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**A Friendly Introduction for Electrical and Computer Engineers
**

Second Edition

Quiz Solutions

Roy D. Yates and David J. Goodman

May 22, 2004

• The MATLAB section quizzes at the end of each chapter use programs available for

download as the archive matcode.zip. This archive has programs of general pur-

pose programs for solving probability problems as well as speciﬁc .m ﬁles associated

with examples or quizzes in the text. Also available is a manual probmatlab.pdf

describing the general purpose .m ﬁles in matcode.zip.

• We have made a substantial effort to check the solution to every quiz. Nevertheless,

there is a nonzero probability (in fact, a probability close to unity) that errors will be

found. If you ﬁnd errors or have suggestions or comments, please send email to

ryates@winlab.rutgers.edu.

When errors are found, corrected solutions will be posted at the website.

1

Quiz Solutions – Chapter 1

Quiz 1.1

In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated

set.

M

O

T

M

O

T

M

O

T

(1) R = T

c

(2) M ∪ O (3) M ∩ O

M

O

T

M

O

T

M

O

T

(4) R ∪ M (4) R ∩ M (6) T

c

− M

Quiz 1.2

(1) A

1

= {vvv, vvd, vdv, vdd}

(2) B

1

= {dvv, dvd, ddv, ddd}

(3) A

2

= {vvv, vvd, dvv, dvd}

(4) B

2

= {vdv, vdd, ddv, ddd}

(5) A

3

= {vvv, ddd}

(6) B

3

= {vdv, dvd}

(7) A

4

= {vvv, vvd, vdv, dvv, vdd, dvd, ddv}

(8) B

4

= {ddd, ddv, dvd, vdd}

Recall that A

i

and B

i

are collectively exhaustive if A

i

∪ B

i

= S. Also, A

i

and B

i

are

mutually exclusive if A

i

∩ B

i

= φ. Since we have written down each pair A

i

and B

i

above,

we can simply check for these properties.

The pair A

1

and B

1

are mutually exclusive and collectively exhaustive. The pair A

2

and

B

2

are mutually exclusive and collectively exhaustive. The pair A

3

and B

3

are mutually

exclusive but not collectively exhaustive. The pair A

4

and B

4

are not mutually exclusive

since dvd belongs to A

4

and B

4

. However, A

4

and B

4

are collectively exhaustive.

2

Quiz 1.3

There are exactly 50 equally likely outcomes: s

51

through s

100

. Each of these outcomes

has probability 0.02.

(1) P[{s

79

}] = 0.02

(2) P[{s

100

}] = 0.02

(3) P[A] = P[{s

90

, . . . , s

100

}] = 11 ×0.02 = 0.22

(4) P[F] = P[{s

51

, . . . , s

59

}] = 9 ×0.02 = 0.18

(5) P[T ≥ 80] = P[{s

80

, . . . , s

100

}] = 21 ×0.02 = 0.42

(6) P[T < 90] = P[{s

51

, s

52

, . . . , s

89

}] = 39 ×0.02 = 0.78

(7) P[a C grade or better] = P[{s

70

, . . . , s

100

}] = 31 ×0.02 = 0.62

(8) P[student passes] = P[{s

60

, . . . , s

100

}] = 41 ×0.02 = 0.82

Quiz 1.4

We can describe this experiment by the event space consisting of the four possible

events V B, V L, DB, and DL. We represent these events in the table:

V D

L 0.35 ?

B ? ?

In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular,

P [V] = 0.7 = P [V L] + P [V B] (1)

P [L] = 0.6 = P [V L] + P [DL] (2)

Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 −

0.35 = 0.25. This allows us to ﬁll in two more table entries:

V D

L 0.35 0.25

B 0.35 ?

The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1.

This implies P[DB] = 0.05 and the complete table is

V D

L 0.35 0.25

B 0.35 0.05

Finding the various probabilities is now straightforward:

3

(1) P[DL] = 0.25

(2) P[D ∪ L] = P[V L] + P[DL] + P[DB] = 0.35 +0.25 +0.05 = 0.65.

(3) P[V B] = 0.35

(4) P[V ∪ L] = P[V] + P[L] − P[V L] = 0.7 +0.6 −0.35 = 0.95

(5) P[V ∪ D] = P[S] = 1

(6) P[LB] = P[LL

c

] = 0

Quiz 1.5

(1) The probability of exactly two voice calls is

P [N

V

= 2] = P [{vvd, vdv, dvv}] = 0.3 (1)

(2) The probability of at least one voice call is

P [N

V

≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] (2)

= 6(0.1) +0.2 = 0.8 (3)

An easier way to get the same answer is to observe that

P [N

V

≥ 1] = 1 − P [N

V

< 1] = 1 − P [N

V

= 0] = 1 − P [{ddd}] = 0.8 (4)

(3) The conditional probability of two voice calls followed by a data call given that there

were two voice calls is

P [{vvd} |N

V

= 2] =

P [{vvd} , N

V

= 2]

P [N

V

= 2]

=

P [{vvd}]

P [N

V

= 2]

=

0.1

0.3

=

1

3

(5)

(4) The conditional probability of two data calls followed by a voice call given there

were two voice calls is

P [{ddv} |N

V

= 2] =

P [{ddv} , N

V

= 2]

P [N

V

= 2]

= 0 (6)

The joint event of the outcome ddv and exactly two voice calls has probability zero

since there is only one voice call in the outcome ddv.

(5) The conditional probability of exactly two voice calls given at least one voice call is

P [N

V

= 2|N

v

≥ 1] =

P [N

V

= 2, N

V

≥ 1]

P [N

V

≥ 1]

=

P [N

V

= 2]

P [N

V

≥ 1]

=

0.3

0.8

=

3

8

(7)

(6) The conditional probability of at least one voice call given there were exactly two

voice calls is

P [N

V

≥ 1|N

V

= 2] =

P [N

V

≥ 1, N

V

= 2]

P [N

V

= 2]

=

P [N

V

= 2]

P [N

V

= 2]

= 1 (8)

Given that there were two voice calls, there must have been at least one voice call.

4

Quiz 1.6

In this experiment, there are four outcomes with probabilities

P[{vv}] = (0.8)

2

= 0.64 P[{vd}] = (0.8)(0.2) = 0.16

P[{dv}] = (0.2)(0.8) = 0.16 P[{dd}] = (0.2)

2

= 0.04

When checking the independence of any two events A and B, it’s wise to avoid intuition

and simply check whether P[AB] = P[A]P[B]. Using the probabilities of the outcomes,

we now can test for the independence of events.

(1) First, we calculate the probability of the joint event:

P [N

V

= 2, N

V

≥ 1] = P [N

V

= 2] = P [{vv}] = 0.64 (1)

Next, we observe that

P [N

V

≥ 1] = P [{vd, dv, vv}] = 0.96 (2)

Finally, we make the comparison

P [N

V

= 2] P [N

V

≥ 1] = (0.64)(0.96) = P [N

V

= 2, N

V

≥ 1] (3)

which shows the two events are dependent.

(2) The probability of the joint event is

P [N

V

≥ 1, C

1

= v] = P [{vd, vv}] = 0.80 (4)

From part (a), P[N

V

≥ 1] = 0.96. Further, P[C

1

= v] = 0.8 so that

P [N

V

≥ 1] P [C

1

= v] = (0.96)(0.8) = 0.768 = P [N

V

≥ 1, C

1

= v] (5)

Hence, the events are dependent.

(3) The problem statement that the calls were independent implies that the events the

second call is a voice call, {C

2

= v}, and the ﬁrst call is a data call, {C

1

= d} are

independent events. Just to be sure, we can do the calculations to check:

P [C

1

= d, C

2

= v] = P [{dv}] = 0.16 (6)

Since P[C

1

= d]P[C

2

= v] = (0.2)(0.8) = 0.16, we conﬁrm that the events are

independent. Note that this shouldn’t be surprising since we used the information that

the calls were independent in the problem statement to determine the probabilities of

the outcomes.

(4) The probability of the joint event is

P [C

2

= v, N

V

is even] = P [{vv}] = 0.64 (7)

Also, each event has probability

P [C

2

= v] = P [{dv, vv}] = 0.8, P [N

V

is even] = P [{dd, vv}] = 0.68 (8)

Thus, P[C

2

= v]P[N

V

is even] = (0.8)(0.68) = 0.544. Since P[C

2

= v, N

V

is even] =

0.544, the events are dependent.

5

Quiz 1.7

Let F

i

denote the event that that the user is found on page i . The tree for the experiment

is

¨

¨

¨

¨

¨

¨

F

1

0.8

F

c

1

0.2

¨

¨

¨

¨

¨

¨

F

2

0.8

F

c

2

0.2

¨

¨

¨

¨

¨

¨

F

3

0.8

F

c

3

0.2

The user is found unless all three paging attempts fail. Thus the probability the user is

found is

P [F] = 1 − P

¸

F

c

1

F

c

2

F

c

3

¸

= 1 −(0.2)

3

= 0.992 (1)

Quiz 1.8

(1) We can view choosing each bit in the code word as a subexperiment. Each subex-

periment has two possible outcomes: 0 and 1. Thus by the fundamental principle of

counting, there are 2 ×2 ×2 ×2 = 2

4

= 16 possible code words.

(2) An experiment that can yield all possible code words with two zeroes is to choose

which 2 bits (out of 4 bits) will be zero. The other two bits then must be ones. There

are

4

2

**= 6 ways to do this. Hence, there are six code words with exactly two zeroes.
**

For this problem, it is also possible to simply enumerate the six code words:

1100, 1010, 1001, 0101, 0110, 0011.

(3) When the ﬁrst bit must be a zero, then the ﬁrst subexperiment of choosing the ﬁrst

bit has only one outcome. For each of the next three bits, we have two choices. In

this case, there are 1 ×2 ×2 ×2 = 8 ways of choosing a code word.

(4) For the constant ratio code, we can specify a code word by choosing M of the bits to

be ones. The other N −M bits will be zeroes. The number of ways of choosing such

a code word is

N

M

. For N = 8 and M = 3, there are

8

3

= 56 code words.

Quiz 1.9

(1) In this problem, k bits received in error is the same as k failures in 100 trials. The

failure probability is = 1 − p and the success probability is 1 − = p. That is, the

probability of k bits in error and 100 −k correctly received bits is

P

¸

S

k,100−k

¸

=

100

k

k

(1 −)

100−k

(1)

6

For = 0.01,

P

¸

S

0,100

¸

= (1 −)

100

= (0.99)

100

= 0.3660 (2)

P

¸

S

1,99

¸

= 100(0.01)(0.99)

99

= 0.3700 (3)

P

¸

S

2,98

¸

= 4950(0.01)

2

(0.99)

9

8 = 0.1849 (4)

P

¸

S

3,97

¸

= 161, 700(0.01)

3

(0.99)

97

= 0.0610 (5)

(2) The probability a packet is decoded correctly is just

P [C] = P

¸

S

0,100

¸

+ P

¸

S

1,99

¸

+ P

¸

S

2,98

¸

+ P

¸

S

3,97

¸

= 0.9819 (6)

Quiz 1.10

Since the chip works only if all n transistors work, the transistors in the chip are like

devices in series. The probability that a chip works is P[C] = p

n

.

The module works if either 8 chips work or 9 chips work. Let C

k

denote the event that

exactly k chips work. Since transistor failures are independent of each other, chip failures

are also independent. Thus each P[C

k

] has the binomial probability

P [C

8

] =

9

8

(P [C])

8

(1 − P [C])

9−8

= 9p

8n

(1 − p

n

), (1)

P [C

9

] = (P [C])

9

= p

9n

. (2)

The probability a memory module works is

P [M] = P [C

8

] + P [C

9

] = p

8n

(9 −8p

n

) (3)

Quiz 1.11

R=rand(1,100);

X=(R<= 0.4) ...

+ (2*(R>0.4).*(R<=0.9)) ...

+ (3*(R>0.9));

Y=hist(X,1:3)

For a MATLAB simulation, we ﬁrst gen-

erate a vector R of 100 random numbers.

Second, we generate vector X as a func-

tion of R to represent the 3 possible out-

comes of a ﬂip. That is, X(i)=1 if ﬂip i

was heads, X(i)=2 if ﬂip i was tails, and

X(i)=3) is ﬂip i landed on the edge.

To see how this works, we note there are three cases:

• If R(i) <= 0.4, then X(i)=1.

• If 0.4 < R(i) and R(i)<=0.9, then X(i)=2.

• If 0.9 < R(i), then X(i)=3.

These three cases will have probabilities 0.4, 0.5 and 0.1. Lastly, we use the hist function

to count how many occurences of each possible value of X(i).

7

Quiz Solutions – Chapter 2

Quiz 2.1

The sample space, probabilities and corresponding grades for the experiment are

Outcome P[·] G

BB 0.36 3.0

BC 0.24 2.5

CB 0.24 2.5

CC 0.16 2

Quiz 2.2

(1) To ﬁnd c, we recall that the PMF must sum to 1. That is,

3

¸

n=1

P

N

(n) = c

1 +

1

2

+

1

3

= 1 (1)

This implies c = 6/11. Now that we have found c, the remaining parts are straight-

forward.

(2) P[N = 1] = P

N

(1) = c = 6/11

(3) P[N ≥ 2] = P

N

(2) + P

N

(3) = c/2 +c/3 = 5/11

(4) P[N > 3] =

¸

∞

n=4

P

N

(n) = 0

Quiz 2.3

Decoding each transmitted bit is an independent trial where we call a bit error a “suc-

cess.” Each bit is in error, that is, the trial is a success, with probability p. Now we can

interpret each experiment in the generic context of independent trials.

(1) The random variable X is the number of trials up to and including the ﬁrst success.

Similar to Example 2.11, X has the geometric PMF

P

X

(x) =

¸

p(1 − p)

x−1

x = 1, 2, . . .

0 otherwise

(1)

(2) If p = 0.1, then the probability exactly 10 bits are sent is

P [X = 10] = P

X

(10) = (0.1)(0.9)

9

= 0.0387 (2)

8

The probability that at least 10 bits are sent is P[X ≥ 10] =

¸

∞

x=10

P

X

(x). This

sum is not too hard to calculate. However, its even easier to observe that X ≥ 10 if

the ﬁrst 10 bits are transmitted correctly. That is,

P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)

10

(3)

For p = 0.1, P[X ≥ 10] = 0.9

10

= 0.3487.

(3) The random variable Y is the number of successes in 100 independent trials. Just as

in Example 2.13, Y has the binomial PMF

P

Y

(y) =

100

y

p

y

(1 − p)

100−y

(4)

If p = 0.01, the probability of exactly 2 errors is

P [Y = 2] = P

Y

(2) =

100

2

(0.01)

2

(0.99)

98

= 0.1849 (5)

(4) The probability of no more than 2 errors is

P [Y ≤ 2] = P

Y

(0) + P

Y

(1) + P

Y

(2) (6)

= (0.99)

100

+100(0.01)(0.99)

99

+

100

2

(0.01)

2

(0.99)

98

(7)

= 0.9207 (8)

(5) Random variable Z is the number of trials up to and including the third success. Thus

Z has the Pascal PMF (see Example 2.15)

P

Z

(z) =

z −1

2

p

3

(1 − p)

z−3

(9)

Note that P

Z

(z) > 0 for z = 3, 4, 5, . . ..

(6) If p = 0.25, the probability that the third error occurs on bit 12 is

P

Z

(12) =

11

2

(0.25)

3

(0.75)

9

= 0.0645 (10)

Quiz 2.4

Each of these probabilities can be read off the CDF F

Y

(y). However, we must keep in

mind that when F

Y

(y) has a discontinuity at y

0

, F

Y

(y) takes the upper value F

Y

(y

+

0

).

(1) P[Y < 1] = F

Y

(1

−

) = 0

9

(2) P[Y ≤ 1] = F

Y

(1) = 0.6

(3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − F

Y

(2) = 1 −0.8 = 0.2

(4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − F

Y

(2

−

) = 1 −0.6 = 0.4

(5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = F

Y

(1

+

) − F

Y

(1

−

) = 0.6

(6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = F

Y

(3

+

) − F

Y

(3

−

) = 0.8 −0.8 = 0

Quiz 2.5

(1) With probability 0.7, a call is a voice call and C = 25. Otherwise, with probability

0.3, we have a data call and C = 40. This corresponds to the PMF

P

C

(c) =

⎧

⎨

⎩

0.7 c = 25

0.3 c = 40

0 otherwise

(1)

(2) The expected value of C is

E [C] = 25(0.7) +40(0.3) = 29.5 cents (2)

Quiz 2.6

(1) As a function of N, the cost T is

T = 25N +40(3 − N) = 120 −15N (1)

(2) To ﬁnd the PMF of T, we can draw the following tree:

¨

¨

¨

¨

¨

¨

¨

N=0

0.1

r

r

r

r

r

r

r

N=3

0.3

$

$

$

$

$

$

$N=1 0.3

N=2 0.3

•T=120

•T=105

•T=90

•T=75

From the tree, we can write down the PMF of T:

P

T

(t ) =

⎧

⎨

⎩

0.3 t = 75, 90, 105

0.1 t = 120

0 otherwise

(2)

From the PMF P

T

(t ), the expected value of T is

E [T] = 75P

T

(75) +90P

T

(90) +105P

T

(105) +120P

T

(120) (3)

= (75 +90 +105)(0.3) +120(0.1) = 62 (4)

10

Quiz 2.7

(1) Using Deﬁnition 2.14, the expected number of applications is

E [A] =

4

¸

a=1

aP

A

(a) = 1(0.4) +2(0.3) +3(0.2) +4(0.1) = 2 (1)

(2) The number of memory chips is M = g(A) where

g(A) =

⎧

⎨

⎩

4 A = 1, 2

6 A = 3

8 A = 4

(2)

(3) By Theorem 2.10, the expected number of memory chips is

E [M] =

4

¸

a=1

g(A)P

A

(a) = 4(0.4) +4(0.3) +6(0.2) +8(0.1) = 4.8 (3)

Since E[A] = 2, g(E[A]) = g(2) = 4. However, E[M] = 4.8 = g(E[A]). The two

quantities are different because g(A) is not of the form αA +β.

Quiz 2.8

The PMF P

N

(n) allows to calculate each of the desired quantities.

(1) The expected value of N is

E [N] =

2

¸

n=0

nP

N

(n) = 0(0.1) +1(0.4) +2(0.5) = 1.4 (1)

(2) The second moment of N is

E

¸

N

2

¸

=

2

¸

n=0

n

2

P

N

(n) = 0

2

(0.1) +1

2

(0.4) +2

2

(0.5) = 2.4 (2)

(3) The variance of N is

Var[N] = E

¸

N

2

¸

−(E [N])

2

= 2.4 −(1.4)

2

= 0.44 (3)

(4) The standard deviation is σ

N

=

√

Var[N] =

√

0.44 = 0.663.

11

Quiz 2.9

(1) From the problem statement, we learn that the conditional PMF of N given the event

I is

P

N|I

(n) =

¸

0.02 n = 1, 2, . . . , 50

0 otherwise

(1)

(2) Also from the problem statement, the conditional PMF of N given the event T is

P

N|T

(n) =

¸

0.2 n = 1, 2, 3, 4, 5

0 otherwise

(2)

(3) The problem statement tells us that P[T] = 1 − P[I ] = 3/4. From Theorem 1.10

(the law of total probability), we ﬁnd the PMF of N is

P

N

(n) = P

N|T

(n) P [T] + P

N|I

(n) P [I ] (3)

=

⎧

⎨

⎩

0.2(0.75) +0.02(0.25) n = 1, 2, 3, 4, 5

0(0.75) +0.02(0.25) n = 6, 7, . . . , 50

0 otherwise

(4)

=

⎧

⎨

⎩

0.155 n = 1, 2, 3, 4, 5

0.005 n = 6, 7, . . . , 50

0 otherwise

(5)

(4) First we ﬁnd

P [N ≤ 10] =

10

¸

n=1

P

N

(n) = (0.155)(5) +(0.005)(5) = 0.80 (6)

By Theorem 2.17, the conditional PMF of N given N ≤ 10 is

P

N|N≤10

(n) =

¸

P

N

(n)

P[N≤10]

n ≤ 10

0 otherwise

(7)

=

⎧

⎨

⎩

0.155/0.8 n = 1, 2, 3, 4, 5

0.005/0.8 n = 6, 7, 8, 9, 10

0 otherwise

(8)

=

⎧

⎨

⎩

0.19375 n = 1, 2, 3, 4, 5

0.00625 n = 6, 7, 8, 9, 10

0 otherwise

(9)

(5) Once we have the conditional PMF, calculating conditional expectations is easy.

E [N|N ≤ 10] =

¸

n

nP

N|N≤10

(n) (10)

=

5

¸

n=1

n(0.19375) +

10

¸

n=6

n(0.00625) (11)

= 3.15625 (12)

12

0 50 100

0

2

4

6

8

10

0 500 1000

0

2

4

6

8

10

(a) samplemean(100) (b) samplemean(1000)

Figure 1: Two examples of the output of samplemean(k)

(6) To ﬁnd the conditional variance, we ﬁrst ﬁnd the conditional second moment

E

¸

N

2

|N ≤ 10

¸

=

¸

n

n

2

P

N|N≤10

(n) (13)

=

5

¸

n=1

n

2

(0.19375) +

10

¸

n=6

n

2

(0.00625) (14)

= 55(0.19375) +330(0.00625) = 12.71875 (15)

The conditional variance is

Var[N|N ≤ 10] = E

¸

N

2

|N ≤ 10

¸

−(E [N|N ≤ 10])

2

(16)

= 12.71875 −(3.15625)

2

= 2.75684 (17)

Quiz 2.10

The function samplemean(k) generates and plots ﬁve m

n

sequences for n = 1, 2, . . . , k.

The i th column M(:,i) of M holds a sequence m

1

, m

2

, . . . , m

k

.

function M=samplemean(k);

K=(1:k)’;

M=zeros(k,5);

for i=1:5,

X=duniformrv(0,10,k);

M(:,i)=cumsum(X)./K;

end;

plot(K,M);

Examples of the function calls (a) samplemean(100) and (b) samplemean(1000)

are shown in Figure 1. Each time samplemean(k) is called produces a random output.

What is observed in these ﬁgures is that for small n, m

n

is fairly random but as n gets

13

large, m

n

gets close to E[X] = 5. Although each sequence m

1

, m

2

, . . . that we generate is

random, the sequences always converges to E[X]. This random convergence is analyzed

in Chapter 7.

14

Quiz Solutions – Chapter 3

Quiz 3.1

The CDF of Y is

0 2 4

0

0.5

1

y

F

Y

(

y

)

F

Y

(y) =

⎧

⎨

⎩

0 y < 0

y/4 0 ≤ y ≤ 4

1 y > 4

(1)

From the CDF F

Y

(y), we can calculate the probabilities:

(1) P[Y ≤ −1] = F

Y

(−1) = 0

(2) P[Y ≤ 1] = F

Y

(1) = 1/4

(3) P[2 < Y ≤ 3] = F

Y

(3) − F

Y

(2) = 3/4 −2/4 = 1/4

(4) P[Y > 1.5] = 1 − P[Y ≤ 1.5] = 1 − F

Y

(1.5) = 1 −(1.5)/4 = 5/8

Quiz 3.2

(1) First we will ﬁnd the constant c and then we will sketch the PDF. To ﬁnd c, we use

the fact that

∞

−∞

f

X

(x) dx = 1. We will evaluate this integral using integration by

parts:

∞

−∞

f

X

(x) dx =

∞

0

cxe

−x/2

dx (1)

= −2cxe

−x/2

∞

0

. .. .

=0

+

∞

0

2ce

−x/2

dx (2)

= −4ce

−x/2

∞

0

= 4c (3)

Thus c = 1/4 and X has the Erlang (n = 2, λ = 1/2) PDF

0 5 10 15

0

0.1

0.2

x

f

X

(

x

)

f

X

(x) =

¸

(x/4)e

−x/2

x ≥ 0

0 otherwise

(4)

15

(2) To ﬁnd the CDF F

X

(x), we ﬁrst note X is a nonnegative random variable so that

F

X

(x) = 0 for all x < 0. For x ≥ 0,

F

X

(x) =

x

0

f

X

(y) dy =

x

0

y

4

e

−y/2

dy (5)

= −

y

2

e

−y/2

x

0

−

x

0

−

1

2

e

−y/2

dy (6)

= 1 −

x

2

e

−x/2

−e

−x/2

(7)

The complete expression for the CDF is

0 5 10 15

0

0.5

1

x

F

X

(

x

)

F

X

(x) =

¸

1 −

x

2

+1

e

−x/2

x ≥ 0

0 otherwise

(8)

(3) From the CDF F

X

(x),

P [0 ≤ X ≤ 4] = F

X

(4) − F

X

(0) = 1 −3e

−2

. (9)

(4) Similarly,

P [−2 ≤ X ≤ 2] = F

X

(2) − F

X

(−2) = 1 −3e

−1

. (10)

Quiz 3.3

The PDF of Y is

−2 0 2

0

1

2

3

y

f

Y

(

y

)

f

Y

(y) =

¸

3y

2

/2 −1 ≤ y ≤ 1,

0 otherwise.

(1)

(1) The expected value of Y is

E [Y] =

∞

−∞

y f

Y

(y) dy =

1

−1

(3/2)y

3

dy = (3/8)y

4

1

−1

= 0. (2)

Note that the above calculation wasn’t really necessary because E[Y] = 0 whenever

the PDF f

Y

(y) is an even function (i.e., f

Y

(y) = f

Y

(−y)).

(2) The second moment of Y is

E

¸

Y

2

¸

=

∞

−∞

y

2

f

Y

(y) dy =

1

−1

(3/2)y

4

dy = (3/10)y

5

1

−1

= 3/5. (3)

16

(3) The variance of Y is

Var[Y] = E

¸

Y

2

¸

−(E [Y])

2

= 3/5. (4)

(4) The standard deviation of Y is σ

Y

=

√

Var[Y] =

√

3/5.

Quiz 3.4

(1) When X is an exponential (λ) random variable, E[X] = 1/λ and Var[X] = 1/λ

2

.

Since E[X] = 3 and Var[X] = 9, we must have λ = 1/3. The PDF of X is

f

X

(x) =

¸

(1/3)e

−x/3

x ≥ 0,

0 otherwise.

(1)

(2) We know X is a uniform (a, b) random variable. To ﬁnd a and b, we apply Theo-

rem 3.6 to write

E [X] =

a +b

2

= 3 Var[X] =

(b −a)

2

12

= 9. (2)

This implies

a +b = 6, b −a = ±6

√

3. (3)

The only valid solution with a < b is

a = 3 −3

√

3, b = 3 +3

√

3. (4)

The complete expression for the PDF of X is

f

X

(x) =

¸

1/(6

√

3) 3 −3

√

3 ≤ x < 3 +3

√

3,

0 otherwise.

(5)

Quiz 3.5

Each of the requested probabilities can be calculated using (z) function and Table 3.1

or Q(z) and Table 3.2. We start with the sketches.

(1) The PDFs of X and Y are shown below. The fact that Y has twice the standard

deviation of X is reﬂected in the greater spread of f

Y

(y). However, it is important

to remember that as the standard deviation increases, the peak value of the Gaussian

PDF goes down.

−5 0 5

0

0.2

0.4

x y

f

X

(

x

)

f

Y

(

y

)

← f

X

(x)

← f

Y

(y)

17

(2) Since X is Gaussian (0, 1),

P [−1 < X ≤ 1] = F

X

(1) − F

X

(−1) (1)

= (1) −(−1) = 2(1) −1 = 0.6826. (2)

(3) Since Y is Gaussian (0, 2),

P [−1 < Y ≤ 1] = F

Y

(1) − F

Y

(−1) (3)

=

1

σ

Y

−

−1

σ

Y

= 2

1

2

−1 = 0.383. (4)

(4) Again, since X is Gaussian (0, 1), P[X > 3.5] = Q(3.5) = 2.33 ×10

−4

.

(5) Since Y is Gaussian (0, 2), P[Y > 3.5] = Q(

3.5

2

) = Q(1.75) = 1 − (1.75) =

0.0401.

Quiz 3.6

The CDF of X is

−2 0 2

0

0.5

1

x

F

X

(

x

)

F

X

(x) =

⎧

⎨

⎩

0 x < −1,

(x +1)/4 −1 ≤ x < 1,

1 x ≥ 1.

(1)

The following probabilities can be read directly from the CDF:

(1) P[X ≤ 1] = F

X

(1) = 1.

(2) P[X < 1] = F

X

(1

−

) = 1/2.

(3) P[X = 1] = F

X

(1

+

) − F

X

(1

−

) = 1 −1/2 = 1/2.

(4) We ﬁnd the PDF f

Y

(y) by taking the derivative of F

Y

(y). The resulting PDF is

−2 0 2

0

0.5

x

f

X

(

x

)

0.5

f

X

(x) =

⎧

⎨

⎩

1/4 −1 ≤ x < 1,

(1/2)δ(x −1) x = 1,

0 otherwise.

(2)

Quiz 3.7

18

(1) Since X is always nonnegative, F

X

(x) = 0 for x < 0. Also, F

X

(x) = 1 for x ≥ 2

since its always true that x ≤ 2. Lastly, for 0 ≤ x ≤ 2,

F

X

(x) =

x

−∞

f

X

(y) dy =

x

0

(1 − y/2) dy = x − x

2

/4. (1)

The complete CDF of X is

−1 0 1 2 3

0

0.5

1

x

F

X

(

x

)

F

X

(x) =

⎧

⎨

⎩

0 x < 0,

x − x

2

/4 0 ≤ x ≤ 2,

1 x > 2.

(2)

(2) The probability that Y = 1 is

P [Y = 1] = P [X ≥ 1] = 1 − F

X

(1) = 1 −3/4 = 1/4. (3)

(3) Since X is nonnegative, Y is also nonnegative. Thus F

Y

(y) = 0 for y < 0. Also,

because Y ≤ 1, F

Y

(y) = 1 for all y ≥ 1. Finally, for 0 < y < 1,

F

Y

(y) = P [Y ≤ y] = P [X ≤ y] = F

X

(y) . (4)

Using the CDF F

X

(x), the complete expression for the CDF of Y is

−1 0 1 2 3

0

0.5

1

y

F

Y

(

y

)

F

Y

(y) =

⎧

⎨

⎩

0 y < 0,

y − y

2

/4 0 ≤ y < 1,

1 y ≥ 1.

(5)

As expected, we see that the jump in F

Y

(y) at y = 1 is exactly equal to P[Y = 1].

(4) By taking the derivative of F

Y

(y), we obtain the PDF f

Y

(y). Note that when y < 0

or y > 1, the PDF is zero.

−1 0 1 2 3

0

0.5

1

1.5

y

f

Y

(

y

)

0.25

f

Y

(y) =

¸

1 − y/2 +(1/4)δ(y −1) 0 ≤ y ≤ 1

0 otherwise

(6)

Quiz 3.8

(1) P[Y ≤ 6] =

6

−∞

f

Y

(y) dy =

6

0

(1/10) dy = 0.6 .

19

(2) From Deﬁnition 3.15, the conditional PDF of Y given Y ≤ 6 is

f

Y|Y≤6

(y) =

¸

f

Y

(y)

P[Y≤6]

y ≤ 6,

0 otherwise,

=

¸

1/6 0 ≤ y ≤ 6,

0 otherwise.

