ECE 534: Random Processes

Spring 2016

Problem Set 2
Author: Xiaobin Gao

Due Date: 2/17

1. Problem 1
p.

Yes, Xn 1.
Proof. Given that lim P (An ) = 1, for any > 0,
n

P (|Xn 1| > ) P (Xn = 0) = 1 P (An )

lim P (|Xn 1| > ) 1 lim P (An ) = 0

lim P (|Xn 1| > ) = 0

p.

By definition, Xn 1.
2. Problem 2
No, Xn2 does not necessarily converge in mean square.
Proof. Let {Xn , n 1} be random variables defined on standard unit-interval probability
space. Furthermore,

n1/4 , if 0 1
n
Xn () =
0,
1
if n < 1
Then

E[(Xn 0)2 ] =

1
n

lim E[(Xn 0)2 ] = 0

n
m.s.
Xn

Moreover,
E[Xn4 ] = 1 lim E[Xn4 ] = 1 <
n

On the other hand,

Xn2 () =

n1/2 , if 0
0,

if

1
n

1
n

<1

a.s.

It is easy to see that Xn 0. Then if {Xn } converges in the mean square sense, {Xn }
p.
p.
a.s.
m.s.
converges to 0. (Since Xn 0, Xn 0. Suppose Xn X, then Xn X, which implies
P (X = 0) = 1) However,
E[(Xn2 0)2 ] = E[Xn4 ] = 1 lim E[(Xn2 0)2 ] = 1 6= 0
n

Hence, {Xn } does not converge in the mean square sense.

ECE 534: Random Processes, Problem Set 2

3. Problem 3
Yes, {Xn } converges almost surely to 0.
Proof. For any realization of X, denoted by x, Xn (x) = xn , x [1, 1]. Then,

0,
if 1 < x < 1

lim Xn (x) = 1,
if x = 1
n

not exist , if x = 1
which implies


P {x : lim Xn (x) = 0} = P (1 < x < 1) = 1
n

a.s.

By definition, Xn 0.
4. Problem 4
d.

Yes, Xn + an X + a.
d.

Proof. Since Xn X,




lim E ejuXn = E ejuX , u R

Furthermore, since lim an = a, and ex is a continuous function, we have

n

lim ejuan = ejua , u R

Then,
h
i
h
i




lim E eju(Xn +an ) = lim ejuan lim E ejuXn = ejua E ejuX = E eju(X+a) , u R

d.

which implies that Xn + an X + a.

5. Problem 5
d.

(a) Yes, Xn X.
Proof. Define
n := (1)n X =
X

X,

if n is even

X, if n is odd
Since X has uniform distribution over [1, 1], it is easy to see that X also has uniform
distribution over [1, 1]. Hence FXn (x) = FX (x), n 1, x R, which implies that
d.
n
X
X. Furthermore, lim 1 = 0. By results from Problem 4, we conclude that
n n

d.

Xn X.

(b) No, Xn does not converge in probability.

ECE 534: Random Processes, Problem Set 2

p.

Proof. Suppose Xn X. By Cauchy criteria, for any > 0

lim P (|Xm Xn | ) = 0

m,n

Without loss of generality we can assume m is even, n is odd, and m < n (hence
Consider = 0.2 > 0,

1
m

> n1 ).




1
1
1

P (|Xm Xn | ) = P 2X +
 P X = 0.45
m n
2
Then,
lim P (|Xm Xn | ) 0.45 6= 0

m,n

By contradiction, we conclude that {Xn } does not converge in probability.

6. Problem 6
(a) Yes, {Xn } converges almost surely.
Proof. {Xn , n 1} is a sequence of random variables defined on the probability space
(, F, P ). The sample space , = [0, 1] , is the collection of all realizations of random
sequence {Un , n 1}. Consider any , it is easy to see that
0 Xn () Xn+1 () 1, n 1
Since {Xn (), n 1} is a bounded monotone increasing sequence, it converges. By
Cauchy criterion for deterministic sequence,
lim |Xn () Xm ()| = 0

m,n

Hence,
P :

lim |Xn () Xm ()| = 0 = 1

m,n

a.s.

By Cauchy criterion for random variables, Xn X.

(b) Yes, {Xn } converges in the mean square sense.

Proof. Since {Xn } converges almost surely, {Xn } converges in probability. Furthermore,
P (|Xn | 1) = 1 and E[12 ] = 1 < . Hence, {Xn } converges in the mean square
sense.
p.

