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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

we conﬁrm that the events are independent.96)(0. P [N V is even] = P [{dd. (4) The probability of the joint event is P [C2 = v. 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. Since P[C2 = v.8 so that P [N V ≥ 1] P [C1 = v] = (0. C1 = v] Hence.8. C1 = v] = P [{vd.16 (6) Since P[C1 = d]P[C2 = v] = (0. (1) First. there are four outcomes with probabilities P[{vv}] = (0.16 P[{vd}] = (0.64)(0.64 P[{dv}] = (0. we can do the calculations to check: P [C1 = d.2)(0.8) = 0.96 Finally. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0. N V ≥ 1] which shows the two events are dependent.8)(0. vv}] = 0.544.96) = P [N V = 2. C2 = v] = P [{dv}] = 0.768 = P [N V ≥ 1. {C1 = d} are independent events. Using the probabilities of the outcomes.96.2) = 0. we make the comparison P [N V = 2] P [N V ≥ 1] = (0. vv}] = 0. P[C1 = v] = 0.80 From part (a).16.68) = 0. N V is even] = 0. dv. the events are dependent.2)2 = 0. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. we calculate the probability of the joint event: P [N V = 2. the events are dependent. Just to be sure.544. {C2 = v}.8)2 = 0. 5 (7) (5) (4) (3) (2) (1) . we observe that P [N V ≥ 1] = P [{vd.2)(0. P[C2 = v]P[N V is even] = (0. we now can test for the independence of events.04 When checking the independence of any two events A and B. vv}] = 0.Quiz 1.8) = 0.8)(0.6 In this experiment. each event has probability P [C2 = v] = P [{dv. N V is even] = P [{vv}] = 0.16 P[{dd}] = (0.64 Also. vv}] = 0. P[N V ≥ 1] = 0. and the ﬁrst call is a data call.68 (8) Thus.8) = 0.64 Next. Further. (2) The probability of the joint event is P [N V ≥ 1. (3) The problem statement that the calls were independent implies that the events the second call is a voice call.

Thus by the fundamental principle of counting. 1010. For each of the next three bits.8 ¨ F2 0. The number of ways of choosing such N a code word is M .8 (1) We can view choosing each bit in the code word as a subexperiment. The tree for the experiment is 0. (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. it is also possible to simply enumerate the six code words: 1100. There are 4 = 6 ways to do this. The failure probability is = 1 − p and the success probability is 1 − = p.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 The user is found unless all three paging attempts fail. Hence. we can specify a code word by choosing M of the bits to be ones. (4) For the constant ratio code. Each subexperiment has two possible outcomes: 0 and 1. 0011.2)3 = 0.7 Let Fi denote the event that that the user is found on page i.992 (1) Quiz 1.100−k = 100 k 6 k (1 − )100−k (1) . That is.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. we have two choices. 0101. there are six code words with exactly two zeroes.2 0. (3) When the ﬁrst bit must be a zero. In this case. 2 For this problem.Quiz 1. 1001. 0110. 3 Quiz 1. For N = 8 and M = 3.8 ¨ F1 0. there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0.2 0. there are 8 = 56 code words. The other N − M bits will be zeroes. The other two bits then must be ones. then the ﬁrst subexperiment of choosing the ﬁrst bit has only one outcome. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word.

0610 (6) Quiz 1.9)) . Since transistor failures are independent of each other. + (2*(R>0.4. we use the hist function to count how many occurences of each possible value of X(i).4 < R(i) and R(i)<=0.99 = 100(0..99) (2) The probability a packet is decoded correctly is just P [C] = P S0.9 < R(i).100 + P S1. Y=hist(X. + (3*(R>0. then X(i)=1. Second.01) (0.97 = 161.1849 P S3. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ). we ﬁrst generate a vector R of 100 random numbers. then X(i)=2.4) . then X(i)=3. 8 P [C9 ] = (P [C])9 = p 9n . 7 .*(R<=0. chip failures are also independent. • If 0. X=(R<= 0.99) 8 = 0. The probability that a chip works is P[C] = pn .01) (0..97 = 0.3660 P S1. These three cases will have probabilities 0.1. Lastly.01.4. The module works if either 8 chips work or 9 chips work. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.9.1:3) (1) (2) (3) For a M ATLAB simulation.99 + P S2. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip. X(i)=2 if ﬂip i was tails.01)(0. • If 0. X(i)=1 if ﬂip i was heads.99)100 = 0. and X(i)=3) is ﬂip i landed on the edge.5 and 0.100 = (1 − )100 = (0..100).4). That is. the transistors in the chip are like devices in series.10 Since the chip works only if all n transistors work. we note there are three cases: • If R(i) <= 0.9819 = 0. To see how this works.99) 2 3 99 (2) (3) (4) (5) = 0.98 + P S3.9)).11 R=rand(1.3700 9 97 P S2.For = 0. P S0. Let Ck denote the event that exactly k chips work..98 = 4950(0. 700(0. 0.

0387 8 (2) . . that is. Similar to Example 2. Now that we have found c.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success. we recall that the PMF must sum to 1. Now we can interpret each experiment in the generic context of independent trials.1. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1. the remaining parts are straightforward.9)9 = 0.” Each bit is in error.24 2.36 3.1 The sample space. (1) The random variable X is the number of trials up to and including the ﬁrst success. That is.1)(0.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.2 (1) To ﬁnd c. (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. .5 0. with probability p.5 0.11. 2. . 3 G 0. 0 otherwise (1) (2) If p = 0.24 2.0 0. the trial is a success.Quiz Solutions – Chapter 2 Quiz 2.

.9207 100 (0. we must keep in + mind that when FY (y) has a discontinuity at y0 . However. (1) P[Y < 1] = FY (1− ) = 0 9 . Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0. That is. (6) If p = 0. . 4.99)99 + = 0.01.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success.13. 5.99)100 + 100(0. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly.910 = 0.15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3. However.The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).99)98 = 0.3487. . P[X ≥ 10] = 0.01)2 (0.0645 2 (10) Quiz 2.. This x=10 sum is not too hard to calculate.4 Each of these probabilities can be read off the CDF FY (y). Just as in Example 2. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0.01)(0.25.1.25)3 (0. (3) The random variable Y is the number of successes in 100 independent trials. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.01)2 (0. Thus Z has the Pascal PMF (see Example 2.75)9 = 0. FY (y) takes the upper value FY (y0 ).

90.3) + 120(0. we can draw the following tree: N =0 •T =120 0.3 N =2 •T =90 r rr 0. we can write down the PMF of T : ⎧ ⎨ 0.6 (1) As a function of N .7) + 40(0.3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ rr rr0.3) = 29.8 = 0 Quiz 2.5 (1) With probability 0.(2) P[Y ≤ 1] = FY (1) = 0.5 cents Quiz 2.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0.3 t = 75. This corresponds to the PMF ⎧ ⎨ 0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.7 c = 25 PC (c) = 0.8 − 0.7.6 = 0. Otherwise.8 = 0.3 N =3 •T =75 From the tree.3. 105 PT (t) = 0.1) = 62 (2) (3) (4) 10 . the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0. a call is a voice call and C = 25. we have a data call and C = 40.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.1¨¨ ¨ ¨ ¨ 0. with probability 0.

2) + 8(0. (3) 11 .4) + 2(0. g(E[A]) = g(2) = 4. Quiz 2.4 − (1.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.3) + 3(0. However.5) = 1.10.2) + 4(0.8 = g(E[A]).8 (3) Since E[A] = 2. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.5) = 2.1) + 12 (0.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.1) + 1(0.14.Quiz 2.8 The PMF PN (n) allows to calculate each of the desired quantities.7 (1) Using Deﬁnition 2.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.3) + 6(0.44 = 0.4)2 = 0.4) + 2(0.4) + 4(0.663. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2. The two quantities are different because g(A) is not of the form α A + β.1) = 4. E[M] = 4. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.4) + 22 (0.