(1)

(3) The probability Y > 8 is

P [Y > 8] =

10

8

1

10

dy = 0.2 . (2)

(4) From Deﬁnition 3.15, the conditional PDF of Y given Y > 8 is

f

Y|Y>8

(y) =

¸

f

Y

(y)

P[Y>8]

y > 8,

0 otherwise,

=

¸

1/2 8 < y ≤ 10,

0 otherwise.

(3)

(5) From the conditional PDF f

Y|Y≤6

(y), we can calculate the conditional expectation

E [Y|Y ≤ 6] =

∞

−∞

y f

Y|Y≤6

(y) dy =

6

0

y

6

dy = 3. (4)

(6) From the conditional PDF f

Y|Y>8

(y), we can calculate the conditional expectation

E [Y|Y > 8] =

∞

−∞

y f

Y|Y>8

(y) dy =

10

8

y

2

dy = 9. (5)

Quiz 3.9

A natural way to produce random variables with PDF f

T|T>2

(t ) is to generate samples

of T with PDF f

T

(t ) and then to discard those samples which fail to satisfy the condition

T > 2. Here is a MATLAB function that uses this method:

function t=t2rv(m)

i=0;lambda=1/3;

t=zeros(m,1);

while (i<m),

x=exponentialrv(lambda,1);

if (x>2)

t(i+1)=x;

i=i+1;

end

end

A second method exploits the fact that if T is an exponential (λ) random variable, then

T

= T +2 has PDF f

T

(t ) = f

T|T>2

(t ). In this case the command

t=2.0+exponentialrv(1/3,m)

generates the vector t.

20

Quiz Solutions – Chapter 4

Quiz 4.1

Each value of the joint CDF can be found by considering the corresponding probability.

(1) F

X,Y

(−∞, 2) = P[X ≤ −∞, Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on

the value −∞.

(2) F

X,Y

(∞, ∞) = P[X ≤ ∞, Y ≤ ∞] = 1. This result is given in Theorem 4.1.

(3) F

X,Y

(∞, y) = P[X ≤ ∞, Y ≤ y] = P[Y ≤ y] = F

Y

(y).

(4) F

X,Y

(∞, −∞) = P[X ≤ ∞, Y ≤ −∞] = 0 since Y cannot take on the value −∞.

Quiz 4.2

From the joint PMF of Q and G given in the table, we can calculate the requested

probabilities by summing the PMF over those values of Q and G that correspond to the

event.

(1) The probability that Q = 0 is

P [Q = 0] = P

Q,G

(0, 0) + P

Q,G

(0, 1) + P

Q,G

(0, 2) + P

Q,G

(0, 3) (1)

= 0.06 +0.18 +0.24 +0.12 = 0.6 (2)

(2) The probability that Q = G is

P [Q = G] = P

Q,G

(0, 0) + P

Q,G

(1, 1) = 0.18 (3)

(3) The probability that G > 1 is

P [G > 1] =

3

¸

g=2

1

¸

q=0

P

Q,G

(q, g) (4)

= 0.24 +0.16 +0.12 +0.08 = 0.6 (5)

(4) The probability that G > Q is

P [G > Q] =

1

¸

q=0

3

¸

g=q+1

P

Q,G

(q, g) (6)

= 0.18 +0.24 +0.12 +0.16 +0.08 = 0.78 (7)

21

Quiz 4.3

By Theorem 4.3, the marginal PMF of H is

P

H

(h) =

¸

b=0,2,4

P

H,B

(h, b) (1)

For each value of h, this corresponds to calculating the row sum across the table of the joint

PMF. Similarly, the marginal PMF of B is

P

B

(b) =

1

¸

h=−1

P

H,B

(h, b) (2)

For each value of b, this corresponds to the column sum down the table of the joint PMF.

The easiest way to calculate these marginal PMFs is to simply sum each row and column:

P

H,B

(h, b) b = 0 b = 2 b = 4 P

H

(h)

h = −1 0 0.4 0.2 0.6

h = 0 0.1 0 0.1 0.2

h = 1 0.1 0.1 0 0.2

P

B

(b) 0.2 0.5 0.3

(3)

Quiz 4.4

To ﬁnd the constant c, we apply

∞

−∞

∞

−∞

f

X,Y

(x, y) dx dy = 1. Speciﬁcally,

∞

−∞

∞

−∞

f

X,Y

(x, y) dx dy =

2

0

1

0

cxy dx dy (1)

= c

2

0

y

x

2

/2

1

0

dy (2)

= (c/2)

2

0

y dy = (c/4)y

2

2

0

= c (3)

Thus c = 1. To calculate P[A], we write

P [A] =

A

f

X,Y

(x, y) dx dy (4)

To integrate over A, we convert to polar coordinates using the substitutions x = r cos θ,

y = r sin θ and dx dy = r dr dθ, yielding

Y

X

1

1

2

A

P [A] =

π/2

0

1

0

r

2

sin θ cos θ r dr dθ (5)

=

1

0

r

3

dr

π/2

0

sin θ cos θ dθ

(6)

=

r

4

/4

1

0

⎛

⎝

sin

2

θ

2

π/2

0

⎞

⎠

= 1/8 (7)

22

Quiz 4.5

By Theorem 4.8, the marginal PDF of X is

f

X

(x) =

∞

−∞

f

X,Y

(x, y) dy (1)

For x < 0 or x > 1, f

X

(x) = 0. For 0 ≤ x ≤ 1,

f

X

(x) =

6

5

1

0

(x + y

2

) dy =

6

5

xy + y

3

/3

y=1

y=0

=

6

5

(x +1/3) =

6x +2

5

(2)

The complete expression for the PDf of X is

f

X

(x) =

¸

(6x +2)/5 0 ≤ x ≤ 1

0 otherwise

(3)

By the same method we obtain the marginal PDF for Y. For 0 ≤ y ≤ 1,

f

Y

(y) =

∞

−∞

f

X,Y

(x, y) dy (4)

=

6

5

1

0

(x + y

2

) dx =

6

5

x

2

/2 + xy

2

x=1

x=0

=

6

5

(1/2 + y

2

) =

3 +6y

2

5

(5)

Since f

Y

(y) = 0 for y < 0 or y > 1, the complete expression for the PDF of Y is

f

Y

(y) =

¸

(3 +6y

2

)/5 0 ≤ y ≤ 1

0 otherwise

(6)

Quiz 4.6

(A) The time required for the transfer is T = L/B. For each pair of values of L and B,

we can calculate the time T needed for the transfer. We can write these down on the

table for the joint PMF of L and B as follows:

P

L,B

(l, b) b = 14, 400 b = 21, 600 b = 28, 800

l = 518, 400 0.20 (T=36) 0.10 (T=24) 0.05 (T=18)

l = 2, 592, 000 0.05 (T=180) 0.10 (T=120) 0.20 (T=90)

l = 7, 776, 000 0.00 (T=540) 0.10 (T=360) 0.20 (T=270)

From the table, writing down the PMF of T is straightforward.

P

T

(t ) =

⎧

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎨

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎪

⎩

0.05 t = 18

0.1 t = 24

0.2 t = 36, 90

0.1 t = 120

0.05 t = 180

0.2 t = 270

0.1 t = 360

0 otherwise

(1)

23

(B) First, we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1, W = XY satisﬁes

0 ≤ W ≤ 1. Thus f

W

(0) = 0 and f

W

(1) = 1. For 0 < w < 1, we calculate the

CDF F

W

(w) = P[W ≤ w]. As shown below, integrating over the region W ≤ w

is fairly complex. The calculus is simpler if we integrate over the region XY > w.

Speciﬁcally,

Y

X

1

1

XY > w

w

w

XY = w

F

W

(w) = 1 − P [XY > w] (2)

= 1 −

1

w

1

w/x

dy dx (3)

= 1 −

1

w

(1 −w/x) dx (4)

= 1 −

x −wln x|

x=1

x=w

(5)

= 1 −(1 −w +wln w) = w −wln w (6)

The complete expression for the CDF is

F

W

(w) =

⎧

⎨

⎩

0 w < 0

w −wln w 0 ≤ w ≤ 1

1 w > 1

(7)

By taking the derivative of the CDF, we ﬁnd the PDF is

f

W

(w) =

d F

W

(w)

dw

=

⎧

⎨

⎩

0 w < 0

−ln w 0 ≤ w ≤ 1

0 w > 1

(8)

Quiz 4.7

(A) It is helpful to ﬁrst make a table that includes the marginal PMFs.

P

L,T

(l, t ) t = 40 t = 60 P

L

(l)

l = 1 0.15 0.1 0.25

l = 2 0.3 0.2 0.5

l = 3 0.15 0.1 0.25

P

T

(t ) 0.6 0.4

(1) The expected value of L is

E [L] = 1(0.25) +2(0.5) +3(0.25) = 2. (1)

Since the second moment of L is

E

¸

L

2

¸

= 1

2

(0.25) +2

2

(0.5) +3

2

(0.25) = 4.5, (2)

the variance of L is

Var [L] = E

¸

L

2

¸

−(E [L])

2

= 0.5. (3)

24

(2) The expected value of T is

E [T] = 40(0.6) +60(0.4) = 48. (4)

The second moment of T is

E

¸

T

2

¸

= 40

2

(0.6) +60

2

(0.4) = 2400. (5)

Thus

Var[T] = E

¸

T

2

¸

−(E [T])

2

= 2400 −48

2

= 96. (6)

(3) The correlation is

E [LT] =

¸

t =40,60

3

¸

l=1

lt P

LT

(lt ) (7)

= 1(40)(0.15) +2(40)(0.3) +3(40)(0.15) (8)

+1(60)(0.1) +2(60)(0.2) +3(60)(0.1) (9)

= 96 (10)

(4) From Theorem 4.16(a), the covariance of L and T is

Cov [L, T] = E [LT] − E [L] E [T] = 96 −2(48) = 0 (11)

(5) Since Cov[L, T] = 0, the correlation coefﬁcient is ρ

L,T

= 0.

(B) As in the discrete case, the calculations become easier if we ﬁrst calculate the marginal

PDFs f

X

(x) and f

Y

(y). For 0 ≤ x ≤ 1,

f

X

(x) =

∞

−∞

f

X,Y

(x, y) dy =

2

0

xy dy =

1

2

xy

2

y=2

y=0

= 2x (12)

Similarly, for 0 ≤ y ≤ 2,

f

Y

(y) =

∞

−∞

f

X,Y

(x, y) dx =

2

0

xy dx =

1

2

x

2

y

x=1

x=0

=

y

2

(13)

The complete expressions for the marginal PDFs are

f

X

(x) =

¸

2x 0 ≤ x ≤ 1

0 otherwise

f

Y

(y) =

¸

y/2 0 ≤ y ≤ 2

0 otherwise

(14)

From the marginal PDFs, it is straightforward to calculate the various expectations.

25

(1) The ﬁrst and second moments of X are

E [X] =

∞

−∞

x f

X

(x) dx =

1

0

2x

2

dx =

2

3

(15)

E

¸

X

2

¸

=

∞

−∞

x

2

f

X

(x) dx =

1

0

2x

3

dx =

1

2

(16)

(17)

The variance of X is Var[X] = E[X

2

] −(E[X])

2

= 1/18.

(2) The ﬁrst and second moments of Y are

E [Y] =

∞

−∞

y f

Y

(y) dy =

2

0

1

2

y

2

dy =

4

3

(18)

E

¸

Y

2

¸

=

∞

−∞

y

2

f

Y

(y) dy =

2

0

1

2

y

3

dy = 2 (19)

The variance of Y is Var[Y] = E[Y

2

] −(E[Y])

2

= 2 −16/9 = 2/9.

(3) The correlation of X and Y is

E [XY] =

∞

−∞

∞

−∞

xy f

X,Y

(x, y) dx, dy (20)

=

1

0

2

0

x

2

y

2

dx, dy =

x

3

3

1

0

y

3

3

2

0

=

8

9

(21)

(4) The covariance of X and Y is

Cov [X, Y] = E [XY] − E [X] E [Y] =

8

9

−

2

3

4

3

= 0. (22)

(5) Since Cov[X, Y] = 0, the correlation coefﬁcient is ρ

X,Y

= 0.

Quiz 4.8

(A) Since the event V > 80 occurs only for the pairs (L, T) = (2, 60), (L, T) = (3, 40)

and (L, T) = (3, 60),

P [A] = P [V > 80] = P

L,T

(2, 60) + P

L,T

(3, 40) + P

L,T

(3, 60) = 0.45 (1)

By Deﬁnition 4.9,

P

L,T| A

(l, t ) =

¸

P

L,T

(l,t )

P[A]

lt > 80

0 otherwise

(2)

26

We can represent this conditional PMF in the following table:

P

L,T| A

(l, t ) t = 40 t = 60

l = 1 0 0

l = 2 0 4/9

l = 3 1/3 2/9

The conditional expectation of V can be found from the conditional PMF.

E [V| A] =

¸

l

¸

t

lt P

L,T| A

(l, t ) (3)

= (2 · 60)

4

9

+(3 · 40)

1

3

+(3 · 60)

2

9

= 133

1

3

(4)

For the conditional variance Var[V| A], we ﬁrst ﬁnd the conditional second moment

E

¸

V

2

| A

¸

=

¸

l

¸

t

(lt )

2

P

L,T| A

(l, t ) (5)

= (2 · 60)

2

4

9

+(3 · 40)

2

1

3

+(3 · 60)

2

2

9

= 18, 400 (6)

It follows that

Var [V| A] = E

¸

V

2

| A

¸

−(E [V| A])

2

= 622

2

9

(7)

(B) For continuous random variables X and Y, we ﬁrst calculate the probability of the

conditioning event.

P [B] =

B

f

X,Y

(x, y) dx dy =

60

40

3

80/y

xy

4000

dx dy (8)

=

60

40

y

4000

x

2

2

3

80/y

dy (9)

=

60

40

y

4000

9

2

−

3200

y

2

dy (10)

=

9

8

−

4

5

ln

3

2

≈ 0.801 (11)

The conditional PDF of X and Y is

f

X,Y|B

(x, y) =

¸

f

X,Y

(x, y) /P [B] (x, y) ∈ B

0 otherwise

(12)

=

¸

Kxy 40 ≤ y ≤ 60, 80/y ≤ x ≤ 3

0 otherwise

(13)

27

where K = (4000P[B])

−1

. The conditional expectation of W given event B is

E [W|B] =

∞

−∞

∞

−∞

xy f

X,Y|B

(x, y) dx dy (14)

=

60

40

3

80/y

Kx

2

y

2

dx dy (15)

= (K/3)

60

40

y

2

x

3

x=3

x=80/y

dy (16)

= (K/3)

60

40

27y

2

−80

3

/y

dy (17)

= (K/3)

9y

3

−80

3

ln y

60

40

≈ 120.78 (18)

The conditional second moment of K given B is

E

¸

W

2

|B

¸

=

∞

−∞

∞

−∞

(xy)

2

f

X,Y|B

(x, y) dx dy (19)

=

60

40

3

80/y

Kx

3

y

3

dx dy (20)

= (K/4)

60

40

y

3

x

4

x=3

x=80/y

dy (21)

= (K/4)

60

40

81y

3

−80

4

/y

dy (22)

= (K/4)

(81/4)y

4

−80

4

ln y

60

40

≈ 16, 116.10 (23)

It follows that the conditional variance of W given B is

Var [W|B] = E

¸

W

2

|B

¸

−(E [W|B])

2

≈ 1528.30 (24)

Quiz 4.9

(A) (1) The joint PMF of A and B can be found from the marginal and conditional

PMFs via P

A,B

(a, b) = P

B| A

(b|a)P

A

(a). Incorporating the information from

the given conditional PMFs can be confusing, however. Consequently, we can

note that A has range S

A

= {0, 2} and B has range S

B

= {0, 1}. A table of the

joint PMF will include all four possible combinations of A and B. The general

form of the table is

P

A,B

(a, b) b = 0 b = 1

a = 0 P

B| A

(0|0)P

A

(0) P

B| A

(1|0)P

A

(0)

a = 2 P

B| A

(0|2)P

A

(2) P

B| A

(1|2)P

A

(2)

28

Substituting values from P

B| A

(b|a) and P

A

(a), we have

P

A,B

(a, b) b = 0 b = 1

a = 0 (0.8)(0.4) (0.2)(0.4)

a = 2 (0.5)(0.6) (0.5)(0.6)

or

P

A,B

(a, b) b = 0 b = 1

a = 0 0.32 0.08

a = 2 0.3 0.3

(2) Given the conditional PMF P

B| A

(b|2), it is easy to calculate the conditional

expectation

E [B| A = 2] =

1

¸

b=0

bP

B| A

(b|2) = (0)(0.5) +(1)(0.5) = 0.5 (1)

(3) From the joint PMF P

A,B

(a, b), we can calculate the the conditional PMF

P

A|B

(a|0) =

P

A,B

(a, 0)

P

B

(0)

=

⎧

⎨

⎩

0.32/0.62 a = 0

0.3/0.62 a = 2

0 otherwise

(2)

=

⎧

⎨

⎩

16/31 a = 0

15/31 a = 2

0 otherwise

(3)

(4) We can calculate the conditional variance Var[A|B = 0] using the conditional

PMF P

A|B

(a|0). First we calculate the conditional expected value

E [A|B = 0] =

¸

a

aP

A|B

(a|0) = 0(16/31) +2(15/31) = 30/31 (4)

The conditional second moment is

E

¸

A

2

|B = 0

¸

=

¸

a

a

2

P

A|B

(a|0) = 0

2

(16/31) +2

2

(15/31) = 60/31 (5)

The conditional variance is then

Var[A|B = 0] = E

¸

A

2

|B = 0

¸

−(E [A|B = 0])

2

=

960

961

(6)

(B) (1) The joint PDF of X and Y is

f

X,Y

(x, y) = f

Y|X

(y|x) f

X

(x) =

¸

6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1

0 otherwise

(7)

(2) From the given conditional PDF f

Y|X

(y|x),

f

Y|X

(y|1/2) =

¸

8y 0 ≤ y ≤ 1/2

0 otherwise

(8)

29

(3) The conditional PDF of Y given X = 1/2 is f

X|Y

(x|1/2) = f

X,Y

(x, 1/2)/f

Y

(1/2).

To ﬁnd f

Y

(1/2), we integrate the joint PDF.

f

Y

(1/2) =

∞

−∞

f

X,1/2

( ) dx =

1

1/2

6(1/2) dx = 3/2 (9)

Thus, for 1/2 ≤ x ≤ 1,

f

X|Y

(x|1/2) =

f

X,Y

(x, 1/2)

f

Y

(1/2)

=

6(1/2)

3/2

= 2 (10)

(4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X

is uniform (1/2, 1). Thus, by the deﬁnition of the uniform (a, b) PDF,

Var [X|Y = 1/2] =

(1 −1/2)

2

12

=

1

48

(11)

Quiz 4.10

(A) (1) For random variables X and Y from Example 4.1, we observe that P

Y

(1) =

0.09 and P

X

(0) = 0.01. However,

P

X,Y

(0, 1) = 0 = P

X

(0) P

Y

(1) (1)

Since we have found a pair x, y such that P

X,Y

(x, y) = P

X

(x)P

Y

(y), we can

conclude that X and Y are dependent. Note that whenever P

X,Y

(x, y) = 0,

independence requires that either P

X

(x) = 0 or P

Y

(y) = 0.

(2) For random variables Q and G from Quiz 4.2, it is not obvious whether they

are independent. Unlike X and Y in part (a), there are no obvious pairs q, g

that fail the independence requirement. In this case, we calculate the marginal

PMFs from the table of the joint PMF P

Q,G

(q, g) in Quiz 4.2.

P

Q,G

(q, g) g = 0 g = 1 g = 2 g = 3 P

Q

(q)

q = 0 0.06 0.18 0.24 0.12 0.60

q = 1 0.04 0.12 0.16 0.08 0.40

P

G

(g) 0.10 0.30 0.40 0.20

Careful study of the table will verify that P

Q,G

(q, g) = P

Q

(q)P

G

(g) for every

pair q, g. Hence Q and G are independent.

(B) (1) Since X

1

and X

2

are independent,

f

X

1

,X

2

(x

1

, x

2

) = f

X

1

(x

1

) f

X

2

(x

2

) (2)

=

¸

(1 − x

1

/2)(1 − x

2

/2) 0 ≤ x

1

≤ 2, 0 ≤ x

2

≤ 2

0 otherwise

(3)

30

(2) Let F

X

(x) denote the CDF of both X

1

and X

2

. The CDF of Z = max(X

1

, X

2

)

is found by observing that Z ≤ z iff X

1

≤ z and X

2

≤ z. That is,

P [Z ≤ z] = P [X

1

≤ z, X

2

≤ z] (4)

= P [X

1

≤ z] P [X

2

≤ z] = [F

X

(z)]

2

(5)

To complete the problem, we need to ﬁnd the CDF of each X

i

. From the PDF

f

X

(x), the CDF is

F

X

(x) =

x

−∞

f

X

(y) dy =

⎧

⎨

⎩

0 x < 0

x − x

2

/4 0 ≤ x ≤ 2

1 x > 2

(6)

Thus for 0 ≤ z ≤ 2,

F

Z

(z) = (z − z

2

/4)

2

(7)

The complete expression for the CDF of Z is

F

Z

(z) =

⎧

⎨

⎩

0 z < 0

(z − z

2

/4)

2

0 ≤ z ≤ 2

1 z > 1

(8)

Quiz 4.11

This problem just requires identifying the various terms in Deﬁnition 4.17 and Theo-

rem 4.29. Speciﬁcally, from the problem statement, we know that ρ = 1/2,

µ

1

= µ

X

= 0, µ

2

= µ

Y

= 0, (1)

and that

σ

1

= σ

X

= 1, σ

2

= σ

Y

= 1. (2)

(1) Applying these facts to Deﬁnition 4.17, we have

f

X,Y

(x, y) =

1

√

3π

2

e

−2(x

2

−xy+y

2

)/3

. (3)

(2) By Theorem 4.30, the conditional expected value and standard deviation of X given

Y = y are

E [X|Y = y] = y/2 ˜ σ

X

= σ

2

1

(1 −ρ

2

) =

3/4. (4)

When Y = y = 2, we see that E[X|Y = 2] = 1 and Var[X|Y = 2] = 3/4. The

conditional PDF of X given Y = 2 is simply the Gaussian PDF

f

X|Y

(x|2) =

1

√

3π/2

e

−2(x−1)

2

/3

. (5)

31

Quiz 4.12

One straightforward method is to follow the approach of Example 4.28. Instead, we use

an alternate approach. First we observe that X has the discrete uniform (1, 4) PMF. Also,

given X = x, Y has a discrete uniform (1, x) PMF. That is,

P

X

(x) =

¸

1/4 x = 1, 2, 3, 4,

0 otherwise,

P

Y|X

(y|x) =

¸

1/x y = 1, . . . , x

0 otherwise

(1)

Given X = x, and an independent uniform (0, 1) random variable U, we can generate a

sample value of Y with a discrete uniform (1, x) PMF via Y = xU. This observation

prompts the following program:

function xy=dtrianglerv(m)

sx=[1;2;3;4];

px=0.25*ones(4,1);

x=finiterv(sx,px,m);

y=ceil(x.*rand(m,1));

xy=[x’;y’];

32

Quiz Solutions – Chapter 5

Quiz 5.1

We ﬁnd P[C] by integrating the joint PDF over the region of interest. Speciﬁcally,

P [C] =

1/2

0

dy

2

y

2

0

dy

1

1/2

0

dy

4

y

4

0

4dy

3

(1)

= 4

1/2

0

y

2

dy

2

1/2

0

y

4

dy

4

= 1/4. (2)

Quiz 5.2

By deﬁnition of A, Y

1

= X

1

, Y

2

= X

2

−X

1

and Y

3

= X

3

−X

2

. Since 0 < X

1

< X

2

<

X

3

, each Y

i

must be a strictly positive integer. Thus, for y

1

, y

2

, y

3

∈ {1, 2, . . .},

P

Y

(y) = P [Y

1

= y

1

, Y

2

= y

2

, Y

3

= y

3

] (1)

= P [X

1

= y

1

, X

2

− X

1

= y

2

, X

3

− X

2

= y

3

] (2)

= P [X

1

= y

1

, X

2

= y

2

+ y

1

, X

3

= y

3

+ y

2

+ y

1

] (3)

= (1 − p)

3

p

y

1

+y

2

+y

3

(4)

By deﬁning the vector a =

¸

1 1 1

¸

**, the complete expression for the joint PMF of Y is
**

P

Y

(y) =

¸

(1 − p) p

a

y

y

1

, y

2

, y

3

∈ {1, 2, . . .}

0 otherwise

(5)

Quiz 5.3

First we note that each marginal PDF is nonzero only if any subset of the x

i

obeys the

ordering contraints 0 ≤ x

1

≤ x

2

≤ x

3

≤ 1. Within these constraints, we have

f

X

1

,X

2

(x

1

, x

2

) =

∞

−∞

f

X

(x) dx

3

=

1

x

2

6 dx

3

= 6(1 − x

2

), (1)

f

X

2

,X

3

(x

2

, x

3

) =

∞

−∞

f

X

(x) dx

1

=

x

2

0

6 dx

1

= 6x

2

, (2)

f

X

1

,X

3

(x

1

, x

3

) =

∞

−∞

f

X

(x) dx

2

=

x

3

x

1

6 dx

2

= 6(x

3

− x

1

). (3)

In particular, we must keep in mind that f

X

1

,X

2

(x

1

, x

2

) = 0 unless 0 ≤ x

1

≤ x

2

≤ 1,

f

X

2

,X

3

(x

2

, x

3

) = 0 unless 0 ≤ x

2

≤ x

3

≤ 1, and that f

X

1

,X

3

(x

1

, x

3

) = 0 unless 0 ≤ x

1

≤

33

x

3

≤ 1. The complete expressions are

f

X

1

,X

2

(x

1

, x

2

) =

¸

6(1 − x

2

) 0 ≤ x

1

≤ x

2

≤ 1

0 otherwise

(4)

f

X

2

,X

3

(x

2

, x

3

) =

¸

6x

2

0 ≤ x

2

≤ x

3

≤ 1

0 otherwise

(5)

f

X

1

,X

3

(x

1

, x

3

) =

¸

6(x

3

− x

1

) 0 ≤ x

1

≤ x

3

≤ 1

0 otherwise

(6)

Now we can ﬁnd the marginal PDFs. When 0 ≤ x

i

≤ 1 for each x

i

,

f

X

1

(x

1

) =

∞

−∞

f

X

1

,X

2

(x

1

, x

2

) dx

2

=

1

x

1

6(1 − x

2

) dx

2

= 3(1 − x

1

)

2

(7)

f

X

2

(x

2

) =

∞

−∞

f

X

2

,X

3

(x

2

, x

3

) dx

3

=

1

x

2

6x

2

dx

3

= 6x

2

(1 − x

2

) (8)

f

X

3

(x

3

) =

∞

−∞

f

X

2

,X

3

(x

2

, x

3

) dx

2

=

x

3

0

6x

2

dx

2

= 3x

2

3

(9)

The complete expressions are

f

X

1

(x

1

) =

¸

3(1 − x

1

)

2

0 ≤ x

1

≤ 1

0 otherwise

(10)

f

X

2

(x

2

) =

¸

6x

2

(1 − x

2

) 0 ≤ x

2

≤ 1

0 otherwise

(11)

f

X

3

(x

3

) =

¸

3x

2

3

0 ≤ x

3

≤ 1

0 otherwise

(12)

Quiz 5.4

In the PDF f

Y

(y), the components have dependencies as a result of the ordering con-

straints Y

1

≤ Y

2

and Y

3

≤ Y

4

. We can separate these constraints by creating the vectors

V =

¸

Y

1

Y

2

¸

, W =

¸

Y

3

Y

4

¸

. (1)

The joint PDF of V and W is

f

V,W

(v, w) =

¸

4 0 ≤ v

1

≤ v

2

≤ 1, 0 ≤ w

1

≤ w

2

≤ 1

0 otherwise

(2)

34

We must verify that V and W are independent. For 0 ≤ v

1

≤ v

2

≤ 1,

f

V

(v) =

f

V,W

(v, w) dw

1

dw

2

(3)

=

1

0

1

w

1

4 dw

2

dw

1

(4)

=

1

0

4(1 −w

1

) dw

1

= 2 (5)

Similarly, for 0 ≤ w

1

≤ w

2

≤ 1,

f

W

(w) =

f

V,W

(v, w) dv

1

dv

2

(6)

=

1

0

1

v

1

4 dv

2

dv

1

= 2 (7)

It follows that V and W have PDFs

f

V

(v) =

¸

2 0 ≤ v

1

≤ v

2

≤ 1

0 otherwise

, f

W

(w) =

¸

2 0 ≤ w

1

≤ w

2

≤ 1

0 otherwise

(8)

It is easy to verify that f

V,W

(v, w) = f

V

(v) f

W

(w), conﬁrming that V and W are indepen-

dent vectors.

Quiz 5.5

(A) Referring to Theorem 1.19, each test is a subexperiment with three possible out-

comes: L, A and R. In ﬁve trials, the vector X =

¸

X

1

X

2

X

3

¸

indicating the

number of outcomes of each subexperiment has the multinomial PMF

P

X

(x) =

⎧

⎨

⎩

5

x

1

,x

2

,x

3

(0.3)

x

1

(0.6)

x

2

(0.1)

x

3

x

1

+ x

2

+ x

3

= 5;

x

1

, x

2

, x

3

∈ {0, 1, . . . , 5}

0 otherwise

(1)

We can ﬁnd the marginal PMF for each X

i

from the joint PMF P

X

(x); however it

is simpler to just start from ﬁrst principles and observe that X

1

is the number of

occurrences of L in ﬁve independent tests. If we view each test as a trial with success

probability P[L] = 0.3, we see that X

1

is a binomial (n, p) = (5, 0.3) random

variable. Similarly, X

2

is a binomial (5, 0.6) random variable and X

3

is a binomial

(5, 0.1) random variable. That is, for p

1

= 0.3, p

2

= 0.6 and p

3

= 0.1,

P

X

i

(x) =

¸

5

x

p

x

i

(1 − p

i

)

5−x

x = 0, 1, . . . , 5

0 otherwise

(2)

35

From the marginal PMFs, we see that X

1

, X

2

and X

3

are not independent. Hence, we

must use Theorem 5.6 to ﬁnd the PMF of W. In particular, since X

1

+ X

2

+ X

3

= 5

and since each X

i

is non-negative, P

W

(0) = P

W

(1) = 0. Furthermore,

P

W

(2) = P

X

(1, 2, 2) + P

X

(2, 1, 2) + P

X

(2, 2, 1) (3)

=

5![0.3(0.6)

2

(0.1)

2

+0.3

2

(0.6)(0.1)

2

+0.3

2

(0.6)

2

(0.1)]

2!2!1!

(4)

= 0.1458 (5)

In addition, for w = 3, w = 4, and w = 5, the event W = w occurs if and only if

one of the mutually exclusive events X

1

= w, X

2

= w, or X

3

= w occurs. Thus,

P

W

(3) = P

X

1

(3) + P

X

2

(3) + P

X

3

(3) = 0.486 (6)

P

W

(4) = P

X

1

(4) + P

X

2

(4) + P

X

3

(4) = 0.288 (7)

P

W

(5) = P

X

1

(5) + P

X

2

(5) + P

X

3

(5) = 0.0802 (8)

(B) Since each Y

i

= 2X

i

+4, we can apply Theorem 5.10 to write

f

Y

(y) =

1

2

3

f

X

y

1

−4

2

,

y

2

−4

2

,

y

3

−4

2

(9)

=

¸

(1/8)e

−(y

3

−4)/2

4 ≤ y

1

≤ y

2

≤ y

3

0 otherwise

(10)

Note that for other matrices A, the constraints on y resulting from the constraints

0 ≤ X

1

≤ X

2

≤ X

3

can be much more complicated.