(c) {Xn } 1.

ECE 534: Random Processes, Problem Set 2

Proof. We first show that lim E[Xn ] = 1. By law of iterated expectation,

n

E[Xn ] =
=

Xn1 ,Un

[Xn ]


E [Xn |Xn1 ]

Xn1 Un

"Z
=

Xn1

Xn1 fUn (u)du +

Xn1

Xn1

#
Xn1 + u
fUn (u)du
2

1 2
1
1
Xn1 + Xn1 +
4
2
4

2 1
1
1
E[Xn1 ] + E[Xn1 ] +
4
2
4
E

Xn1

where fUn (u) = 1{0u1} is the pdf of Un . The last inequality dues to Jensens inequality.
Since {Xn } converges in the mean square sense, {Xn } converges in expectation, i.e.
lim E[Xn ] exists. Taking limit as n on both sides of the inequality, we have
n

lim E[Xn ]

2 1
1
1
lim E[Xn1 ] +
lim E[Xn1 ] +
4 n
2 n
4


1
1
1
2
lim E[Xn ] +
lim E[Xn ] +
4 n
2 n
4

which implies that

0
=

2 1
1
1
lim E[Xn ]
lim E[Xn ] +
4 n
2 n
4
2
1
lim E[Xn ] 1
4 n

Hence, lim E[Xn ] = 1. Now we are in the position to prove convergence in probability.
n
Given any > 0,
P (|Xn 1| ) = P (1 Xn )

E[1 Xn ]
1 E[Xn ]
=

where the inequality dues to Markovs inequality. Taking limit on both sides of the
inequality as n , we have
1 E[Xn ]
=0
n
n

lim P (|Xn 1| ) = 0
lim P (|Xn 1| ) lim

p.

Hence, {Xn } 1.

7. Problem 7
a.s., m.s., p., d.

(a) Xn 1

ECE 534: Random Processes, Problem Set 2

5
v
n n

Proof. Let v be any realization of V , v > 0. Then lim

p.

a.s.

= 0, which implies lim cos( nv ) =

n

d.

1. Furthermore, P (|Xn | 1) = 1 and

1 Xn
1. Hence, Xn 1 Xn
m.s.
E[12 ] = 1 < . Therefore Xn 1.
(b) {Yn } does not converge in any sense.
Proof. We only need to show that {Yn } does not converge in distribution. Given any
y R,
n
FYn (y) := P (Yn y) = P ( Vn y)

P (V (ny) n1 ), y 0
=
0,
y<0

1
1 e3(ny) n , y 0
=

0,
y<0
Then it can be checked that
FV (y) := lim FVn (y) =
n

1 e3 ,

y0

0,

y<0

which is not a valid cdf ( lim F (y) 6= 1). Hence, {Yn } does not converge in distribution.
y

a.s., m.s., p., d.

(c) Zn eV
a.s., p., d.

Proof. For any realization of V , denoted by v. lim (1+ nv )n = ev . Therefore, Zn

n

m.s.

eV . Furthermore, P (|Zn | eV ) = 1, and E[e2V ] = 3 < . Hence, Zn eV .

8. Problem 8
Proof. Since P (X = c) = 1, the cdf of X can be described by
FX (x) = 1{xc}
d.

which has discontinuity at c. Given that Xn X, for any x R, x 6= c,

lim FXn (x) = FX (x)

Consider any > 0,

P (|Xn c| ) = 1 P (c < Xn < c + ) = 1 FXn (c + ) + FXn (c )
Taking limit on both sides of the equality as n , we have
lim P (|Xn c| ) = 1 lim FXn (c + ) + lim FXn (c ) = 0

n
p.

Hence, Xn c.

ECE 534: Random Processes, Problem Set 2

9. Problem 9
(a) Yn has Binomial distribution with parameters (n, n ). Hence, the characteristic function
of Yn , denoted by Yn (u), is


ju n
, uR
Yn (u) = 1 + e
n n
(b) For any u R,




ju n

= exp lim n ln(1 + eju ) = exp((eju 1))
lim Yn (u) = lim 1 + e
n
n
n
n n
n n
which is the characteristic function of Poisson distribution with parameter .
d.

(c) By part (b), Yn Y , where Y has Poisson distribution with parameter . However, we
are lack of information to determine whether Yn converges in other sense or not. For
example, we do not know whether Yn and Ym (m 6= n) are independent or not, since we
did not assume that X1,n and X1,m are independent.