From Theorem 1. 3. 7. . 10 ⎩ 0 otherwise ⎧ ⎨ 0.2(0.2 n = 1.75) + 0. 4. 7. 4.80 (6) By Theorem 2. .8 n = 1. 3. 9. .005)(5) = 0. .15625 12 . 3. . 7. 2. we learn that the conditional PMF of N given the event I is 0.9 (1) From the problem statement. 4. 2. 8. 3.00625) (11) (12) = 3.Quiz 2.02 n = 1. 8.19375) + n=6 n(0.25) ⎩ 0 otherwise ⎧ ⎨ 0. the conditional PMF of N given the event T is PN |T (n) = 0. 4. .25) n = 1. E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. 5 n = 6.005 n = 6. . 10 ⎩ 0 otherwise (5) Once we have the conditional PMF.8 n = 6.19375 n = 1. .155 n = 1. . 2. 7. .02(0. 2. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0.10 (the law of total probability). 2. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4.02(0. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. . 9. 50 = 0(0. . 4. calculating conditional expectations is easy. 3. 2. 5 = 0. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement.00625 n = 6.17.75) + 0. 5 = 0. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0.155)(5) + (0.005/0.155/0. 5 = 0.

What is observed in these ﬁgures is that for small n.00625) = 12.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. m k .75684 (16) (17) Quiz 2. end.i)=cumsum(X). Each time samplemean(k) is called produces a random output./K.10. . .71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. M=zeros(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. plot(K.k). . Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1.19375) + 330(0. M(:. . m n is fairly random but as n gets 13 . K=(1:k)’. X=duniformrv(0. for i=1:5. k. 2.00625) n=6 = n=1 n (0. . The ith column M(:. . .19375) + 2 (14) (15) = 55(0. 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.M).5).15625)2 = 2. m 2 .i) of M holds a sequence m 1 . . function M=samplemean(k).71875 − (3.

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

we use ∞ the fact that −∞ f X (x) d x = 1.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).Quiz Solutions – Chapter 3 Quiz 3.2 0.5] = 1 − P[Y ≤ 1.5)/4 = 5/8 Quiz 3. 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 = 2.1 The CDF of Y is 1 FY(y) 0.5] = 1 − FY (1. λ = 1/2) PDF 0. To ﬁnd c.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 . 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 − (1.

(9) (10) Quiz 3. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0.. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . (4) Similarly.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.e. For x ≥ 0.5 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) 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. (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. f Y (y) = f Y (−y)). 0 otherwise.(2) To ﬁnd the CDF FX (x). P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . (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. 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. (3) 16 .

However. the peak value of the Gaussian PDF goes down.1 (1) The PDFs of X and Y are shown below. To ﬁnd a and b. b) random variable.4 0.4 (1) When X is an exponential (λ) random variable. we apply Theorem 3. 12 (2) √ b − a = ±6 3.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. 0 otherwise. We start with the sketches. E[X ] = 1/λ and Var[X ] = 1/λ2 . (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3. f X (x) = 0 otherwise.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. (4) The standard deviation of Y is σY = Quiz 3. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). √ b = 3 + 3 3. (5) (z) function and Table 3.2. (1) √ Var[Y ] = √ 3/5. fY(y) 0. we must have λ = 1/3. (4) (2) We know X is a uniform (a.6 to write E [X ] = This implies a + b = 6. it is important to remember that as the standard deviation increases. Quiz 3. Since E[X ] = 3 and Var[X ] = 9. a+b =3 2 Var[X ] = (b − a)2 = 9.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 . The only valid solution with a < b is √ a = 3 − 3 3.

P[Y > 3. P[X > 3.383. ⎩ 1 x ≥ 1. ⎩ 0 otherwise.5 ) = Q(1. 2 (4) (1) (2) (4) Again. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. Quiz 3.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1. (2) Quiz 3. 1). P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0. 1).(2) Since X is Gaussian (0.6 The CDF of X is 1 FX(x) 0.5] = Q( 3. The resulting PDF is 0.5] = Q(3.0401.75) = 0 x 2 ⎧ x < −1. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1.5 0 −2 (1. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2.5) = 2.6826. 2). P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0. (3) Since Y is Gaussian (0.75) = 1 − 2 0. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y).33 × 10−4 .5 fX(x) 0. since X is Gaussian (0. (5) Since Y is Gaussian (0. (2) P[X < 1] = FX (1− ) = 1/2.7 18 . 2).

FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. the PDF is zero.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. 1. (5) 0. (4) By taking the derivative of FY (y). for 0 < y < 1.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0.5 f (y) 1 0. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0.(1) Since X is always nonnegative. Note that when y < 0 or y > 1. FY (y) = 1 for all y ≥ 1. because Y ≤ 1. we obtain the PDF f Y (y). ⎨ 0 2 /4 0 ≤ x ≤ 2. FX (x) = x−x ⎩ 1 x > 2. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) .5 0 −1 Y (4) 0 As expected. FY (y) = y−y ⎩ 1 y ≥ 1. Finally. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. Using the CDF FX (x). Also. Lastly. Also. for 0 ≤ x ≤ 2. ⎨ 0 2 /4 0 ≤ y < 1.6 . Y is also nonnegative. (3) (3) Since X is nonnegative. (1) The complete CDF of X is 1 F (x) 0. Thus FY (y) = 0 for y < 0. 19 . the complete expression for the CDF of Y is 1 F (y) 0. FX (x) = 0 for x < 0.

0+exponentialrv(1/3. if (x>2) t(i+1)=x. end end A second method exploits the fact that if T is an exponential (λ) random variable.(2) From Deﬁnition 3. 1/2 8 < y ≤ 10. x=exponentialrv(lambda.m) generates the vector t.2 . 20 . 0 otherwise. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3.1). then T = T + 2 has PDF f T (t) = f T |T >2 (t). (1) 1 dy = 0.lambda=1/3. i=i+1. 10 (2) (4) From Deﬁnition 3. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. = otherwise. 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. = otherwise. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. 2 (5) Quiz 3.15. t=zeros(m. while (i<m).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 > 2.1). 1/6 0 ≤ y ≤ 6. In this case the command t=2. 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 0 otherwise. (3) (5) From the conditional PDF f Y |Y ≤6 (y). we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9.15.

−∞) = P[X ≤ ∞.G (0.24 + 0. 0) + PQ. Quiz 4.16 + 0. 1) = 0.Y (∞. g) (6) (7) = 0. g) (4) (5) = 0. (2) FX. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞. (3) FX. 1) + PQ. 2) = P[X ≤ −∞.12 + 0.1 Each value of the joint CDF can be found by considering the corresponding probability. 3) = 0.2 From the joint PMF of Q and G given in the table.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ. (1) FX. y) = P[X ≤ ∞.08 = 0.18 + 0. (4) FX.G (q.16 + 0.Quiz Solutions – Chapter 4 Quiz 4.06 + 0.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ.18 + 0.G (1.78 21 .G (q.G (0.Y (−∞.12 + 0. 2) + PQ. 0) + PQ.Y (∞. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event.1. This result is given in Theorem 4.G (0.24 + 0. Y ≤ −∞] = 0 since Y cannot take on the value −∞.12 = 0.08 = 0. Y ≤ ∞] = 1.G (0. (1) The probability that Q = 0 is P [Q = 0] = PQ.Y (∞.24 + 0. Y ≤ y] = P[Y ≤ y] = FY (y).G (0.6 (2) The probability that Q = G is P [Q = G] = PQ. ∞) = P[X ≤ ∞.