Quiz 5.6

We start by ﬁnding the components E[X

i

] =

∞

−∞

x f

X

i

(x) dx of µ

X

. To do so, we use

the marginal PDFs f

X

i

(x) found in Quiz 5.3:

E [X

1

] =

1

0

3x(1 − x)

2

dx = 1/4, (1)

E [X

2

] =

1

0

6x

2

(1 − x) dx = 1/2, (2)

E [X

3

] =

1

0

3x

3

dx = 3/4. (3)

To ﬁnd the correlation matrix R

X

, we need to ﬁnd E[X

i

X

j

] for all i and j . We start with

36

the second moments:

E

¸

X

2

1

¸

=

1

0

3x

2

(1 − x)

2

dx = 1/10. (4)

E

¸

X

2

2

¸

=

1

0

6x

3

(1 − x) dx = 3/10. (5)

E

¸

X

2

3

¸

=

1

0

3x

4

dx = 3/5. (6)

Using marginal PDFs from Quiz 5.3, the cross terms are

E [X

1

X

2

] =

∞

−∞

∞

−∞

x

1

x

2

f

X

1

,X

2

(x

1

, x

2

) , dx

1

dx

2

(7)

=

1

0

1

x

1

6x

1

x

2

(1 − x

2

) dx

2

dx

1

(8)

=

1

0

[x

1

−3x

3

1

+2x

4

1

] dx

1

= 3/20. (9)

E [X

2

X

3

] =

1

0

1

x

2

6x

2

2

x

3

dx

3

dx

2

(10)

=

1

0

[3x

2

2

−3x

4

2

] dx

2

= 2/5 (11)

E [X

1

X

3

] =

1

0

1

x

1

6x

1

x

3

(x

3

− x

1

) dx

3

dx

1

. (12)

=

1

0

(2x

1

x

3

3

−3x

2

1

x

2

3

)

x

3

=1

x

3

=x

1

dx

1

(13)

=

1

0

[2x

1

−3x

2

1

+ x

4

1

] dx

1

= 1/5. (14)

Summarizing the results, X has correlation matrix

R

X

=

⎡

⎣

1/10 3/20 1/5

3/20 3/10 2/5

1/5 2/5 3/5

⎤

⎦

. (15)

Vector X has covariance matrix

C

X

= R

X

− E [X] E [X]

(16)

=

⎡

⎣

1/10 3/20 1/5

3/20 3/10 2/5

1/5 2/5 3/5

⎤

⎦

−

⎡

⎣

1/4

1/2

3/4

⎤

⎦

¸

1/4 1/2 3/4

¸

(17)

=

⎡

⎣

1/10 3/20 1/5

3/20 3/10 2/5

1/5 2/5 3/5

⎤

⎦

−

⎡

⎣

1/16 1/8 3/16

1/8 1/4 3/8

3/16 3/8 9/16

⎤

⎦

=

1

80

⎡

⎣

3 2 1

2 4 2

1 2 3

⎤

⎦

. (18)

37

This problemshows that even for fairly simple joint PDFs, computing the covariance matrix

by calculus can be a time consuming task.

Quiz 5.7

We observe that X = AZ +b where

A =

¸

2 1

1 −1

¸

, b =

¸

2

0

¸

. (1)

It follows from Theorem 5.18 that µ

X

= b and that

C

X

= AA

=

¸

2 1

1 −1

¸ ¸

2 1

1 −1

¸

=

¸

5 1

1 2

¸

. (2)

Quiz 5.8

First, we observe that Y = AT where A =

¸

1/31 1/31 · · · 1/31

¸

. Since T is a

Gaussian random vector, Theorem 5.16 tells us that Y is a 1 dimensional Gaussian vector,

i.e., just a Gaussian random variable. The expected value of Y is µ

Y

= µ

T

= 80. The

covariance matrix of Y is 1 × 1 and is just equal to Var[Y]. Thus, by Theorem 5.16,

Var[Y] = AC

T

A

.

function p=julytemps(T);

[D1 D2]=ndgrid((1:31),(1:31));

CT=36./(1+abs(D1-D2));

A=ones(31,1)/31.0;

CY=(A’)*CT*A;

p=phi((T-80)/sqrt(CY));

In julytemps.m, the ﬁrst two lines gen-

erate the 31 ×31 covariance matrix CT, or

C

T

. Next we calculate Var[Y]. The ﬁnal

step is to use the (·) function to calculate

P[Y < T].

Here is the output of julytemps.m:

>> julytemps([70 75 80 85 90 95])

ans =

0.0000 0.0221 0.5000 0.9779 1.0000 1.0000

Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.0000. Its

just that the MATLAB’s short format output, invoked with the command format short,

rounds off those probabilities. Here is the long format output:

>> format long

>> julytemps([70 75 80 85 90 95])

ans =

Columns 1 through 4

0.00002844263128 0.02207383067604 0.50000000000000 0.97792616932396

Columns 5 through 6

0.99997155736872 0.99999999922010

38

The ndgrid function is a useful to way calculate many covariance matrices. However, in

this problem, C

X

has a special structure; the i, j th element is

C

T

(i, j ) = c

|i −j |

=

36

1 +|i − j |

. (1)

If we write out the elements of the covariance matrix, we see that

C

T

=

⎡

⎢

⎢

⎢

⎣

c

0

c

1

· · · c

30

c

1

c

0

.

.

.

.

.

.

.

.

.

.

.

.

.

.

. c

1

c

30

· · · c

1

c

0

⎤

⎥

⎥

⎥

⎦

. (2)

This covariance matrix is known as a symmetric Toeplitz matrix. We will see in Chap-

ters 9 and 11 that Toeplitz covariance matrices are quite common. In fact, MATLAB has a

toeplitz function for generating them. The function julytemps2 use the toeplitz

to generate the correlation matrix C

T

.

function p=julytemps2(T);

c=36./(1+abs(0:30));

CT=toeplitz(c);

A=ones(31,1)/31.0;

CY=(A’)*CT*A;

p=phi((T-80)/sqrt(CY));

39

Quiz Solutions – Chapter 6

Quiz 6.1

Let K

1

, . . . , K

n

denote a sequence of iid random variables each with PMF

P

K

(k) =

¸

1/4 k = 1, . . . , 4

0 otherwise

(1)

We can write W

n

in the form of W

n

= K

1

+ · · · + K

n

. First, we note that the ﬁrst two

moments of K

i

are

E [K

i

] = (1 +2 +3 +4)/4 = 2.5 (2)

E

¸

K

2

i

¸

= (1

2

+2

2

+3

2

+4

2

)/4 = 7.5 (3)

Thus the variance of K

i

is

Var[K

i

] = E

¸

K

2

i

¸

−(E [K

i

])

2

= 7.5 −(2.5)

2

= 1.25 (4)

Since E[K

i

] = 2.5, the expected value of W

n

is

E [W

n

] = E [K

1

] +· · · + E [K

n

] = nE [K

i

] = 2.5n (5)

Since the rolls are independent, the random variables K

1

, . . . , K

n

are independent. Hence,

by Theorem 6.3, the variance of the sum equals the sum of the variances. That is,

Var[W

n

] = Var[K

1

] +· · · +Var[K

n

] = 1.25n (6)

Quiz 6.2

Random variables X and Y have PDFs

f

X

(x) =

¸

3e

−3x

x ≥ 0

0 otherwise

f

Y

(y) =

¸

2e

−2y

y ≥ 0

0 otherwise

(1)

Since X and Y are nonnegative, W = X +Y is nonnegative. By Theorem 6.5, the PDF of

W = X +Y is

f

W

(w) =

∞

−∞

f

X

(w − y) f

Y

(y) dy = 6

w

0

e

−3(w−y)

e

−2y

dy (2)

Fortunately, this integral is easy to evaluate. For w > 0,

f

W

(w) = e

−3w

e

y

w

0

= 6

e

−2w

−e

−3w

(3)

Since f

W

(w) = 0 for w < 0, a conmplete expression for the PDF of W is

f

W

(w) =

¸

6e

−2w

1 −e

−w

w ≥ 0,

0 otherwise.

(4)

40

Quiz 6.3

The MGF of K is

φ

K

(s) = E

¸

e

s K

¸

==

4

¸

k=0

(0.2)e

sk

= 0.2

1 +e

s

+e

2s

+e

3s

+e

4s

(1)

We ﬁnd the moments by taking derivatives. The ﬁrst derivative of φ

K

(s) is

dφ

K

(s)

ds

= 0.2(e

s

+2e

2s

+3e

3s

+4e

4s

) (2)

Evaluating the derivative at s = 0 yields

E [K] =

dφ

K

(s)

ds

s=0

= 0.2(1 +2 +3 +4) = 2 (3)

To ﬁnd higher-order moments, we continue to take derivatives:

E

¸

K

2

¸

=

d

2

φ

K

(s)

ds

2

s=0

= 0.2(e

s

+4e

2s

+9e

3s

+16e

4s

)

s=0

= 6 (4)

E

¸

K

3

¸

=

d

3

φ

K

(s)

ds

3

s=0

= 0.2(e

s

+8e

2s

+27e

3s

+64e

4s

)

s=0

= 20 (5)

E

¸

K

4

¸

=

d

4

φ

K

(s)

ds

4

s=0

= 0.2(e

s

+16e

2s

+81e

3s

+256e

4s

)

s=0

= 70.8 (6)

(7)

Quiz 6.4

(A) Each K

i

has MGF

φ

K

(s) = E

¸

e

s K

i

¸

=

e

s

+e

2s

+· · · +e

ns

n

=

e

s

(1 −e

ns

)

n(1 −e

s

)

(1)

Since the sequence of K

i

is independent, Theorem 6.8 says the MGF of J is

φ

J

(s) = (φ

K

(s))

m

=

e

ms

(1 −e

ns

)

m

n

m

(1 −e

s

)

m

(2)

(B) Since the set of α

j

X

j

are independent Gaussian random variables, Theorem 6.10

says that W is a Gaussian random variable. Thus to ﬁnd the PDF of W, we need

only ﬁnd the expected value and variance. Since the expectation of the sum equals

the sum of the expectations:

E [W] = αE [X

1

] +α

2

E [X

2

] +· · · +α

n

E [X

n

] = 0 (3)

41

Since the α

j

X

j

are independent, the variance of the sum equals the sum of the vari-

ances:

Var[W] = α

2

Var[X

1

] +α

4

Var[X

2

] +· · · +α

2n

Var[X

n

] (4)

= α

2

+2(α

2

)

2

+3(α

2

)

3

+· · · +n(α

2

)

n

(5)

Deﬁning q = α

2

, we can use Math Fact B.6 to write

Var[W] =

α

2

−α

2n+2

[1 +n(1 −α

2

)]

(1 −α

2

)

2

(6)

With E[W] = 0 and σ

2

W

= Var[W], we can write the PDF of W as

f

W

(w) =

1

2πσ

2

W

e

−w

2

/2σ

2

W

(7)

Quiz 6.5

(1) From Table 6.1, each X

i

has MGF φ

X

(s) and random variable N has MGF φ

N

(s)

where

φ

X

(s) =

1

1 −s

, φ

N

(s) =

1

5

e

s

1 −

4

5

e

s

. (1)

From Theorem 6.12, R has MGF

φ

R

(s) = φ

N

(ln φ

X

(s)) =

1

5

φ

X

(s)

1 −

4

5

φ

X

(s)

(2)

Substituting the expression for φ

X

(s) yields

φ

R

(s) =

1

5

1

5

−s

. (3)

(2) From Table 6.1, we see that R has the MGF of an exponential (1/5) random variable.

The corresponding PDF is

f

R

(r) =

¸

(1/5)e

−r/5

r ≥ 0

0 otherwise

(4)

This quiz is an example of the general result that a geometric sum of exponential

random variables is an exponential random variable.

42

Quiz 6.6

(1) The expected access time is

E [X] =

∞

−∞

x f

X

(x) dx =

12

0

x

12

dx = 6 msec (1)

(2) The second moment of the access time is

E

¸

X

2

¸

=

∞

−∞

x

2

f

X

(x) dx =

12

0

x

2

12

dx = 48 (2)

The variance of the access time is Var[X] = E[X

2

] −(E[X])

2

= 48 −36 = 12.

(3) Using X

i

to denote the access time of block i , we can write

A = X

1

+ X

2

+· · · + X

12

(3)

Since the expectation of the sum equals the sum of the expectations,

E [A] = E [X

1

] +· · · + E [X

12

] = 12E [X] = 72 msec (4)

(4) Since the X

i

are independent,

Var[A] = Var[X

1

] +· · · +Var[X

12

] = 12 Var[X] = 144 (5)

Hence, the standard deviation of A is σ

A

= 12

(5) To use the central limit theorem, we write

P [A > 75] = 1 − P [A ≤ 75] (6)

= 1 − P

¸

A − E [A]

σ

A

≤

75 − E [A]

σ

A

¸

(7)

≈ 1 −

75 −72

12

(8)

= 1 −0.5987 = 0.4013 (9)

Note that we used Table 3.1 to look up (0.25).

(6) Once again, we use the central limit theorem and Table 3.1 to estimate

P [A < 48] = P

¸

A − E [A]

σ

A

<

48 − E [A]

σ

A

¸

(10)

≈

48 −72

12

(11)

= 1 −(2) = 1 −0.9773 = 0.0227 (12)

43

Quiz 6.7

Random variable K

n

has a binomial distribution for n trials and success probability

P[V] = 3/4.

(1) The expected number of voice calls out of 48 calls is E[K

48

] = 48P[V] = 36.

(2) The variance of K

48

is

Var[K

48

] = 48P [V] (1 − P [V]) = 48(3/4)(1/4) = 9 (1)

Thus K

48

has standard deviation σ

K

48

= 3.

(3) Using the ordinary central limit theorem and Table 3.1 yields

P [30 ≤ K

48

≤ 42] ≈

42 −36

3

−

30 −36

3

= (2) −(−2) (2)

Recalling that (−x) = 1 −(x), we have

P [30 ≤ K

48

≤ 42] ≈ 2(2) −1 = 0.9545 (3)

(4) Since K

48

is a discrete random variable, we can use the De Moivre-Laplace approx-

imation to estimate

P [30 ≤ K

48

≤ 42] ≈

42 +0.5 −36

3

−

30 −0.5 −36

3

(4)

= 2(2.16666) −1 = 0.9687 (5)

Quiz 6.8

The train interarrival times X

1

, X

2

, X

3

are iid exponential (λ) random variables. The

arrival time of the third train is

W = X

1

+ X

2

+ X

3

. (1)

In Theorem 6.11, we found that the sum of three iid exponential (λ) random variables is an

Erlang (n = 3, λ) random variable. From Appendix A, we ﬁnd that W has expected value

and variance

E [W] = 3/λ = 6 Var[W] = 3/λ

2

= 12 (2)

(1) By the Central Limit Theorem,

P [W > 20] = P

¸

W −6

√

12

>

20 −6

√

12

¸

≈ Q(7/

√

3) = 2.66 ×10

−5

(3)

44

(2) To use the Chernoff bound, we note that the MGF of W is

φ

W

(s) =

λ

λ −s

3

=

1

(1 −2s)

3

(4)

The Chernoff bound states that

P [W > 20] ≤ min

s≥0

e

−20s

φ

X

(s) = min

s≥0

e

−20s

(1 −2s)

3

(5)

To minimize h(s) = e

−20s

/(1 −2s)

3

, we set the derivative of h(s) to zero:

dh(s)

ds

=

−20(1 −2s)

3

e

−20s

+6e

−20s

(1 −2s)

2

(1 −2s)

6

= 0 (6)

This implies 20(1 − 2s) = 6 or s = 7/20. Applying s = 7/20 into the Chernoff

bound yields

P [W > 20] ≤

e

−20s

(1 −2s)

3

s=7/20

= (10/3)

3

e

−7

= 0.0338 (7)

(3) Theorem 3.11 says that for any w > 0, the CDF of the Erlang (λ, 3) random variable

W satisﬁes

F

W

(w) = 1 −

2

¸

k=0

(λw)

k

e

−λw

k!

(8)

Equivalently, for λ = 1/2 and w = 20,

P [W > 20] = 1 − F

W

(20) (9)

= e

−10

1 +

10

1!

+

10

2

2!

= 61e

−10

= 0.0028 (10)

Although the Chernoff bound is relatively weak in that it overestimates the proba-

bility by roughly a factor of 12, it is a valid bound. By contrast, the Central Limit

Theorem approximation grossly underestimates the true probability.

Quiz 6.9

One solution to this problem is to follow the approach of Example 6.19:

%unifbinom100.m

sx=0:100;sy=0:100;

px=binomialpmf(100,0.5,sx); py=duniformpmf(0,100,sy);

[SX,SY]=ndgrid(sx,sy); [PX,PY]=ndgrid(px,py);

SW=SX+SY; PW=PX.*PY;

sw=unique(SW); pw=finitepmf(SW,PW,sw);

pmfplot(sw,pw,’\itw’,’\itP_W(w)’);

A graph of the PMF P

W

(w) appears in Figure 2 With some thought, it should be apparent

that the finitepmf function is implementing the convolution of the two PMFs.

45

0 20 40 60 80 100 120 140 160 180 200

0

0.002

0.004

0.006

0.008

0.01

w

P

W

(

w

)

Figure 2: From Quiz 6.9, the PMF P

W

(w) of the independent sum of a binomial (100, 0.5)

random variable and a discrete uniform (0, 100) random variable.

46

Quiz Solutions – Chapter 7

Quiz 7.1

An exponential random variable with expected value 1 also has variance 1. By Theo-

rem 7.1, M

n

(X) has variance Var[M

n

(X)] = 1/n. Hence, we need n = 100 samples.

Quiz 7.2

The arrival time of the third elevator is W = X

1

+ X

2

+ X

3

. Since each X

i

is uniform

(0, 30),

E [X

i

] = 15, Var [X

i

] =

(30 −0)

2

12

= 75. (1)

Thus E[W] = 3E[X

i

] = 45, and Var[W] = 3 Var[X

i

] = 225.

(1) By the Markov inequality,

P [W > 75] ≤

E [W]

75

=

45

75

=

3

5

(2)

(2) By the Chebyshev inequality,

P [W > 75] = P [W − E [W] > 30] (3)

≤ P [|W − E [W]| > 30] ≤

Var [W]

30

2

=

225

900

=

1

4

(4)

Quiz 7.3

Deﬁne the random variable W = (X − µ

X

)

2

. Observe that V

100

(X) = M

100

(W). By

Theorem 7.6, the mean square error is

E

¸

(M

100

(W) −µ

W

)

2

¸

=

Var[W]

100

(1)

Observe that µ

X

= 0 so that W = X

2

. Thus,

µ

W

= E

¸

X

2

¸

=

1

−1

x

2

f

X

(x) dx = 1/3 (2)

E

¸

W

2

¸

= E

¸

X

4

¸

=

1

−1

x

4

f

X

(x) dx = 1/5 (3)

Therefore Var[W] = E[W

2

] − µ

2

W

= 1/5 − (1/3)

2

= 4/45 and the mean square error is

4/4500 = 0.000889.

47

Quiz 7.4

Assuming the number n of samples is large, we can use a Gaussian approximation for

M

n

(X). SinceE[X] = p and Var[X] = p(1 − p), we apply Theorem 7.13 which says that

the interval estimate

M

n

(X) −c ≤ p ≤ M

n

(X) +c (1)

has conﬁdence coefﬁcient 1 −α where

α = 2 −2

c

√

n

p(1 − p)

. (2)

We must ensure for every value of p that 1 − α ≥ 0.9 or α ≤ 0.1. Equivalently, we must

have

c

√

n

p(1 − p)

≥ 0.95 (3)

for every value of p. Since (x) is an increasing function of x, we must satisfy c

√

n ≥

1.65p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that

c ≥

1.65

4

√

n

=

0.41

√

n

. (4)

The 0.9 conﬁdence interval estimate of p is

M

n

(X) −

0.41

√

n

≤ p ≤ M

n

(X) +

0.41

√

n

. (5)

For the 0.99 conﬁdence interval, we have α ≤ 0.01, implying (c

√

n/( p(1−p))) ≥ 0.995.

This implies c

√

n ≥ 2.58p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that

c ≥ (0.25)(2.58)/

√

n. In this case, the 0.99 conﬁdence interval estimate is

M

n

(X) −

0.645

√

n

≤ p ≤ M

n

(X) +

0.645

√

n

. (6)

Note that if M

100

(X) = 0.4, then the 0.99 conﬁdence interval estimate is

0.3355 ≤ p ≤ 0.4645. (7)

The interval is wide because the 0.99 conﬁdence is high.

Quiz 7.5

Following the approach of bernoullitraces.m, we generate m = 1000 sample

paths, each sample path having n = 100 Bernoulli traces. at time k, OK(k) counts the

fraction of sample paths that have sample mean within one standard error of p. The pro-

gram bernoullisample.m generates graphs the number of traces within one standard

error as a function of the time, i.e. the number of trials in each trace.

48

function OK=bernoullisample(n,m,p);

x=reshape(bernoullirv(p,m*n),n,m);

nn=(1:n)’*ones(1,m);

MN=cumsum(x)./nn;

stderr=sqrt(p*(1-p))./sqrt((1:n)’);

stderrmat=stderr*ones(1,m);

OK=sum(abs(MN-p)<stderrmat,2)/m;

plot(1:n,OK,’-s’);

The following graph was generated by bernoullisample(100,5000,0.5):

0 10 20 30 40 50 60 70 80 90 100

0.4

0.5

0.6

0.7

0.8

0.9

1

As we would expect, as m gets large, the fraction of traces within one standard error ap-

proaches 2(1) −1 ≈ 0.68. The unusual sawtooth pattern, though perhaps unexpected, is

examined in Problem 7.5.2.

49

Quiz Solutions – Chapter 8

Quiz 8.1

From the problem statement, each X

i

has PDF and CDF

f

X

i

(x) =

¸

e

−x

x ≥ 0

0 otherwise

F

X

i

(x) =

¸

0 x < 0

1 −e

−x

x ≥ 0

(1)

Hence, the CDF of the maximum of X

1

, . . . , X

15

obeys

F

X

(x) = P [X ≤ x] = P [X

1

≤ x, X

2

≤ x, · · · , X

15

≤ x] = [P [X

i

≤ x]]

15

. (2)

This implies that for x ≥ 0,

F

X

(x) =

¸

F

X

i

(x)

¸

15

=

¸

1 −e

−x

¸

15

(3)

To design a signiﬁcance test, we must choose a rejection region for X. A reasonable choice

is to reject the hypothesis if X is too small. That is, let R = {X ≤ r}. For a signiﬁcance

level of α = 0.01, we obtain

α = P [X ≤ r] = (1 −e

−r

)

15

= 0.01 (4)

It is straightforward to show that

r = −ln

¸

1 −(0.01)

1/15

¸

= 1.33 (5)

Hence, if we observe X < 1.33, then we reject the hypothesis.

Quiz 8.2

From the problem statement, the conditional PMFs of K are

P

K|H

0

(k) =

¸

10

4k

e

−10

4

k!

k = 0, 1, . . .

0 otherwise

(1)

P

K|H

1

(k) =

¸

10

6k

e

−10

6

k!

k = 0, 1, . . .

0 otherwise

(2)

Since the two hypotheses are equally likely, the MAP and ML tests are the same. From

Theorem 8.6, the ML hypothesis rule is

k ∈ A

0

if P

K|H

0

(k) ≥ P

K|H

1

(k) ; k ∈ A

1

otherwise. (3)

This rule simpliﬁes to

k ∈ A

0

if k ≤ k

∗

=

10

6

−10

4

ln 100

= 214, 975.7; k ∈ A

1

otherwise. (4)

Thus if we observe at least 214, 976 photons, then we accept hypothesis H

1

.

50

Quiz 8.3

For the QPSK system, a symbol error occurs when s

i

is transmitted but (X

1

, X

2

) ∈ A

j

for some j = i . For a QPSK system, it is easier to calculate the probability of a correct

decision. Given H

0

, the conditional probability of a correct decision is

P [C|H

0

] = P [X

1

> 0, X

2

> 0|H

0

] = P

¸

√

E/2 + N

1

> 0,

√

E/2 + N

2

> 0

¸

(1)

Because of the symmetry of the signals, P[C|H

0

] = P[C|H

i

] for all i . This implies the

probability of a correct decision is P[C] = P[C|H

0

]. Since N

1

and N

2

are iid Gaussian

(0, σ) random variables, we have

P [C] = P [C|H

0

] = P

¸

√

E/2 + N

1

> 0

¸

P

¸

√

E/2 + N

2

> 0

¸

(2)

=

P

¸

N

1

> −

√

E/2

¸

2

(3)

=

¸

1 −

−

√

E/2

σ

2

(4)

Since (−x) = 1 − (x), we have P[C] =

2

(

E/2σ

2

). Equivalently, the probability

of error is

P

ERR

= 1 − P [C] = 1 −

2

E

2σ

2

(5)

Quiz 8.4

To generate the ROC, the existing program sqdistor already calculates this miss

probability P

MISS

= P

01

and the false alarm probability P

FA

= P

10

. The modiﬁed pro-

gram, sqdistroc.m is essentially the same as sqdistor except the output is a ma-

trix FM whose columns are the false alarm and miss probabilities. Next, the program

sqdistrocplot.m calls sqdistroc three times to generate a plot that compares the

receiver performance for the three requested values of d. Here is the modiﬁed code:

function FM=sqdistroc(v,d,m,T)

%square law distortion recvr

%P(error) for m bits tested

%transmit v volts or -v volts,

%add N volts, N is Gauss(0,1)

%add d(v+N)ˆ2 distortion

%receive 1 if x>T, otherwise 0

%FM = [P(FA) P(MISS)]

x=(v+randn(m,1));

[XX,TT]=ndgrid(x,T(:));

P01=sum((XX+d*(XX.ˆ2)< TT),1)/m;

x= -v+randn(m,1);

[XX,TT]=ndgrid(x,T(:));

P10=sum((XX+d*(XX.ˆ2)>TT),1)/m;

FM=[P10(:) P01(:)];

function FM=sqdistrocplot(v,m,T);

FM1=sqdistroc(v,0.1,m,T);

FM2=sqdistroc(v,0.2,m,T);

FM5=sqdistroc(v,0.3,m,T);

FM=[FM1 FM2 FM5];

loglog(FM1(:,1),FM1(:,2),’-k’, ...

FM2(:,1),FM2(:,2),’--k’, ...

FM5(:,1),FM5(:,2),’:k’);

legend(’\it d=0.1’,’\it d=0.2’,...

’\it d=0.3’,3)

ylabel(’P_{MISS}’);

xlabel(’P_{FA}’);

51

To see the effect of d, the commands

T=-3:0.1:3; sqdistrocplot(3,100000,T);

generated the plot shown in Figure 3.

10

−5

10

−4

10

−3

10

−2

10

−1

10

0

10

−5

10

−4

10

−3

10

−2

10

−1

10

0

P

M

I

S

S

P

FA

d=0.1

d=0.2

d=0.3

T=-3:0.1:3; sqdistrocplot(3,100000,T);

Figure 3: The receiver operating curve for the communications system of Quiz 8.4 with

squared distortion.

52

Quiz Solutions – Chapter 9

Quiz 9.1

(1) First, we calculate the marginal PDF for 0 ≤ y ≤ 1:

f

Y

(y) =

y

0

2(y + x) dx = 2xy + x

2

x=y

x=0

= 3y

2

(1)

This implies the conditional PDF of X given Y is

f

X|Y

(x|y) =

f

X,Y

(x, y)

f

Y

(y)

=

¸

2

3y

+

2x

3y

2

0 ≤ x ≤ y

0 otherwise

(2)

(2) The minimum mean square error estimate of X given Y = y is

ˆ x

M

(y) = E [X|Y = y] =

y

0

2x

3y

+

2x

2

3y

2

dx = 5y/9 (3)

Thus the MMSE estimator of X given Y is

ˆ

X

M

(Y) = 5Y/9.

(3) To obtain the conditional PDF f

Y|X

(y|x), we need the marginal PDF f

X

(x). For

0 ≤ x ≤ 1,

f

X

(x) =

1

x

2(y + x) dy = y

2

+2xy

y=1

y=x

= 1 +2x −3x

2

(4)

(5)

For 0 ≤ x ≤ 1, the conditional PDF of Y given X is

f

Y|X

(y|x) =

¸

2(y+x)

1+2x−3x

2

x ≤ y ≤ 1

0 otherwise

(6)

(4) The MMSE estimate of Y given X = x is

ˆ y

M

(x) = E [Y|X = x] =

1

x

2y

2

+2xy

1 +2x −3x

2

dy (7)

=

2y

3

/3 + xy

2

1 +2x −3x

2

y=1

y=x

(8)

=

2 +3x −5x

3

3 +6x −9x

2

(9)

53

Quiz 9.2

(1) Since the expectation of the sum equals the sum of the expectations,

E [R] = E [T] + E [X] = 0 (1)

(2) Since T and X are independent, the variance of the sum R = T + X is

Var[R] = Var[T] +Var[X] = 9 +3 = 12 (2)

(3) Since T and R have expected values E[R] = E[T] = 0,

Cov [T, R] = E [T R] = E [T(T + X)] = E

¸

T

2

¸

+ E [T X] (3)

Since T and X are independent and have zero expected value, E[T X] = E[T]E[X] =

0 and E[T

2

] = Var[T]. Thus Cov[T, R] = Var[T] = 9.

(4) From Deﬁnition 4.8, the correlation coefﬁcient of T and R is

ρ

T,R

=

Cov [T, R]

√

Var[R] Var[T]

=

σ

T

σ

R

=

√

3/2 (4)

(5) From Theorem 9.4, the optimum linear estimate of T given R is

ˆ

T

L

(R) = ρ

T,R

σ

T

σ

R

(R − E [R]) + E [T] (5)

Since E[R] = E[T] = 0 and ρ

T,R

= σ

T

/σ

R

,

ˆ

T

L

(R) =

σ

2

T

σ

2

R

R =

σ

2

T

σ

2

T

+σ

2

X

R =

3

4

R (6)

Hence a

∗

= 3/4 and b

∗

= 0.

(6) By Theorem 9.4, the mean square error of the linear estimate is

e

∗

L

= Var[T](1 −ρ

2

T,R

) = 9(1 −3/4) = 9/4 (7)

Quiz 9.3

When R = r, the conditional PDF of X = Y −40−40 log

10

r is Gaussian with expected

value −40 −40 log

10

r and variance 64. The conditional PDF of X given R is

f

X|R

(x|r) =

1

√

128π

e

−(x+40+40 log

10

r)

2

/128

(1)

54

From the conditional PDF f

X|R

(x|r), we can use Deﬁnition 9.2 to write the ML estimate

of R given X = x as

ˆ r

ML

(x) = arg max

r≥0

f

X|R

(x|r) (2)

We observe that f

X|R

(x|r) is maximized when the exponent (x + 40 + 40 log

10

r)

2

is

minimized. This minimum occurs when the exponent is zero, yielding

log

10

r = −1 − x/40 (3)

or

ˆ r

ML

(x) = (0.1)10

−x/40

m (4)

If the result doesn’t look correct, note that a typical ﬁgure for the signal strength might be

x = −120 dB. This corresponds to a distance estimate of ˆ r

ML

(−120) = 100 m.

