
,
~3
== 10000 K (last stage). If the available power gain of the second stage is 5, what gain
o
must the first stage have to guarantee an effective input noise temperature of 250 K?
(May 2011)
Solution
Given
Tt'j ==200K', eT2 =450K'' cT';J =1000K
Gi,
1'.,
5,
250K
we know that effective input tempcntlun.;
T ==T +
e
e,
+ GG
I
given
= 200 + -(450 + 200) == 250

Gl
G = 650 =13
I
50
Questions
1.
Define the following systems.

(i) LTI system
(iii) Stable system
(ii) Causal system

(iv) Noise bandwidth
(Nov 2006, Feb 2008)

2.
Two systems have transfer functions Hl(m) and H 2 (m). Show that the transfer
function H(m) of the cascade of the two H(m) = HI (m)H2 (m) .
(Nov 2006, Nov 2007)

3.
For a cascade of N-systems with transfer functions Hn(m), n = 1,2,...,N, show that
(Nov 2007, Nov 2006)

4.
5.
6.
7.
8.
9.
10.
II.
12.
How is the autocorrelation function of white noise represented? What is its

significance?
(Nov 2003, May 2009)
Dcrive the relation between psds of input and output random process of an LTI
system.
. (May 2004, Nov 2004, May 2005, May 2009, May 2010)
Define the following random processes:
(i) Band pass
(ii) Band limited
(iii) Narrow band
(Feb 2007, Nov 2007, Nov 2010)

(Nov 2007)
(May~2005, Nov 2010)
Write short notes on different types of noises.

What is thermal noise? How is it quantified?
or
(Nov 2004)
Write a short note on Johnson's noise
(MaylJune 2004)
What are the causes of thermal noise?
(May 2009)
Discuss the spectral distribution of thermal nuis~.
What nrc the precautions to be taken in tht: t:ast:auing stages of a network from the
point of vit:w ur Iloist;! rtXiuction?
(June 2003, Nov 2004. May 2UUY)
or
Bring out the significance of noise figure in determining the performance ofa commu
(Nov 2003)
nication system.
Explain the concept of effective input noise temperature.
(May 2009, 2011)
573
13.
14.
Derive the mathematical description of noise figure.

(May 2004, 2009)
Derive the expression for effective input noise temperature of a cascaded system in
terms of its individual input noise temperature.
(Feb 2007, Nov 2010)
15.
Prove that the output power spectral density equals the input power spectral density
(Nov 2010)
multiplied by the squared magnitude of the transform of the filter.
Problems
8.1
It is desired to generate a random signal X(t) with autocorrelation function,

Rx(1:)
511
' by passing white noise n(t), with power spectral density
S n (f) 1112 wattsl Hz, through an L TI system. Obtain an expression for the
transfer function H if) of the LTI system.
8.2 A WSS random process X(/) is applied to the i/p of an LTI system whose impulse
response is 5te- 2I u(/). The mean of X(t) is 3. Find the mean ofthe olp ofthe system.
8.3
A WSS processX(t) with Rxx(1:) = A e- a1r :, where A and a are real positive constants
. is applied to the i/p of an LTI system with h(/) = e-btu(t), where b is a real positive
constant. Find the psd of the olp of the system.

8.4 The olp of a filter is given by
Y(t) = X(I + T) -X(I -T)
where X(t) is a WSS process with power spectrum Sxy'(m) and T, a constant. Find
the power spectrum of Yet).
8.5 X(t) is a stationary random process with spectral density S xy. (m). yet) is another
independent random process, where Y (I) = A cos( mcl + e), with
e a random variable
uniformly distributed over (-n,n). Find the spectral density function of

Z(t) = X(t)Y(t) .
8.6 A random process n (t) has a psd G(f) = 10-4 for -
00 ~
00.
The random process
is passed through an LPF whose transfer function is

H(f)=
100
{ 0
- f14 ~ f~ fM
otherwise
Find the psd of the waveform at the olp ofthe filter.