Speciﬁcally.5 0. y) d x d y = 1. 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) d x d y (4) To integrate over A.2 h=0 h=1 0.2. 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 . y = r sin θ and d x d y = r dr dθ . b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0. the marginal PMF of H is PH (h) = b=0. the marginal PMF of B is 1 PB (b) = h=−1 PH.1 0. this corresponds to calculating the row sum across the table of the joint PMF. 2 0 0 2 1 f X.B (h. b) (1) For each value of h.Y (x.4 0.3.B (h.3 By Theorem 4.2 0.6 0. To calculate P[A].Quiz 4. we write P [A] = A y dy = (c/4)y 2 f X.Y (x.4 PH.1 0. b) (2) For each value of b. we convert to polar coordinates using the substitutions x = r cos θ .1 0 0. this corresponds to the column sum down the table of the joint PMF.4 To ﬁnd the constant c.3 Quiz 4.2 0.B (h. Similarly.1 0 0. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X.Y (x.2 PB (b) 0.

000 b = 14. For each pair of values of L and B. For 0 ≤ y ≤ 1. 000 l = 7.Y (x.Quiz 4. the complete expression for the PDF of Y is f Y (y) = Quiz 4.00 (T =540) b = 21.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) . 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 . 400 0. 400 l = 2. b) l = 518. y) dy (1) For x < 0 or x > 1. f Y (y) = = ∞ −∞ 6 1 f X.8.20 (T =90) 0.2 t = 36. ⎧ ⎪ 0.5 By Theorem 4.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table.05 t = 18 ⎪ ⎪ ⎪ 0. 90 ⎪ ⎪ ⎨ 0. 800 0. We can write these down on the table for the joint PMF of L and B as follows: PL . the marginal PDF of X is f X (x) = ∞ −∞ f X.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0.Y (x. 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 > 1.20 (T =36) 0.B (l.10 (T =120) 0.05 (T =180) 0. 592. we can calculate the time T needed for the transfer. f X (x) = 0.05 t = 180 ⎪ ⎪ ⎪ 0.05 (T =18) 0. 776. 600 0. writing down the PMF of T is straightforward. For 0 ≤ x ≤ 1.10 (T =24) 0.10 (T =360) b = 28.6 (A) The time required for the transfer is T = L/B.1 t = 120 PT (t) = ⎪ 0.

15 0. we calculate the CDF FW (w) = P[W ≤ w].1 0. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0. Thus f W (0) = 0 and f W (1) = 1. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.5.15 0.5) + 3(0.5 0.6 t = 60 0. PL .7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs. Since the second moment of L is E L 2 = 12 (0.4 PL (l) 0.25) = 2. integrating over the region W ≤ w is fairly complex. Speciﬁcally. 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. W = X Y satisﬁes 0 ≤ W ≤ 1. The calculus is simpler if we integrate over the region X Y > w. For 0 < w < 1.1 0.25 (7) (8) (1) (2) (3) .25 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.3 0.5) + 32 (0.25) = 4.5. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.(B) First.2 0.25) + 22 (0. 24 t = 40 0. As shown below.25) + 2(0.

For 0 ≤ x ≤ 1. the correlation coefﬁcient is ρ L .4) = 2400. The second moment of T is E T 2 = 402 (0.(2) The expected value of T is E [T ] = 40(0.4) = 48. T ] = 0.6) + 602 (0.16(a).15) + 2(40)(0. it is straightforward to calculate the various expectations. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y).Y (x. 25 .Y (x. for 0 ≤ y ≤ 2. 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 . (11) (B) As in the discrete case.1) + 2(60)(0. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .1) = 96 (4) From Theorem 4.15) + 1(60)(0.6) + 60(0. f Y (y) = ∞ −∞ f X.T = 0. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. f X (x) = ∞ −∞ f X.2) + 3(60)(0.3) + 3(40)(0. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96.

Y (x.T (3. P [A] = P [V > 80] = PL . t) = 26 PL . T ) = (3.T (2. (L . Quiz 4. 40) and (L .T |A (l. 60).t) P[A] (1) 0 lt > 80 otherwise (2) . (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 = 2/9.9. 60) + PL . y) d x. (22) (5) Since Cov[X. Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. 60).8 (A) Since the event V > 80 occurs only for the pairs (L .45 By Deﬁnition 4. (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X. Y ] = 0.(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. PL . T ) = (2. T ) = (3.Y = 0. 60) = 0. the correlation coefﬁcient is ρ X. 40) + PL . dy 1 0 (20) 2 x3 x y d x.T (3.T (l. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X.

E [V |A] = l t lt PL . y) /P [B] (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. 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]. we ﬁrst calculate the probability of the conditioning event.T |A (l. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) .We can represent this conditional PMF in the following table: PL .Y (x. 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) = = f X. P [B] = B f X.T |A (l.Y (x. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. 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 ≈ 0.801 8 5 2 dy The conditional PDF of X and Y is f X. we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL . t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18.Y |B (x.T |A (l.

**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

Also.m).25*ones(4. we use an alternate approach. xy=[x’. . x) PMF.Quiz 4. y=ceil(x. 32 . px=0.1)).28.4]. given X = x. . PX (x) = 1/4 x = 1. PY |X (y|x) = 1/x y = 1. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1.*rand(m. 3. . . Y has a discrete uniform (1.12 One straightforward method is to follow the approach of Example 4.1). 0 otherwise. x=finiterv(sx. x) PMF via Y = xU . 4) PMF.2. and an independent uniform (0.px. First we observe that X has the discrete uniform (1. 4.3. 1) random variable U . x 0 otherwise (1) Given X = x. That is. Instead. 2. we can generate a sample value of Y with a discrete uniform (1.y’].

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

X 3 (x2 .X 3 (x2 .W (v.X 3 (x2 . We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V. Y2 W= Y3 . x3 ) d x3 = f X 2 . Y4 (1) 34 . x2 ) = f X 2 . w) = 4 0 ≤ v1 ≤ v2 ≤ 1.4 In the PDF f Y (y). the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 .X 2 (x1 . f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 . x3 ) = f X 1 .X 2 (x1 . x2 ) d x2 = f X 2 .x3 ≤ 1. The complete expressions are f X 1 . 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . When 0 ≤ xi ≤ 1 for each xi . 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. 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 3 (x1 .

f W (w) = = 4(1 − w1 ) dw1 = 2 f V.3. 0.x3 (0. for p1 = 0.3)x1 (0. for 0 ≤ w1 ≤ w2 ≤ 1. A and R. 5 0 otherwise 35 5 x (2) . p2 = 0.6) random variable and X 3 is a binomial (5.W (v.6 and p3 = 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 . x3 ∈ {0. Similarly. . If we view each test as a trial with success probability P[L] = 0. X 2 is a binomial (5. p) = (5. PX (x) = (1) x1 . w) = f V (v) f W (w). .3) random variable.W (v. 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. . For 0 ≤ v1 ≤ v2 ≤ 1. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly. f V (v) = = 0 1 f V. we see that X 1 is a binomial (n. .We must verify that V and W are independent. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x). 1. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V.6)x2 (0.1) random variable. Quiz 5. each test is a subexperiment with three possible outcomes: L. 0. conﬁrming that V and W are independent vectors. . 1.1)x3 x1 + x2 + x3 = 5. the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 .3. . 0.1.5 (A) Referring to Theorem 1. PX i (x) = pix (1 − pi )5−x x = 0. .x2 .W (v. .19. x2 . In ﬁve trials. That is.