For the MAP estimate, we observe that the joint PDF of X and R is

f

X,R

(x, r) = f

X|R

(x|r) f

R

(r) =

1

10

6

√

32π

re

−(x+40+40 log

10

r)

2

/128

(5)

From Theorem 9.6, the MAP estimate of R given X = x is the value of r that maximizes

f

X,R

(x, r). That is,

ˆ r

MAP

(x) = arg max

0≤r≤1000

f

X,R

(x, r) (6)

Note that we have included the constraint r ≤ 1000 in the maximization to highlight the

fact that under our probability model, R ≤ 1000 m. Setting the derivative of f

X,R

(x, r)

with respect to r to zero yields

e

−(x+40+40 log

10

r)

2

/128

¸

1 −

80 log

10

e

128

(x +40 +40 log

10

r)

¸

= 0 (7)

Solving for r yields

r = 10

1

25 log

10

e

−1

10

−x/40

= (0.1236)10

−x/40

(8)

This is the MAP estimate of R given X = x as long as r ≤ 1000 m. When x ≤ −156.3 dB,

the above estimate will exceed 1000 m, which is not possible in our probability model.

Hence, the complete description of the MAP estimate is

ˆ r

MAP

(x) =

¸

1000 x < −156.3

(0.1236)10

−x/40

x ≥ −156.3

(9)

For example, if x = −120dB, then ˆ r

MAP

(−120) = 123.6 m. When the measured signal

strength is not too low, the MAP estimate is 23.6% larger than the ML estimate. This re-

ﬂects the fact that large values of R are a priori more probable than small values. However,

for very low signal strengths, the MAP estimate takes into account that the distance can

never exceed 1000 m.

55

Quiz 9.4

(1) From Theorem 9.4, the LMSE estimate of X

2

given Y

2

is

ˆ

X

2

(Y

2

) = a

∗

Y

2

+b

∗

where

a

∗

=

Cov [X

2

, Y

2

]

Var[Y

2

]

, b

∗

= µ

X

2

−a

∗

µ

Y

2

. (1)

Because E[X] = E[Y] = 0,

Cov [X

2

, Y

2

] = E [X

2

Y

2

] = E [X

2

(X

2

+ W

2

)] = E

¸

X

2

2

¸

= 1 (2)

Var[Y

2

] = Var[X

2

] +Var[W

2

] = E

¸

X

2

2

¸

+ E

¸

W

2

2

¸

= 1.1 (3)

It follows that a

∗

= 1/1.1. Because µ

X

2

= µ

Y

2

= 0, it follows that b

∗

= 0. Finally,

to compute the expected square error, we calculate the correlation coefﬁcient

ρ

X

2

,Y

2

=

Cov [X

2

, Y

2

]

σ

X

2

σ

Y

2

=

1

√

1.1

(4)

The expected square error is

e

∗

L

= Var[X

2

](1 −ρ

2

X

2

,Y

2

) = 1 −

1

1.1

=

1

11

= 0.0909 (5)

(2) Since Y = X + W and E[X] = E[W] = 0, it follows that E[Y] = 0. Thus we can

apply Theorem 9.7. Note that X and W have correlation matrices

R

X

=

¸

1 −0.9

−0.9 1

¸

, R

W

=

¸

0.1 0

0 0.1

¸

. (6)

In terms of Theorem 9.7, n = 2 and we wish to estimate X

2

given the observation

vector Y =

¸

Y

1

Y

2

¸

**. To apply Theorem 9.7, we need to ﬁnd R
**

Y

and R

YX

2

.

R

Y

= E

¸

YY

¸

= E

¸

(X +W)(X

+W

)

¸

(7)

= E

¸

XX

+XW

+WX

+WW

¸

. (8)

Because Xand Ware independent, E[XW

] = E[X]E[W

] = 0. Similarly, E[WX

] =

0. This implies

R

Y

= E

¸

XX

¸

+ E

¸

WW

¸

= R

X

+R

W

=

¸

1.1 −0.9

−0.9 1.1

¸

. (9)

In addition, we need to ﬁnd

R

YX

2

= E [YX

2

] =

¸

E [Y

1

X

2

]

E [Y

2

X

2

]

¸

=

¸

E [(X

1

+ W

1

)X

2

]

E [(X

2

+ W

2

)X

2

]

¸

. (10)

56

Since Xand Ware independent vectors, E[W

1

X

2

] = E[W

1

]E[X

2

] = 0 and E[W

2

X

2

] =

0. Thus

R

YX

2

=

¸

E[X

1

X

2

]

E

¸

X

2

2

¸

¸

=

¸

−0.9

1

¸

. (11)

By Theorem 9.7,

ˆ a = R

−1

Y

R

YX

2

=

¸

−0.225

0.725

¸

(12)

Therefore, the optimum linear estimator of X

2

given Y

1

and Y

2

is

ˆ

X

L

= ˆ a

Y = −0.225Y

1

+0.725Y

2

. (13)

The mean square error is

Var [X

2

] − ˆ a

R

YX

2

= Var [X] −a

1

r

Y

1

,X

2

−a

2

r

Y

2

,X

2

= 0.0725. (14)

Quiz 9.5

Since X and W have zero expected value, Y also has zero expected value. Thus, by

Theorem 9.7,

ˆ

X

L

(Y) = ˆ a

Y where ˆ a = R

−1

Y

R

YX

. Since X and W are independent,

E[WX] = 0 and E[XW

] = 0

. This implies

R

YX

= E [YX] = E [(1X +W)X] = 1E

¸

X

2

¸

= 1. (1)

By the same reasoning, the correlation matrix of Y is

R

Y

= E

¸

YY

¸

= E

¸

(1X +W)(1

X +W

)

¸

(2)

= 11

E

¸

X

2

¸

+1E

¸

XW

¸

+ E [WX] 1

+ E

¸

WW

¸

(3)

= 11

+R

W

(4)

Note that 11

**is a 20 ×20 matrix with every entry equal to 1. Thus,
**

ˆ a = R

−1

Y

R

YX

=

11

+R

W

−1

1 (5)

and the optimal linear estimator is

ˆ

X

L

(Y) = 1

11

+R

W

−1

Y (6)

The mean square error is

e

∗

L

= Var[X] − ˆ a

R

YX

= 1 −1

11

+R

W

−1

1 (7)

Now we note that R

W

has i, j th entry R

W

(i, j ) = c

|i −j |−1

. The question we must address

is what value c minimizes e

∗

L

. This problem is atypical in that one does not usually get

57

to choose the correlation structure of the noise. However, we will see that the answer is

somewhat instructive.

We note that the answer is not obviously apparent from Equation (7). In particular, we

observe that Var[W

i

] = R

W

(i, i ) = 1/c. Thus, when c is small, the noises W

i

have high

variance and we would expect our estimator to be poor. On the other hand, if c is large

W

i

and W

j

are highly correlated and the separate measurements of X are very dependent.

This would suggest that large values of c will also result in poor MSE. If this argument is

not clear, consider the extreme case in which every W

i

and W

j

have correlation coefﬁcient

ρ

i j

= 1. In this case, our 20 measurements will be all the same and one measurement is as

good as 20 measurements.

To ﬁnd the optimal value of c, we write a MATLAB function mquiz9(c) to calculate

the MSE for a given c and second function that ﬁnds plots the MSE for a range of values

of c.

function [mse,af]=mquiz9(c);

v1=ones(20,1);

RW=toeplitz(c.ˆ((0:19)-1));

RY=(v1*(v1’)) +RW;

af=(inv(RY))*v1;

mse=1-((v1’)*af);

function cmin=mquiz9minc(c);

msec=zeros(size(c));

for k=1:length(c),

[msec(k),af]=mquiz9(c(k));

end

plot(c,msec);

xlabel(’c’);ylabel(’e_Lˆ*’);

[msemin,optk]=min(msec);

cmin=c(optk);

Note in mquiz9 that v1 corresponds to the vector 1 of all ones. The following commands

ﬁnds the minimum c and also produces the following graph:

>> c=0.01:0.01:0.99;

>> mquiz9minc(c)

ans =

0.4500

0 0.5 1

0.2

0.4

0.6

0.8

1

c

e

L *

As we see in the graph, both small values and large values of c result in large MSE.

58

Quiz Solutions – Chapter 10

Quiz 10.1

There are many correct answers to this question. A correct answer speciﬁes enough

random variables to specify the sample path exactly. One choice for an alternate set of

random variables that would specify m(t, s) is

• m(0, s), the number of ongoing calls at the start of the experiment

• N, the number of new calls that arrive during the experiment

• X

1

, . . . , X

N

, the interarrival times of the N new arrivals

• H, the number of calls that hang up during the experiment

• D

1

, . . . , D

H

, the call completion times of the H calls that hang up

Quiz 10.2

(1) We obtain a continuous time, continuous valued process when we record the temper-

ature as a continuous waveform over time.

(2) If at every moment in time, we round the temperature to the nearest degree, then we

obtain a continuous time, discrete valued process.

(3) If we sample the process in part (a) every T seconds, then we obtain a discrete time,

continuous valued process.

(4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time,

discrete valued process.

Quiz 10.3

(1) Each resistor has resistance R in ohms with uniform PDF

f

R

(r) =

¸

0.01 950 ≤ r ≤ 1050

0 otherwise

(1)

The probability that a test produces a 1% resistor is

p = P [990 ≤ R ≤ 1010] =

1010

990

(0.01) dr = 0.2 (2)

59

(2) In t seconds, exactly t resistors are tested. Each resistor is a 1% resistor with proba-

bility p, independent of any other resistor. Consequently, the number of 1% resistors

found has the binomial PMF

P

N(t )

(n) =

¸

t

n

p

n

(1 − p)

t −n

n = 0, 1, . . . , t

0 otherwise

(3)

(3) First we will ﬁnd the PMF of T

1

. This problem is easy if we view each resistor test

as an independent trial. A success occurs on a trial with probability p if we ﬁnd a

1% resistor. The ﬁrst 1% resistor is found at time T

1

= t if we observe failures on

trials 1, . . . , t − 1 followed by a success on trial t . Hence, just as in Example 2.11,

T

1

has the geometric PMF

P

T

1

(t ) =

¸

(1 − p)

t −1

p t = 1, 2, . . .

9 otherwise

(4)

Since p = 0.2, the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is

P

T

1

(5) = (0.8)

4

(0.2) = 0.08192.

(4) From Theorem 2.5, a geometric random variable with success probability p has ex-

pected value 1/p. In this problem, E[T

1

] = 1/p = 5.

(5) Note that once we ﬁnd the ﬁrst 1% resistor, the number of additional trials needed to

ﬁnd the second 1% resistor once again has a geometric PMF with expected value 1/p

since each independent trial is a success with probability p. That is, T

2

= T

1

+ T

where T

**is independent and identically distributed to T
**

1

. Thus

E [T

2

|T

1

= 10] = E [T

1

|T

1

= 10] + E

¸

T

|T

1

= 10

¸

(5)

= 10 + E

¸

T

¸

= 10 +5 = 15 (6)

Quiz 10.4

Since each X

i

is a N(0, 1) random variable, each X

i

has PDF

f

X(i )

(x) =

1

√

2π

e

−x

2

/2

(1)

By Theorem 10.1, the joint PDF of X =

¸

X

1

· · · X

n

¸

is

f

X

(x) = f

X(1),...,X(n)

(x

1

, . . . , x

n

) =

k

¸

i =1

f

X

(x

i

) =

1

(2π)

n/2

e

−(x

2

1

+···+x

2

n

)/2

(2)

60

Quiz 10.5

The ﬁrst and second hours are nonoverlapping intervals. Since one hour equals 3600

sec and the Poisson process has a rate of 10 packets/sec, the expected number of packets

in each hour is E[M

i

] = α = 36, 000. This implies M

1

and M

2

are independent Poisson

random variables each with PMF

P

M

i

(m) =

¸

α

m

e

−α

m!

m = 0, 1, 2, . . .

0 otherwise

(1)

Since M

1

and M

2

are independent, the joint PMF of M

1

and M

2

is

P

M

1

,M

2

(m

1

, m

2

) = P

M

1

(m

1

) P

M

2

(m

2

) =

⎧

⎪

⎪

⎨

⎪

⎪

⎩

α

m

1

+m

2

e

−2α

m

1

!m

2

!

m

1

= 0, 1, . . . ;

m

2

= 0, 1, . . . ,

0 otherwise.

(2)

Quiz 10.6

To answer whether N

**(t ) is a Poisson process, we look at the interarrival times. Let
**

X

1

, X

2

, . . . denote the interarrival times of the N(t ) process. Since we count only even-

numbered arrival for N

(t ), the time until the ﬁrst arrival of the N

(t ) is Y

1

= X

1

+ X

2

.

Since X

1

and X

2

are independent exponential (λ) random variables, Y

1

is an Erlang (n =

2, λ) random variable; see Theorem 6.11. Since Y

i

(t ), the i th interarrival time of the N

(t )

process, has the same PDF as Y

1

(t ), we can conclude that the interarrival times of N

(t )

are not exponential random variables. Thus N

**(t ) is not a Poisson process.
**

Quiz 10.7

First, we note that for t > s,

X(t ) − X(s) =

W(t ) − W(s)

√

α

(1)

Since W(t ) −W(s) is a Gaussian random variable, Theorem 3.13 states that W(t ) −W(s)

is Gaussian with expected value

E [X(t ) − X(s)] =

E [W(t ) − W(s)]

√

α

= 0 (2)

and variance

E

¸

(W(t ) − W(s))

2

¸

=

E

¸

(W(t ) − W(s))

2

¸

α

=

α(t −s)

α

(3)

Consider s

≤ s < t . Since s ≥ s

, W(t ) − W(s) is independent of W(s

). This implies

[W(t ) − W(s)]/

√

α is independent of W(s

)/

√

α for all s ≥ s

. That is, X(t ) − X(s) is

independent of X(s

) for all s ≥ s

**. Thus X(t ) is a Brownian motion process with variance
**

Var[X(t )] = t .

61

Quiz 10.8

First we ﬁnd the expected value

µ

Y

(t ) = µ

X

(t ) +µ

N

(t ) = µ

X

(t ). (1)

To ﬁnd the autocorrelation, we observe that since X(t ) and N(t ) are independent and since

N(t ) has zero expected value, E[X(t )N(t

)] = E[X(t )]E[N(t

)] = 0. Since R

Y

(t, τ) =

E[Y(t )Y(t +τ)], we have

R

Y

(t, τ) = E [(X(t ) + N(t )) (X(t +τ) + N(t +τ))] (2)

= E [X(t )X(t +τ)] + E [X(t )N(t +τ)]

+ E [X(t +τ)N(t )] + E [N(t )N(t +τ)] (3)

= R

X

(t, τ) + R

N

(t, τ). (4)

Quiz 10.9

From Deﬁnition 10.14, X

1

, X

2

, . . . is a stationary random sequence if for all sets of

time instants n

1

, . . . , n

m

and time offset k,

f

X

n

1

,...,X

n

m

(x

1

, . . . , x

m

) = f

X

n

1

+k

,...,X

n

m

+k

(x

1

, . . . , x

m

) (1)

Since the random sequence is iid,

f

X

n

1

,...,X

n

m

(x

1

, . . . , x

m

) = f

X

(x

1

) f

X

(x

2

) · · · f

X

(x

m

) (2)

Similarly, for time instants n

1

+k, . . . , n

m

+k,

f

X

n

1

+k

,...,X

n

m

+k

(x

1

, . . . , x

m

) = f

X

(x

1

) f

X

(x

2

) · · · f

X

(x

m

) (3)

We can conclude that the iid random sequence is stationary.

Quiz 10.10

We must check whether each function R(τ) meets the conditions of Theorem 10.12:

R(τ) ≥ 0 R(τ) = R(−τ) |R(τ)| ≤ R(0) (1)

(1) R

1

(τ) = e

−|τ|

meets all three conditions and thus is valid.

(2) R

2

(τ) = e

−τ

2

also is valid.

(3) R

3

(τ) = e

−τ

cos τ is not valid because

R

3

(−2π) = e

2π

cos 2π = e

2π

> 1 = R

3

(0) (2)

(4) R

4

(τ) = e

−τ

2

sin τ also cannot be an autocorrelation function because

R

4

(π/2) = e

−π/2

sin π/2 = e

−π/2

> 0 = R

4

(0) (3)

62

Quiz 10.11

(1) The autocorrelation of Y(t ) is

R

Y

(t, τ) = E [Y(t )Y(t +τ)] (1)

= E [X(−t )X(−t −τ)] (2)

= R

X

(−t −(−t −τ)) = R

X

(τ) (3)

Since E[Y(t )] = E[X(−t )] = µ

X

, we can conclude that Y(t ) is a wide sense

stationary process. In fact, we see that by viewing a process backwards in time, we

see the same second order statistics.

(2) Since X(t ) and Y(t ) are both wide sense stationary processes, we can check whether

they are jointly wide sense stationary by seeing if R

XY

(t, τ) is just a function of τ.

In this case,

R

XY

(t, τ) = E [X(t )Y(t +τ)] (4)

= E [X(t )X(−t −τ)] (5)

= R

X

(t −(−t −τ)) = R

X

(2t +τ) (6)

Since R

XY

(t, τ) depends on both t and τ, we conclude that X(t ) and Y(t ) are not

jointly wide sense stationary. To see why this is, suppose R

X

(τ) = e

−|τ|

so that

samples of X(t ) far apart in time have almost no correlation. In this case, as t gets

larger, Y(t ) = X(−t ) and X(t ) become less and less correlated.

Quiz 10.12

From the problem statement,

E [X(t )] = E [X(t +1)] = 0 (1)

E [X(t )X(t +1)] = 1/2 (2)

Var[X(t )] = Var[X(t +1)] = 1 (3)

The Gaussian random vector X =

¸

X(t ) X(t +1)

¸

**has covariance matrix and corre-
**

sponding inverse

C

X

=

¸

1 1/2

1/2 1

¸

C

−1

X

=

4

3

¸

1 −1/2

−1/2 1

¸

(4)

Since

x

C

−1

X

x =

¸

x

0

x

1

¸

4

3

¸

1 −1/2

−1/2 1

¸ ¸

x

0

x

1

¸

=

4

3

x

2

0

− x

0

x

+

x

2

1

(5)

the joint PDF of X(t ) and X(t +1) is the Gaussian vector PDF

f

X(t ),X(t +1)

(x

0

, x

1

) =

1

(2π)

n/2

[det (C

X

)]

1/2

exp

−

1

2

x

C

−1

X

x

(6)

=

1

√

3π

2

e

−

2

3

x

2

0

−x

0

x

1

+x

2

1

(7)

63

0 10 20 30 40 50 60 70 80 90 100

0

20

40

60

80

100

120

t

M

(

t

)

Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10.13.

Quiz 10.13

The simple structure of the switch simulation of Example 10.28 admits a deceptively

simple solution in terms of the vector of arrivals A and the vector of departures D. With the

introduction of call blocking. we cannot generate these vectors all at once. In particular,

when an arrival occurs at time t , we need to know that M(t ), the number of ongoing calls,

satisﬁes M(t ) < c = 120. Otherwise, when M(t ) = c, we must block the call. Call

blocking can be implemented by setting the service time of the call to zero so that the call

departs as soon as it arrives.

The blocking switch is an example of a discrete event system. The system evolves via

a sequence of discrete events, namely arrivals and departures, at discrete time instances. A

simulation of the system moves from one time instant to the next by maintaining a chrono-

logical schedule of future events (arrivals and departures) to be executed. The program

simply executes the event at the head of the schedule. The logic of such a simulation is

1. Start at time t = 0 with an empty system. Schedule the ﬁrst arrival to occur at S

1

, an

exponential (λ) random variable.

2. Examine the head-of-schedule event.

• When the head-of-schedule event is the kth arrival is at time t , check the state

M(t ).

– If M(t ) < c, admit the arrival, increase the system state n by 1, and sched-

ule a departure to occur at time t + S

n

, where S

k

is an exponential (λ)

random variable.

– If M(t ) = c, block the arrival, do not schedule a departure event.

• If the head of schedule event is a departure, reduce the system state n by 1.

3. Delete the head-of-schedule event and go to step 2.

After the head-of-schedule event is completed and any new events (departures in this sys-

tem) are scheduled, we know the system state cannot change until the next scheduled event.

64

Thus we know that M(t ) will stay the same until then. In our simulation, we use the vector

t as the set of time instances at which we inspect the system state. Thus for all times t(i)

between the current head-of-schedule event and the next, we set m(i) to the current switch

state.

The complete program is shown in Figure 5. In most programming languages, it is

common to implement the event schedule as a linked list where each item in the list has

a data structure indicating an event timestamp and the type of the event. In MATLAB, a

simple (but not elegant) way to do this is to have maintain two vectors: time is a list

of timestamps of scheduled events and event is a the list of event types. In this case,

event(i)=1 if the i th scheduled event is an arrival, or event(i)=-1 if the i th sched-

uled event is a departure.

When the program is passed a vector t, the output [m a b] is such that m(i) is the

number of ongoing calls at time t(i) while a and b are the number of admits and blocks.

The following instructions

t=0:0.1:5000;

[m,a,b]=simblockswitch(10,0.1,120,t);

plot(t,m);

generated a simulation lasting 5,000 minutes. A sample path of the ﬁrst 100 minutes of

that simulation is shown in Figure 4. The 5,000 minute full simulation produced a=49658

admitted calls and b=239 blocked calls. We can estimate the probability a call is blocked

as

ˆ

P

b

=

b

a +b

= 0.0048. (1)

In Chapter 12, we will learn that the exact blocking probability is given by Equation (12.93),

a result known as the “Erlang-B formula.” From the Erlang-B formula, we can calculate

that the exact blocking probability is P

b

= 0.0057. One reason our simulation underesti-

mates the blocking probability is that in a 5,000 minute simulation, roughly the ﬁrst 100

minutes are needed to load up the switch since the switch is idle when the simulation starts

at time t = 0. However, this says that roughly the ﬁrst two percent of the simulation time

was unusual. Thus this would account for only part of the disparity. The rest of the gap

between 0.0048 and 0.0057 is that a simulation that includes only 239 blocks is not all that

likely to give a very accurate result for the blocking probability.

Note that in Chapter 12, we will learn that the blocking switch is an example of an

M/M/c/c queue, a kind of Markov chain. Chapter 12 develops techniques for analyzing

and simulating systems described by Markov chains that are much simpler than the discrete

event simulation technique shown here. Nevertheless, for very complicated systems, the

discrete event simulation is widely-used and often very efﬁcient simulation method.

65

function [M,admits,blocks]=simblockswitch(lam,mu,c,t);

blocks=0; %total # blocks

admits=0; %total # admits

M=zeros(size(t));

n=0; % # in system

time=[ exponentialrv(lam,1) ];

event=[ 1 ]; %first event is an arrival

timenow=0;

tmax=max(t);

while (timenow<tmax)

M((timenow<=t)&(t<time(1)))=n;

timenow=time(1);

eventnow=event(1);

event(1)=[ ]; time(1)= [ ]; % clear current event

if (eventnow==1) % arrival

arrival=timenow+exponentialrv(lam,1); % next arrival

b4arrival=time<arrival;

event=[event(b4arrival) 1 event(˜b4arrival)];

time=[time(b4arrival) arrival time(˜b4arrival)];

if n<c %call admitted

admits=admits+1;

n=n+1;

depart=timenow+exponentialrv(mu,1);

b4depart=time<depart;

event=[event(b4depart) -1 event(˜b4depart)];

time=[time(b4depart) depart time(˜b4depart)];

else

blocks=blocks+1; %one more block, immed departure

disp(sprintf(’Time %10.3d Admits %10d Blocks %10d’,...

timenow,admits,blocks));

end

elseif (eventnow==-1) %departure

n=n-1;

end

end

Figure 5: Discrete event simulation of the blocking switch of Quiz 10.13.

66

Quiz Solutions – Chapter 11

Quiz 11.1

By Theorem 11.2,

µ

Y

= µ

X

∞

−∞

h(t )dt = 2

∞

0

e

−t

dt = 2 (1)

Since R

X

(τ) = δ(τ), the autocorrelation function of the output is

R

Y

(τ) =

∞

−∞

h(u)

∞

−∞

h(v)δ(τ +u −v) dv du =

∞

−∞

h(u)h(τ +u) du (2)

For τ > 0, we have

R

Y

(τ) =

∞

0

e

−u

e

−τ−u

du = e

−τ

∞

0

e

−2u

du =

1

2

e

−τ

(3)

For τ < 0, we can deduce that R

Y

(τ) =

1

2

e

−|τ|

by symmetry. Just to be safe though, we

can double check. For τ < 0,

R

Y

(τ) =

∞

−τ

h(u)h(τ +u) du =

∞

−τ

e

−u

e

−τ−u

du =

1

2

e

τ

(4)

Hence,

R

Y

(τ) =

1

2

e

−|τ|

(5)

Quiz 11.2

The expected value of the output is

µ

Y

= µ

X

∞

¸

n=−∞

h

n

= 0.5(1 +−1) = 0 (1)

The autocorrelation of the output is

R

Y

[n] =

1

¸

i =0

1

¸

j =0

h

i

h

j

R

X

[n +i − j ] (2)

= 2R

X

[n] − R

X

[n −1] − R

X

[n +1] =

¸

1 n = 0

0 otherwise

(3)

Since µ

Y

= 0, The variance of Y

n

is Var[Y

n

] = E[Y

2

n

] = R

Y

[0] = 1.

67

−15 −10 −5 0 5 10 15

0

0.2

0.4

0.6

f

S

X

(

f

)

−1500−1000 −500 0 500 1000 1500

0

2

4

6

8

x 10

f

S

X

(

f

)

−0.2 −0.1 0 0.1 0.2

−5

0

5

10

τ

R

X

(

τ

)

−2 −1 0 1 2

x 10

−3

−5

0

5

10

τ

R

X

(

τ

)

(a) W = 10 (b) W = 1000

Figure 6: The autocorrelation R

X

(τ) and power spectral density S

X

( f ) for process X(t ) in

Quiz 11.5.

Quiz 11.3

By Theorem 11.8, Y =

¸

Y

33

Y

34

Y

35

¸

**is a Gaussian random vector since X
**

n

is

a Gaussian random process. Moreover, by Theorem 11.5, each Y

n

has expected value

E[Y

n

] = µ

X

¸

∞

n=−∞

h

n

= 0. Thus E[Y] = 0. Fo ﬁnd the PDF of the Gaussian vector

Y, we need to ﬁnd the covariance matrix C

Y

, which equals the correlation matrix R

Y

since

Y has zero expected value. One way to ﬁnd the R

Y

is to observe that R

Y

has the Toeplitz

structure of Theorem 11.6 and to use Theorem 11.5 to ﬁnd the autocorrelation function

R

Y

[n] =

∞

¸

i =−∞

∞

¸

j =−∞

h

i

h

j

R

X

[n +i − j ]. (1)

Despite the fact that R

X

[k] is an impulse, using Equation (1) is surprisingly tedious because

we still need to sum over all i and j such that n +i − j = 0.

In this problem, it is simpler to observe that Y = HX where

X =

¸

X

30

X

31

X

32

X

33

X

34

X

35

¸

(2)

and

H =

1

4

⎡

⎣

1 1 1 1 0 0

0 1 1 1 1 0

0 0 1 1 1 1

⎤

⎦

. (3)

In this case, following Theorem 11.7, or by directly applying Theorem 5.13 with µ

X

= 0

and A = H, we obtain R

Y

= HR

X

H

. Since R

X

[n] = δ

n

, R

X

= I, the identity matrix.

68

Thus

C

Y

= R

Y

= HH

=

1

16

⎡

⎣

4 3 2

3 4 3

2 3 4

⎤

⎦

. (4)

It follows (very quickly if you use MATLAB for 3 ×3 matrix inversion) that

C

−1

Y

= 16

⎡

⎣

7/12 −1/2 1/12

−1/2 1 −1/2

1/12 −1/2 7/12

⎤

⎦

. (5)

Thus, the PDF of Y is

f

Y

(y) =

1

(2π)

3/2

[det (C

Y

)]

1/2

exp

−

1

2

y

C

−1

Y

y

. (6)

A disagreeable amount of algebra will show det(C

Y

) = 3/1024 and that the PDF can be

“simpliﬁed” to

f

Y

(y) =

16

√

6π

3

exp

¸

−8

7

12

y

2

33

+ y

2

34

+

7

12

y

2

35

− y

33

y

34

+

1

6

y

33

y

35

− y

34

y

35

¸

. (7)

Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution

is that y

C

−1

Y

y is a very concise representation of the cross-terms in the exponent of f

Y

(y).

Quiz 11.4

This quiz is solved using Theorem 11.9 for the case of k = 1 and M = 2. In this case,

X

n

=

¸

X

n−1

X

n

¸

and

R

X

n

=

¸

R

X

[0] R

X

[1]

R

X

[1] R

X

[0]

¸

=

¸

1.1 0.9

0.9 1.1

¸

(1)

and

R

X

n

X

n+1

= E

¸¸

X

n−1

X

n

¸

X

n+1

¸

=

¸

R

X

[2]

R

X

[1]

¸

=

¸

0.81

0.9

¸

. (2)

The MMSE linear ﬁrst order ﬁlter for predicting X

n+1

at time n is the ﬁlter h such that

←−

h = R

−1

X

n

R

X

n

X

n+1

=

¸

1.1 0.9

0.9 1.1

¸

−1

¸

0.81

0.9

¸

=

1

400

¸

81

261

¸

. (3)

It follows that the ﬁlter is h =

¸

261/400 81/400

¸

**and the MMSE linear predictor is
**

ˆ

X

n+1

=

81

400

X

n−1

+

261

400

X

n

. (4)

to ﬁnd the mean square error, one approach is to follow the method of Example 11.13 and

to directly calculate

e

∗

L

= E

¸

(X

n+1

−

ˆ

X

n+1

)

2

¸

. (5)

69

This method is workable for this simple problem but becomes increasingly tedious for

higher order ﬁlters. Instead, we can derive the mean square error for an arbitary prediction

ﬁlter h. Since

ˆ

X

n+1

=

←−

h

X

n

,

e

∗

L

= E

¸

X

n+1

−

←−

h

X

n

2

¸

(6)

= E

¸

(X

n+1

−

←−

h

X

n

)(X

n+1

−

←−

h

X

n

)

¸

(7)

= E

¸

(X

n+1

−

←−

h

X

n

)(X

n+1

−X

n

←−

h )

¸

(8)

After a bit of algebra, we obtain

e

∗

L

= R

X

[0] −2

←−

h

R

X

n

X

n+1

+

←−

h

R

X

n

←−

h (9)

(10)

with the substitution

←−

h = R

−1

X

n

R

X

n

X

n+1

, we obtain

e

∗

L

= R

X

[0] −R

X

n

X

n+1

R

−1

X

n

R

X

n

X

n+1

(11)

= R

X

[0] −

←−

h

R

X

n

X

n+1

(12)

Note that this is essentially the same result as Theorem 9.7 with Y = X

n

, X = X

n+1

and

ˆ a

=

←−

h

. It is noteworthy that the result is derived in a much simpler way in the proof of

Theorem 9.7 by using the orthoginality property of the LMSE estimator.

In any case, the mean square error is

e

∗

L

= R

X

[0] −

←−

h

R

X

n

X

n+1

= 1.1 −

1

400

¸

81 261

¸

¸

0.81

0.9

¸

=

506

1451

= 0.3487. (13)

recalling that the blind estimate would yield a mean square error of Var[X] = 1.1, we see

that observing X

n−1

and X

n

improves the accuracy of our prediction of X

n+1

.

