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Problems On Stochastic Processes

The document discusses stochastic processes and contains 30 problems related to random variables, stochastic processes, stationary processes, wide-sense stationary processes, autocorrelation functions, and other related topics. The problems cover concepts like differences between random variables and stochastic processes, properties of Poisson processes, calculating expectations and distributions of stochastic processes, and determining whether given processes are (wide-sense) stationary or not.

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anish231003
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89 views2 pages

Problems On Stochastic Processes

The document discusses stochastic processes and contains 30 problems related to random variables, stochastic processes, stationary processes, wide-sense stationary processes, autocorrelation functions, and other related topics. The problems cover concepts like differences between random variables and stochastic processes, properties of Poisson processes, calculating expectations and distributions of stochastic processes, and determining whether given processes are (wide-sense) stationary or not.

Uploaded by

anish231003
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Problems on

Stochastic Processes
1. What is the difference between a random variable and a stochastic process?

2. What is the difference between a SSS process and a W SS process?

3. In the fair-coin experiment, we define the process X(t) as follows:


{
sin πt, if head shows
X(t) =
2t, if tail shows

Find (i) E {X(t)} and (ii) F (x, t) for t = 0.25, 0.5, 1.

e−λt (λt)r
4. Show that the Poisson process {X(t)} given by P (X(t) = r) = , r = 0, 1, 2, ... is not
r!
stationary.

5. The process {X(t)} whose probability distribution under certain conditions is given by

(at)n−1

 , n = 1, 2, ...
P {X(t) = n} = (1 + at)n+1

 at , n = 0
1 + at
show that {X(t)} is not stationary.

6. The random process {X(t)} given by X(t) = A cos(w0 t + x) is a WSS process, if A and w0 are
constants and X is uniformly distributed random variable in (0, 2π).

7. The process {X(t)} given by X(t) = A cos λt + B sin λt (where A and B are random variables) is
a W SS process, if- (i) E(A) = E(B) = 0 (ii) E(A2 ) = E(B 2 ) (iii) E(AB) = 0.

8. If a random process is WSS, then show that it must also be co-variance stationary.

9. Given the characteristic function 2


ϕ(ω) = E{eiωY } and a random process

X(t) = cos(λt + Y )

show that {X(t)} is WSS if ϕ(1) = ϕ(2) = 0

10. If {X(t)} is a stochastic process with the auto correlation function Rx (τ ) and if

Y (t) = X(t + a) − X(t − a),

then show that


Ry (τ ) = 2Rx (τ ) − Rx (τ + 2a) − Rx (τ − 2a)

11. Show that Y (t) = X(t)cos(ω0 t + θ) is a WSS process, where X(t) is a WSS process, θ is uniformly
distributed random variable in (−π, π) and ω0 is a constant.

12. Show that the process X(t) = Acosλt + Bsinλt, t ≥ 0 is a WSS process where A and B are
independent normal variate N (0, σ 2 ).

13. Show that the process


X(t) = Acosλt + Bsinλt, t ≥ 0
where A and B are independent random variables and assuming the values −2 and 1 with proba-
bilities 1/3 and 2/3 respectively, is WSS but not SSS.

14. If X(t) = A cos(ωt + ϕ), where A and ϕ are independent random variables and ϕ is uniformly
distributed in (−π, π), then show that the random process {X(t)} is a W SS process.
2 Fourier transform of the density function
15. If X(t) = Y cos t + Z sin t for all t where Y and Z are independent binary random variables, each
of which assumes values −1 and 2 with probabilities 2/3 and 1/3 respectively, prove that {X(t)}
is a W SS process.
16. Show that the process {X(t)} given by X(t) = 5 cos(2t+x) is a W SS process, where X is uniformly
distributed random variable in (0, 2π).

17. If X(t) = P + Qt, where P and Q are independent random variables with E(P ) = p, E(Q) =
q, V ar(P ) = σ12 , V ar(Q) = σ22 , find E {X(t)} , R(t1 , t2 ) and C(t1 , t2 )? Is the process stationary?
18. If X(t) = R cos(ωt + ϕ), where R and ϕ are independent RV s and ϕ is uniformly distributed in
1
(0, 2π), then R(t1 , t2 ) = E(R2 ) × cos ω(t1 − t2 ).
2
19. If the 2n random variables Ar and Br are uncorrelated with zero mean and E{A2r } = E{Br2 } = σr2 ,
show that the process
∑n
X(t) = (Ar cosωr t + Br sinωr t)
r=1

is WSS.

20. Show that the process X(t) = Acos(Y t + ϕ) is a WSS process where Y is a random variable with
density function f (y) and ϕ is a uniformly distributed random variable in (−π, π) independent of
Y.
21. Show that R(τ ) is an even function of τ.

22. Show that R(τ ) is maximum at τ = 0.


23. Calculate the auto-correlation function of the process X(t) = A sin(ω0 t + ϕ), where A and ω0 are
constants and ϕ is a uniformly distributed RV in (−π, π).
24. Show that R(τ ) is an even function of τ.

25. Show that R(τ ) is maximum at τ = 0.


26. If the auto-correlation function R(τ ) of a real stationary process {X(t)} is continuous at τ = 0, it
is continuous at every other point.
27. If R(τ ) is the auto-correlation function of a stationary process {X(t)} with no periodic component,
then lim R(τ ) = µ2 , provided the limit exists.
τ →∞

28. Suppose that X(t) is a process with mean µ(t) = 3 and auto-correlation R(t1 , t2 ) = 9+4e−0.2|t1 −t2 | ,
determine the mean, variance and the co-variance of the random variables Z = X(5) and W =
X(8).
29. Find the mean and the variance of the stationary process whose ACF is given by

25τ 2 + 36
R(τ ) =
6.25τ 2 + 4

30. Show that if R(τ ) is the auto-correlation function of a stationary process {X(t)} with no periodic
component, then lim R(τ ) = µ2 , provided the limit exists. Also find the mean and the variance
τ →∞
9
of the process whose auto-correlation function is R(τ ) = 16 + .
1 + 6τ 2

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