X 2 = w. or X 3 = w occurs.1458 = (3) (4) (5) In addition.1)2 + 0.32 (0. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. 2) + PX (2. 3x 3 d x = 3/4. Thus. we need to ﬁnd E[X i X j ] for all i and j.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X .32 (0. Hence.1)] 2!2!1! = 0.6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5. PW (2) = PX (1. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. PW (0) = PW (1) = 0. To do so. w = 4.6 to ﬁnd the PMF of W .3(0.6)(0. we can apply Theorem 5. . since X 1 + X 2 + X 3 = 5 and since each X i is non-negative. Furthermore. we must use Theorem 5. In particular. 2) + PX (2. 6x 2 (1 − x) d x = 1/2.From the marginal PMFs.0802 (B) Since each Yi = 2X i + 4. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. We start with 36 . 1) 5![0. we use 3x(1 − x)2 d x = 1/4.1)2 + 0. 1. 2. and w = 5. we see that X 1 . X 2 and X 3 are not independent. 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. for w = 3.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 .6)2 (0.6)2 (0.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0. 2. Quiz 5. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X .

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

99997155736872 0.(1:31)). The expected value of Y is µY = µT = 80.8 First.7 We observe that X = AZ + b where A= 2 1 . or CT . function p=julytemps(T). computing the covariance matrix by calculus can be a time consuming task.m. Quiz 5. 0 (1) It follows from Theorem 5. by Theorem 5. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0.02207383067604 Columns 5 through 6 0. Here is the output of julytemps.1)/31.18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = .0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.This problem shows that even for fairly simple joint PDFs.e..99999999922010 0.0000. 1 −1 b= 2 .5000 0.0000 0. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. The ﬁnal step is to use the (·) function to calculate P[Y < T ].0000 1. CY=(A’)*CT*A. Next we calculate Var[Y ]. invoked with the command format short. Var[Y ] = ACT A . In julytemps.16 tells us that Y is a 1 dimensional Gaussian vector. 1 −1 1 2 (2) Quiz 5.00002844263128 0.16. CT=36. [D1 D2]=ndgrid((1:31).0.9779 1. A=ones(31. Theorem 5. Its just that the M ATLAB’s short format output. Thus.0221 0.97792616932396 38 ./(1+abs(D1-D2)). Since T is a Gaussian random vector. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 .50000000000000 0.m: >> julytemps([70 75 80 85 90 95]) ans = 0. p=phi((T-80)/sqrt(CY)). just a Gaussian random variable. the ﬁrst two lines generate the 31 × 31 covariance matrix CT. i. rounds off those probabilities.

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

.3.5. the variance of the sum equals the sum of the variances. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1.25n Quiz 6. By Theorem 6. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2.5. W = X + Y is nonnegative. this integral is easy to evaluate. .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. K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. . . . 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n . That is. . by Theorem 6. (4) 40 . . Hence. .5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. .5 − (2. otherwise. First. .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. . a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 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.Quiz Solutions – Chapter 6 Quiz 6. the random variables K 1 . the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. .5n (5) Since the rolls are independent.5)2 = 1. K n are independent. For w > 0.1 Let K 1 .

The ﬁrst derivative of φ K (s) is d φ K (s) = 0. we need only ﬁnd the expected value and variance.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives. Theorem 6.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70.8 (4) (5) (6) (7) = 0. Theorem 6.2(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.2)esk = 0.10 says that W is a Gaussian random variable. Thus to ﬁnd the PDF of W . 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) .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. 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 = 0.4 (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 6.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0.

1−s φ N (s) = 1 s 5e .5 (1) From Table 6.12. we can use Math Fact B.1. 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 . (3) (2) From Table 6. we see that R has the MGF of an exponential (1/5) random variable. 1 − 4 es 5 (1) From Theorem 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. 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 . each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 .Since the α j X j are independent. 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. 42 .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 ].

we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent.0227 (10) (11) (12) 43 .1 to look up (0. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0.5987 = 0. the standard deviation of A is σ A = 12 (5) To use the central limit theorem. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence.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 = 12.25).4013 Note that we used Table 3.Quiz 6. (6) (7) (8) (9) (5) (4) (3) (6) Once again. we use the central limit theorem and Table 3.9773 = 0. (3) Using X i to denote the access time of block i.

8 The train interarrival times X 1 .7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. (1) In Theorem 6. 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. The arrival time of the third train is W = X 1 + X 2 + X 3.11. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3. X 3 are iid exponential (λ) random variables.5 − 36 30 − 0. λ) random variable. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0. From Appendix A. (3) Using the ordinary central limit theorem and Table 3.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x).9545 (4) Since K 48 is a discrete random variable.5 − 36 − 3 3 = 2 (2.9687 (4) (5) Quiz 6.66 × 10−5 √ 12 12 (3) 44 . P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36. X 2 .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.Quiz 6.

11 says that for any w > 0. pw=finitepmf(SW. pmfplot(sw.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12.PW.sx).SY]=ndgrid(sx. [SX. px=binomialpmf(100.py). PW=PX. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.5. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0.0338 s=7/20 (7) (3) Theorem 3. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.m sx=0:100.’\itw’. 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 .19: %unifbinom100.9 One solution to this problem is to follow the approach of Example 6. A graph of the PMF PW (w) appears in Figure 2 With some thought.’\itP_W(w)’). the CDF of the Erlang (λ. 45 . 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.sy). it is a valid bound.pw.sy). the Central Limit Theorem approximation grossly underestimates the true probability.PY]=ndgrid(px.0.100.sy=0:100. sw=unique(SW). for λ = 1/2 and w = 20. Quiz 6. [PX.(2) To use the Chernoff bound. py=duniformpmf(0. By contrast.sw). it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.*PY. SW=SX+SY.

004 0.01 0. 0.006 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6. 100) random variable.0. 46 .9.008 PW(w) 0.5) random variable and a discrete uniform (0. the PMF PW (w) of the independent sum of a binomial (100.

Observe that V100 (X ) = M100 (W ). (1) E [X i ] = 15. Mn (X ) has variance Var[Mn (X )] = 1/n. Thus. 47 . Hence. 30). 12 Thus E[W ] = 3E[X i ] = 45.6. P [W > 75] ≤ (2) By the Chebyshev inequality.Quiz Solutions – Chapter 7 Quiz 7. 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 = 0.1 An exponential random variable with expected value 1 also has variance 1. (30 − 0)2 Var [X i ] = = 75.3 Deﬁne the random variable W = (X − µ X )2 . 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 7.1. By Theorem 7. and Var[W ] = 3 Var[X i ] = 225.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 .000889. Since each X i is uniform (0. (1) By the Markov inequality. we need n = 100 samples. the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 . By Theorem 7. Quiz 7.

