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Sections

  • Quiz 1.1
  • Quiz 1.2
  • Quiz 1.5
  • Quiz 1.7
  • Quiz 1.8
  • Quiz 1.9
  • Quiz 1.10
  • Quiz 1.11
  • Quiz 2.1
  • Quiz 2.2
  • Quiz 2.3
  • Quiz 2.4
  • Quiz 2.7
  • Quiz 2.8
  • Quiz 2.9
  • Quiz 2.10
  • Quiz 3.1
  • Quiz 3.2
  • Quiz 3.3
  • Quiz 3.4
  • Quiz 3.5
  • Quiz 3.6
  • Quiz 3.7
  • Quiz 3.8
  • Quiz 3.9
  • Quiz 4.1
  • Quiz 4.2
  • Quiz 4.3
  • Quiz 4.4
  • Quiz 4.5
  • Quiz 4.6
  • Quiz 4.7
  • Quiz 4.8
  • Quiz 4.9
  • Quiz 4.10
  • Quiz 4.11
  • Quiz 4.12
  • Quiz 5.1
  • Quiz 5.2
  • Quiz 5.3
  • Quiz 5.4
  • Quiz 5.5
  • Quiz 5.6
  • Quiz 5.7
  • Quiz 5.8
  • Quiz 6.1
  • Quiz 6.2
  • Quiz 6.3
  • Quiz 6.4
  • Quiz 6.5
  • Quiz 6.6
  • Quiz 6.7
  • Quiz 6.8
  • Quiz 6.9
  • Quiz 7.1
  • Quiz 7.2
  • Quiz 7.3
  • Quiz 7.4
  • Quiz 7.5
  • Quiz 8.1
  • Quiz 8.2
  • Quiz 8.3
  • Quiz 8.4
  • Quiz 9.1
  • Quiz 9.2
  • Quiz 9.3
  • Quiz 9.4
  • Quiz 9.5
  • Quiz 10.1
  • Quiz 10.2
  • Quiz 10.3
  • Quiz 10.4
  • Quiz 10.5
  • Quiz 10.6
  • Quiz 10.7
  • Quiz 10.8
  • Quiz 10.9
  • Quiz 10.10
  • Quiz 10.11
  • Quiz 10.12
  • Quiz 10.13
  • Quiz 11.1
  • Quiz 11.2
  • Quiz 11.3
  • Quiz 11.4
  • Quiz 11.5
  • Quiz 11.6
  • Quiz 11.7
  • Quiz 11.8
  • Quiz 11.9
  • Quiz 11.10
  • Quiz 12.1
  • Quiz 12.2
  • Quiz 12.3
  • Quiz 12.4
  • Quiz 12.5
  • Quiz 12.6
  • Quiz 12.7
  • Quiz 12.8
  • Quiz 12.9
  • Quiz 12.10

Probability and Stochastic Processes

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
ˆ
ˆ
ˆ
ˆ
ˆ
ˆ
ˆ
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


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

K
(s)
ds
= 0.2(e
s
+2e
2s
+3e
3s
+4e
4s
) (2)
Evaluating the derivative at s = 0 yields
E [K] =