Quiz 11.5

(1) By Theorem 11.13(b), the average power of X(t ) is

E

¸

X

2

(t )

¸

=

∞

−∞

S

X

( f ) d f =

W

−W

5

W

d f = 10 Watts (1)

(2) The autocorrelation function is the inverse Fourier transform of S

X

( f ). Consulting

Table 11.1, we note that

S

X

( f ) = 10

1

2W

rect

f

2W

(2)

It follows that the inverse transform of S

X

( f ) is

R

X

(τ) = 10 sinc(2Wτ) = 10

sin(2πWτ)

2πWτ

(3)

(3) For W = 10 Hz and W = 1 kHZ, graphs of S

X

( f ) and R

X

(τ) appear in Figure 6.

70

Quiz 11.6

In a sampled system, the discrete time impulse δ[n] has a ﬂat discrete Fourier transform.

That is, if R

X

[n] = 10δ[n], then

S

X

(φ) =

∞

¸

n=−∞

10δ[n]e

−j 2πφn

= 10 (1)

Thus, R

X

[n] = 10δ[n]. (This quiz is really lame!)

Quiz 11.7

Since Y(t ) = X(t −t

0

),

R

XY

(t, τ) = E [X(t )Y(t +τ)] = E [X(t )X(t +τ −t

0

)] = R

X

(τ −t

0

) (1)

We see that R

XY

(t, τ) = R

XY

(τ) = R

X

(τ − t

0

). From Table 11.1, we recall the prop-

erty that g(τ − τ

0

) has Fourier transform G( f )e

−j 2π f τ

0

. Thus the Fourier transform of

R

XY

(τ) = R

X

(τ −t

0

) = g(τ −t

0

) is

S

XY

( f ) = S

X

( f )e

−j 2π f t

0

. (2)

Quiz 11.8

We solve this quiz using Theorem 11.17. First we need some preliminary facts. Let

a

0

= 5,000 so that

R

X

(τ) =

1

a

0

a

0

e

−a

0

|τ|

. (1)

Consulting with the Fourier transforms in Table 11.1, we see that

S

X

( f ) =

1

a

0

2a

2

0

a

2

0

+(2π f )

2

=

2a

0

a

2

0

+(2π f )

2

(2)

The RC ﬁlter has impulse response h(t ) = a

1

e

−a

1

t

u(t ), where u(t ) is the unit step function

and a

1

= 1/RC where RC = 10

−4

is the ﬁlter time constant. From Table 11.1,

H( f ) =

a

1

a

1

+ j 2π f

(3)

(1) Theorem 11.17,

S

XY

( f ) = H( f )S

X

( f ) =

2a

0

a

1

[a

1

+ j 2π f ]

¸

a

2

0

+(2π f )

2

¸. (4)

(2) Again by Theorem 11.17,

S

Y

( f ) = H

∗

( f )S

XY

( f ) = |H( f )|

2

S

X

( f ). (5)

71

Note that

|H( f )|

2

= H( f )H

∗

( f ) =

a

1

(a

1

+ j 2π f )

a

1

(a

1

− j 2π f )

=

a

2

1

a

2

1

+(2π f )

2

(6)

Thus,

S

Y

( f ) = |H( f )|

2

S

X

( f ) =

2a

0

a

2

1

¸

a

2

1

+(2π f )

2

¸ ¸

a

2

0

+(2π f )

2

¸ (7)

(3) To ﬁnd the average power at the ﬁlter output, we can either use basic calculus and

calculate

∞

−∞

S

Y

( f ) d f directly or we can ﬁnd R

Y

(τ) as an inverse transform of

S

Y

( f ). Using partial fractions and the Fourier transform table, the latter method is

actually less algebra. In particular, some algebra will show that

S

Y

( f ) =

K

0

a

2

0

+(2π f )

2

+

K

1

a

1

+(2π f )

2

(8)

where

K

0

=

2a

0

a

2

1

a

2

1

−a

2

0

, K

1

=

−2a

0

a

2

1

a

2

1

−a

2

0

. (9)

Thus,

S

Y

( f ) =

K

0

2a

2

0

2a

2

0

a

2

0

+(2π f )

2

+

K

1

2a

2

1

2a

2

1

a

1

+(2π f )

2

. (10)

Consulting with Table 11.1, we see that

R

Y

(τ) =

K

0

2a

2

0

a

0

e

−a

0

|τ|

+

K

1

2a

2

1

a

1

e

−a

1

|τ|

(11)

Substituting the values of K

0

and K

1

, we obtain

R

Y

(τ) =

a

2

1

e

−a

0

|τ|

−a

0

a

1

e

−a

1

|τ|

a

2

1

−a

2

0

. (12)

The average power of the Y(t ) process is

R

Y

(0) =

a

1

a

1

+a

0

=

2

3

. (13)

Note that the input signal has average power R

X

(0) = 1. Since the RC ﬁlter has a 3dB

bandwidth of 10,000 rad/sec and the signal X(t ) has most of its its signal energy below

5,000 rad/sec, the output signal has almost as much power as the input.

72

Quiz 11.9

This quiz implements an example of Equations (11.146) and (11.147) for a system in

which we ﬁlter Y(t ) = X(t ) + N(t ) to produce an optimal linear estimate of X(t ). The

solution to this quiz is just to ﬁnd the ﬁlter

ˆ

H( f ) using Equation (11.146) and to calculate

the mean square error e

L

∗ using Equation (11.147).

Comment: Since the text omitted the derivations of Equations (11.146) and (11.147), we

note that Example 10.24 showed that

R

Y

(τ) = R

X

(τ) + R

N

(τ), R

Y X

(τ) = R

X

(τ). (1)

Taking Fourier transforms, it follows that

S

Y

( f ) = S

X

( f ) + S

N

( f ), S

Y X

( f ) = S

X

( f ). (2)

Now we can go on to the quiz, at peace with the derivations.

(1) Since µ

N

= 0, R

N

(0) = Var[N] = 1. This implies

R

N

(0) =

∞

−∞

S

N

( f ) d f =

B

−B

N

0

d f = 2N

0

B (3)

Thus N

0

= 1/(2B). Because the noise process N(t ) has constant power R

N

(0) = 1,

decreasing the single-sided bandwidth B increases the power spectral density of the

noise over frequencies | f | < B.

(2) Since R

X

(τ) = sinc(2Wτ), where W = 5,000 Hz, we see from Table 11.1 that

S

X

( f ) =

1

10

4

rect

f

10

4

. (4)

The noise power spectral density can be written as

S

N

( f ) = N

0

rect

f

2B

=

1

2B

rect

f

2B

, (5)

From Equation (11.146), the optimal ﬁlter is

ˆ

H( f ) =

S

X

( f )

S

X

( f ) + S

N

( f )

=

1

10

4

rect

f

10

4

1

10

4

rect

f

10

4

+

1

2B

rect

f

2B

. (6)

73

(3) We produce the output

ˆ

X(t ) by passing the noisy signal Y(t ) through the ﬁlter

ˆ

H( f ).

From Equation (11.147), the mean square error of the estimate is

e

∗

L

=

∞

−∞

S

X

( f )S

N

( f )

S

X

( f ) + S

N

( f )

d f (7)

=

∞

−∞

1

10

4

rect

f

10

4

1

2B

rect

f

2B

1

10

4

rect

f

10

4

+

1

2B

rect

f

2B

d f. (8)

To evaluate the MSE e

∗

L

, we need to whether B ≤ W. Since the problem asks us to

ﬁnd the largest possible B, let’s suppose B ≤ W. We can go back and consider the

case B > W later. When B ≤ W, the MSE is

e

∗

L

=

B

−B

1

10

4

1

2B

1

10

4

+

1

2B

d f =

1

10

4

1

10

4

+

1

2B

=

1

1 +

5,000

B

(9)

To obtain MSE e

∗

L

≤ 0.05 requires B ≤ 5,000/19 = 263.16 Hz.

Although this completes the solution to the quiz, what is happening may not be obvious.

The noise power is always Var[N] = 1 Watt, for all values of B. As B is decreased, the PSD

S

N

( f ) becomes increasingly tall, but only over a bandwidth B that is decreasing. Thus as

B descreases, the ﬁlter

ˆ

H( f ) makes an increasingly deep and narrow notch at frequencies

| f | ≤ B. Two examples of the ﬁlter

ˆ

H( f ) are shown in Figure 7. As B shrinks, the ﬁlter

suppresses less of the signal of X(t ). The result is that the MSE goes down.

Finally, we note that we can choose B very large and also achieve MSE e

∗

L

= 0.05. In

particular, when B > W = 5000, S

N

( f ) = 1/2B over frequencies | f | < W. In this case,

the Wiener ﬁlter

ˆ

H( f ) is an ideal (ﬂat) lowpass ﬁlter

ˆ

H( f ) =

⎧

⎨

⎩

1

10

4

1

10

4

+

1

2B

| f | < 5,000,

0 otherwise.

(10)

Thus increasing B spreads the constant 1 watt of power of N(t ) over more bandwidth. The

Wiener ﬁlter removes the noise that is outside the band of the desired signal. The mean

square error is

e

∗

L

=

5000

−5000

1

10

4

1

2B

1

10

4

+

1

2B

d f =

1

2B

1

10

4

+

1

2B

=

1

B

5000

+1

(11)

In this case, B ≥ 9.5 ×10

4

guarantees e

∗

L

≤ 0.05.

Quiz 11.10

It is fairly straightforward to ﬁnd S

X

(φ) and S

Y

(φ). The only thing to keep in mind is

to use fftc to transform the autocorrelation R

X

[ f ] into the power spectral density S

X

(φ).

The following MATLAB program generates and plots the functions shown in Figure 8

74

−5000 −2000 0 2000 5000

0

0.5

1

f

H

(

f

)

−5000 −2000 0 2000 5000

0

0.5

1

f

H

(

f

)

B = 500 B = 2500

Figure 7: Wiener ﬁlter for Quiz 11.9.

%mquiz11.m

N=32;

rx=[2 4 2]; SX=fftc(rx,N); %autocorrelation and PSD

stem(0:N-1,abs(sx));

xlabel(’n’);ylabel(’S_X(n/N)’);

h2=0.5*[1 1]; H2=fft(h2,N); %impulse/filter response: M=2

SY2=SX.* ((abs(H2)).ˆ2);

figure; stem(0:N-1,abs(SY2)); %PSD of Y for M=2

xlabel(’n’);ylabel(’S_{Y_2}(n/N)’);

h10=0.1*ones(1,10); H10=fft(h10,N); %impulse/filter response: M=10

SY10=sx.*((abs(H10)).ˆ2);

figure; stem(0:N-1,abs(SY10));

xlabel(’n’);ylabel(’S_{Y_{10}}(n/N)’);

Relative to M = 2, when M = 10, the ﬁlter H(φ) ﬁlters out almost all of the high

frequency components of X(t ). In the context of Example 11.26, the low pass moving

average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter

output that varies very slowly.

As an aside, note that the vectors SX, SY2 and SY10 in mquiz11 should all be real-

valued vectors. However, the ﬁnite numerical precision of MATLAB results in tiny imagi-

nary parts. Although these imaginary parts have no computational signiﬁcance, they tend

to confuse the stem function. Hence, we generate stem plots of the magnitude of each

power spectral density.

75

0 5 10 15 20 25 30 35

0

5

10

n

S

X

(

n

/

N

)

0 5 10 15 20 25 30 35

0

5

10

n

S

Y

2

(

n

/

N

)

0 5 10 15 20 25 30 35

0

5

10

n

S

Y

1

0

(

n

/

N

)

Figure 8: For Quiz 11.10, graphs of S

X

(φ), S

Y

(n/N) for M = 2, and S

φ

(n/N) for M = 10

using an N = 32 point DFT.

76

Quiz Solutions – Chapter 12

Quiz 12.1

The system has two states depending on whether the previous packet was received in

error. From the problem statement, we are given the conditional probabilities

P

¸

X

n+1

= 0|X

n

= 0

¸

= 0.99 P

¸

X

n+1

= 1|X

n

= 1

¸

= 0.9 (1)

Since each X

n

must be either 0 or 1, we can conclude that

P

¸

X

n+1

= 1|X

n

= 0

¸

= 0.01 P

¸

X

n+1

= 0|X

n

= 1

¸

= 0.1 (2)

These conditional probabilities correspond to the transition matrix and Markov chain:

0 1

0.01

0.1

0.99 0.9

P =

¸

0.99 0.01

0.10 0.90

¸

(3)

Quiz 12.2

From the problem statement, the Markov chain and the transition matrix are

0 1 1

0.6 0.2

0.2 0.6

0.4 0.6 0.4

P =

⎡

⎣

0.4 0.6 0

0.2 0.6 0.2

0 0.6 0.4

⎤

⎦

(1)

The eigenvalues of P are

λ

1

= 0 λ

2

= 0.4 λ

3

= 1 (2)

We can diagonalize P into

P = S

−1

DS =

⎡

⎣

−0.6 0.5 1

0.4 0 1

−0.6 −0.5 1

⎤

⎦

⎡

⎣

λ

1

0 0

0 λ

2

0

0 0 λ

3

⎤

⎦

⎡

⎣

−0.5 1 −0.5

1 0 −1

0.2 0.6 0.2

⎤

⎦

(3)

where s

i

, the i th row of S, is the left eigenvector of P satisfying s

i

P = λ

i

s

i

. Algebra will

verify that the n-step transition matrix is

P

n

= S

−1

D

n

S =

⎡

⎣

0.2 0.6 0.2

0.2 0.6 0.2

0.2 0.6 0.2

⎤

⎦

+(0.4)

n

⎡

⎣

0.5 0 −0.5

0 0 0

−0.5 0 0.5

⎤

⎦

(4)

Quiz 12.3

The Markov chain describing the factory status and the corresponding state transition

matrix are

77

2

0 1

0.9

0.1

1

1

P =

⎡

⎣

0.9 0.1 0

0 0 1

1 0 0

⎤

⎦

(1)

With π =

¸

π

0

π

1

π

2

¸

, the system of equations π

= π

P yields π

1

= 0.1π

0

and

π

2

= π

1

. This implies

π

0

+π

1

+π

2

= π

0

(1 +0.1 +0.1) = 1 (2)

It follows that the limiting state probabilities are

π

0

= 5/6, π

1

= 1/12, π

2

= 1/12. (3)

Quiz 12.4

The communicating classes are

C

1

= {0, 1} C

2

= {2, 3} C

3

= {4, 5, 6} (1)

The states in C

1

and C

3

are aperiodic. The states in C

2

have period 2. Once the system

enters a state in C

1

, the class C

1

is never left. Thus the states in C

1

are recurrent. That

is, C

1

is a recurrent class. Similarly, the states in C

3

are recurrent. On the other hand, the

states in C

2

are transient. Once the system exits C

2

, the states in C

2

are never reentered.

Quiz 12.5

At any time t , the state n can take on the values 0, 1, 2, . . .. The state transition proba-

bilities are

P

n−1,n

= P [K > n|K > n −1] =

P [K > n]

P [K > n −1]

(1)

P

n−1,0

= P [K = n|K > n −1] =

P [K = n]

P [K > n −1]

(2)

(3)

The Markov chain resembles

0 1

P K=2 [ ]

P K= [ 1]

3 4

P K=4 [ ]

2

P K=3 [ ]

P K=5 [ ]

1 1 1 1 1

… ...

78

The stationary probabilities satisfy

π

0

= π

0

P [K = 1] +π

1

, (4)

π

1

= π

0

P [K = 2] +π

2

, (5)

.

.

.

π

k−1

= π

0

P [K = k] +π

k

, k = 1, 2, . . . (6)

From Equation (4), we obtain

π

1

= π

0

(1 − P [K = 1]) = π

0

P [K > 1] (7)

Similarly, Equation (5) implies

π

2

= π

1

−π

0

P [K = 2] = π

0

(P [K > 1] − P [K = 2]) = π

0

P [K > 2] (8)

This suggests that π

k

= π

0

P[K > k]. We verify this pattern by showing that π

k

=

π

0

P[K > k] satisﬁes Equation (6):

π

0

P [K > k −1] = π

0

P [K = k] +π

0

P [K > k] . (9)

When we apply

¸

∞

k=0

π

k

= 1, we obtain π

0

¸

∞

n=0

P[K > k] = 1. From Problem 2.5.11,

we recall that

¸

∞

k=0

P[K > k] = E[K]. This implies

π

n

=

P [K > n]

E [K]

(10)

This Markov chain models repeated random countdowns. The system state is the time until

the counter expires. When the counter expires, the system is in state 0, and we randomly

reset the counter to a new value K = k and then we count down k units of time. Since we

spend one unit of time in each state, including state 0, we have k −1 units of time left after

the state 0 counter reset. If we have a random variable W such that the PMF of W satisﬁes

P

W

(n) = π

n

, then W has a discrete PMF representing the remaining time of the counter at

a time in the distant future.

Quiz 12.6

(1) By inspection, the number of transitions need to return to state 0 is always a multiple

of 2. Thus the period of state 0 is d = 2.

(2) To ﬁnd the stationary probabilities, we solve the system of equations π = πP and

¸

3

i =0

π

i

= 1:

π

0

= (3/4)π

1

+(1/4)π

3

(1)

π

1

= (1/4)π

0

+(1/4)π

2

(2)

π

2

= (1/4)π

1

+(3/4)π

3

(3)

1 = π

0

+π

1

+π

2

+π

3

(4)

79

Solving the second and third equations for π

2

and π

3

yields

π

2

= 4π

1

−π

0

π

3

= (4/3)π

2

−(1/3)π

1

= 5π

1

−(4/3)π

0

(5)

Substituting π

3

back into the ﬁrst equation yields

π

0

= (3/4)π

1

+(1/4)π

3

= (3/4)π

1

+(5/4)π

1

−(1/3)π

0

(6)

This implies π

1

= (2/3)π

0

. It follows from the ﬁrst and second equations that

π

2

= (5/3)π

0

and π

3

= 2π

0

. Lastly, we choose π

0

so the state probabilities sum to

1:

1 = π

0

+π

1

+π

2

+π

3

= π

0

1 +

2

3

+

5

3

+2

=

16

3

π

0

(7)

It follows that the state probabilities are

π

0

=

3

16

π

1

=

2

16

π

2

=

5

16

π

3

=

6

16

(8)

(3) Since the system starts in state 0 at time 0, we can use Theorem 12.14 to ﬁnd the

limiting probability that the system is in state 0 at time nd:

lim

n→∞

P

00

(nd) = dπ

0

=

3

8

(9)

Quiz 12.7

The Markov chain has the same structure as that in Example 12.22. The only difference

is the modiﬁed transition rates:

0 1

1

3 4

( ) 2/3

a

1 - ( ) 2/3

a

( ) 3/4

a

1 - 3/4 ( )

a

( ) 4/5

a

1 - 4/5 ( )

a

2

( ) 1/2

a

1- 1/2 ( )

a

…

The event T

00

> n occurs if the system reaches state n before returning to state 0, which

occurs with probability

P [T

00

> n] = 1 ×

1

2

α

×

2

3

α

×· · · ×

n −1

n

α

=

1

n

α

. (1)

Thus the CDF of T

00

satisﬁes F

T

00

(n) = 1−P[T

00

> n] = 1−1/n

α

. To determine whether

state 0 is recurrent, we observe that for all α > 0

P [V

00

] = lim

n→∞

F

T

00

(n) = lim

n→∞

1 −

1

n

α

= 1. (2)

80

Thus state 0 is recurrent for all α > 0. Since the chain has only one communicating class,

all states are recurrent. ( We also note that if α = 0, then all states are transient.)

To determine whether the chain is null recurrent or positive recurrent, we need to calcu-

late E[T

00

]. In Example 12.24, we did this by deriving the PMF P

T

00

(n). In this problem,

it will be simpler to use the result of Problem 2.5.11 which says that

¸

∞

k=0

P[K > k] =

E[K] for any non-negative integer-valued random variable K. Applying this result, the

expected time to return to state 0 is

E [T

00

] =

∞

¸

n=0

P [T

00

> n] = 1 +

∞

¸

n=1

1

n

α

. (3)

For 0 < α ≤ 1, 1/n

α

≥ 1/n and it follows that

E [T

00

] ≥ 1 +

∞

¸

n=1

1

n

= ∞. (4)

We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. On the other hand, for

α > 1,

E [T

00

] = 2 +

∞

¸

n=2

1

n

α

. (5)

Note that for all n ≥ 2

1

n

α

≤

n

n−1

dx

x

α

(6)

This implies

E [T

00

] ≤ 2 +

∞

¸

n=2

n

n−1

dx

x

α

(7)

= 2 +

∞

1

dx

x

α

(8)

= 2 +

x

−α+1

−α +1

∞

1

= 2 +

1

α −1

< ∞ (9)

Thus for all α > 1, the Markov chain is positive recurrent.

Quiz 12.8

The number of customers in the ”friendly” store is given by the Markov chain

1 i i+1

p p p

( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q

( ) 1-p q ( ) 1-p q ( ) 1-p q ( ) 1-p q

0

××× ×××

81

In the above chain, we note that (1 − p)q is the probability that no new customer arrives,

an existing customer gets one unit of service and then departs the store.

By applying Theorem 12.13 with state space partitioned between S = {0, 1, . . . , i } and

S

**= {i +1, i +2, . . .}, we see that for any state i ≥ 0,
**

π

i

p = π

i +1

(1 − p)q. (1)

This implies

π

i +1

=

p

(1 − p)q

π

i

. (2)

Since Equation (2) holds for i = 0, 1, . . ., we have that π

i

= π

0

α

i

where

α =

p

(1 − p)q

. (3)

Requiring the state probabilities to sum to 1, we have that for α < 1,

∞

¸

i =0

π

i

= π

0

∞

¸

i =0

α

i

=

π

0

1 −α

= 1. (4)

Thus for α < 1, the limiting state probabilities are

π

i

= (1 −α)α

i

, i = 0, 1, 2, . . . (5)

In addition, for α ≥ 1 or, equivalently, p ≥ q/(1 − q), the limiting state probabilities do

not exist.

Quiz 12.9

The continuous time Markov chain describing the processor is

0 1

2

3.01

3 4

2

3

2

3

2

2

3

0.01

0.01

0.01

Note that q

10

= 3.1 since the task completes at rate 3 per msec and the processor reboots

at rate 0.1 per msec and the rate to state 0 is the sum of those two rates. From the Markov

chain, we obtain the following useful equations for the stationary distribution.

5.01p

1

= 2p

0

+3p

2

5.01p

2

= 2p

1

+3p

3

5.01p

3

= 2p

2

+3p

4

3.01p

4

= 2p

3

We can solve these equations by working backward and solving for p

4

in terms of p

3

, p

3

in terms of p

2

and so on, yielding

p

4

=

20

31

p

3

p

3

=

620

981

p

2

p

2

=

19620

31431

p

1

p

1

=

628, 620

1, 014, 381

p

0

(1)

82

Applying p

0

+ p

1

+ p

2

+ p

3

+ p

4

= 1 yields p

0

= 1, 014, 381/2, 443, 401 and the

stationary probabilities are

p

0

= 0.4151 p

1

= 0.2573 p

2

= 0.1606 p

3

= 0.1015 p

4

= 0.0655 (2)

Quiz 12.10

The M/M/c/∞queue has Markov chain

c c+1 1 0

λ λ λ λ λ

µ 2µ

cµ cµ cµ

From the Markov chain, the stationary probabilities must satisfy

p

n

=

¸

(ρ/n) p

n−1

n = 1, 2, . . . , c

(ρ/c) p

n−1

n = c +1, c +2, . . .

(1)

It is straightforward to show that this implies

p

n

=

¸

p

0

ρ

n

/n! n = 1, 2, . . . , c

p

0

(ρ/c)

n−c

ρ

c

/c! n = c +1, c +2, . . .

(2)

The requirement that

¸

∞

n=0

p

n

= 1 yields

p

0

=

c

¸

n=0

ρ

n

/n! +

ρ

c

c!

ρ/c

1 −ρ/c

−1

(3)

83

**Quiz Solutions – Chapter 1
**

Quiz 1.1 In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated set.

M T O M T O M T O

(1) R = T c

(2) M ∪ O

(3) M ∩ O

M T

O

M T

O

M T

O

(4) R ∪ M Quiz 1.2 (1) A1 = {vvv, vvd, vdv, vdd} (2) B1 = {dvv, dvd, ddv, ddd} (3) A2 = {vvv, vvd, dvv, dvd} (4) B2 = {vdv, vdd, ddv, ddd} (5) A3 = {vvv, ddd} (6) B3 = {vdv, dvd}

(4) R ∩ M

(6) T c − M

(7) A4 = {vvv, vvd, vdv, dvv, vdd, dvd, ddv} (8) B4 = {ddd, ddv, dvd, vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. Also, Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. Since we have written down each pair Ai and Bi above, we can simply check for these properties. The pair A1 and B1 are mutually exclusive and collectively exhaustive. The pair A2 and B2 are mutually exclusive and collectively exhaustive. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . However, A4 and B4 are collectively exhaustive. 2

Quiz 1.3 There are exactly 50 equally likely outcomes: s51 through s100 . Each of these outcomes has probability 0.02. (1) P[{s79 }] = 0.02 (2) P[{s100 }] = 0.02 (3) P[A] = P[{s90 , . . . , s100 }] = 11 × 0.02 = 0.22 (4) P[F] = P[{s51 , . . . , s59 }] = 9 × 0.02 = 0.18 (5) P[T ≥ 80] = P[{s80 , . . . , s100 }] = 21 × 0.02 = 0.42 (6) P[T < 90] = P[{s51 , s52 , . . . , s89 }] = 39 × 0.02 = 0.78 (7) P[a C grade or better] = P[{s70 , . . . , s100 }] = 31 × 0.02 = 0.62 (8) P[student passes] = P[{s60 , . . . , s100 }] = 41 × 0.02 = 0.82 Quiz 1.4 We can describe this experiment by the event space consisting of the four possible events V B, V L, D B, and DL. We represent these events in the table: V D L 0.35 ? B ? ? In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular, P [V ] = 0.7 = P [V L] + P [V B] P [L] = 0.6 = P [V L] + P [DL] (1) (2)

Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 − 0.35 = 0.25. This allows us to ﬁll in two more table entries: V D L 0.35 0.25 B 0.35 ? The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1. This implies P[D B] = 0.05 and the complete table is V D L 0.35 0.25 B 0.35 0.05 Finding the various probabilities is now straightforward: 3

(1) P[DL] = 0.25 (2) P[D ∪ L] = P[V L] + P[DL] + P[D B] = 0.35 + 0.25 + 0.05 = 0.65. (3) P[V B] = 0.35 (4) P[V ∪ L] = P[V ] + P[L] − P[V L] = 0.7 + 0.6 − 0.35 = 0.95 (5) P[V ∪ D] = P[S] = 1 (6) P[L B] = P[L L c ] = 0 Quiz 1.5 (1) The probability of exactly two voice calls is P [N V = 2] = P [{vvd, vdv, dvv}] = 0.3 (2) The probability of at least one voice call is P [N V ≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] = 6(0.1) + 0.2 = 0.8 An easier way to get the same answer is to observe that P [N V ≥ 1] = 1 − P [N V < 1] = 1 − P [N V = 0] = 1 − P [{ddd}] = 0.8 (4) (2) (3) (1)

(3) The conditional probability of two voice calls followed by a data call given that there were two voice calls is 1 P [{vvd} , N V = 2] P [{vvd}] 0.1 = (5) = = P [{vvd} |N V = 2] = P [N V = 2] P [N V = 2] 0.3 3 (4) The conditional probability of two data calls followed by a voice call given there were two voice calls is P [{ddv} , N V = 2] P [{ddv} |N V = 2] = =0 (6) P [N V = 2] The joint event of the outcome ddv and exactly two voice calls has probability zero since there is only one voice call in the outcome ddv. (5) The conditional probability of exactly two voice calls given at least one voice call is P [N V = 2, N V ≥ 1] P [N V = 2] 0.3 3 = = = (7) P [N V = 2|Nv ≥ 1] = P [N V ≥ 1] P [N V ≥ 1] 0.8 8 (6) The conditional probability of at least one voice call given there were exactly two voice calls is P [N V ≥ 1, N V = 2] P [N V = 2] P [N V ≥ 1|N V = 2] = = =1 (8) P [N V = 2] P [N V = 2] Given that there were two voice calls, there must have been at least one voice call. 4

Quiz 1. (3) The problem statement that the calls were independent implies that the events the second call is a voice call. the events are dependent. {C2 = v}. C1 = v] = P [{vd.2)(0. (1) First. (2) The probability of the joint event is P [N V ≥ 1. we calculate the probability of the joint event: P [N V = 2.80 From part (a).2)(0.16 P[{dd}] = (0. dv.16 (6) Since P[C1 = d]P[C2 = v] = (0. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0. 5 (7) (5) (4) (3) (2) (1) .8) = 0.544. we can do the calculations to check: P [C1 = d.16 P[{vd}] = (0. each event has probability P [C2 = v] = P [{dv.96 Finally. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. the events are dependent. (4) The probability of the joint event is P [C2 = v. we observe that P [N V ≥ 1] = P [{vd.64 Next.96. and the ﬁrst call is a data call.8.2) = 0. {C1 = d} are independent events. vv}] = 0.6 In this experiment. C1 = v] Hence. P[C1 = v] = 0.8) = 0. P[N V ≥ 1] = 0. Using the probabilities of the outcomes. Further. Just to be sure.16. P [N V is even] = P [{dd. we make the comparison P [N V = 2] P [N V ≥ 1] = (0.8) = 0.8)2 = 0.64 Also.768 = P [N V ≥ 1. vv}] = 0.544. Note that this shouldn’t be surprising since we used the information that the calls were independent in the problem statement to determine the probabilities of the outcomes.04 When checking the independence of any two events A and B. N V ≥ 1] which shows the two events are dependent.96) = P [N V = 2.68) = 0. there are four outcomes with probabilities P[{vv}] = (0. Since P[C2 = v.8)(0.8 so that P [N V ≥ 1] P [C1 = v] = (0.68 (8) Thus. P[C2 = v]P[N V is even] = (0.96)(0. N V is even] = 0. we conﬁrm that the events are independent. C2 = v] = P [{dv}] = 0. vv}] = 0. we now can test for the independence of events.2)2 = 0.8)(0. vv}] = 0. N V is even] = P [{vv}] = 0.64 P[{dv}] = (0.64)(0.

For each of the next three bits.2 The user is found unless all three paging attempts fail.2 0. That is. The number of ways of choosing such N a code word is M . there are six code words with exactly two zeroes. The other N − M bits will be zeroes. 1010.2)3 = 0. it is also possible to simply enumerate the six code words: 1100. there are 8 = 56 code words.8 (1) We can view choosing each bit in the code word as a subexperiment. we can specify a code word by choosing M of the bits to be ones.9 (1) In this problem. the probability of k bits in error and 100 − k correctly received bits is P Sk. k bits received in error is the same as k failures in 100 trials. (2) An experiment that can yield all possible code words with two zeroes is to choose which 2 bits (out of 4 bits) will be zero. The tree for the experiment is 0. 0101.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0.8 ¨ F2 0. Hence.2 0. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word.100−k = 100 k 6 k (1 − )100−k (1) . 2 For this problem. we have two choices. In this case. 3 Quiz 1.992 (1) Quiz 1. (3) When the ﬁrst bit must be a zero. there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. 1001.Quiz 1. 0011. The other two bits then must be ones. then the ﬁrst subexperiment of choosing the ﬁrst bit has only one outcome.8 ¨ F1 0. Each subexperiment has two possible outcomes: 0 and 1. Thus by the fundamental principle of counting. For N = 8 and M = 3.7 Let Fi denote the event that that the user is found on page i. The failure probability is = 1 − p and the success probability is 1 − = p. There are 4 = 6 ways to do this. 0110. (4) For the constant ratio code.