58 p(1 − p). the number of trials in each trace. at time k.4645.65 p(1 − p).01. n n Note that if M100 (X ) = 0. we require that 1. 48 (7) (6) .41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ .95 (3) p(1 − p) √ for every value of p.m generates graphs the number of traces within one standard error as a function of the time.9 conﬁdence interval estimate of p is 0.41 c≥ √ = √ .645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . we can use a Gaussian approximation for Mn (X ).4.645 0.5 Following the approach of bernoullitraces. we generate m = 1000 sample paths.3355 ≤ p ≤ 0.e. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. The interval is wide because the 0. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0. 4 n n The 0. the 0. Quiz 7. n n (5) (4) √ For the 0. In this case. implying (c n/( p(1− p))) ≥ 0. we apply Theorem 7. then the 0.99 conﬁdence is high. Since p(1 − p) ≤ 1/4 for all p.m. The program bernoullisample.9 or α ≤ 0. Equivalently.99 conﬁdence interval estimate is 0.1.41 0.995.13 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 . we require that ≥ c ≥ (0.99 conﬁdence interval estimate is 0. we have α ≤ 0. each sample path having n = 100 Bernoulli traces. Since p(1 − p) ≤ 1/4 for all p. √ This implies c n√ 2. Since (x) is an increasing function of x.Quiz 7. i.4 Assuming the number n of samples is large. we must have √ c n ≥ 0.65 0. we must satisfy c n ≥ 1.99 conﬁdence interval.58)/ n. SinceE[X ] = p and Var[X ] = p(1 − p).25)(2.

x=reshape(bernoullirv(p. nn=(1:n)’*ones(1.p). stderr=sqrt(p*(1-p)).m*n). is examined in Problem 7.6 0.5 0.m).9 0.2)/m.’-s’).5): 1 0.m).7 0. stderrmat=stderr*ones(1.8 0.OK. though perhaps unexpected.2. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.5000.m). plot(1:n.5./nn.m.0. OK=sum(abs(MN-p)<stderrmat.function OK=bernoullisample(n. The unusual sawtooth pattern./sqrt((1:n)’). 49 . as m gets large. MN=cumsum(x).4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.68.n. The following graph was generated by bernoullisample(100.

That is. This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214.2 From the problem statement. . (3) k ∈ A1 otherwise. 50 . . For a signiﬁcance level of α = 0. 976 photons. 975. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. 1. This implies that for x ≥ 0. let R = {X ≤ r }. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0. . X 2 ≤ x. otherwise (1) (2) 0 Since the two hypotheses are equally likely.01. · · · .33. 1.01)1/15 = 1. . then we reject the hypothesis. (4) Thus if we observe at least 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. X 15 ≤ x] = [P [X i ≤ x]]15 . ln 100 ∗ k ∈ A1 otherwise. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test. .7. the MAP and ML tests are the same. A reasonable choice is to reject the hypothesis if X is too small. then we accept hypothesis H1 . . . the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . 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.Quiz Solutions – Chapter 8 Quiz 8. if we observe X < 1. otherwise k = 0. . Quiz 8. . the CDF of the maximum of X 1 .6.01 It is straightforward to show that r = − ln 1 − (0. . we must choose a rejection region for X .33 Hence. From Theorem 8.1 From the problem statement.

.1).3) ylabel(’P_{MISS}’).0. the program sqdistrocplot. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m.. Equivalently. FM2=sqdistroc(v.1). The modiﬁed program. 51 .1).FM5(:.T(:)). [XX. loglog(FM1(:.Quiz 8.2’. N is Gauss(0. Here is the modiﬁed code: function FM=sqdistroc(v. a symbol error occurs when si is transmitted but (X 1 .m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities.4 To generate the ROC. sqdistroc.1)/m.T). the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.m. . function FM=sqdistrocplot(v. X 2 ) ∈ A j for some j = i.ˆ2)< TT).T). FM5=sqdistroc(v.T(:)).’\it d=0.m. the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 .1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.TT]=ndgrid(x. X 2 > 0|H0 ] = P E/2 + N1 > 0.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d. FM5(:.m.. %add N volts. .m. Next. it is easier to calculate the probability of a correct decision.TT]=ndgrid(x. P[C|H0 ] = P[C|Hi ] for all i.ˆ2)>TT)..’--k’.0. P10=sum((XX+d*(XX. E/2 + N2 > 0 (1) Because of the symmetry of the signals.2). [XX. FM=[P10(:) P01(:)].T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts.T).3 For the QPSK system. x= -v+randn(m.3’.1’...3.1).’:k’).2).d. legend(’\it d=0.. FM2(:. ’\it d=0. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8. FM1=sqdistroc(v. we have P[C] = 2( E/2σ 2 ). xlabel(’P_{FA}’). Given H0 . P01=sum((XX+d*(XX.FM1(:. FM=[FM1 FM2 FM5]. This implies the probability of a correct decision is P[C] = P[C|H0 ].1.FM2(:. For a QPSK system.0.1)).2. 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).T).2).m. Since N1 and N2 are iid Gaussian (0.1)/m.’-k’. σ ) random variables.

4 with squared distortion.1 d=0.1:3.To see the effect of d. 52 . sqdistrocplot(3.100000.T). 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.1:3.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0.T).2 d=0. the commands T=-3:0.100000. Figure 3: The receiver operating curve for the communications system of Quiz 8. sqdistrocplot(3. generated the plot shown in Figure 3.

1 (1) First. 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. For 0 ≤ x ≤ 1.Y (x. 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. 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 . (3) To obtain the conditional PDF f Y |X (y|x).Quiz Solutions – Chapter 9 Quiz 9. 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. we need the marginal PDF f X (x).

R] = Var[T ] = 9. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT.R = σT /σ R . Thus Cov[T. Cov [T. 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) . R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9.8. (4) From Deﬁnition 4. 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. (6) By Theorem 9. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ].4.4.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. 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 [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent.2 (1) Since the expectation of the sum equals the sum of the expectations.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT.3 When R = r .Quiz 9.R = √ √ σT Cov [T. the correlation coefﬁcient of T and R is ρT. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64.

the above estimate will exceed 1000 m. R ≤ 1000 m. then rMAP (−120) = 123.6% larger than the ML estimate. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156. for very low signal strengths.R (x. Setting the derivative of f X.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. ˆ For the MAP estimate. note that a typical ﬁgure for the signal strength might be x = −120 dB. 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. This reﬂects the fact that large values of R are a priori more probable than small values.6.1236)10 (9) For example. which is not possible in our probability model. r ). we observe that the joint PDF of X and R is f X. the MAP estimate is 23. yielding log10 r = −1 − x/40 or rML (x) = (0. 55 .R (x.R (x.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. if x = −120dB. This corresponds to a distance estimate of rML (−120) = 100 m.3 dB. Hence. the MAP estimate of R given X = x is the value of r that maximizes f X. the MAP estimate takes into account that the distance can never exceed 1000 m.From the conditional PDF f X |R (x|r ). we can use Deﬁnition 9. 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. When the measured signal ˆ strength is not too low.6 m. 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.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. (6) rMAP (x) = arg max f X.3 (0. This minimum occurs when the exponent is zero. When x ≤ −156. However.R (x. That is.3 −x/40 x ≥ −156.

to compute the expected square error.7.9 . we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = .Y2 ) = 1 − L Cov [X 2 . To apply Theorem 9.1 (9) .9 1.9 1 RW = 0. 0 0. −0. Thus we can apply Theorem 9.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 . E[XW ] = E[X]E[W ] = 0.1. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . This implies RY = E XX + E WW = RX + RW = In addition. Similarly.1 (2) (3) It follows that a ∗ = 1/1. we calculate the correlation coefﬁcient ρ X 2 .1 (4) 1 1 = = 0. (1) Because E[X] = E[Y] = 0. it follows that E[Y] = 0.4 ˆ (1) From Theorem 9. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .1 −0. Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . Note that X and W have correlation matrices RX = 1 −0.0909 1. (7) (8) Because X and W are independent.7.1 (6) In terms of Theorem 9. we need to ﬁnd RY and RYX 2 . Y2 ] 1 =√ σ X 2 σY2 1.Quiz 9.9 . Y2 ] .4. 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 = 1.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0.1 0 . it follows that b∗ = 0. E[WX ] = 0. −0.7. Because µ X 2 = µY2 = 0. Finally. 2 Cov [X 2 .