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

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

R
,
ˆ
T
L
(R) =
σ
2
T
σ
2
R
R =
σ
2
T
σ
2
T

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


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

cos 2π = e

> 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


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


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

1

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

1

2

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

1

2

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

16 (6) Since P[C1 = d]P[C2 = v] = (0. we confirm that the events are independent.8) = 0. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0. {C1 = d} are independent events.Quiz 1. the events are dependent.2)2 = 0. we observe that P [N V ≥ 1] = P [{vd. Since P[C2 = v. P [N V is even] = P [{dd. N V ≥ 1] which shows the two events are dependent. we calculate the probability of the joint event: P [N V = 2. each event has probability P [C2 = v] = P [{dv. vv}] = 0. (4) The probability of the joint event is P [C2 = v.8) = 0.64 Next. N V is even] = 0. Further. dv. (2) The probability of the joint event is P [N V ≥ 1.16 P[{dd}] = (0. we now can test for the independence of events. C1 = v] = P [{vd. N V is even] = P [{vv}] = 0. P[C1 = v] = 0.8) = 0.8)2 = 0. there are four outcomes with probabilities P[{vv}] = (0.768 = P [N V ≥ 1. we make the comparison P [N V = 2] P [N V ≥ 1] = (0. {C2 = v}.68 (8) Thus.16 P[{vd}] = (0.2)(0.6 In this experiment.8. 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.64 Also.96 Finally.64)(0.96) = P [N V = 2. vv}] = 0.2) = 0. vv}] = 0. we can do the calculations to check: P [C1 = d.96)(0. vv}] = 0.64 P[{dv}] = (0. P[C2 = v]P[N V is even] = (0.16.80 From part (a).544. and the first call is a data call. (1) First.8)(0. 5 (7) (5) (4) (3) (2) (1) .544. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. C2 = v] = P [{dv}] = 0.68) = 0.8)(0. the events are dependent.04 When checking the independence of any two events A and B. Using the probabilities of the outcomes. P[N V ≥ 1] = 0. Just to be sure. C1 = v] Hence.2)(0.8 so that P [N V ≥ 1] P [C1 = v] = (0. (3) The problem statement that the calls were independent implies that the events the second call is a voice call.96.

there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. it is also possible to simply enumerate the six code words: 1100. The other N − M bits will be zeroes.7 Let Fi denote the event that that the user is found on page i. we can specify a code word by choosing M of the bits to be ones.8 ¨ F1 0.992 (1) Quiz 1. (3) When the first bit must be a zero. there are 8 = 56 code words.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. 2 For this problem. Thus by the fundamental principle of counting. The tree for the experiment is 0. For N = 8 and M = 3. 0110.8 ¨ F2 0. The other two bits then must be ones. (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.2 0. (4) For the constant ratio code. Hence. 0011. There are 4 = 6 ways to do this. 1010.100−k = 100 k 6 k (1 − )100−k (1) .Quiz 1. The failure probability is = 1 − p and the success probability is 1 − = p.2 The user is found unless all three paging attempts fail. 3 Quiz 1. That is. In this case. For each of the next three bits. there are six code words with exactly two zeroes. we have two choices. 0101. the probability of k bits in error and 100 − k correctly received bits is P Sk.2)3 = 0.2 0. then the first subexperiment of choosing the first bit has only one outcome. k bits received in error is the same as k failures in 100 trials. Each subexperiment has two possible outcomes: 0 and 1. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0.8 (1) We can view choosing each bit in the code word as a subexperiment. 1001.9 (1) In this problem. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word. The number of ways of choosing such N a code word is M .

Second.For = 0. the transistors in the chip are like devices in series...100 + P S1.4. Let Ck denote the event that exactly k chips work. To see how this works. 7 .97 = 161.01) (0. we first generate a vector R of 100 random numbers. then X(i)=2. we generate vector X as a function of R to represent the 3 possible outcomes of a flip.11 R=rand(1. we use the hist function to count how many occurences of each possible value of X(i). chip failures are also independent.99) 2 3 99 (2) (3) (4) (5) = 0.9 < R(i).99) 8 = 0.. • If 0.4). and X(i)=3) is flip i landed on the edge. That is.100). 0. X=(R<= 0. X(i)=1 if flip i was heads.01)(0.9)) . • If 0. P S0.100 = (1 − )100 = (0.*(R<=0. X(i)=2 if flip i was tails.98 + P S3. Y=hist(X.99 = 100(0. 8 P [C9 ] = (P [C])9 = p 9n .. Lastly.9819 = 0.99)100 = 0. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.3700 9 97 P S2. The probability that a chip works is P[C] = pn .99 + P S2.1849 P S3.1. + (2*(R>0.5 and 0.1:3) (1) (2) (3) For a M ATLAB simulation. then X(i)=1. Since transistor failures are independent of each other. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).01) (0. The module works if either 8 chips work or 9 chips work. then X(i)=3. 700(0.97 = 0.0610 (6) Quiz 1.4) .98 = 4950(0.01.10 Since the chip works only if all n transistors work.4. These three cases will have probabilities 0. we note there are three cases: • If R(i) <= 0.9.99) (2) The probability a packet is decoded correctly is just P [C] = P S0.4 < R(i) and R(i)<=0.3660 P S1. + (3*(R>0.9)).