8.7 A system's power transfer function is !H(m) 12=
25;~
(May 2011)
(a) What is its noise bandwidth?

(b) Ifwhite noise with power density 6 m W/ Hz is applied to the input, find the noise
power in the system's output.
8.8
White noise with power density N/2 is applied to a lowpass network for which
. IH (0) I:= 2; it has a noise bandwidth of 2 MHz. If the average output noise power is
0.1 W at a 1 12 resistor, what is N ?
8.9 Consider a linear system having transfer function H(m) =_1_. X(t) is the input
6+jm
and yet) is the output of the system. The autocorrelation of X(t) is R xx (r) = 3.0 (r) .
Find the psd, autocorrelation function and mean square value of the output Yet).
8.10 Noise from a 10 kn resistor at room temperature is passed through an ideal LPF
with bandwidth 2.5 MHz and unity gain. Assuming the input noise is Gaussian, with
zero mean, write the expression for pdf of the output.
8.11 Find the rrns noise voltage across a 1 f..l. F capacitor over the entire frequency band,
when the capacitor is shunted by a lkn resistor maintained at 300 K.
8.12 A TV receiver has a 4kn input resistance and operates on the frequency range of
54 - 60MHz. Estimate the rms noise voltage at the input, at an ambient temperature
of 27C.
8.13 Determine the rrns values of the shot noise current in the case of a p-n junction
carrying lOrnA of average current if the operating temperature is 290 0 K and
B 10KHz.
8.14 Compute the input thermal noise voltage of a TV receiver, whose equivalent noise
resistance is 20012 and the source resistance is 300 n. The receiver bandwidth is 6
MHz and the temperature is 27 C.
8.15 In a certain receiving system, the noise power available from the aerial within a 10
kHz band is 10-17 watts. Evaluate the aerial noise temperature.
8.16 Find the available noise power per lmit bandwidth at the i/p of an antenna, with an
effective noise temperature of 15K, feeding into a microwave amplifier with an
effective noise temperature of 20K.
8.17 Calculate the nus noise voltage generated in a bandwidth of 10kHz, by a resistor of
1000 ohms, maintained at 17C. Also fmd the available noise power over this bandwidth.
Determine the corresponding values when the resistor value is increased to 10k
ohms.
575
8.18 White noise of two-sided spectral density 2xl0--6 watts / Hz is applied to a simple RC
LPF whose 3 dB cut off frequency is 4 kHz. Find the mean squared value of the noise
output.
8.19 An amplifier has three stages for which 1',,1
= 200
K (I st stage),
1'"z = 450 K
and
1',,3 10000K (last stage). If the available power gain of the second stage is 5, what
gain must the first stage have to guarantee an effective input noise temperature of
250o K?
(May 2011)
8.20 An amplifier with Go 40dB and BN = 20 KHz is found to have 1'" =10 K . Find 1'"
and noise figure.
8.21 Detennine the overall noise figure referred to the input in the case ofan amplifier with
a noise figure of 9 dB and an available power gain of 15dB, followed by a mixer stage
with a noise figure of 20 dB.
8.22 The noise figure of an amplifier is 0.2 dB. Find the equivalent temperature Te'
8.23 An amplifier has a standard spot noise figure Fo = 6.3 I (8.0dB) . An engineer uses the
amplifier to amplify the output ofan antenna that is known to have antenna temperature
of Ta
180o K.
(a) What is the effective input noise temperature of the amplifier?

(b) What is the operating spot noise figure?
8.24 An antenna is connected to a receiver having an equivalent noise temperature Ta = 10
K. The available gain of the receiver is Ga=10 8 and the noise B W is BN = 10 MHz. If
the available output noise power is 10 JlW , find the antenna temperature.
8.25 A designer requires an amplifier to give an operating spot noise figure of not more
than 1.8 when operating with a 1600 K source. What is the largest value of standard
spot noise figure that will be available in a purchased amplifier?
8.26 Two amplifiers have standard spot noise figure of Fal
= 1.6 and Paz = 1.4 . They have
respective available power gains of GOl = 12 and G02 = 8. The two amplifiers are to
be used in a cascade driven from an antenna.
(a) For best perfonnance, which amplifier should be driven by the antenna.
(b) What is the standard spot noise figure of the best cascade?
8.27 A satellite receiver has the following specifications
1'"
4K,
GI 20dB,
3dB,
40dB,
F; 10dB
G3
= 60dB
To = 290K,
BN =IGHz
Find the available noise power at the receiver output.
8.28 Compute the overall noise figure in the case of four amplifier stages cascaded, given
the following data:
Available gain (dB)
Noise figure (dB)
1st stage
10
50
2nd stage
5
20
3rd stage
8
10
4th stage
12
8.29 An amplifier has three stages for which
r;,3 = 600 K
r;,1 =150
K (first stage),
r;,2 = 350
K and
(output stage). Available power gain of the first stage is 10 and overall
input effective noise temperature is 190K.