225Y1 + 0.X 2 = 0. (14) (13) Quiz 9.225 0. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0.7. j) = c|i− j|−1 . E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. 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. Thus E[X 1 X 2 ] −0. Thus. Thus.9 RYX 2 = = .725Y2 . The question we must address is what value c minimizes e∗ . This problem is atypical in that one does not usually get L 57 .0725.X 2 − a2rY2 . jth entry RW (i. 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. ˆ a = R−1 RYX 2 = Y −0. By the same reasoning. X L (Y) = a Y where a = R−1 RYX . The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . Y E[WX ] = 0 and E[X W ] = 0 . (11) 2 1 E X2 By Theorem 9. by ˆ ˆ ˆ Theorem 9. Y also has zero expected value.5 Since X and W have zero expected value.7. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1.725 (12) Therefore.Since X and W are independent vectors. Since X and W are independent.

1). RY=(v1*(v1’)) +RW. we observe that Var[Wi ] = RW (i. RW=toeplitz(c. i) = 1/c. function cmin=mquiz9minc(c).2 0 0. end plot(c. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1. However.to choose the correlation structure of the noise. 58 . If this argument is not clear.optk]=min(msec). xlabel(’c’).5 c 1 As we see in the graph.6 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.99. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0. function [mse. cmin=c(optk). On the other hand. the noises Wi have high variance and we would expect our estimator to be poor.ylabel(’e_Lˆ*’). [msec(k). In this case. for k=1:length(c). af=(inv(RY))*v1. In particular. >> mquiz9minc(c) ans = 0. mse=1-((v1’)*af). Note in mquiz9 that v1 corresponds to the vector 1 of all ones.af]=mquiz9(c). This would suggest that large values of c will also result in poor MSE. Thus. msec=zeros(size(c)).8 e* L 0. our 20 measurements will be all the same and one measurement is as good as 20 measurements. if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent.01:0.4 0. both small values and large values of c result in large MSE.af]=mquiz9(c(k)). we will see that the answer is somewhat instructive.ˆ((0:19)-1)). v1=ones(20.4500 1 0. To ﬁnd the optimal value of c. [msemin. We note that the answer is not obviously apparent from Equation (7). when c is small.01:0.msec).

continuous valued process when we record the temperature as a continuous waveform over time. . the call completion times of the H calls that hang up Quiz 10. A correct answer speciﬁes enough random variables to specify the sample path exactly. . . . .3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. . (3) If we sample the process in part (a) every T seconds.Quiz Solutions – Chapter 10 Quiz 10. One choice for an alternate set of random variables that would specify m(t. s).2 (2) 59 . the interarrival times of the N new arrivals • H . discrete valued process.2 (1) We obtain a continuous time. then we obtain a discrete time. we round the temperature to the nearest degree.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. (2) If at every moment in time. the number of ongoing calls at the start of the experiment • N . D H . s) is • m(0. Quiz 10. then we obtain a continuous time. discrete valued process. X N . the number of calls that hang up during the experiment • D1 . the number of new calls that arrive during the experiment • X 1 .01) dr = 0. continuous valued process. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time. .1 There are many correct answers to this question. .

the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . . In this problem.2.(2) In t seconds.X (n) (x1 .. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). just as in Example 2. . t − 1 followed by a success on trial t. That is.8)4 (0. 1. . . t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 . . . The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1.5. 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. . (4) From Theorem 2. independent of any other resistor. T2 = T1 + T where T is independent and identically distributed to T1 .11. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. . . 1) random variable. . 2. each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10. the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. (5) Note that once we ﬁnd the ﬁrst 1% resistor. a geometric random variable with success probability p has expected value 1/ p.2) = 0.4 Since each X i is a N (0. Hence.1. .08192. This problem is easy if we view each resistor test as an independent trial. Consequently. . Each resistor is a 1% resistor with probability p. 9 otherwise (4) Since p = 0. exactly t resistors are tested. . .. A success occurs on a trial with probability p if we ﬁnd a 1% resistor. . Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. E[T1 ] = 1/ p = 5...

1. .6 To answer whether N (t) is a Poisson process.7 First.Quiz 10. Since we count only evennumbered arrival for N (t). otherwise (1) Since M1 and M2 are independent. . Since X 1 and X 2 are independent exponential (λ) random variables. 000. 61 . . Since s ≥ s . . the expected number of packets in each hour is E[Mi ] = α = 36. X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. . we can conclude that the interarrival times of N (t) are not exponential random variables.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. X (t) − X (s) is independent of X (s ) for all s ≥ s . Quiz 10. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. That is. Theorem 3. 1. m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. . we look at the interarrival times. has the same PDF as Y1 (t). the ith interarrival time of the N (t) process. . Let X 1 . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. . PM1 .M2 (m 1 . (2) Quiz 10. denote the interarrival times of the N (t) process. . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. Since Yi (t).5 The ﬁrst and second hours are nonoverlapping intervals. Thus N (t) is not a Poisson process. . W (t) − W (s) is independent of W (s ). X 2 . . we note that for t > s. λ) random variable. Y1 is an Erlang (n = 2. This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . 1. see Theorem 6. the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . . .11. 2. .

. . τ ). .Quiz 10. n m and time offset k..X nm +k (x1 . (1) To ﬁnd the autocorrelation. . . . . .. . . . xm ) = f X n1 +k . f X n1 .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. ..X nm +k (x1 . X 1 . . we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. f X n1 +k .9 From Deﬁnition 10... τ ) = E[Y (t)Y (t + τ )]...8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (t).. (2) (3) (4) Quiz 10.14. .X nm (x1 .X nm (x1 . . ... . X 2 .... (2) R2 (τ ) = e−τ also is valid. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. we have RY (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. Quiz 10. Since RY (t.10 We must check whether each function R(τ ) meets the conditions of Theorem 10. . .. 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 . . is a stationary random sequence if for all sets of time instants n 1 . f X n1 . . n m + k. . τ ) + R N (t. for time instants n 1 + k. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. .

we can conclude that Y (t) is a wide sense stationary process. we can check whether they are jointly wide sense stationary by seeing if R X Y (t. R X Y (t. (2) Since X (t) and Y (t) are both wide sense stationary processes. τ ) depends on both t and τ . 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 conclude that X (t) and Y (t) are not jointly wide sense stationary.11 (1) The autocorrelation of Y (t) is RY (t. as t gets larger. To see why this is. we see that by viewing a process backwards in time.X (t+1) (x0 .Quiz 10. In fact. Quiz 10. 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. 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. Y (t) = X (−t) and X (t) become less and less correlated. 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 . In this case. we see the same second order statistics. suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. In this case. τ ) is just a function of τ .