Quiz Solutions – Chapter 2 Quiz 2. the remaining parts are straightforward. with probability p.5 0. Now that we have found c.2 (1) To find c.9)9 = 0.11. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1.” Each bit is in error. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. 0 otherwise (1) (2) If p = 0. 2.24 2. we recall that the PMF must sum to 1. the trial is a success. . That is. that is. (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 2.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.36 3.1.24 2.0 0.0387 8 (2) . Similar to Example 2.1)(0. .5 0. 3 G 0. (1) The random variable X is the number of trials up to and including the first success. Now we can interpret each experiment in the generic context of independent trials.1 The sample space. .

P [X ≥ 10] = P [first 10 bits are correct] = (1 − p)10 For p = 0.75)9 = 0. However. . (6) If p = 0.1.25.3487.910 = 0. FY (y) takes the upper value FY (y0 ).99)98 = 0.01)2 (0.15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3. That is. P[X ≥ 10] = 0. However. .99)100 + 100(0. its even easier to observe that X ≥ 10 if the first 10 bits are transmitted correctly. 5. Just as in Example 2. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0. 4. 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) = (0.01)(0. This x=10 sum is not too hard to calculate. (3) The random variable Y is the number of successes in 100 independent trials.The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).0645 2 (10) Quiz 2.01. we must keep in + mind that when FY (y) has a discontinuity at y0 . Thus Z has the Pascal PMF (see Example 2.. .99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success.01)2 (0.9207 100 (0. (1) P[Y < 1] = FY (1− ) = 0 9 . the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.99)99 + = 0.13.25)3 (0.4 Each of these probabilities can be read off the CDF FY (y).

7) + 40(0.5 cents Quiz 2.6 = 0. with probability 0. 90.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0.1¨¨ ¨ ¨ ¨ 0.3 N =3 •T =75 From the tree. a call is a voice call and C = 25.3) + 120(0.8 = 0 Quiz 2.5 (1) With probability 0. Otherwise. This corresponds to the PMF ⎧ ⎨ 0. we can draw the following tree: N =0 •T =120 0.3.3) = 29.3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ ˆˆˆ rr ˆ ˆ rr0. we can write down the PMF of T : ⎧ ⎨ 0. 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 − 0.6 (1) As a function of N .(2) P[Y ≤ 1] = FY (1) = 0.8 = 0.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).8 − 0.7. 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. 105 PT (t) = 0. we have a data call and C = 40.7 c = 25 PC (c) = 0.1) = 62 (2) (3) (4) 10 .6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.3 t = 75.3ˆˆ N =2 •T =90 r rr 0.

3) + 3(0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.8 = g(E[A]).663.5) = 2. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.14. However.2) + 4(0.5) = 1.4) + 2(0.4) + 22 (0. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.4) + 2(0.8 (3) Since E[A] = 2. g(E[A]) = g(2) = 4. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.1) + 1(0.1) + 12 (0.2) + 8(0.44 = 0.4) + 4(0. E[M] = 4.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.1) = 4. The two quantities are different because g(A) is not of the form α A + β.8 The PMF PN (n) allows to calculate each of the desired quantities.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.4)2 = 0.7 (1) Using Definition 2.3) + 6(0.10. Quiz 2.4 − (1. (3) 11 . 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.Quiz 2.