(a) What is the available power gain of the second stage?
(b) What is the cascade's standard spot noise figure?
(c) What is the cascade's operating spot noise figure when used with a source of
noise temperature
1'. = 50 K?
8.30 An engineer purchases an amplifier that has a narrow bandwidth of 1 KHz, standard
spot noise bandwidth of 1 KHz and standard spot noise figure of3.8 at its frequency
ofoperation. The amplifier's available output noise power is 0.1 mW when its input is
connected to a radio receiving antenna having an antenna temperature of 80K. Find:
(a) Input effective noise temperature,Te
(b) Its operating spot noise figure F;p'
(c) Its available power gain Ga'
8.31 The noise present at the input to a two port network is IIIW. The noise figure F is 0.5
dB. The receiver gain ga
= 1010 , calculate:
(u) The availahle noise power c:ontrihllteo hy the two pOli.

(b) Thc output available power.
8.32 Find the psd of the thermal noise voltage across the terminals 1 and 2 tor the circuit
shown in Fig. P 8.1
10
Fig. P 8.1 Passive network

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Random Variable

P[1 < X < 2] = Fx(2)- Fx(l)

If the probability density of a random variable is given by

for 0< x< 1

for 1 < x< 2

x for O<x <1

Probability between 0.2 and 0.8 is given by

Probability betweenO.6 and 1.2

Probability Theory and Stochastic Processes

J xdx+ J1.2 (2-x)dx

= 1-0.6 +2(1.2)_1.2 -2+!..

A continuous random variable X has a PDF f(x)

3x2 ,0 < X < 1. Find a and b such that (i)

P{X = a} = P{X > a} and (ii) P{X> b} = 0.05.

Given the probability density function fx (x) = 3x2 , 0 < x < 1.

Given thatP{X = a} = P{X > a}

The Random Variable

Given an analog signal is modelled as a Gaussian random variable N (200, 256).

The required probability is

(0.66)(8.75)+ 0.34"J8.75 2 + 5.51

P(X > 240) = 1.066 x 10- 18

=P(X ~ 240) =1- P(X > 240) ~:1d

The lifetime of Ie chips manufactured by a semiconductor manufacturer is approximately

Probability Theory and Stochastic Processes

The lifetime of les are normally distributed or have a Gaussian distribution.

Probability of lifetime greater than 4 xl 06 hours is

P{X > 4 X 106} = 1- P{X :::;:4 x106}

:. P{X > 4 x 106}

(0.66)(0.2) + 0.34..j0.2 2 + 5.51

For a Gaussian random variablc with a=O and

=1, what is P(IX I> 2) andp[X > 2]?

Given a Gaussian random variable X with mean value Ilx

P(IXI>2) =P(X <-2)+P(X>2)

P(X < -2)

P(X < -2) + 1 P(X < 2)

P(X < 2) = F(2)

PCI XI> 2) =I-F(2)+ 1

The Random Variable

A Rayleigh density function is given by

Prove that f(x) satisfies the properties of the pdf

(i) f(x) 20 for all x and

Find the distribution functionF(x).

Find P(O.5 < X < 2).

(i) By substituting x values, for x;;::: 0, it is observed that fx(x) is always;;::: 0

(ii) Evaluating the integration for x 20, [fx(x)dx

124 Probability Theory and Stochastic Processes

The distribution function FAx) = [fx(x)dx

P(O.5 < X < 2) =P(X < 2)-P(X < 0.5)

Fx (2) FAO.5) + P(X

0.5) - P(X =2)

The Random Variable

Given that the number of automobile arriving at a station is Poisson distributed.

Waiting line occurs at about 20.32% of the time.

If a mass function is given by

Given the mass function of a random variable X is

x 51, 52..., 100

126 Probability Theory and Stochastic Processes

lfthe function is a probability mass function, we know that 2:fx(x) = 1

1, A (1275 + 1225):; 1 . (since sum of n numbers = n(n + 1)

The mass function is fx(x) =

x = 1,2, ... ,50

x. = 51,52, ... ,100