namely arrivals and departures. 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. The blocking switch is an example of a discrete event system. admit the arrival. Otherwise. – If M(t) < c. when M(t) = c. 3. we know the system state cannot change until the next scheduled event. and schedule a departure to occur at time t + Sn . block the arrival. do not schedule a departure event.13. Quiz 10.120 100 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. we cannot generate these vectors all at once.13 The simple structure of the switch simulation of Example 10. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled. The system evolves via a sequence of discrete events. satisﬁes M(t) < c = 120. 2. Schedule the ﬁrst arrival to occur at S1 . when an arrival occurs at time t. reduce the system state n by 1. Examine the head-of-schedule event. an exponential (λ) random variable.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. at discrete time instances. In particular. • When the head-of-schedule event is the kth arrival is at time t. The program simply executes the event at the head of the schedule. increase the system state n by 1. Start at time t = 0 with an empty system. we need to know that M(t). 64 . we must block the call. check the state M(t). Delete the head-of-schedule event and go to step 2. The logic of such a simulation is 1. the number of ongoing calls. • If the head of schedule event is a departure. where Sk is an exponential (λ) random variable. With the introduction of call blocking. – If M(t) = c. 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 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. 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.” From the Erlang-B formula.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.0. we will learn that the blocking switch is an example of an M/M/c/c queue.93). we can calculate that the exact blocking probability is Pb = 0. this says that roughly the ﬁrst two percent of the simulation time was unusual.t). event(i)=1 if the ith scheduled event is an arrival. In M ATLAB. Nevertheless. plot(t.120. generated a simulation lasting 5.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. 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. The 5.m). Note that in Chapter 12. a result known as the “Erlang-B formula. In most programming languages. However. a kind of Markov chain.1. the discrete event simulation is widely-used and often very efﬁcient simulation method. In this case. 65 .000 minute simulation. or event(i)=-1 if the ith scheduled event is a departure. for very complicated systems.1:5000.0048.0057. we will learn that the exact blocking probability is given by Equation (12. We can estimate the probability a call is blocked as b ˆ = 0. The following instructions t=0:0.0048 and 0.a.000 minutes. we use the vector t as the set of time instances at which we inspect the system state. In our simulation. The complete program is shown in Figure 5.b]=simblockswitch(10. 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. Thus for all times t(i) between the current head-of-schedule event and the next. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. (1) Pb = a+b In Chapter 12. When the program is passed a vector t. 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. One reason our simulation underestimates the blocking probability is that in a 5.Thus we know that M(t) will stay the same until then. [m. The rest of the gap between 0. Thus this would account for only part of the disparity. we set m(i) to the current switch state.

admits.. %one more block.3d Admits %10d Blocks %10d’.blocks)). depart=timenow+exponentialrv(mu. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10.1). % # in system time=[ exponentialrv(lam. else blocks=blocks+1. end elseif (eventnow==-1) %departure n=n-1. time=[time(b4arrival) arrival time(˜b4arrival)]. time(1)= [ ]. % next arrival b4arrival=time<arrival. timenow=time(1).. while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n. eventnow=event(1). event=[ 1 ].admits.1).c. event(1)=[ ]. b4depart=time<depart. n=n+1. time=[time(b4depart) depart time(˜b4depart)].1) ]. n=0.function [M. blocks=0. 66 . % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam.t).blocks]=simblockswitch(lam. %total # admits M=zeros(size(t)).. timenow. event=[event(b4arrival) 1 event(˜b4arrival)]. tmax=max(t). if n<c %call admitted admits=admits+1. %total # blocks admits=0. immed departure disp(sprintf(’Time %10. event=[event(b4depart) -1 event(˜b4depart)].mu. %first event is an arrival timenow=0.13.

Just to be safe though. For τ < 0. RY (τ ) = Hence. we 2 can double check. 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. 67 . we can deduce that RY (τ ) = 1 e−|τ | by symmetry.Quiz Solutions – Chapter 11 Quiz 11.2 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. 1 RY (τ ) = e−|τ | 2 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. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1.2. 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. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).

4 0 0 1 1 1 1 (2) (3) In this case.5. following Theorem 11. 68 . we obtain RY = HRX H . 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⎦ . In this problem. Moreover. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0.6 SX(f) 0.2 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 11.5. by Theorem 11.1 0. (1) Despite the fact that R X [k] is an impulse. we need to ﬁnd the covariance matrix CY .8. RX = I.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. which equals the correlation matrix RY since Y has zero expected value.1 0 τ 0.13 with µX = 0 and A = H.5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j].7. the identity matrix. Thus E[Y] = 0. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process. Since R X [n] = δn .x 10 8 0.2 −0. or by directly applying Theorem 5.4 0.6 and to use Theorem 11. Quiz 11. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11.3 By Theorem 11. Fo ﬁnd the PDF of the Gaussian vector Y. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.

1 0.1 0.81 X n−1 R X [2] = . In this case. one approach is to follow the method of Example 11.9 R X [0] R X [1] = 0. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.81 81 = . 0. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus.9 1.9 1. the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y . 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 .9 h = R−1 RXn X n+1 = Xn 0.1 1 0. X n+1 = 400 400 (4) to ﬁnd the mean square error. X n+1 = Xn 0. (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).9 for the case of k = 1 and M = 2.13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .1 R X [1] R X [0] 0.4 This quiz is solved using Theorem 11. Y Quiz 11. L 69 .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.Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ . 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⎦ .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.

(13) L 0.5 (1) By Theorem 11. 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 .7 by using the orthoginality property of the LMSE estimator. Consulting Table 11.1 − = = 0. the mean square error is 1 506 ← − 0.7 with Y = Xn .9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1.This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 . 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. we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h. 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. graphs of S X ( f ) and R X (τ ) appear in Figure 6. 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 ). Quiz 11. X = X n+1 and ← − ˆ a = h .81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.1. Since X n+1 = h Xn .3487.1. 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. Instead. In any case. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. 70 .13(b).

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.6 In a sampled system. if R X [n] = 10δ[n].7 Since Y (t) = X (t − t0 ). 71 (5) 2a0 a1 . we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). 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).8 We solve this quiz using Theorem 11. Let a0 = 5. τ ) = R X Y (τ ) = R X (τ − t0 ). a0 Consulting with the Fourier transforms in Table 11.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . (2) Quiz 11.1. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. R X [n] = 10δ[n]. That is. where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant.17. H( f ) = (1) Theorem 11. From Table 11. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) .Quiz 11. First we need some preliminary facts. (This quiz is really lame!) Quiz 11. R X Y (t. From Table 11. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus.1.1.17. 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 .17.

2 2 2a0 2a1 K0 K1 + 2 .1. 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 . (9) (10) Consulting with Table 11.Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. Since the RC ﬁlter has a 3dB bandwidth of 10. 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 = . the output signal has almost as much power as the input.000 rad/sec and the signal X (t) has most of its its signal energy below 5. 72 . a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. 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 ). 2 K1 = . In particular. the latter method is actually less algebra.000 rad/sec. 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 . 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 obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 .

at peace with the derivations. decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. (6) 73 . This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B). (5) From Equation (11. where W = 5.Quiz 11.146) and to calculate the mean square error e L ∗ using Equation (11.147).146) and (11.146). Taking Fourier transforms. (1) Now we can go on to the quiz. (2) Since R X (τ ) = sinc(2W τ ). 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 .24 showed that RY (τ ) = R X (τ ) + R N (τ ).147). SY X ( f ) = S X ( f ).146) and (11. we note that Example 10.147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). Comment: Since the text omitted the derivations of Equations (11.9 This quiz implements an example of Equations (11.000 Hz. 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 . we see from Table 11. it follows that SY ( f ) = S X ( f ) + S N ( f ). (1) Since µ N = 0. The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11.1 that SX ( f ) = 1 f rect . Because the noise process N (t) has constant power R N (0) = 1. R N (0) = Var[N ] = 1. (2) RY X (τ ) = R X (τ ).

The Wiener ﬁlter removes the noise that is outside the band of the desired signal. Two examples of the ﬁlter H ( f ) are shown in Figure 7.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ). Thus as ˆ B descreases. As B is decreased. Since the problem asks us to L ﬁnd the largest possible B. when B > W = 5000. The following M ATLAB program generates and plots the functions shown in Figure 8 74 . the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B.000. we note that we can choose B very large and also achieve MSE e∗ = 0. 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. L Although this completes the solution to the quiz. The result is that the MSE goes down. the PSD S N ( f ) becomes increasingly tall. S N ( f ) = 1/2B over frequencies | f | < W . for all values of B. let’s suppose B ≤ W .ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). When B ≤ W .05 requires B ≤ 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+ 5.05. L Quiz 11.000/19 = 263. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. what is happening may not be obvious. the ﬁlter suppresses less of the signal of X (t). In L particular. As B shrinks. From Equation (11. but only over a bandwidth B that is decreasing.5 × 104 guarantees e∗ ≤ 0.147). The noise power is always Var[N ] = 1 Watt. (8) To evaluate the MSE e∗ . In this case.16 Hz. We can go back and consider the case B > W later. 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. we need to whether B ≤ W . ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. 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).05. B ≥ 9. Finally.000 B (9) To obtain MSE e∗ ≤ 0. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth.