02(0. . 5 = 0. 2.Quiz 2. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4. . 50 = 0(0.00625) (11) (12) = 3. . we find the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. .005 n = 6. 8.25) ⎩ 0 otherwise ⎧ ⎨ 0. 4.005/0.8 n = 1.02(0. . 2. 7.10 (the law of total probability). E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0.8 n = 6.19375 n = 1. 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. 3. 10 ⎩ 0 otherwise ⎧ ⎨ 0. 7.15625 12 . we learn that the conditional PMF of N given the event I is 0. 4. .25) n = 1. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. 4. 2.02 n = 1. 7. .155 n = 1. 4. 3.155/0. 7. 8. 9. 3. 9.2 n = 1.80 (6) By Theorem 2. 2.155)(5) + (0. 50 ⎩ 0 otherwise (4) First we find 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. . .2(0. 5 n = 6. . From Theorem 1. . 5 = 0. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. 2. 3.19375) + n=6 n(0.75) + 0. calculating conditional expectations is easy.005)(5) = 0. 5 = 0.75) + 0.9 (1) From the problem statement. 2. 3.17. . 4. the conditional PMF of N given the event T is PN |T (n) = 0.00625 n = 6.

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

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

5)/4 = 5/8 Quiz 3. λ = 1/2) PDF 0.Quiz Solutions – Chapter 3 Quiz 3.2 0.5) = 1 − (1.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 .5] = 1 − FY (1. To find c.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).1 The CDF of Y is 1 FY(y) 0. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1. 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 = 2.2 (1) First we will find the constant c and then we will sketch the PDF.5] = 1 − P[Y ≤ 1. we use ∞ the fact that −∞ f X (x) d x = 1.

(2) To find the CDF FX (x). (4) Similarly. f Y (y) = f Y (−y)).e. 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. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . (9) (10) Quiz 3. (3) 16 . (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. (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. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 .. (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. 0 otherwise. 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). we first note X is a nonnegative random variable so that FX (x) = 0 for all x < 0.3 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[X ] = 1/λ and Var[X ] = 1/λ2 . f X (x) = 0 otherwise. we apply Theorem 3.4 0.6 to write E [X ] = This implies a + b = 6. (4) (2) We know X is a uniform (a. fY(y) 0. 12 (2) √ b − a = ±6 3. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3.4 (1) When X is an exponential (λ) random variable. a+b =3 2 Var[X ] = (b − a)2 = 9. However. the peak value of the Gaussian PDF goes down. we must have λ = 1/3. Quiz 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. it is important to remember that as the standard deviation increases.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. To find a and b. √ b = 3 + 3 3.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. We start with the sketches.2. (5) (z) function and Table 3.1 (1) The PDFs of X and Y are shown below. The only valid solution with a < b is √ a = 3 − 3 3. (1) √ Var[Y ] = √ 3/5. b) random variable. 0 otherwise. Since E[X ] = 3 and Var[X ] = 9. The fact that Y has twice the standard deviation of X is reflected in the greater spread of f Y (y). (4) The standard deviation of Y is σY = Quiz 3.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 .

6 The CDF of X is 1 FX(x) 0.5) = 2.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1. (2) P[X < 1] = FX (1− ) = 1/2.0401.6826. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0. P[Y > 3. 1).5] = Q( 3. ⎩ 0 otherwise. ⎩ 1 x ≥ 1. P[X > 3.5 0 −2 (1. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. (3) Since Y is Gaussian (0.75) = 0 x 2 ⎧ x < −1.75) = 1 − 2 0. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1.(2) Since X is Gaussian (0. The resulting PDF is 0. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2. 1).7 18 .383. (2) Quiz 3.33 × 10−4 .5] = Q(3. (5) Since Y is Gaussian (0. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1. 2 (4) (1) (2) (4) Again.5 fX(x) 0. (4) We find the PDF f Y (y) by taking the derivative of FY (y).5 ) = Q(1. Quiz 3. 2). since X is Gaussian (0. 2).