.99 = 100(0.. Y=hist(X.100).1:3) (1) (2) (3) For a M ATLAB simulation. then X(i)=3.9. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.97 = 161. chip failures are also independent.01.4 < R(i) and R(i)<=0. we note there are three cases: • If R(i) <= 0.99)100 = 0. we ﬁrst generate a vector R of 100 random numbers. X(i)=1 if ﬂip i was heads.9)) .3660 P S1.100 + P S1.4) . 7 .4. we use the hist function to count how many occurences of each possible value of X(i). X(i)=2 if ﬂip i was tails..99) (2) The probability a packet is decoded correctly is just P [C] = P S0.98 = 4950(0. That is.4). Since transistor failures are independent of each other. + (2*(R>0. 700(0.9819 = 0.99) 2 3 99 (2) (3) (4) (5) = 0.0610 (6) Quiz 1. then X(i)=2.10 Since the chip works only if all n transistors work. P S0.1849 P S3. the transistors in the chip are like devices in series.9)). To see how this works. X=(R<= 0. 8 P [C9 ] = (P [C])9 = p 9n . then X(i)=1.9 < R(i). Let Ck denote the event that exactly k chips work.4. These three cases will have probabilities 0. and X(i)=3) is ﬂip i landed on the edge. + (3*(R>0.5 and 0.For = 0. Second.3700 9 97 P S2. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).01) (0. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip.11 R=rand(1.98 + P S3.99 + P S2. • If 0.100 = (1 − )100 = (0. The module works if either 8 chips work or 9 chips work.01) (0.*(R<=0. Lastly. • If 0. 0. The probability that a chip works is P[C] = pn ..99) 8 = 0.1.01)(0.97 = 0.

probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. with probability p. 2. 0 otherwise (1) (2) If p = 0. Now that we have found c. that is.0387 8 (2) . then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0. (2) P[N = 1] = PN (1) = c = 6/11 (3) P[N ≥ 2] = PN (2) + PN (3) = c/2 + c/3 = 5/11 (4) P[N > 3] = ∞ n=4 PN (n) = 0 Quiz 2. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1.Quiz Solutions – Chapter 2 Quiz 2. 3 G 0.5 0.11.24 2. Similar to Example 2. the trial is a success.1)(0. (1) The random variable X is the number of trials up to and including the ﬁrst success.” Each bit is in error. Now we can interpret each experiment in the generic context of independent trials. we recall that the PMF must sum to 1.24 2. .5 0.2 (1) To ﬁnd c. That is.9)9 = 0.36 3.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success.0 0. the remaining parts are straightforward. .1.1 The sample space. .

25.01)2 (0.01)(0. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0. P[X ≥ 10] = 0.13. (3) The random variable Y is the number of successes in 100 independent trials. This x=10 sum is not too hard to calculate. 5.01)2 (0. (1) P[Y < 1] = FY (1− ) = 0 9 .4 Each of these probabilities can be read off the CDF FY (y). (6) If p = 0. 4.1. Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0. we must keep in + mind that when FY (y) has a discontinuity at y0 .The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).910 = 0.25)3 (0.9207 100 (0. That is.3487. However.15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3. FY (y) takes the upper value FY (y0 ). . However. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly. Thus Z has the Pascal PMF (see Example 2.99)100 + 100(0.99)99 + = 0.0645 2 (10) Quiz 2.01.. .99)98 = 0. . Just as in Example 2.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success.75)9 = 0.

6 = 0. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .3) + 120(0.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0.3 t = 75.5 (1) With probability 0.3 N =3 •T =75 From the tree.7 c = 25 PC (c) = 0. This corresponds to the PMF ⎧ ⎨ 0.3 N =2 •T =90 r rr 0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0. a call is a voice call and C = 25.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.8 − 0.7.1) = 62 (2) (3) (4) 10 .5 cents Quiz 2. 90. Otherwise. we have a data call and C = 40.3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ rr rr0.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0.8 = 0 Quiz 2.7) + 40(0.3. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0.6 (1) As a function of N . with probability 0.1¨¨ ¨ ¨ ¨ 0.3) = 29.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).(2) P[Y ≤ 1] = FY (1) = 0. we can draw the following tree: N =0 •T =120 0.8 = 0. 105 PT (t) = 0. we can write down the PMF of T : ⎧ ⎨ 0.

5) = 2.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.2) + 8(0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0. g(E[A]) = g(2) = 4.4) + 22 (0.1) + 12 (0.4) + 2(0. (3) 11 .3) + 3(0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.8 The PMF PN (n) allows to calculate each of the desired quantities. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.8 = g(E[A]). However. E[M] = 4.10.3) + 6(0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.7 (1) Using Deﬁnition 2. Quiz 2.663.5) = 1.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2. The two quantities are different because g(A) is not of the form α A + β.44 = 0.Quiz 2.4) + 2(0.4) + 4(0.14.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.2) + 4(0.4)2 = 0. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.4 − (1.8 (3) Since E[A] = 2.1) = 4.1) + 1(0.

75) + 0.02(0.17. calculating conditional expectations is easy. 2. . 7.9 (1) From the problem statement. 5 = 0. 4.005 n = 6.8 n = 1. 4. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4.80 (6) By Theorem 2.8 n = 6.25) ⎩ 0 otherwise ⎧ ⎨ 0.10 (the law of total probability). . E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. From Theorem 1. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0.005/0. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. we learn that the conditional PMF of N given the event I is 0. . 2. . 8. 50 = 0(0.25) n = 1. 2. 2. 7. 3. 5 = 0.02(0. 4.155)(5) + (0. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. 10 ⎩ 0 otherwise ⎧ ⎨ 0. . 2. 5 n = 6. 3. 4.155/0.2 n = 1. . the conditional PMF of N given the event T is PN |T (n) = 0. . 7. 9. 5 = 0.Quiz 2. . 4.19375) + n=6 n(0. 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. 9. 7. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. . . 3.2(0.15625 12 . 2.75) + 0. 8.02 n = 1. . 3. .19375 n = 1. 3.155 n = 1.005)(5) = 0.00625) (11) (12) = 3.00625 n = 6.

m k . The ith column M(:.k).10 8 6 4 2 0 0 50 100 10 8 6 4 2 0 0 500 1000 (a) samplemean(100) (b) samplemean(1000) Figure 1: Two examples of the output of samplemean(k) (6) To ﬁnd the conditional variance. . M=zeros(k.19375) + 2 (14) (15) = 55(0.00625) n=6 = n=1 n (0. plot(K. . X=duniformrv(0. .10.i)=cumsum(X). K=(1:k)’.75684 (16) (17) Quiz 2. 2.i) of M holds a sequence m 1 . . What is observed in these ﬁgures is that for small n. Each time samplemean(k) is called produces a random output. .71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. m n is fairly random but as n gets 13 .00625) = 12.19375) + 330(0. M(:.15625)2 = 2.M). k. . for i=1:5. function M=samplemean(k).71875 − (3. . m 2 .5). Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. . we ﬁrst ﬁnd the conditional second moment E N 2 |N ≤ 10 = n 5 n 2 PN |N ≤10 (n) 10 (13) n 2 (0./K.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. end.

m 2 . the sequences always converges to E[X ]. . . . This random convergence is analyzed in Chapter 7. Although each sequence m 1 . that we generate is random. 14 .large. m n gets close to E[X ] = 5.

Quiz Solutions – Chapter 3 Quiz 3.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.5) = 1 − (1.5] = 1 − FY (1. λ = 1/2) PDF 0.5)/4 = 5/8 Quiz 3.1 The CDF of Y is 1 FY(y) 0. We will evaluate this integral using integration by parts: ∞ −∞ f X (x) d x = 0 ∞ cxe−x/2 d x ∞ 0 (1) ∞ 0 = −2cxe−x/2 =0 + 2ce−x/2 d x (2) = −4ce−x/2 ∞ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2. To ﬁnd c.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y). we use ∞ the fact that −∞ f X (x) d x = 1.2 0. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1.5] = 1 − P[Y ≤ 1.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 .

5 0 0 5 x 10 15 FX (x) = 1− 0 x 2 + 1 e−x/2 x ≥ 0 otherwise (8) (3) From the CDF FX (x).(2) To ﬁnd the CDF FX (x).3 The PDF of Y is 3 fY(y) 2 1 0 −2 0 y 2 f Y (y) = 3y 2 /2 −1 ≤ y ≤ 1. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0. (3) 16 . (2) The second moment of Y is E Y2 = ∞ −∞ y 2 f Y (y) dy = 1 −1 (3/2)y 4 dy = (3/10)y 5 1 −1 = 3/5. (4) Similarly. 0 otherwise. f Y (y) = f Y (−y)). (2) Note that the above calculation wasn’t really necessary because E[Y ] = 0 whenever the PDF f Y (y) is an even function (i. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 .. FX (x) = 0 x f X (y) dy = 0 x y −y/2 e dy 4 (5) (6) (7) x x 1 y − e−y/2 dy = − e−y/2 − 2 2 0 0 x −x/2 =1− e − e−x/2 2 The complete expression for the CDF is 1 FX(x) 0.e. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . For x ≥ 0. (1) (1) The expected value of Y is E [Y ] = ∞ −∞ y f Y (y) dy = 1 −1 (3/2)y 3 dy = (3/8)y 4 1 −1 = 0. (9) (10) Quiz 3.

we must have λ = 1/3. Quiz 3. (5) (z) function and Table 3. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. (1) √ Var[Y ] = √ 3/5. (4) The standard deviation of Y is σY = Quiz 3. we apply Theorem 3. We start with the sketches. 12 (2) √ b − a = ±6 3. To ﬁnd a and b.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 . However.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5.1 (1) The PDFs of X and Y are shown below. 0 otherwise. The only valid solution with a < b is √ a = 3 − 3 3. a+b =3 2 Var[X ] = (b − a)2 = 9. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0.6 to write E [X ] = This implies a + b = 6.4 (1) When X is an exponential (λ) random variable. Since E[X ] = 3 and Var[X ] = 9. (4) (2) We know X is a uniform (a. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). the peak value of the Gaussian PDF goes down. fY(y) 0. b) random variable. f X (x) = 0 otherwise. it is important to remember that as the standard deviation increases. √ b = 3 + 3 3. E[X ] = 1/λ and Var[X ] = 1/λ2 .4 0.2.

The resulting PDF is 0.383. ⎩ 0 otherwise. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0. 2).5 0 −2 0 x 2 ⎧ −1 ≤ x < 1. 1).5 ) = Q(1.5 0 −2 (1. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. 2 (4) (1) (2) (4) Again. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. P[X > 3. (3) Since Y is Gaussian (0. P[Y > 3.75) = 0 x 2 ⎧ x < −1. (5) Since Y is Gaussian (0. Quiz 3.6826.0401. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2.5] = Q( 3.7 18 . ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1.5 fX(x) 0.6 The CDF of X is 1 FX(x) 0. 2). (2) P[X < 1] = FX (1− ) = 1/2. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y). 1). P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0.5] = Q(3. ⎩ 1 x ≥ 1. (2) Quiz 3. since X is Gaussian (0.75) = 1 − 2 0.33 × 10−4 .5) = 2.(2) Since X is Gaussian (0.

FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. Thus FY (y) = 0 for y < 0. FX (x) = 0 for x < 0. FY (y) = 1 for all y ≥ 1. Finally. FY (y) = y−y ⎩ 1 y ≥ 1. ⎨ 0 2 /4 0 ≤ y < 1. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. (1) The complete CDF of X is 1 F (x) 0.(1) Since X is always nonnegative. ⎨ 0 2 /4 0 ≤ x ≤ 2. we obtain the PDF f Y (y). for 0 ≤ x ≤ 2. Also.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. Note that when y < 0 or y > 1. the PDF is zero. Using the CDF FX (x). (3) (3) Since X is nonnegative.5 0 −1 X 0 1 x 2 3 ⎧ x < 0.5 0 −1 Y (4) 0 As expected. for 0 < y < 1. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . Also. (5) 0. FX (x) = x−x ⎩ 1 x > 2. Lastly. because Y ≤ 1. 19 .5 f (y) 1 0.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0. Y is also nonnegative. 1.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4. (4) By taking the derivative of FY (y).6 . the complete expression for the CDF of Y is 1 F (y) 0. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4.

while (i<m). 20 .m) generates the vector t. the conditional PDF of Y given Y ≤ 6 is f Y |Y ≤6 (y) = (3) The probability Y > 8 is P [Y > 8] = 8 10 f Y (y) P[Y ≤6] 0 y ≤ 6.9 A natural way to produce random variables with PDF f T |T >2 (t) is to generate samples of T with PDF f T (t) and then to discard those samples which fail to satisfy the condition T > 2.15. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9.15. 1/6 0 ≤ y ≤ 6. (1) 1 dy = 0.1). then T = T + 2 has PDF f T (t) = f T |T >2 (t). 2 (5) Quiz 3. 6 (4) (6) From the conditional PDF f Y |Y >8 (y).lambda=1/3. i=i+1. 0 otherwise. 0 otherwise. if (x>2) t(i+1)=x. In this case the command t=2.2 .(2) From Deﬁnition 3. 1/2 8 < y ≤ 10. 10 (2) (4) From Deﬁnition 3. = otherwise. (3) (5) From the conditional PDF f Y |Y ≤6 (y). t=zeros(m.1). = otherwise. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. x=exponentialrv(lambda. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. end end A second method exploits the fact that if T is an exponential (λ) random variable.0+exponentialrv(1/3.

1) = 0. −∞) = P[X ≤ ∞. (2) FX.18 + 0. This result is given in Theorem 4.Y (∞. y) = P[X ≤ ∞.08 = 0. Quiz 4.12 + 0. (1) FX. g) (4) (5) = 0.Y (−∞.G (0.24 + 0. Y ≤ ∞] = 1. 3) = 0. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event.16 + 0.12 = 0. Y ≤ y] = P[Y ≤ y] = FY (y).G (0. (1) The probability that Q = 0 is P [Q = 0] = PQ.G (q.78 21 .G (0. 2) + PQ. 1) + PQ. (4) FX.G (0.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.24 + 0.G (q.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ.1. (3) FX. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.Y (∞. Y ≤ −∞] = 0 since Y cannot take on the value −∞.G (0. g) (6) (7) = 0.G (1.18 + 0. 0) + PQ.Y (∞. ∞) = P[X ≤ ∞.08 = 0. 0) + PQ.16 + 0.2 From the joint PMF of Q and G given in the table.Quiz Solutions – Chapter 4 Quiz 4. 2) = P[X ≤ −∞.06 + 0.6 (2) The probability that Q = G is P [Q = G] = PQ.12 + 0.1 Each value of the joint CDF can be found by considering the corresponding probability.24 + 0.

2 PB (b) 0.5 0.2. To calculate P[A].2 h=0 h=1 0.3 Quiz 4. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0.1 0.Quiz 4. we convert to polar coordinates using the substitutions x = r cos θ . the marginal PMF of B is 1 PB (b) = h=−1 PH. y) d x d y = 1.1 0 0. we write P [A] = A y dy = (c/4)y 2 f X. 2 0 0 2 1 f X.Y (x. Speciﬁcally. yielding 2 1 Y P [A] = 0 π/2 0 1 0 1 r 2 sin θ cos θ r dr dθ π/2 0 2 π/2 (5) (6) A 1 X = = r 3 dr ⎛ 1 0 sin θ cos θ dθ ⎞ ⎠ = 1/8 r 4 /4 ⎝ sin θ 2 (7) 0 22 . this corresponds to calculating the row sum across the table of the joint PMF. y = r sin θ and d x d y = r dr dθ . we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X.1 0 0.4 0.B (h. b) (1) For each value of h. y) d x d y (4) To integrate over A.2 0.B (h.1 0. y) d x d y = =c cx y d x dy y 0 2 0 (1) dy 2 0 x 2 /2 1 0 (2) =c (3) = (c/2) Thus c = 1.Y (x. Similarly. this corresponds to the column sum down the table of the joint PMF.Y (x.4 PH. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.3. the marginal PMF of H is PH (h) = b=0.6 0.2 0. b) (2) For each value of b.4 To ﬁnd the constant c.3 By Theorem 4.B (h.

Y (x. For 0 ≤ x ≤ 1. y) dy (1) For x < 0 or x > 1. 000 l = 7. the complete expression for the PDF of Y is f Y (y) = Quiz 4.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0.05 t = 18 ⎪ ⎪ ⎪ 0.20 (T =36) 0.Quiz 4. we can calculate the time T needed for the transfer.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table. 90 ⎪ ⎪ ⎨ 0.10 (T =24) 0.8.1 t = 120 PT (t) = ⎪ 0.00 (T =540) b = 21.2 t = 36. f X (x) = 6 5 1 0 (x + y 2 ) dy = 6 x y + y 3 /3 5 y=1 y=0 6x + 2 6 = (x + 1/3) = 5 5 (2) The complete expression for the PDf of X is f X (x) = (6x + 2)/5 0 ≤ x ≤ 1 0 otherwise (3) By the same method we obtain the marginal PDF for Y . f Y (y) = = ∞ −∞ 6 1 f X.05 (T =180) 0.05 (T =18) 0. f X (x) = 0.6 (A) The time required for the transfer is T = L/B. y) dy (x + y 2 ) d x = 6 2 x /2 + x y 2 5 x=1 x=0 (4) 6 3 + 6y 2 = (1/2 + y 2 ) = 5 5 (5) 5 0 Since f Y (y) = 0 for y < 0 or y > 1.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. writing down the PMF of T is straightforward. 400 l = 2. 600 0. b) l = 518.Y (x. 400 0.5 By Theorem 4. 000 b = 14.B (l. For 0 ≤ y ≤ 1.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) .05 t = 180 ⎪ ⎪ ⎪ 0. 776. 800 0.10 (T =120) 0.10 (T =360) b = 28. 592.20 (T =90) 0. We can write these down on the table for the joint PMF of L and B as follows: PL . For each pair of values of L and B. the marginal PDF of X is f X (x) = ∞ −∞ f X. ⎧ ⎪ 0.

5.5 0.2 0. we ﬁnd the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.T (l. As shown below.5.1 0. The calculus is simpler if we integrate over the region X Y > w.25) = 2. Speciﬁcally.3 0. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.(B) First.25 (7) (8) (1) (2) (3) .25) + 2(0. Thus f W (0) = 0 and f W (1) = 1.25) + 22 (0.5) + 3(0.15 0. Since the second moment of L is E L 2 = 12 (0. PL .4 PL (l) 0.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs. 24 t = 40 0. integrating over the region W ≤ w is fairly complex.25) = 4. we calculate the CDF FW (w) = P[W ≤ w]. For 0 < w < 1. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.15 0.6 t = 60 0.25 0.5) + 32 (0. Y 1 w w 1 XY > w FW (w) = 1 − P [X Y > w] =1− =1− 1 1 w w/x 1 w (2) (3) (4) (5) (6) dy dx XY = w X (1 − w/x) d x = 1 − x − w ln x|x=1 x=w = 1 − (1 − w + w ln w) = w − w ln w The complete expression for the CDF is ⎧ w<0 ⎨ 0 FW (w) = w − w ln w 0 ≤ w ≤ 1 ⎩ 1 w>1 By taking the derivative of the CDF. W = X Y satisﬁes 0 ≤ W ≤ 1.1 0.

6) + 60(0.16(a).(2) The expected value of T is E [T ] = 40(0.4) = 2400.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0.1) = 96 (4) From Theorem 4.T = 0. it is straightforward to calculate the various expectations.4) = 48. f X (x) = ∞ −∞ f X.15) + 2(40)(0. f Y (y) = ∞ −∞ f X. for 0 ≤ y ≤ 2.Y (x.1) + 2(60)(0.3) + 3(40)(0. For 0 ≤ x ≤ 1.15) + 1(60)(0. y) d x = 0 2 xy dx = 1 2 x y 2 x=1 = x=0 y 2 (13) The complete expressions for the marginal PDFs are f X (x) = 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs. the covariance of L and T is Cov [L . (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .Y (x.2) + 3(60)(0. T ] = 0.6) + 602 (0. the correlation coefﬁcient is ρ L . The second moment of T is E T 2 = 402 (0. (11) (B) As in the discrete case. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. 25 . the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y).

(3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X.T (2. (L . (2) The ﬁrst and second moments of Y are E [Y ] = E Y2 4 1 2 y dy = 3 −∞ 0 2 ∞ 2 1 = y 2 f Y (y) dy = y 3 dy = 2 −∞ 0 2 y f Y (y) dy = ∞ 2 (18) (19) The variance of Y is Var[Y ] = E[Y 2 ] − (E[Y ])2 = 2 − 16/9 = 2/9. 60) = 0. 60).8 (A) Since the event V > 80 occurs only for the pairs (L . T ) = (2. T ) = (3. Quiz 4. dy 1 0 (20) 2 x3 x y d x.9. (22) (5) Since Cov[X. 40) and (L .45 By Deﬁnition 4. Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. PL .Y = 0. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X. Y ] = 0. 60) + PL .T (3.T (3.T |A (l. t) = 26 PL .t) P[A] (1) 0 lt > 80 otherwise (2) . T ) = (3.T (l. 40) + PL . P [A] = P [V > 80] = PL . y) d x.(1) The ﬁrst and second moments of X are E [X ] = E X2 = ∞ −∞ ∞ −∞ x f X (x) d x = 0 1 2x 2 d x = 1 2 3 1 2 (15) (16) (17) x 2 f X (x) d x = 0 2x 3 d x = The variance of X is Var[X ] = E[X 2 ] − (E[X ])2 = 1/18. the correlation coefﬁcient is ρ X. 60).Y (x.

E [V |A] = l t lt PL . 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) . y) /P [B] (x.T |A (l.Y |B (x. we ﬁrst calculate the probability of the conditioning event.T |A (l.Y (x. t) t = 40 t = 60 l=1 0 0 l=2 0 4/9 1/3 2/9 l=3 The conditional expectation of V can be found from the conditional PMF. y) d x d y = = = 60 40 60 40 60 3 80/y xy dx dy 4000 x2 2 3 (8) dy (9) (10) (11) y 4000 80/y 9 3200 y − 2 y 40 4000 2 9 4 3 = − ln ≈ 0. t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18. P [B] = B f X.T |A (l. we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL .We can represent this conditional PMF in the following table: PL . 400 9 3 9 It follows that Var [V |A] = E V 2 |A − (E [V |A])2 = 622 2 9 (7) (B) For continuous random variables X and Y .Y (x. t) (3) (4) 1 2 1 4 = (2 · 60) + (3 · 40) + (3 · 60) = 133 9 3 9 3 For the conditional variance Var[V |A]. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60.801 8 5 2 dy The conditional PDF of X and Y is f X. y) = = f X.

**where K = (4000P[B])−1 . The conditional expectation of W given event B is E [W |B] = =
**

∞ ∞ −∞ −∞ 60 3 40

x y f X,Y |B (x, y) d x d y K x 2 y2 d x d y y2 x 3

x=3 x=80/y

(14) (15)

= (K /3) = (K /3)

80/y 60 40 60 40

dy

(16) (17) (18)

27y 2 − 803 /y dy

60 40

**= (K /3) 9y 3 − 803 ln y The conditional second moment of K given B is E W 2 |B = =
**

∞ ∞

≈ 120.78

−∞ −∞ 60 3 40

(x y)2 f X,Y |B (x, y) d x d y K x 3 y3 d x d y y3 x 4

x=3 x=80/y

(19) (20)

= (K /4)

80/y 60 40 60 40

dy

(21) (22) ≈ 16, 116.10 (23)

= (K /4)

81y 3 − 804 /y dy

60 40

= (K /4) (81/4)y 4 − 804 ln y It follows that the conditional variance of W given B is

Var [W |B] = E W 2 |B − (E [W |B])2 ≈ 1528.30 Quiz 4.9

(24)

(A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via PA,B (a, b) = PB|A (b|a)PA (a). Incorporating the information from the given conditional PMFs can be confusing, however. Consequently, we can note that A has range S A = {0, 2} and B has range S B = {0, 1}. A table of the joint PMF will include all four possible combinations of A and B. The general form of the table is PA,B (a, b) b=0 b=1 a=0 PB|A (0|0)PA (0) PB|A (1|0)PA (0) PB|A (0|2)PA (2) PB|A (1|2)PA (2) a=2 28

Substituting values from PB|A (b|a) and PA (a), we have b=0 b=1 PA,B (a, b) a=0 (0.8)(0.4) (0.2)(0.4) (0.5)(0.6) (0.5)(0.6) a=2 or PA,B (a, b) b = 0 b = 1 a=0 0.32 0.08 0.3 0.3 a=2

**(2) Given the conditional PMF PB|A (b|2), it is easy to calculate the conditional expectation
**

1

E [B|A = 2] =

b=0

b PB|A (b|2) = (0)(0.5) + (1)(0.5) = 0.5

(1)

(3) From the joint PMF PA,B (a, b), we can calculate the the conditional PMF ⎧ 0.32/0.62 a = 0 PA,B (a, 0) ⎨ PA|B (a|0) = = 0.3/0.62 a = 2 (2) ⎩ PB (0) 0 otherwise ⎧ ⎨ 16/31 a = 0 = 15/31 a = 2 (3) ⎩ 0 otherwise (4) We can calculate the conditional variance Var[A|B = 0] using the conditional PMF PA|B (a|0). First we calculate the conditional expected value E [A|B = 0] =

a

a PA|B (a|0) = 0(16/31) + 2(15/31) = 30/31

(4)

**The conditional second moment is E A2 |B = 0 =
**

a

a 2 PA|B (a|0) = 02 (16/31) + 22 (15/31) = 60/31 (5)

The conditional variance is then Var[A|B = 0] = E A2 |B = 0 − (E [A|B = 0])2 = (B) (1) The joint PDF of X and Y is f X,Y (x, y) = f Y |X (y|x) f X (x) = (2) From the given conditional PDF f Y |X (y|x), f Y |X (y|1/2) = 29 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1 0 otherwise (7) 960 961 (6)

**(3) The conditional PDF of Y given X = 1/2 is f X |Y (x|1/2) = f X,Y (x, 1/2)/ f Y (1/2). To ﬁnd f Y (1/2), we integrate the joint PDF. f Y (1/2) = Thus, for 1/2 ≤ x ≤ 1, f X |Y (x|1/2) = f X,Y (x, 1/2) 6(1/2) =2 = f Y (1/2) 3/2 (10)
**

∞ −∞

f X,1/2 ( ) d x =

1 1/2

6(1/2) d x = 3/2

(9)

(4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X is uniform (1/2, 1). Thus, by the deﬁnition of the uniform (a, b) PDF, Var [X |Y = 1/2] = Quiz 4.10 (A) (1) For random variables X and Y from Example 4.1, we observe that PY (1) = 0.09 and PX (0) = 0.01. However, PX,Y (0, 1) = 0 = PX (0) PY (1) (1) (1 − 1/2)2 1 = 12 48 (11)

Since we have found a pair x, y such that PX,Y (x, y) = PX (x)PY (y), we can conclude that X and Y are dependent. Note that whenever PX,Y (x, y) = 0, independence requires that either PX (x) = 0 or PY (y) = 0. (2) For random variables Q and G from Quiz 4.2, it is not obvious whether they are independent. Unlike X and Y in part (a), there are no obvious pairs q, g that fail the independence requirement. In this case, we calculate the marginal PMFs from the table of the joint PMF PQ,G (q, g) in Quiz 4.2. PQ,G (q, g) g = 0 g = 1 g = 2 g = 3 PQ (q) q=0 0.06 0.18 0.24 0.12 0.60 0.04 0.12 0.16 0.08 0.40 q=1 PG (g) 0.10 0.30 0.40 0.20 Careful study of the table will verify that PQ,G (q, g) = PQ (q)PG (g) for every pair q, g. Hence Q and G are independent. (B) (1) Since X 1 and X 2 are independent, f X 1 ,X 2 (x1 , x2 ) = f X 1 (x1 ) f X 2 (x2 ) = (1 − x1 /2)(1 − x2 /2) 0 ≤ x1 ≤ 2, 0 ≤ x2 ≤ 2 0 otherwise 30 (2) (3)

(2) Let FX (x) denote the CDF of both X 1 and X 2 . The CDF of Z = max(X 1 , X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. That is, P [Z ≤ z] = P [X 1 ≤ z, X 2 ≤ z] = P [X 1 ≤ z] P [X 2 ≤ z] = [FX (z)]2 (4) (5)

To complete the problem, we need to ﬁnd the CDF of each X i . From the PDF f X (x), the CDF is ⎧ x <0 ⎨ 0 x 2 /4 0 ≤ x ≤ 2 FX (x) = f X (y) dy = (6) x−x ⎩ −∞ 1 x >2 Thus for 0 ≤ z ≤ 2, FZ (z) = (z − z 2 /4)2 (7)

The complete expression for the CDF of Z is ⎧ z<0 ⎨ 0 2 /4)2 0 ≤ z ≤ 2 FZ (z) = (z − z ⎩ 1 z>1

(8)

Quiz 4.11 This problem just requires identifying the various terms in Deﬁnition 4.17 and Theorem 4.29. Speciﬁcally, from the problem statement, we know that ρ = 1/2, µ1 = µ X = 0, and that σ1 = σ X = 1, σ2 = σY = 1. (2) (1) Applying these facts to Deﬁnition 4.17, we have 1 2 2 e−2(x −x y+y )/3 . f X,Y (x, y) = √ 3π 2 (3) µ2 = µY = 0, (1)

(2) By Theorem 4.30, the conditional expected value and standard deviation of X given Y = y are 2 E [X |Y = y] = y/2 σ X = σ1 (1 − ρ 2 ) = 3/4. ˜ (4) When Y = y = 2, we see that E[X |Y = 2] = 1 and Var[X |Y = 2] = 3/4. The conditional PDF of X given Y = 2 is simply the Gaussian PDF 1 2 e−2(x−1) /3 . f X |Y (x|2) = √ 3π/2 (5)

31

0 otherwise. x) PMF. Instead.25*ones(4. First we observe that X has the discrete uniform (1.2. 1) random variable U . px=0. Y has a discrete uniform (1. 3. x=finiterv(sx. x) PMF via Y = xU . we use an alternate approach.1)). 2. .4].3. we can generate a sample value of Y with a discrete uniform (1.28. 32 . This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. y=ceil(x.m). . . 4.1).px. 4) PMF.*rand(m. PX (x) = 1/4 x = 1.y’]. That is.Quiz 4. and an independent uniform (0. PY |X (y|x) = 1/x y = 1. given X = x.12 One straightforward method is to follow the approach of Example 4. . x 0 otherwise (1) Given X = x. xy=[x’. Also.