Hence. note that the vectors SX. As an aside. stem(0:N-1. xlabel(’n’).abs(sx)). H2=fft(h2. %impulse/filter response: M=2 SY2=SX. h2=0. %impulse/filter response: M=10 SY10=sx. %mquiz11.N).ylabel(’S_X(n/N)’). the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t).N). Relative to M = 2.ylabel(’S_{Y_{10}}(n/N)’). when M = 10.ˆ2).ylabel(’S_{Y_2}(n/N)’). figure. xlabel(’n’). h10=0. SY2 and SY10 in mquiz11 should all be realvalued vectors. we generate stem plots of the magnitude of each power spectral density.5*[1 1].abs(SY2)).5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts. %PSD of Y for M=2 xlabel(’n’). 75 . rx=[2 4 2].1*ones(1.*((abs(H10)).5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. SX=fftc(rx.9. H10=fft(h10.26. Although these imaginary parts have no computational signiﬁcance. %autocorrelation and PSD stem(0:N-1.abs(SY10)). they tend to confuse the stem function. the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. figure.10). In the context of Example 11.ˆ2).1 H(f) 0.N).* ((abs(H2)).m N=32. However. stem(0:N-1.

and Sφ (n/N ) for M = 10 using an N = 32 point DFT. SY (n/N ) for M = 2. graphs of S X (φ). 76 .10.10 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.

6 0.1 The system has two states depending on whether the previous packet was received in error.9 (1) Since each X n must be either 0 or 1.99 0.6 0.01 0 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.6 0.1 1 P= 0.5 −0.5 0.5 1 (3) where si .6 0.4 0.2 −0.2 0.2 From the problem statement.99 0.6 0.6 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 .2⎦ + (0.5 0 0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.6 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.2⎦ 1 0 1 0 0.2 0. From the problem statement. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.4)n ⎣ 0 (4) −0.4 0 0 λ3 0.Quiz Solutions – Chapter 12 Quiz 12.6 −0.5 0 −0.2 Quiz 12.6 0.10 0.90 (3) Quiz 12. the Markov chain and the transition matrix are ⎡ ⎤ 0.01 0.5 0. we can conclude that P X n+1 = 1|X n = 0 = 0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.6 P = ⎣0.5 1 −0.6 0.2 0.01 0.4 0.99 P X n+1 = 1|X n = 1 = 0.6 0 0.4 0.9 P X n+1 = 0|X n = 1 = 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0. the ith row of S.4 0.2 0.2 0. is the left eigenvector of P satisfying si P = λi si .2 0.

Once the system enters a state in C1 .1 + 0.1π0 and π2 = π1 .9 0.1 0 1 1 1 ⎡ ⎤ 0. (3) (2) The states in C1 and C3 are aperiodic.5 At any time t. The state transition probabilities are Pn−1. . This implies π0 + π1 + π2 = π0 (1 + 0. On the other hand. Quiz 12. The states in C2 have period 2. the states in C2 are transient.9 0. . the states in C3 are recurrent.1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . 1} C2 = {2. Similarly. 1. the state n can take on the values 0. That is.. . the states in C2 are never reentered.1) = 1 It follows that the limiting state probabilities are π0 = 5/6. 5. 6} (1) π1 = 1/12. the class C1 is never left. Once the system exits C2 . the system of equations π = π P yields π1 = 0..4 The communicating classes are C1 = {0. π2 = 1/12.0 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 . Thus the states in C1 are recurrent.0. 1 … 78 . 3} C3 = {4. Quiz 12. C1 is a recurrent class..n = P [K > n|K > n − 1] = Pn−1. 2.

Thus the period of state 0 is d = 2. we have k − 1 units of time left after the state 0 counter reset. 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] .11. the number of transitions need to return to state 0 is always a multiple of 2.The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 . The system state is the time until the counter expires. including state 0. .5. the system is in state 0. πk−1 = π0 P [K = k] + πk . From Problem 2. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. Quiz 12. 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) . (6) This suggests that πk = 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. 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. . . . . then W has a discrete PMF representing the remaining time of the counter at a time in the distant future.6 (1) By inspection. . When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. (2) To ﬁnd the stationary probabilities. n=0 > k] = E[K ]. 2. From Equation (4). When the counter expires. π1 = π0 P [K = 2] + π2 . we obtain π0 ∞ P[K > k] = 1. Since we spend one unit of time in each state.

Lastly. we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1.(2/3) a 1 .(1/2) a 1 1 . (1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α .22.(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0.(3/4) 1 .7 The Markov chain has the same structure as that in Example 12. To determine whether state 0 is recurrent.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. nα (2) 80 .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 . It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 . 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. The only difference is the modiﬁed transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α . we can use Theorem 12.

the Markov chain is positive recurrent.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 . we need to calculate E[T00 ]. Applying this result. In this problem. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 . Since the chain has only one communicating class. ∞ 1 E [T00 ] = 2 + . it will be simpler to use the result of Problem 2.) To determine whether the chain is null recurrent or positive recurrent. for α > 1. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. ( We also note that if α = 0. we did this by deriving the PMF PT00 (n). On the other hand. Quiz 12. all states are recurrent. nα (3) For 0 < α ≤ 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. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞.Thus state 0 is recurrent for all α > 0.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K .24. then all states are transient. In Example 12.5.

we have that for α < 1. we note that (1 − p)q is the probability that no new customer arrives. the limiting state probabilities do not exist. . i} and S = {i + 1. we obtain the following useful equations for the stationary distribution. the limiting state probabilities are πi = (1 − α)α i .1 per msec and the rate to state 0 is the sum of those two rates. (1 − p)q (1) (2) Since Equation (2) holds for i = 0.01 0. 014. . πi p = πi+1 (1 − p)q. 1. an existing customer gets one unit of service and then departs the store. 620 p0 1. 381 (1) . i = 0.In the above chain. . This implies πi+1 = p πi .01 1 3 0.}.01 p1 = 2 p0 + 3 p2 5. . (5) In addition. 1. . we see that for any state i ≥ 0.01 2 3 3 3 4 Note that q10 = 3.01 p2 = 2 p1 + 3 p3 3. .01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . . . From the Markov chain.01 0. p ≥ q/(1 − q). .01 p3 = 2 p2 + 3 p4 5. 1−α (4) Thus for α < 1. equivalently. we have that πi = π0 α i where p .1 since the task completes at rate 3 per msec and the processor reboots at rate 0.13 with state space partitioned between S = {0.. i + 2. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. Quiz 12. for α ≥ 1 or. . 1. α= (1 − p)q Requiring the state probabilities to sum to 1. . 5. . ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. 2. . p3 in terms of p2 and so on.9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. By applying Theorem 12.

Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. 443. c (ρ/c) pn−1 n = c + 1.10 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. . 401 and the stationary probabilities are p0 = 0. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. c + 2. . 381/2. .1015 p4 = 0. . . .4151 p1 = 0.2573 p2 = 0. . . . .0655 Quiz 12. 014. c n−c c p0 (ρ/c) ρ /c! n = c + 1. . . . c + 2. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 . 2.1606 p3 = 0. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. 2. .

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