Also. for 0 ≤ x ≤ 2. 19 . (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. because Y ≤ 1. the complete expression for the CDF of Y is 1 F (y) 0. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. the PDF is zero. (4) By taking the derivative of FY (y).6 . Finally. ⎨ 0 2 /4 0 ≤ x ≤ 2. Also. Y is also nonnegative. Using the CDF FX (x). we obtain the PDF f Y (y). FY (y) = 1 for all y ≥ 1. (3) (3) Since X is nonnegative. Note that when y < 0 or y > 1.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4. (5) 0.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. FX (x) = x−x ⎩ 1 x > 2. Thus FY (y) = 0 for y < 0. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1].5 f (y) 1 0. FY (y) = y−y ⎩ 1 y ≥ 1.5 0 −1 Y (4) 0 As expected. 1. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . FX (x) = 0 for x < 0. for 0 < y < 1. Lastly. (1) The complete CDF of X is 1 F (x) 0.(1) Since X is always nonnegative. ⎨ 0 2 /4 0 ≤ y < 1.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0.

0 otherwise.15. 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 20 . 1/2 8 < y ≤ 10. x=exponentialrv(lambda. 1/6 0 ≤ y ≤ 6.15.m) generates the vector t.2 . i=i+1. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. 2 (5) Quiz 3.lambda=1/3. while (i<m). (3) (5) From the conditional PDF f Y |Y ≤6 (y). if (x>2) t(i+1)=x. 0 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. t=zeros(m. = otherwise. = otherwise. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9.0+exponentialrv(1/3.9 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.(2) From Definition 3. In this case the command t=2. 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). 10 (2) (4) From Definition 3. (1) 1 dy = 0. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0.1).1). we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3.

Quiz Solutions – Chapter 4 Quiz 4.G (0.G (0.18 + 0.G (0.6 (2) The probability that Q = G is P [Q = G] = PQ.16 + 0. 2) + PQ. g) (4) (5) = 0.78 21 . 1) + PQ.06 + 0.12 = 0.G (1.1.1 Each value of the joint CDF can be found by considering the corresponding probability. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞. Y ≤ ∞] = 1.08 = 0. (1) The probability that Q = 0 is P [Q = 0] = PQ.G (0. This result is given in Theorem 4. (2) FX.Y (−∞.24 + 0. −∞) = P[X ≤ ∞. g) (6) (7) = 0. y) = P[X ≤ ∞. (3) FX.16 + 0.G (0. 2) = P[X ≤ −∞.G (q. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. 1) = 0. Quiz 4.Y (∞.24 + 0. ∞) = P[X ≤ ∞.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ. Y ≤ −∞] = 0 since Y cannot take on the value −∞.12 + 0.12 + 0. 0) + PQ.24 + 0.Y (∞.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.18 + 0. (4) FX. 0) + PQ. Y ≤ y] = P[Y ≤ y] = FY (y).08 = 0. (1) FX.Y (∞.2 From the joint PMF of Q and G given in the table. 3) = 0.G (q.

2 0. we write P [A] = A y dy = (c/4)y 2 f X. y) d x d y (4) To integrate over A. y = r sin θ and d x d y = r dr dθ . b) (1) For each value of h.Y (x. the marginal PMF of B is 1 PB (b) = h=−1 PH.2.5 0.1 0 0. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0.B (h.B (h. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.Y (x.4 PH.B (h.6 0.3 By Theorem 4.1 0. 2 0 0 2 1 f X.1 0. the marginal PMF of H is PH (h) = b=0. Specifically.2 0. Similarly. To calculate P[A]. we convert to polar coordinates using the substitutions x = r cos θ . y) d x d y = 1.2 h=0 h=1 0. b) (2) For each value of b.4 To find the constant c. 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 .3 Quiz 4.1 0 0. this corresponds to calculating the row sum across the table of the joint PMF.Quiz 4.2 PB (b) 0.3.Y (x.4 0. this corresponds to the column sum down the table of the joint PMF. 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.