Y2 = y2 .Quiz Solutions – Chapter 5 Quiz 5. P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. (1) (2) (3) x2 x2 0 x3 x1 In particular. 2. Y3 = y3 ] = P [X 1 = y1 . Y2 = X 2 − X 1 and Y3 = X 3 − X 2 . X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By deﬁning the vector a = 1 1 1 .X 2 (x1 . X 3 − X 2 = y3 ] = P [X 1 = y1 . X 2 − X 1 = y2 . the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 . we have f X 1 .1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. x3 ) = f X 1 . y2 .}. and that f X 1 . x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). . (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5. we must keep in mind that f X 1 . Thus.2 By deﬁnition of A. x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. x3 ) = 0 unless 0 ≤ x 1 ≤ 33 .X 2 (x1 .} 0 otherwise (5) Quiz 5. PY (y) = P [Y1 = y1 .X 3 (x2 . 2. x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1.X 3 (x1 . . y3 ∈ {1. . . . x2 ) = f X 2 . Speciﬁcally.X 3 (x1 . 6 d x2 = 6(x3 − x1 ). . Within these constraints. y3 ∈ {1. 6 d x1 = 6x2 .3 First we note that each marginal PDF is nonzero only if any subset of the xi obeys the ordering contraints 0 ≤ x 1 ≤ x2 ≤ x3 ≤ 1. each Yi must be a strictly positive integer. X 2 = y2 + y1 .X 3 (x2 . Y1 = X 1 . Since 0 < X 1 < X 2 < X 3 . f X 2 . y2 . for y1 .

X 3 (x1 . x2 ) d x2 = f X 2 . the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 . 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 .4 In the PDF f Y (y).W (v. We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V.x3 ≤ 1.X 3 (x2 . x3 ) = f X 1 .X 2 (x1 . f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 . The complete expressions are f X 1 .X 3 (x2 .X 3 (x2 . x2 ) = f X 2 . x3 ) d x3 = f X 2 . x3 ) d x2 = 1 x1 1 6(1 − x2 ) d x2 = 3(1 − x1 )2 6x2 d x3 = 6x2 (1 − x2 ) 2 6x2 d x2 = 3x3 (7) (8) (9) x2 x3 0 The complete expressions are f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = 3(1 − x1 )2 0 ≤ x1 ≤ 1 0 otherwise 6x2 (1 − x2 ) 0 ≤ x2 ≤ 1 0 otherwise 2 3x3 0 ≤ x3 ≤ 1 0 otherwise (10) (11) (12) Quiz 5.X 2 (x1 . x3 ) = 6(1 − x2 ) 0 ≤ x1 ≤ x2 ≤ 1 0 otherwise 6x2 0 ≤ x2 ≤ x3 ≤ 1 0 otherwise 6(x3 − x1 ) 0 ≤ x1 ≤ x3 ≤ 1 0 otherwise (4) (5) (6) Now we can ﬁnd the marginal PDFs. Y4 (1) 34 . Y2 W= Y3 . When 0 ≤ xi ≤ 1 for each xi . w) = 4 0 ≤ v1 ≤ v2 ≤ 1.

PX (x) = (1) x1 . 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x).1.W (v. Quiz 5.1) random variable.19. f W (w) = = 4(1 − w1 ) dw1 = 2 f V.3) random variable. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly. 0. 5 0 otherwise 35 5 x (2) . . p2 = 0. conﬁrming that V and W are independent vectors. we see that X 1 is a binomial (n. 0. X 2 is a binomial (5. .x3 (0. . . . Similarly. . In ﬁve trials.6 and p3 = 0.x2 . however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. x2 . 1. A and R.3. for p1 = 0.W (v. PX i (x) = pix (1 − pi )5−x x = 0. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. 1. f V (v) = = 0 1 f V.5 (A) Referring to Theorem 1. the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . That is.6) random variable and X 3 is a binomial (5. each test is a subexperiment with three possible outcomes: L. For 0 ≤ v1 ≤ v2 ≤ 1. p) = (5.1)x3 x1 + x2 + x3 = 5. 0.6)x2 (0. for 0 ≤ w1 ≤ w2 ≤ 1. w) = f V (v) f W (w).3.3)x1 (0.We must verify that V and W are independent. If we view each test as a trial with success probability P[L] = 0. x3 ∈ {0. . . w) dv1 dv2 1 0 1 v1 (6) (7) 4 dv2 dv1 = 2 It follows that V and W have PDFs f V (v) = 2 0 ≤ v1 ≤ v2 ≤ 1 .W (v.

PW (0) = PW (1) = 0. we use 3x(1 − x)2 d x = 1/4. . the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. In particular.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.1)2 + 0.6)2 (0. Thus.32 (0.1458 = (3) (4) (5) In addition.6 to ﬁnd the PMF of W . X 2 and X 3 are not independent. Furthermore. 2.1)] 2!2!1! = 0. 1) 5![0.6)(0.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 . 2.From the marginal PMFs. 2) + PX (2. X 2 = w. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . PW (2) = PX (1.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. we need to ﬁnd E[X i X j ] for all i and j. we must use Theorem 5. 2) + PX (2. To do so. 1. for w = 3. Hence.0802 (B) Since each Yi = 2X i + 4. f 3 X 2 2 2 2 (1/8)e−(y3 −4)/2 4 ≤ y1 ≤ y2 ≤ y3 = 0 otherwise (9) (10) (6) (7) (8) Note that for other matrices A. or X 3 = w occurs. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative. we can apply Theorem 5.3(0.6)2 (0. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X . we see that X 1 . and w = 5. 3x 3 d x = 3/4. 6x 2 (1 − x) d x = 1/2.6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5. Quiz 5.32 (0. w = 4.1)2 + 0. We start with 36 .

the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10. 1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) . x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5. 6x 3 (1 − x) d x = 3/10. X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ . 1/5 2/5 3/5 Vector X has covariance matrix C X = R X − E [X] E [X] ⎡ ⎤ ⎡ ⎤ 1/10 3/20 1/5 1/4 ⎣3/20 3/10 2/5⎦ − ⎣1/2⎦ = 1/5 2/5 3/5 3/4 ⎡ ⎤ ⎡ 1/10 3/20 1/5 1/16 ⎣3/20 3/10 2/5⎦ − ⎣ 1/8 = 1/5 2/5 3/5 3/16 37 (15) (16) 1/4 1/2 3/4 ⎤ ⎡ ⎤ 3 2 1 1/8 3/16 1 ⎣ 2 4 2⎦ . the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20. 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 . (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 5.X 2 (x1 . d x1 d x2 d x1 (7) (8) (9) (10) (11) (12) (13) (14) 6x1 x2 (1 − x2 ) d x2 E [X 2 X 3 ] = 0 1 = E [X 1 X 3 ] = 0 2 4 [3x2 − 3x2 ] d x2 = 2/5 1 x1 1 6x1 x3 (x3 − x1 ) d x3 d x1 . Summarizing the results. x2 ) .3. 3x 4 d x = 3/5.

p=phi((T-80)/sqrt(CY))..16. CY=(A’)*CT*A. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ].18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = .8 First.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.e. the ﬁrst two lines generate the 31 × 31 covariance matrix CT.00002844263128 0. Its just that the M ATLAB’s short format output.m.0000 1. or CT . The ﬁnal step is to use the (·) function to calculate P[Y < T ]. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. just a Gaussian random variable.This problem shows that even for fairly simple joint PDFs. rounds off those probabilities. Since T is a Gaussian random vector. In julytemps. Here is the output of julytemps.99999999922010 0.(1:31)). The expected value of Y is µY = µT = 80.7 We observe that X = AZ + b where A= 2 1 .02207383067604 Columns 5 through 6 0. 0 (1) It follows from Theorem 5. Var[Y ] = ACT A .50000000000000 0. Quiz 5. 1 −1 b= 2 . Next we calculate Var[Y ]. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 . invoked with the command format short.0.m: >> julytemps([70 75 80 85 90 95]) ans = 0.97792616932396 38 . i. Thus.16 tells us that Y is a 1 dimensional Gaussian vector.0000. CT=36. by Theorem 5.0221 0. computing the covariance matrix by calculus can be a time consuming task.99997155736872 0. [D1 D2]=ndgrid((1:31).0000 0. Theorem 5. A=ones(31.5000 0.1)/31./(1+abs(D1-D2)).9779 1. 1 −1 1 2 (2) Quiz 5. function p=julytemps(T).

. j) = c|i− j| = 36 . c30 · · · c1 c0 (2) This covariance matrix is known as a symmetric Toeplitz matrix. c1 ⎦ .... . p=phi((T-80)/sqrt(CY)). we see that ⎡ ⎤ c0 c1 · · · c30 .1)/31. in this problem. ⎥ ⎢ . CY=(A’)*CT*A. ⎢ c1 c0 CT = ⎢ . However. . ⎥.. ⎥ . . We will see in Chapters 9 and 11 that Toeplitz covariance matrices are quite common.0. In fact. 39 . M ATLAB has a toeplitz function for generating them. . jth element is CT (i. function p=julytemps2(T)./(1+abs(0:30)). The function julytemps2 use the toeplitz to generate the correlation matrix CT . 1 + |i − j| (1) If we write out the elements of the covariance matrix. c=36.The ndgrid function is a useful to way calculate many covariance matrices. A=ones(31. ⎣ . C X has a special structure. the i. CT=toeplitz(c).

Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1. . f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. .5n (5) Since the rolls are independent. W = X + Y is nonnegative. That is. . 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .25 Since E[K i ] = 2. . the PDF of W = X + Y is f W (w) = ∞ −∞ f X (w − y) f Y (y) dy = 6 0 w e−3(w−y) e−2y dy (2) Fortunately.25n Quiz 6. By Theorem 6.5. the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2.2 Random variables X and Y have PDFs f X (x) = 3e−3x x ≥ 0 0 otherwise f Y (y) = 2e−2y y ≥ 0 0 otherwise (1) (6) (4) (2) (3) Since X and Y are nonnegative.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7.5. by Theorem 6. . Hence.Quiz Solutions – Chapter 6 Quiz 6. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. First. K n are independent. . . For w > 0.1 Let K 1 . . the variance of the sum equals the sum of the variances.5)2 = 1. .5 − (2. (4) 40 . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. this integral is easy to evaluate.5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. . otherwise. .3. the random variables K 1 . a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. .

2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0. Since the expectation of the sum equals the sum of the expectations: E [W ] = α E [X 1 ] + α 2 E [X 2 ] + · · · + α n E [X n ] = 0 41 (3) . we continue to take derivatives: E K2 = E K3 E K4 d 2 φ K (s) ds 2 d 3 φ K (s) = ds 3 d 4 φ K (s) = ds 4 = 0. Thus to ﬁnd the PDF of W .8 (4) (5) (6) (7) = 0.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0. Theorem 6.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70. The ﬁrst derivative of φ K (s) is d φ K (s) = 0.2)esk = 0.10 says that W is a Gaussian random variable.8 says the MGF of J is φ J (s) = (φ K (s))m = (2) (B) Since the set of α j X j are independent Gaussian random variables.4 (A) Each K i has MGF φ K (s) = E es K i = es (1 − ens ) es + e2s + · · · + ens = n n(1 − es ) ems (1 − ens )m n m (1 − es )m (1) Since the sequence of K i is independent.Quiz 6. Theorem 6.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0. we need only ﬁnd the expected value and variance.

each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . (3) (2) From Table 6. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. 42 . we see that R has the MGF of an exponential (1/5) random variable.12. The corresponding PDF is f R (r ) = (1/5)e−r/5 r ≥ 0 0 otherwise (4) This quiz is an example of the general result that a geometric sum of exponential random variables is an exponential random variable. 1 − 4 es 5 (1) From Theorem 6. 1−s φ N (s) = 1 s 5e . R has MGF φ R (s) = φ N (ln φ X (s)) = Substituting the expression for φ X (s) yields φ R (s) = 1 5 1 5 1 5 φ X (s) 1 − 4 φ X (s) 5 (2) −s . we can use Math Fact B.5 (1) From Table 6.Since the α j X j are independent.6 to write Var[W ] = α 2 − α 2n+2 [1 + n(1 − α 2 )] (1 − α 2 )2 (6) (4) (5) 2 With E[W ] = 0 and σW = Var[W ].1.1. the variance of the sum equals the sum of the variances: Var[W ] = α 2 Var[X 1 ] + α 4 Var[X 2 ] + · · · + α 2n Var[X n ] = α 2 + 2(α 2 )2 + 3(α 2 )3 + · · · + n(α 2 )n Deﬁning q = α 2 .

the standard deviation of A is σ A = 12 (5) To use the central limit theorem.1 to look up (0.9773 = 0.4013 Note that we used Table 3.0227 (10) (11) (12) 43 . E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0. we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.6 (1) The expected access time is E [X ] = ∞ −∞ x f X (x) d x = 0 12 x d x = 6 msec 12 (1) (2) The second moment of the access time is E X2 = ∞ −∞ x 2 f X (x) d x = 0 12 x2 d x = 48 12 (2) The variance of the access time is Var[X ] = E[X 2 ] − (E[X ])2 = 48 − 36 = 12. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. (3) Using X i to denote the access time of block i. (6) (7) (8) (9) (5) (4) (3) (6) Once again.25).Quiz 6.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0.5987 = 0. we use the central limit theorem and Table 3.

we ﬁnd that W has expected value and variance E [W ] = 3/λ = 6 Var[W ] = 3/λ2 = 12 (2) (1) By the Central Limit Theorem. From Appendix A. (3) Using the ordinary central limit theorem and Table 3.11.16666) − 1 = 0. (2) The variance of K 48 is Var[K 48 ] = 48P [V ] (1 − P [V ]) = 48(3/4)(1/4) = 9 Thus K 48 has standard deviation σ K 48 = 3.66 × 10−5 √ 12 12 (3) 44 .5 − 36 30 − 0. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0. λ) random variable. X 2 .1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x). we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3.8 The train interarrival times X 1 .5 − 36 − 3 3 = 2 (2. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36. X 3 are iid exponential (λ) random variables. (1) In Theorem 6.Quiz 6.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. The arrival time of the third train is W = X 1 + X 2 + X 3.9545 (4) Since K 48 is a discrete random variable.9687 (4) (5) Quiz 6.

py). SW=SX+SY. px=binomialpmf(100.pw.11 says that for any w > 0. Quiz 6.PW. By contrast.’\itP_W(w)’). A graph of the PMF PW (w) appears in Figure 2 With some thought.0.*PY.PY]=ndgrid(px. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently. it is a valid bound.(2) To use the Chernoff bound.sy). 45 . [SX.0338 s=7/20 (7) (3) Theorem 3.sy=0:100.sw). pw=finitepmf(SW.m sx=0:100. py=duniformpmf(0. [PX.SY]=ndgrid(sx. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.19: %unifbinom100. we set the derivative of h(s) to zero: −20(1 − 2s)3 e−20s + 6e−20s (1 − 2s)2 d h(s) = =0 ds (1 − 2s)6 (6) This implies 20(1 − 2s) = 6 or s = 7/20. the CDF of the Erlang (λ. for λ = 1/2 and w = 20. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0. the Central Limit Theorem approximation grossly underestimates the true probability. we note that the MGF of W is φW (s) = The Chernoff bound states that P [W > 20] ≤ min e−20s φ X (s) = min s≥0 s≥0 λ λ−s 3 = 1 (1 − 2s)3 e−20s (1 − 2s)3 (4) (5) To minimize h(s) = e−20s /(1 − 2s)3 .sx).9 One solution to this problem is to follow the approach of Example 6.’\itw’. PW=PX.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12. sw=unique(SW). pmfplot(sw.100.5.sy). Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.

100) random variable. the PMF PW (w) of the independent sum of a binomial (100.004 0.9. 46 .008 PW(w) 0. 0.0.5) random variable and a discrete uniform (0.01 0.006 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6.

(1) By the Markov inequality.1.Quiz Solutions – Chapter 7 Quiz 7. 47 . Observe that V100 (X ) = M100 (W ). Mn (X ) has variance Var[Mn (X )] = 1/n.3 Deﬁne the random variable W = (X − µ X )2 . µW = E X 2 Var[W ] 100 (1) = 1 −1 1 −1 x 2 f X (x) d x = 1/3 x 4 f X (x) d x = 1/5 (2) (3) E W2 = E X4 = Therefore Var[W ] = E[W 2 ] − µ2 = 1/5 − (1/3)2 = 4/45 and the mean square error is W 4/4500 = 0. Hence.000889. 30). By Theorem 7. we need n = 100 samples. By Theorem 7. the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 . and Var[W ] = 3 Var[X i ] = 225.1 An exponential random variable with expected value 1 also has variance 1. P [W > 75] ≤ (2) By the Chebyshev inequality.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . 12 Thus E[W ] = 3E[X i ] = 45.6. P [W > 75] = P [W − E [W ] > 30] ≤ P [|W − E [W ]| > 30] ≤ 225 Var [W ] 1 = = 2 900 4 30 (3) (4) E [W ] 45 3 = = 75 75 5 (2) Quiz 7. Since each X i is uniform (0. Quiz 7. Thus. (1) E [X i ] = 15. (30 − 0)2 Var [X i ] = = 75.

we must have √ c n ≥ 0.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . SinceE[X ] = p and Var[X ] = p(1 − p). In this case.58)/ n. the 0.4 Assuming the number n of samples is large.99 conﬁdence interval estimate is 0. Since p(1 − p) ≤ 1/4 for all p.99 conﬁdence interval.5 Following the approach of bernoullitraces. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0.Quiz 7.3355 ≤ p ≤ 0. we must satisfy c n ≥ 1.1. Since p(1 − p) ≤ 1/4 for all p.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . at time k. √ This implies c n√ 2. implying (c n/( p(1− p))) ≥ 0. The interval is wide because the 0. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. Since (x) is an increasing function of x. The program bernoullisample. we apply Theorem 7.4645.41 c≥ √ = √ .13 which says that the interval estimate Mn (X ) − c ≤ p ≤ Mn (X ) + c (1) has conﬁdence coefﬁcient 1 − α where α =2−2 √ c n .645 0.m. then the 0. we require that ≥ c ≥ (0. we have α ≤ 0. Quiz 7.9 conﬁdence interval estimate of p is 0. 48 (7) (6) .65 0. the number of trials in each trace.01.99 conﬁdence is high.e.995. each sample path having n = 100 Bernoulli traces.m generates graphs the number of traces within one standard error as a function of the time.41 0.58 p(1 − p). i. 4 n n The 0.99 conﬁdence interval estimate is 0. we generate m = 1000 sample paths. n n (5) (4) √ For the 0.9 or α ≤ 0. we require that 1.95 (3) p(1 − p) √ for every value of p.4. n n Note that if M100 (X ) = 0. we can use a Gaussian approximation for Mn (X ).65 p(1 − p). Equivalently.25)(2.

m).8 0.9 0. nn=(1:n)’*ones(1. is examined in Problem 7. stderrmat=stderr*ones(1. stderr=sqrt(p*(1-p)).5): 1 0.function OK=bernoullisample(n.’-s’). MN=cumsum(x).4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.2.5000.m./sqrt((1:n)’).m*n).6 0. OK=sum(abs(MN-p)<stderrmat.7 0. The following graph was generated by bernoullisample(100.5.0. plot(1:n./nn.68.5 0.2)/m. as m gets large. The unusual sawtooth pattern.n. though perhaps unexpected. x=reshape(bernoullirv(p.m). 49 . the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.OK.m).p).

(3) k ∈ A1 otherwise. then we accept hypothesis H1 . This implies that for x ≥ 0. . . . . Quiz 8.2 From the problem statement. . That is.1 From the problem statement. · · · . X 15 ≤ x] = [P [X i ≤ x]]15 . (4) Thus if we observe at least 214.01)1/15 = 1. otherwise (1) (2) 0 Since the two hypotheses are equally likely. we must choose a rejection region for X .Quiz Solutions – Chapter 8 Quiz 8. 975. the MAP and ML tests are the same. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. X 2 ≤ x. For a signiﬁcance level of α = 0. let R = {X ≤ r }. the CDF of the maximum of X 1 . ln 100 ∗ k ∈ A1 otherwise. . .01 It is straightforward to show that r = − ln 1 − (0.6. if we observe X < 1. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test.7.33 Hence. each X i has PDF and CDF f X i (x) = e−x x ≥ 0 0 otherwise FX i (x) = 0 x <0 1 − e−x x ≥ 0 (1) Hence.01. .33. A reasonable choice is to reject the hypothesis if X is too small. the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . . This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214. the conditional PMFs of K are PK |H0 (k) = PK |H1 (k) = 104k e−10 k! 4 (4) (5) 0 106k e−10 k! 6 k = 0. 1. 50 . we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0. 1. otherwise k = 0. then we reject the hypothesis. . From Theorem 8. 976 photons.

TT]=ndgrid(x. Here is the modiﬁed code: function FM=sqdistroc(v. we have P[C] = 2( E/2σ 2 ). %add N volts. Given H0 .T). we have √ √ P [C] = P [C|H0 ] = P E/2 + N1 > 0 P E/2 + N2 > 0 (2) √ 2 (3) = P N1 > − E/2 √ 2 − E/2 (4) = 1− σ Since (−x) = 1 − of error is (x).m. P10=sum((XX+d*(XX.T(:)). E/2 + N2 > 0 (1) Because of the symmetry of the signals.. FM2(:.2).0.m. ’\it d=0.. the program sqdistrocplot.1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.4 To generate the ROC. For a QPSK system..T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts. P[C|H0 ] = P[C|Hi ] for all i. it is easier to calculate the probability of a correct decision. legend(’\it d=0. X 2 ) ∈ A j for some j = i.. Next.d.T)..1)/m.’-k’. N is Gauss(0.3’..FM5(:. a symbol error occurs when si is transmitted but (X 1 .1. [XX. FM2=sqdistroc(v.1). function FM=sqdistrocplot(v. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8. x= -v+randn(m. Equivalently.ˆ2)< TT). the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 .FM1(:. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m. FM5=sqdistroc(v. The modiﬁed program.m. FM1=sqdistroc(v.Quiz 8. FM=[P10(:) P01(:)].’--k’. [XX.1)).1)/m. FM5(:.1).0.T).3) ylabel(’P_{MISS}’).1’.. P01=sum((XX+d*(XX.1).2’.3.0. 51 .m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.3 For the QPSK system. sqdistroc.TT]=ndgrid(x. This implies the probability of a correct decision is P[C] = P[C|H0 ].T).m. . the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.2). loglog(FM1(:. σ ) random variables.2.m.’:k’). FM=[FM1 FM2 FM5].’\it d=0. X 2 > 0|H0 ] = P E/2 + N1 > 0.T(:)).ˆ2)>TT).1). xlabel(’P_{FA}’).FM2(:.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities. . Since N1 and N2 are iid Gaussian (0.2).

sqdistrocplot(3.4 with squared distortion. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.To see the effect of d.100000.T).T). Figure 3: The receiver operating curve for the communications system of Quiz 8.1 d=0.1:3.100000. the commands T=-3:0. 52 .2 d=0. sqdistrocplot(3.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. generated the plot shown in Figure 3.1:3.

we calculate the marginal PDF for 0 ≤ y ≤ 1: f Y (y) = 0 y 2(y + x) d x = 2x y + x 2 x=y x=0 = 3y 2 (1) This implies the conditional PDF of X given Y is f X |Y (x|y) = f X. (3) To obtain the conditional PDF f Y |X (y|x).Quiz Solutions – Chapter 9 Quiz 9. we need the marginal PDF f X (x). y) = f Y (y) 2 3y + 2x 3y 2 0 0≤x ≤y otherwise (2) (2) The minimum mean square error estimate of X given Y = y is x M (y) = E [X |Y = y] = ˆ 0 y 2x 2 2x + 2 3y 3y d x = 5y/9 (3) ˆ Thus the MMSE estimator of X given Y is X M (Y ) = 5Y /9. f X (x) = x 1 2(y + x) dy = y 2 + 2x y y=1 y=x = 1 + 2x − 3x 2 (4) (5) For 0 ≤ x ≤ 1.Y (x. For 0 ≤ x ≤ 1. the conditional PDF of Y given X is f Y |X (y|x) = 2(y+x) 1+2x−3x 2 0 x ≤y≤1 otherwise (6) (4) The MMSE estimate of Y given X = x is y M (x) = E [Y |X = x] = ˆ x 1 2y 2 + 2x y dy 1 + 2x − 3x 2 y=1 y=x (7) (8) (9) 2y 3 /3 + x y 2 = 1 + 2x − 3x 2 = 2 + 3x − 5x 3 3 + 6x − 9x 2 53 .1 (1) First.

E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent. R] = Var[T ] = 9.3 When R = r .R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT.8. (6) By Theorem 9. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. The conditional PDF of X given R is 1 2 f X |R (x|r ) = √ e−(x+40+40 log10 r ) /128 128π 54 (1) . (4) From Deﬁnition 4.R = σT /σ R . the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. the variance of the sum R = T + X is Var[R] = Var[T ] + Var[X ] = 9 + 3 = 12 (3) Since T and R have expected values E[R] = E[T ] = 0. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ].2 (1) Since the expectation of the sum equals the sum of the expectations.4.R = √ √ σT Cov [T. the correlation coefﬁcient of T and R is ρT. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT. Cov [T. R] = E [T R] = E [T (T + X )] = E T 2 + E [T X ] (3) (2) (1) Since T and X are independent and have zero expected value.Quiz 9.4. Thus Cov[T.R ) = 9(1 − 3/4) = 9/4 L 2 σT (5) σR R= 2 2 σT 2 2 σT + σ X R= 3 R 4 (6) (7) Quiz 9.

R (x.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. r ) = f X |R (x|r ) f R (r ) = 106 32π 1 √ r e−(x+40+40 log10 r ) 2 /128 (5) From Theorem 9. This reﬂects the fact that large values of R are a priori more probable than small values.1236)10 (9) For example. r ) ˆ 0≤r ≤1000 Note that we have included the constraint r ≤ 1000 in the maximization to highlight the fact that under our probability model.From the conditional PDF f X |R (x|r ). the MAP estimate takes into account that the distance can never exceed 1000 m. This corresponds to a distance estimate of rML (−120) = 100 m. the MAP estimate is 23. yielding log10 r = −1 − x/40 or rML (x) = (0. for very low signal strengths. (6) rMAP (x) = arg max f X.6% larger than the ML estimate.6 m. which is not possible in our probability model.R (x. When the measured signal ˆ strength is not too low. we can use Deﬁnition 9.R (x. r ) with respect to r to zero yields e−(x+40+40 log10 r ) Solving for r yields r = 10 1 25 log10 e −1 2 /128 1− 80 log10 e (x + 40 + 40 log10 r ) = 0 128 (7) 10−x/40 = (0.2 to write the ML estimate of R given X = x as rML (x) = arg max f X |R (x|r ) ˆ r ≥0 (2) We observe that f X |R (x|r ) is maximized when the exponent (x + 40 + 40 log10 r )2 is minimized. When x ≤ −156.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. note that a typical ﬁgure for the signal strength might be x = −120 dB. the MAP estimate of R given X = x is the value of r that maximizes f X. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156.6.3 −x/40 x ≥ −156. r ).R (x. the above estimate will exceed 1000 m. That is. Hence.3 (0.3 dB. R ≤ 1000 m. we observe that the joint PDF of X and R is f X. ˆ For the MAP estimate. 55 . if x = −120dB. This minimum occurs when the exponent is zero. Setting the derivative of f X. However. then rMAP (−120) = 123.

2 Cov [X 2 . (1) Because E[X] = E[Y] = 0.4 ˆ (1) From Theorem 9. it follows that b∗ = 0. Because µ X 2 = µY2 = 0. 0 0. (7) (8) Because X and W are independent.9 1. it follows that E[Y] = 0.Quiz 9.1 (2) (3) It follows that a ∗ = 1/1. −0.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 . we need to ﬁnd RY and RYX 2 . E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. −0. E[WX ] = 0.9 1 RW = 0.1 (9) .1 (6) In terms of Theorem 9. Y2 ] 1 =√ σ X 2 σY2 1.1 0 . Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 .1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 . Thus we can apply Theorem 9. Y2 ] . Note that X and W have correlation matrices RX = 1 −0.1 −0. Similarly. E[XW ] = E[X]E[W ] = 0. we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . we calculate the correlation coefﬁcient ρ X 2 . To apply Theorem 9.1 (4) 1 1 = = 0.9 .Y2 ) = 1 − L Cov [X 2 .1.7.9 . the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . to compute the expected square error.7. This implies RY = E XX + E WW = RX + RW = In addition.7. Finally.4.0909 1. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . Y2 ] = E [X 2 Y2 ] = E [X 2 (X 2 + W2 )] = E X 2 = 1 2 2 Var[Y2 ] = Var[X 2 ] + Var[W2 ] = E X 2 + E W2 = 1.

725 (12) Therefore. Thus. ˆ a = R−1 RYX 2 = Y −0.9 RYX 2 = = . Since X and W are independent. The question we must address is what value c minimizes e∗ . X L (Y) = a Y where a = R−1 RYX .7. jth entry RW (i.0725. This problem is atypical in that one does not usually get L 57 .5 Since X and W have zero expected value.725Y2 . E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. Thus. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0.7. Y E[WX ] = 0 and E[X W ] = 0 . Thus E[X 1 X 2 ] −0. j) = c|i− j|−1 . By the same reasoning. by ˆ ˆ ˆ Theorem 9. the correlation matrix of Y is RY = E YY = E (1X + W)(1 X + W ) = 11 E X 2 + 1E X W + E [WX ] 1 + E WW = 11 + RW Note that 11 is a 20 × 20 matrix with every entry equal to 1. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 .X 2 − a2rY2 .225 0.X 2 = 0.Since X and W are independent vectors. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. ˆ a = R−1 RYX = 11 + RW Y and the optimal linear estimator is ˆ X L (Y) = 1 11 + RW The mean square error is ˆ e∗ = Var[X ] − a RYX = 1 − 1 11 + RW L −1 −1 −1 (1) (2) (3) (4) 1 (5) Y (6) 1 (7) Now we note that RW has i. Y also has zero expected value. (11) 2 1 E X2 By Theorem 9.225Y1 + 0. (14) (13) Quiz 9.

5 c 1 As we see in the graph. both small values and large values of c result in large MSE.6 0. function [mse.8 e* L 0. In particular. [msemin. In this case. msec=zeros(size(c)).01:0.01:0.99. mse=1-((v1’)*af). our 20 measurements will be all the same and one measurement is as good as 20 measurements.4500 1 0. However. we will see that the answer is somewhat instructive. we observe that Var[Wi ] = RW (i. 58 . if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent. >> mquiz9minc(c) ans = 0. xlabel(’c’). i) = 1/c. Note in mquiz9 that v1 corresponds to the vector 1 of all ones. af=(inv(RY))*v1.2 0 0. when c is small. To ﬁnd the optimal value of c.4 0. we write a M ATLAB function mquiz9(c) to calculate the MSE for a given c and second function that ﬁnds plots the MSE for a range of values of c. On the other hand. for k=1:length(c). end plot(c.ylabel(’e_Lˆ*’). We note that the answer is not obviously apparent from Equation (7). [msec(k). If this argument is not clear. the noises Wi have high variance and we would expect our estimator to be poor. function cmin=mquiz9minc(c).to choose the correlation structure of the noise. RY=(v1*(v1’)) +RW. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0.ˆ((0:19)-1)). RW=toeplitz(c. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1.af]=mquiz9(c).1). Thus. This would suggest that large values of c will also result in poor MSE. v1=ones(20.af]=mquiz9(c(k)). cmin=c(optk).optk]=min(msec).msec).