⎧ ⎪ 0.05 t = 180 ⎪ ⎪ ⎪ 0.05 (T =180) 0. y) dy (1) For x < 0 or x > 1. writing down the PMF of T is straightforward. For 0 ≤ x ≤ 1. the marginal PDF of X is f X (x) = ∞ −∞ f X.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. 000 l = 7.Quiz 4. 776.20 (T =90) 0. the complete expression for the PDF of Y is f Y (y) = Quiz 4.Y (x.6 (A) The time required for the transfer is T = L/B.5 By Theorem 4. 000 b = 14.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. 400 l = 2. 90 ⎪ ⎪ ⎨ 0. For 0 ≤ y ≤ 1. 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. f Y (y) = = ∞ −∞ 6 1 f X. b) l = 518. f X (x) = 0.10 (T =24) 0.05 t = 18 ⎪ ⎪ ⎪ 0. We can write these down on the table for the joint PMF of L and B as follows: PL .B (l. 600 0. For each pair of values of L and B.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table.2 t = 36.00 (T =540) b = 21. 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 .20 (T =36) 0. 400 0.1 t = 120 PT (t) = ⎪ 0. 800 0.10 (T =120) 0.Y (x.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) .05 (T =18) 0. we can calculate the time T needed for the transfer. 592.10 (T =360) b = 28.8.

25) + 2(0. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.7 (A) It is helpful to first make a table that includes the marginal PMFs.3 0. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0. we calculate the CDF FW (w) = P[W ≤ w].4 PL (l) 0.5) + 3(0. As shown below. 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.5) + 32 (0.1 0. PL .5. Since the second moment of L is E L 2 = 12 (0. Specifically. 24 t = 40 0.2 0. The calculus is simpler if we integrate over the region X Y > w.25) = 2. For 0 < w < 1.15 0.5. Thus f W (0) = 0 and f W (1) = 1. 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.(B) First. W = X Y satisfies 0 ≤ W ≤ 1.25 (7) (8) (1) (2) (3) .5 0.25 0.6 t = 60 0.1 0.T (l.15 0. integrating over the region W ≤ w is fairly complex. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.25) + 22 (0.25) = 4.

6) + 602 (0.16(a). y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. the correlation coefficient is ρ L .15) + 1(60)(0.2) + 3(60)(0.3) + 3(40)(0. for 0 ≤ y ≤ 2. the covariance of L and T is Cov [L . (11) (B) As in the discrete case.(2) The expected value of T is E [T ] = 40(0. T ] = 0. f Y (y) = ∞ −∞ f X.1) = 96 (4) From Theorem 4.1) + 2(60)(0. For 0 ≤ x ≤ 1.Y (x. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L . the calculations become easier if we first calculate the marginal PDFs f X (x) and f Y (y). (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40. it is straightforward to calculate the various expectations.15) + 2(40)(0. The second moment of T is E T 2 = 402 (0. y) d x = 0 2 xy dx = 1 2 x y 2 x=1 = x=0 y 2 (13) The complete expressions for the marginal PDFs are f X (x) = 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs.T = 0.6) + 60(0.4) = 2400. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96.4) = 48.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0. f X (x) = ∞ −∞ f X.Y (x. 25 .

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

y) /P [B] (x. we first calculate the probability of the conditioning event. 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]. 400 9 3 9 It follows that Var [V |A] = E V 2 |A − (E [V |A])2 = 622 2 9 (7) (B) For continuous random variables X and Y .Y (x. y) = = f X. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. E [V |A] = l t lt PL .T |A (l. y) d x d y = = = 60 40 60 40 60 3 80/y xy dx dy 4000 x2 2 3 (8) dy (9) (10) (11) y 4000 80/y 9 3200 y − 2 y 40 4000 2 9 4 3 = − ln ≈ 0. t) t = 40 t = 60 l=1 0 0 l=2 0 4/9 1/3 2/9 l=3 The conditional expectation of V can be found from the conditional PMF.Y |B (x. P [B] = B f X. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) . we first find the conditional second moment E V 2 |A = l t (lt)2 PL .801 8 5 2 dy The conditional PDF of X and Y is f X.T |A (l. t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18.We can represent this conditional PMF in the following table: PL .Y (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

x) PMF via Y = xU . given X = x. 4) PMF.Quiz 4. . we use an alternate approach. 4. 0 otherwise. . This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. . . Also.*rand(m.y’]. 2.1). PY |X (y|x) = 1/x y = 1. x) PMF. x 0 otherwise (1) Given X = x. 1) random variable U .m).12 One straightforward method is to follow the approach of Example 4. and an independent uniform (0. x=finiterv(sx.px. xy=[x’. First we observe that X has the discrete uniform (1.4].3. That is.28. 32 . Instead.2. PX (x) = 1/4 x = 1. y=ceil(x.1)). 3.25*ones(4. we can generate a sample value of Y with a discrete uniform (1. Y has a discrete uniform (1. px=0.

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

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

In five trials.1)x3 x1 + x2 + x3 = 5. each test is a subexperiment with three possible outcomes: L.3) random variable. . 1. 1. 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.3)x1 (0.W (v. 0.We must verify that V and W are independent. 0. PX (x) = (1) x1 . p2 = 0. If we view each test as a trial with success probability P[L] = 0. 0.1) random variable. . f W (w) = = 4(1 − w1 ) dw1 = 2 f V. .19. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly. 5} ⎩ 0 otherwise We can find the marginal PMF for each X i from the joint PMF PX (x). x3 ∈ {0. For 0 ≤ v1 ≤ v2 ≤ 1. 5 0 otherwise 35 5 x (2) . .6)x2 (0.6) random variable and X 3 is a binomial (5.1.W (v.x3 (0.x2 . p) = (5.6 and p3 = 0. Similarly. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. f V (v) = = 0 1 f V. . . the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . 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 . PX i (x) = pix (1 − pi )5−x x = 0.3. .5 (A) Referring to Theorem 1. . we see that X 1 is a binomial (n. X 2 is a binomial (5. for p1 = 0.W (v. confirming that V and W are independent vectors. x2 . That is.3. Quiz 5. w) = f V (v) f W (w). for 0 ≤ w1 ≤ w2 ≤ 1. A and R.

X 2 and X 3 are not independent. we see that X 1 .From the marginal PMFs. w = 4. we must use Theorem 5.6)2 (0. PW (2) = PX (1. Thus. 6x 2 (1 − x) d x = 1/2. Furthermore. 1) 5![0.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 . Quiz 5. we need to find E[X i X j ] for all i and j.6)2 (0.32 (0.1)] 2!2!1! = 0. To do so.1)2 + 0.3(0. or X 3 = w occurs. We start with 36 .288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.6 to find the PMF of W .1458 = (3) (4) (5) In addition. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative. for w = 3. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. we use 3x(1 − x)2 d x = 1/4. 1. 2. 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.6)(0.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . Hence.32 (0. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. we can apply Theorem 5. 2) + PX (2.6 We start by finding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5. 2) + PX (2.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. 3x 3 d x = 3/4. and w = 5. In particular. .0802 (B) Since each Yi = 2X i + 4. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To find the correlation matrix R X . PW (0) = PW (1) = 0. X 2 = w. 2.1)2 + 0.