. D H . (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time. then we obtain a discrete time. . (3) If we sample the process in part (a) every T seconds.01 950 ≤ r ≤ 1050 0 otherwise (1) The probability that a test produces a 1% resistor is p = P [990 ≤ R ≤ 1010] = 1010 990 (0. s).01) dr = 0. discrete valued process. the number of new calls that arrive during the experiment • X 1 . Quiz 10.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. . discrete valued process. s) is • m(0. One choice for an alternate set of random variables that would specify m(t. A correct answer speciﬁes enough random variables to specify the sample path exactly. .Quiz Solutions – Chapter 10 Quiz 10. the number of calls that hang up during the experiment • D1 .2 (2) 59 . the call completion times of the H calls that hang up Quiz 10. . the interarrival times of the N new arrivals • H . continuous valued process. . continuous valued process when we record the temperature as a continuous waveform over time. we round the temperature to the nearest degree. X N . (2) If at every moment in time. . then we obtain a continuous time.1 There are many correct answers to this question.2 (1) We obtain a continuous time. the number of ongoing calls at the start of the experiment • N . .

the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). . each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10.4 Since each X i is a N (0. exactly t resistors are tested. The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1. . E[T1 ] = 1/ p = 5. (4) From Theorem 2. the number of additional trials needed to ﬁnd the second 1% resistor once again has a geometric PMF with expected value 1/ p since each independent trial is a success with probability p.1. . That is. Hence. . In this problem. This problem is easy if we view each resistor test as an independent trial..11.08192. (5) Note that once we ﬁnd the ﬁrst 1% resistor. Consequently. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . T2 = T1 + T where T is independent and identically distributed to T1 ..8)4 (0.2) = 0. 2. 9 otherwise (4) Since p = 0. Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. t − 1 followed by a success on trial t.5. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. 1) random variable. .(2) In t seconds. . the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. . . t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 . . . . independent of any other resistor. 1. . . just as in Example 2.X (n) (x1 . ..2. a geometric random variable with success probability p has expected value 1/ p. Each resistor is a 1% resistor with probability p. . the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0.. A success occurs on a trial with probability p if we ﬁnd a 1% resistor.

. the expected number of packets in each hour is E[Mi ] = α = 36. 61 . the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. .13 states that W (t) − W (s) is Gaussian with expected value E [X (t) − X (s)] = and variance E (W (t) − W (s))2 = E (W (t) − W (s))2 α(t − s) = α α (3) E [W (t) − W (s)] =0 √ α (2) Consider s ≤ s √ t. . m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. the ith interarrival time of the N (t) process. Let X 1 . Y1 is an Erlang (n = 2. 1. . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. 1.6 To answer whether N (t) is a Poisson process. Since s ≥ s .7 First. (2) Quiz 10. . X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable.M2 (m 1 . .Quiz 10. . . we can conclude that the interarrival times of N (t) are not exponential random variables. . denote the interarrival times of the N (t) process. we note that for t > s. X 2 . 2. 000. W (t) − W (s) is independent of W (s ).5 The ﬁrst and second hours are nonoverlapping intervals. λ) random variable. we look at the interarrival times. Quiz 10. . Since Yi (t). the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. Since we count only evennumbered arrival for N (t). see Theorem 6. ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. otherwise (1) Since M1 and M2 are independent. Theorem 3.11. Thus N (t) is not a Poisson process. 1. Since X 1 and X 2 are independent exponential (λ) random variables. . . has the same PDF as Y1 (t). PM1 . . That is. This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. . X (t) − X (s) is independent of X (s ) for all s ≥ s .

X 2 . is a stationary random sequence if for all sets of time instants n 1 ... we have RY (t. Quiz 10. (2) (3) (4) Quiz 10.9 From Deﬁnition 10.X nm +k (x1 . . . . .X nm (x1 . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. . . . τ ). ... . τ ) = E[Y (t)Y (t + τ )]. f X n1 .. . . Since RY (t.. . .8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (t). τ ) = E [(X (t) + N (t)) (X (t + τ ) + N (t + τ ))] = E [X (t)X (t + τ )] + E [X (t)N (t + τ )] + E [X (t + τ )N (t)] + E [N (t)N (t + τ )] = R X (t. xm ) Since the random sequence is iid. for time instants n 1 + k.. (2) R2 (τ ) = e−τ also is valid..X nm +k (x1 . . we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. . (1) To ﬁnd the autocorrelation.14.. n m and time offset k.12: R(τ ) ≥ 0 R(τ ) = R(−τ ) |R(τ )| ≤ R(0) (1) (3) (2) (1) (1) R1 (τ ) = e−|τ | meets all three conditions and thus is valid.. . . ... f X n1 . . n m + k.10 We must check whether each function R(τ ) meets the conditions of Theorem 10. ... .. . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. .. τ ) + R N (t. . X 1 . .X nm (x1 . 2 (3) R3 (τ ) = e−τ cos τ is not valid because R3 (−2π ) = e2π cos 2π = e2π > 1 = R3 (0) (4) R4 (τ ) = e−τ sin τ also cannot be an autocorrelation function because 2 (2) R4 (π/2) = e−π/2 sin π/2 = e−π/2 > 0 = R4 (0) (3) 62 . . xm ) = f X n1 +k . .Quiz 10. f X n1 +k .

(2) Since X (t) and Y (t) are both wide sense stationary processes. Quiz 10. τ ) is just a function of τ . x1 ) = 1 (2π )n/2 [det (CX )]1/2 1 3π 2 e− 3 2 2 2 x0 −x0 x1 +x1 (5) 1 exp − x C−1 x X 2 (6) (7) =√ 63 . Y (t) = X (−t) and X (t) become less and less correlated. R X Y (t. E [X (t)] = E [X (t + 1)] = 0 E [X (t)X (t + 1)] = 1/2 Var[X (t)] = Var[X (t + 1)] = 1 The Gaussian random vector X = X (t) X (t + 1) sponding inverse CX = Since 1 1/2 1/2 1 C−1 = X (1) (2) (3) has covariance matrix and corre- 4 1 −1/2 1 3 −1/2 (4) 4 4 2 1 −1/2 x0 2 x − x0 x+ x1 = 1 x1 3 −1/2 3 0 the joint PDF of X (t) and X (t + 1) is the Gaussian vector PDF x C−1 x = x0 x1 X f X (t).12 From the problem statement. we see the same second order statistics. τ ) = E [Y (t)Y (t + τ )] = E [X (−t)X (−t − τ )] = R X (−t − (−t − τ )) = R X (τ ) (1) (2) (3) Since E[Y (t)] = E[X (−t)] = µ X . we can conclude that Y (t) is a wide sense stationary process. In this case. suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. we see that by viewing a process backwards in time.11 (1) The autocorrelation of Y (t) is RY (t.Quiz 10. τ ) depends on both t and τ . In this case. In fact. To see why this is. we can check whether they are jointly wide sense stationary by seeing if R X Y (t. we conclude that X (t) and Y (t) are not jointly wide sense stationary. as t gets larger. τ ) = E [X (t)Y (t + τ )] = E [X (t)X (−t − τ )] = R X (t − (−t − τ )) = R X (2t + τ ) (4) (5) (6) Since R X Y (t.X (t+1) (x0 .

we need to know that M(t). The blocking switch is an example of a discrete event system. increase the system state n by 1. 2. do not schedule a departure event. – If M(t) < c. satisﬁes M(t) < c = 120. we must block the call. an exponential (λ) random variable. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled.13 The simple structure of the switch simulation of Example 10. 3. The system evolves via a sequence of discrete events. Schedule the ﬁrst arrival to occur at S1 . Delete the head-of-schedule event and go to step 2. • When the head-of-schedule event is the kth arrival is at time t. at discrete time instances. we know the system state cannot change until the next scheduled event. 64 . The program simply executes the event at the head of the schedule.120 100 80 M(t) 60 40 20 0 0 10 20 30 40 50 t 60 70 80 90 100 Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10. check the state M(t). reduce the system state n by 1. Start at time t = 0 with an empty system. the number of ongoing calls. Examine the head-of-schedule event.13. admit the arrival. we cannot generate these vectors all at once. The logic of such a simulation is 1. Otherwise. Quiz 10. • If the head of schedule event is a departure. block the arrival. where Sk is an exponential (λ) random variable. In particular. – If M(t) = c. namely arrivals and departures.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. A simulation of the system moves from one time instant to the next by maintaining a chronological schedule of future events (arrivals and departures) to be executed. when an arrival occurs at time t. when M(t) = c. With the introduction of call blocking. and schedule a departure to occur at time t + Sn . Call blocking can be implemented by setting the service time of the call to zero so that the call departs as soon as it arrives.

0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability. we can calculate that the exact blocking probability is Pb = 0. [m. it is common to implement the event schedule as a linked list where each item in the list has a data structure indicating an event timestamp and the type of the event.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls.0048 and 0. event(i)=1 if the ith scheduled event is an arrival. the discrete event simulation is widely-used and often very efﬁcient simulation method. In most programming languages. (1) Pb = a+b In Chapter 12. we will learn that the exact blocking probability is given by Equation (12. or event(i)=-1 if the ith scheduled event is a departure. we set m(i) to the current switch state. We can estimate the probability a call is blocked as b ˆ = 0.a.000 minute simulation.0048. In our simulation. a simple (but not elegant) way to do this is to have maintain two vectors: time is a list of timestamps of scheduled events and event is a the list of event types.m).1. In this case. When the program is passed a vector t. a result known as the “Erlang-B formula. roughly the ﬁrst 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0. The 5.t). Thus this would account for only part of the disparity.120. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4.0. generated a simulation lasting 5. The complete program is shown in Figure 5. Nevertheless. plot(t. However. the output [m a b] is such that m(i) is the number of ongoing calls at time t(i) while a and b are the number of admits and blocks. The rest of the gap between 0. In M ATLAB. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here.1:5000. we will learn that the blocking switch is an example of an M/M/c/c queue.000 minutes.0057. Note that in Chapter 12. The following instructions t=0:0. Thus for all times t(i) between the current head-of-schedule event and the next. we use the vector t as the set of time instances at which we inspect the system state. for very complicated systems.Thus we know that M(t) will stay the same until then.” From the Erlang-B formula.93). One reason our simulation underestimates the blocking probability is that in a 5. this says that roughly the ﬁrst two percent of the simulation time was unusual. a kind of Markov chain. 65 .b]=simblockswitch(10.

. eventnow=event(1). else blocks=blocks+1.blocks]=simblockswitch(lam. blocks=0.1). n=0. if n<c %call admitted admits=admits+1. time=[time(b4depart) depart time(˜b4depart)].mu. timenow. immed departure disp(sprintf(’Time %10.13. end elseif (eventnow==-1) %departure n=n-1. % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam.1) ]. event(1)=[ ]. %total # admits M=zeros(size(t)). depart=timenow+exponentialrv(mu.admits.3d Admits %10d Blocks %10d’. %one more block. time(1)= [ ].. % next arrival b4arrival=time<arrival. time=[time(b4arrival) arrival time(˜b4arrival)]. b4depart=time<depart..admits. % # in system time=[ exponentialrv(lam. event=[event(b4depart) -1 event(˜b4depart)]. while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n.c. timenow=time(1). event=[ 1 ]. 66 . n=n+1.t). tmax=max(t). %total # blocks admits=0.blocks)). %first event is an arrival timenow=0.1). event=[event(b4arrival) 1 event(˜b4arrival)].function [M. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10.

Just to be safe though. For τ < 0.2 The expected value of the output is ∞ ∞ −τ h(u)h(τ + u) du = ∞ −τ 1 e−u e−τ −u du = eτ 2 (4) (5) µY = µ X n=−∞ h n = 0. we have RY (τ ) = 0 ∞ e−u e−τ −u du = e−τ 0 ∞ 1 e−2u du = e−τ 2 (3) For τ < 0. we 2 can double check. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ). the autocorrelation function of the output is RY (τ ) = ∞ −∞ ∞ h(u) −∞ h(v)δ(τ + u − v) dv du = ∞ −∞ h(u)h(τ + u) du (2) For τ > 0.1 By Theorem 11. 1 RY (τ ) = e−|τ | 2 Quiz 11. 67 . The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1.2. we can deduce that RY (τ ) = 1 e−|τ | by symmetry.Quiz Solutions – Chapter 11 Quiz 11.5(1 + −1) = 0 (1) The autocorrelation of the output is 1 1 RY [n] = i=0 j=0 h i h j R X [n + i − j] 1 n=0 0 otherwise (2) (3) = 2R X [n] − R X [n − 1] − R X [n + 1] = 2 Since µY = 0. RY (τ ) = Hence.

6 SX(f) 0. by Theorem 11.8. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.5.3 By Theorem 11. RX = I.1 0. which equals the correlation matrix RY since Y has zero expected value.1 0 τ 0.x 10 8 0.6 and to use Theorem 11. or by directly applying Theorem 5. it is simpler to observe that Y = HX where X = X 30 X 31 X 32 X 33 X 34 X 35 and ⎡ ⎤ 1 1 1 1 0 0 1 H = ⎣0 1 1 1 1 0⎦ . Fo ﬁnd the PDF of the Gaussian vector Y. 4 0 0 1 1 1 1 (2) (3) In this case.2 0 −15 −10 −5 0 f 5 10 15 SX(f) 6 4 2 0 −1500−1000 −500 10 R (τ) 5 0 −5 −2 −1 0 τ 1 x 10 2 −3 0 f 500 1000 1500 10 RX(τ) 5 0 −5 −0. the identity matrix. Since R X [n] = δn . each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0. Thus E[Y] = 0. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11.5. following Theorem 11. we need to ﬁnd the covariance matrix CY .5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j].4 0. Quiz 11.2 X (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ ) and power spectral density S X ( f ) for process X (t) in Quiz 11. we obtain RY = HRX H . In this problem.13 with µX = 0 and A = H.2 −0.7. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process. 68 . (1) Despite the fact that R X [k] is an impulse. Moreover.

In this case.81 X n−1 R X [2] = .1 0.9 1. X n+1 = Xn 0. one approach is to follow the method of Example 11.1 R X [1] R X [0] 0. 0.4 This quiz is solved using Theorem 11.9 400 261 (3) It follows that the ﬁlter is h = 261/400 81/400 and the MMSE linear predictor is 81 261 ˆ X n−1 + Xn. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus. (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C−1 y is a very concise representation of the cross-terms in the exponent of f Y (y).13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ .1 1 0. the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y . CY = RY = HH = 16 2 3 4 (4) It follows (very quickly if you use M ATLAB for 3 × 3 matrix inversion) that ⎡ ⎤ 7/12 −1/2 1/12 1 −1/2⎦ . Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.9 1.9 R X [1] −1 (1) (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ← − 1.1 0.9 R X [0] R X [1] = 0.9 h = R−1 RXn X n+1 = Xn 0. Y 2 (5) (6) A disagreeable amount of algebra will show det(CY ) = 3/1024 and that the PDF can be “simpliﬁed” to 16 7 2 7 2 1 2 y33 + y34 + y35 − y33 y34 + y33 y35 − y34 y35 exp −8 f Y (y) = √ 3 12 12 6 6π . Y Quiz 11.81 81 = . L 69 .9 for the case of k = 1 and M = 2. X n+1 = 400 400 (4) to ﬁnd the mean square error.

Instead.13(b).1.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1. graphs of S X ( f ) and R X (τ ) appear in Figure 6. Consulting Table 11.This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters.7 with Y = Xn .3487. Since X n+1 = h Xn . we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h. we obtain Xn e∗ = R X [0] − RXn X n+1 R−1 RXn X n+1 L Xn ← − = R X [0] − h RXn X n+1 (11) (12) Note that this is essentially the same result as Theorem 9. X = X n+1 and ← − ˆ a = h . In any case. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. the mean square error is 1 506 ← − 0. 70 .5 (1) By Theorem 11. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .1 − = = 0.7 by using the orthoginality property of the LMSE estimator. Quiz 11. we note that 1 f S X ( f ) = 10 rect (2) 2W 2W It follows that the inverse transform of S X ( f ) is sin(2π W τ ) R X (τ ) = 10 sinc(2W τ ) = 10 (3) 2π W τ (3) For W = 10 Hz and W = 1 kHZ. e∗ = E L ← − X n+1 − h Xn 2 (6) (7) (8) ← − ← − = E (X n+1 − h Xn )(X n+1 − h Xn ) ← − ← − = E (X n+1 − h Xn )(X n+1 − Xn h ) After a bit of algebra.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.1. we obtain ← − ← − ← − e∗ = R X [0] − 2 h RXn X n+1 + h RXn h L (9) (10) ← − with the substitution h = R−1 RXn X n+1 . (13) L 0. the average power of X (t) is E X 2 (t) = ∞ −∞ W −W SX ( f ) d f = 5 d f = 10 Watts W (1) (2) The autocorrelation function is the inverse Fourier transform of S X ( f ).

7 Since Y (t) = X (t − t0 ). That is. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11. we see that 2 2a0 1 2a0 SX ( f ) = = 2 2 + (2π f )2 a0 a0 a0 + (2π f )2 (2) The RC ﬁlter has impulse response h(t) = a1 e−a1 t u(t).17. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | .17. (This quiz is really lame!) Quiz 11. R X Y (t. From Table 11. R X [n] = 10δ[n].1. From Table 11. a0 Consulting with the Fourier transforms in Table 11.17.1. τ ) = E [X (t)Y (t + τ )] = E [X (t)X (t + τ − t0 )] = R X (τ − t0 ) (1) We see that R X Y (t.Quiz 11. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . (2) Quiz 11. H( f ) = (1) Theorem 11. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). τ ) = R X Y (τ ) = R X (τ − t0 ).6 In a sampled system. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus. 71 (5) 2a0 a1 . First we need some preliminary facts. if R X [n] = 10δ[n]. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform.8 We solve this quiz using Theorem 11.1. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) . Let a0 = 5.

(9) (10) Consulting with Table 11.000 rad/sec and the signal X (t) has most of its its signal energy below 5. SY ( f ) = |H ( f )|2 S X ( f ) = 2 2a0 a1 2 2 a1 + (2π f )2 a0 + (2π f )2 2 a1 a1 a1 = 2 (a1 + j2π f ) (a1 − j2π f ) a1 + (2π f )2 (6) (7) (3) To ﬁnd the average power at the ﬁlter output. we see that RY (τ ) = K0 K1 a e−a0 |τ | + 2 a1 e−a1 |τ | 2 0 2a0 2a1 (11) Substituting the values of K 0 and K 1 .Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus.1. Using partial fractions and the Fourier transform table. some algebra will show that SY ( f ) = where K0 = Thus. (12) The average power of the Y (t) process is RY (0) = a1 2 = . 2 K1 = . a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. 2 2 2a0 2a1 K0 K1 + 2 . the latter method is actually less algebra.000 rad/sec. Since the RC ﬁlter has a 3dB bandwidth of 10. 72 . SY ( f ) = 2 2 2a0 a0 + (2π f )2 2a1 a1 + (2π f )2 2 a0 K0 K1 + + (2π f )2 a1 + (2π f )2 2 −2a0 a1 2 2 a1 − a0 (8) 2 2a0 a1 2 a1 − a0 . we can either use basic calculus and ∞ calculate −∞ SY ( f ) d f directly or we can ﬁnd RY (τ ) as an inverse transform of SY ( f ). we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . the output signal has almost as much power as the input. In particular.

146) and to calculate the mean square error e L ∗ using Equation (11. we note that Example 10. SY X ( f ) = S X ( f ). decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. (2) Since R X (τ ) = sinc(2W τ ). (1) Since µ N = 0. (1) Now we can go on to the quiz. (5) From Equation (11. the optimal ﬁlter is ˆ H( f ) = SX ( f ) = SX ( f ) + SN ( f ) 1 104 1 104 rect + f 104 1 2B rect f 104 rect f 2B .147). The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11. Comment: Since the text omitted the derivations of Equations (11. (2) RY X (τ ) = R X (τ ).147).Quiz 11.146) and (11. we see from Table 11. R N (0) = Var[N ] = 1.147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). Because the noise process N (t) has constant power R N (0) = 1.146) and (11.1 that SX ( f ) = 1 f rect .000 Hz.146). where W = 5. at peace with the derivations. 4 10 104 (4) The noise power spectral density can be written as S N ( f ) = N0 rect f 2B = 1 f rect 2B 2B . it follows that SY ( f ) = S X ( f ) + S N ( f ). This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B). Taking Fourier transforms. (6) 73 .24 showed that RY (τ ) = R X (τ ) + R N (τ ).9 This quiz implements an example of Equations (11.

As B shrinks.ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). the PSD S N ( f ) becomes increasingly tall. the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B. The following M ATLAB program generates and plots the functions shown in Figure 8 74 . 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise.000 B (9) To obtain MSE e∗ ≤ 0. let’s suppose B ≤ W . From Equation (11. what is happening may not be obvious. the mean square error of the estimate is e∗ = L = ∞ −∞ ∞ −∞ S X ( f )S N ( f ) df SX ( f ) + SN ( f ) 1 104 1 104 (7) f 2B f 2B rect f 104 f 104 1 2B rect rect rect + 1 2B d f. for all values of B. Thus as ˆ B descreases. Finally. Since the problem asks us to L ﬁnd the largest possible B.5 × 104 guarantees e∗ ≤ 0. L Quiz 11.16 Hz.05. The only thing to keep in mind is to use fftc to transform the autocorrelation R X [ f ] into the power spectral density S X (φ). (8) To evaluate the MSE e∗ . In L particular. B ≥ 9. ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. the MSE is e∗ L = 1 1 104 2B 1 1 −B 104 + 2B B df = 1 104 1 104 + 1 2B = 1 1+ 5. As B is decreased.05. when B > W = 5000. we note that we can choose B very large and also achieve MSE e∗ = 0. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. The result is that the MSE goes down. The noise power is always Var[N ] = 1 Watt.000. When B ≤ W .147). we need to whether B ≤ W .05 requires B ≤ 5. L Although this completes the solution to the quiz.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ). Two examples of the ﬁlter H ( f ) are shown in Figure 7. In this case. the ﬁlter suppresses less of the signal of X (t). The mean square error is e∗ L = 1 1 104 2B 1 1 −5000 104 + 2B 5000 df = 1 2B 1 104 + 1 2B = 1 B 5000 +1 (11) In this case. S N ( f ) = 1/2B over frequencies | f | < W . Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth.000/19 = 263. but only over a bandwidth B that is decreasing. We can go back and consider the case B > W later.

In the context of Example 11. %impulse/filter response: M=2 SY2=SX. when M = 10.*((abs(H10)). SX=fftc(rx. the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly.abs(sx)). rx=[2 4 2].1 H(f) 0. stem(0:N-1.* ((abs(H2)).ˆ2).9. %mquiz11. Hence.ylabel(’S_X(n/N)’).5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. %autocorrelation and PSD stem(0:N-1. %impulse/filter response: M=10 SY10=sx.abs(SY10)).N). However. SY2 and SY10 in mquiz11 should all be realvalued vectors. h2=0.N). Relative to M = 2.ylabel(’S_{Y_2}(n/N)’). the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts. figure. %PSD of Y for M=2 xlabel(’n’).26. figure.ylabel(’S_{Y_{10}}(n/N)’). As an aside.10). H2=fft(h2.ˆ2). H10=fft(h10. xlabel(’n’). note that the vectors SX.1*ones(1. Although these imaginary parts have no computational signiﬁcance.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t). xlabel(’n’).N). h10=0. we generate stem plots of the magnitude of each power spectral density.abs(SY2)). they tend to confuse the stem function.m N=32. 75 .5*[1 1]. stem(0:N-1.

10. and Sφ (n/N ) for M = 10 using an N = 32 point DFT. 76 . SY (n/N ) for M = 2.10 SX(n/N) 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 2 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 10 5 0 0 5 10 15 n 20 25 30 35 Figure 8: For Quiz 11. graphs of S X (φ).

01 0 0.9 P X n+1 = 0|X n = 1 = 0.6 −0.2 0.5 1 (3) where si .1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.99 P X n+1 = 1|X n = 1 = 0.4)n ⎣ 0 (4) −0.1 1 P= 0.2⎦ 1 0 1 0 0.2 0.9 (1) Since each X n must be either 0 or 1.6 0.6 0.6 0.5 0 0. From the problem statement.01 0.6 0 0.4 0.90 (3) Quiz 12.5 0.6 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.6 0.2 0. the ith row of S. the Markov chain and the transition matrix are ⎡ ⎤ 0.5 0 −0.4 0.2 0.6 0.6 0.2 0.2 0.1 The system has two states depending on whether the previous packet was received in error. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.2 −0.4 0.5 −0.5 0.01 0.6 0.6 P = ⎣0. is the left eigenvector of P satisfying si P = λi si .2 From the problem statement.2⎦ + (0.6 0.99 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 .10 0. we can conclude that P X n+1 = 1|X n = 0 = 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.4 0.5 1 −0.99 0.4 0 0 λ3 0.Quiz Solutions – Chapter 12 Quiz 12.2 Quiz 12.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.

n = P [K > n|K > n − 1] = Pn−1. That is.0 P [K > n] P [K > n − 1] P [K = n] = P [K = n|K > n − 1] = P [K > n − 1] (1) (2) (3) The Markov chain resembles P[K=5] P[K=4] P[K= 1] P[K=2] P[K=3] 0 1 1 1 2 1 3 1 4 . The states in C2 have period 2. Once the system exits C2 . . 5. .1) = 1 It follows that the limiting state probabilities are π0 = 5/6. the state n can take on the values 0. π2 = 1/12.1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . the states in C3 are recurrent.. 2. Similarly.1π0 and π2 = π1 . Quiz 12.. 6} (1) π1 = 1/12. Thus the states in C1 are recurrent. On the other hand. .5 At any time t. 1} C2 = {2. This implies π0 + π1 + π2 = π0 (1 + 0.. 3} C3 = {4.0. the states in C2 are transient. the system of equations π = π P yields π1 = 0. the states in C2 are never reentered.9 0.4 The communicating classes are C1 = {0.1 + 0. the class C1 is never left. Once the system enters a state in C1 . 1. C1 is a recurrent class. The state transition probabilities are Pn−1. (3) (2) The states in C1 and C3 are aperiodic.1 0 1 1 1 ⎡ ⎤ 0. Quiz 12. 1 … 78 .9 0.

π1 = π0 P [K = 2] + π2 . we obtain π0 ∞ P[K > k] = 1.6 (1) By inspection. . we have k − 1 units of time left after the state 0 counter reset. Quiz 12. Since we spend one unit of time in each state. We verify this pattern by showing that πk = π0 P[K > k] satisﬁes Equation (6): π0 P [K > k − 1] = π0 P [K = k] + π0 P [K > k] . . and we randomly reset the counter to a new value K = k and then we count down k units of time. The system state is the time until the counter expires.11. This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. Thus the period of state 0 is d = 2. When the counter expires. . From Equation (4). From Problem 2. 2. . n=0 > k] = E[K ]. we solve the system of equations π = πP and 3 i=0 πi = 1: π0 = (3/4)π1 + (1/4)π3 π1 = (1/4)π0 + (1/4)π2 π2 = (1/4)π1 + (3/4)π3 1 = π0 + π1 + π2 + π3 79 (1) (2) (3) (4) . including state 0. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . πk−1 = π0 P [K = k] + πk .5. (2) To ﬁnd the stationary probabilities. the system is in state 0. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. (6) This suggests that πk = π0 P[K > k]. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. Equation (5) implies π2 = π1 − π0 P [K = 2] = π0 (P [K > 1] − P [K = 2]) = π0 P [K > 2] (8) (7) (4) (5) k = 1. .The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 . the number of transitions need to return to state 0 is always a multiple of 2. .

7 The Markov chain has the same structure as that in Example 12. The only difference is the modiﬁed transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1. we can use Theorem 12. Lastly.14 to ﬁnd the limiting probability that the system is in state 0 at time nd: lim P00 (nd) = dπ0 = 3 8 (9) n→∞ Quiz 12. we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1. (1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α . To determine whether state 0 is recurrent. nα (2) 80 . It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 .(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0.(2/3) a 1 . we choose π0 so the state probabilities sum to 1: 16 2 5 1 = π0 + π1 + π2 + π3 = π0 1 + + + 2 = π0 (7) 3 3 3 It follows that the state probabilities are π0 = 3 16 π1 = 2 16 π2 = 5 16 π3 = 6 16 (8) (3) Since the system starts in state 0 at time 0.22. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α .(3/4) 1 .(1/2) a 1 1 .Solving the second and third equations for π2 and π3 yields π2 = 4π1 − π0 π3 = (4/3)π2 − (1/3)π1 = 5π1 − (4/3)π0 (5) Substituting π3 back into the ﬁrst equation yields π0 = (3/4)π1 + (1/4)π3 = (3/4)π1 + (5/4)π1 − (1/3)π0 (6) This implies π1 = (2/3)π0 .

11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . ∞ 1 E [T00 ] = 2 + . In Example 12. for α > 1. In this problem. we did this by deriving the PMF PT00 (n). Applying this result. we need to calculate E[T00 ]. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 . (5) nα n=2 Note that for all n ≥ 2 1 ≤ nα ∞ n n−1 dx xα (6) This implies E [T00 ] ≤ 2 + =2+ n n=2 n−1 ∞ dx 1 dx xα (7) (8) xα x −α+1 =2+ −α + 1 ∞ =2+ 1 1 <∞ α−1 (9) Thus for all α > 1.5.) To determine whether the chain is null recurrent or positive recurrent.24. nα (3) For 0 < α ≤ 1. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. then all states are transient. On the other hand.Thus state 0 is recurrent for all α > 0. ( We also note that if α = 0.8 The number of customers in the ”friendly” store is given by the Markov chain (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) 0 (1-p)q 1 (1-p)q ××× i (1-p)q (1-p)q i+1 ××× 81 . Quiz 12. all states are recurrent. it will be simpler to use the result of Problem 2. Since the chain has only one communicating class. the Markov chain is positive recurrent. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞.

01 p2 = 2 p1 + 3 p3 3. (1 − p)q (1) (2) Since Equation (2) holds for i = 0.01 p3 = 2 p2 + 3 p4 5. . i + 2. .01 2 3 3 3 4 Note that q10 = 3. 2. p ≥ q/(1 − q). the limiting state probabilities are πi = (1 − α)α i . This implies πi+1 = p πi . . ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. Quiz 12. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. 1. 620 p0 1. i} and S = {i + 1. (5) In addition. 381 (1) . 014. 1−α (4) Thus for α < 1.01 p1 = 2 p0 + 3 p2 5.01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . . From the Markov chain.13 with state space partitioned between S = {0. i = 0. we have that for α < 1. . . an existing customer gets one unit of service and then departs the store. πi p = πi+1 (1 − p)q. .1 per msec and the rate to state 0 is the sum of those two rates. we see that for any state i ≥ 0.1 since the task completes at rate 3 per msec and the processor reboots at rate 0.9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. By applying Theorem 12. p3 in terms of p2 and so on. 1. we obtain the following useful equations for the stationary distribution. α= (1 − p)q Requiring the state probabilities to sum to 1. . for α ≥ 1 or. . .01 0. the limiting state probabilities do not exist.. . . we note that (1 − p)q is the probability that no new customer arrives. . we have that πi = π0 α i where p . 1. 5.}. equivalently.In the above chain.01 0.01 1 3 0.

. . . . .1015 p4 = 0. c + 2. 2. . 381/2. c (ρ/c) pn−1 n = c + 1. . 014. . c n−c c p0 (ρ/c) ρ /c! n = c + 1. .Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. . (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. .0655 Quiz 12. 2. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1.4151 p1 = 0. .1606 p3 = 0. c + 2.2573 p2 = 0. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 .10 The M/M/c/∞ queue has Markov chain λ λ λ λ λ (2) 0 µ 1 2µ cµ c cµ c+1 cµ From the Markov chain. 443. 401 and the stationary probabilities are p0 = 0. . .

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