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

invoked with the command format short.99997155736872 0. 1 −1 1 2 (2) Quiz 5.16. The final step is to use the (·) function to calculate P[Y < T ].7 We observe that X = AZ + b where A= 2 1 . Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. In julytemps. 1 −1 b= 2 . Next we calculate Var[Y ]. The expected value of Y is µY = µT = 80.8 First. Since T is a Gaussian random vector.0000 0.5000 0. the first two lines generate the 31 × 31 covariance matrix CT. rounds off those probabilities. by Theorem 5.9779 1. Thus. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. Its just that the M ATLAB’s short format output. [D1 D2]=ndgrid((1:31). just a Gaussian random variable. Quiz 5. 0 (1) It follows from Theorem 5.16 tells us that Y is a 1 dimensional Gaussian vector. p=phi((T-80)/sqrt(CY)).1)/31.0000 1. Theorem 5.00002844263128 0.m.m: >> julytemps([70 75 80 85 90 95]) ans = 0. computing the covariance matrix by calculus can be a time consuming task. Var[Y ] = ACT A .0221 0. or CT .97792616932396 38 .0000.0. CY=(A’)*CT*A..This problem shows that even for fairly simple joint PDFs.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1./(1+abs(D1-D2)). A=ones(31.(1:31)). we observe that Y = AT where A = 1/31 1/31 · · · 1/31 .e.18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = . Here is the output of julytemps.99999999922010 0. function p=julytemps(T).02207383067604 Columns 5 through 6 0. i. CT=36.50000000000000 0.

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

25n Quiz 6. (4) 40 . . f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. . .5n (5) Since the rolls are independent.5 − (2. . For w > 0.25 Since E[K i ] = 2. . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. we note that the first two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2.3. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1. By Theorem 6.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. K n are independent. a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. the random variables K 1 . That is. .5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. otherwise. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n . .5. .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. . Hence.5)2 = 1. . the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. . the variance of the sum equals the sum of the variances. W = X + Y is nonnegative. First. by Theorem 6.1 Let K 1 . this integral is easy to evaluate. .5.Quiz Solutions – Chapter 6 Quiz 6. 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.

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) . The first derivative of φ K (s) is d φ K (s) = 0. Thus to find the PDF of W .10 says that W is a Gaussian random variable.2)esk = 0.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 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. Theorem 6.Quiz 6.2 1 + es + e2s + e3s + e4s (1) We find the moments by taking derivatives.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.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6. 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 = 0.8 (4) (5) (6) (7) = 0. Theorem 6.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To find higher-order moments. we need only find the expected value and variance.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70.

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 .1.6 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 ]. 42 . we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. (3) (2) From Table 6.1.5 (1) From Table 6.12. 1−s φ N (s) = 1 s 5e . each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . 1 − 4 es 5 (1) From Theorem 6. we can use Math Fact B. 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. we see that R has the MGF of an exponential (1/5) random variable.Since the α j X j are independent. 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 .

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 = 12.0227 (10) (11) (12) 43 .4013 Note that we used Table 3.1 to look up (0. (6) (7) (8) (9) (5) (4) (3) (6) Once again. (3) Using X i to denote the access time of block i.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0. we use the central limit theorem and Table 3.25). E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent. we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.Quiz 6.5987 = 0.9773 = 0. the standard deviation of A is σ A = 12 (5) To use the central limit theorem.

5 − 36 − 3 3 = 2 (2.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x). (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. From Appendix A. X 3 are iid exponential (λ) random variables. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3.8 The train interarrival times X 1 .16666) − 1 = 0. (3) Using the ordinary central limit theorem and Table 3. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36.9687 (4) (5) Quiz 6. The arrival time of the third train is W = X 1 + X 2 + X 3.9545 (4) Since K 48 is a discrete random variable.11. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0.Quiz 6. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. 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.5 − 36 30 − 0. λ) random variable.66 × 10−5 √ 12 12 (3) 44 . (1) In Theorem 6.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. X 2 .

sy). By contrast. A graph of the PMF PW (w) appears in Figure 2 With some thought. py=duniformpmf(0. Quiz 6.’\itP_W(w)’).11 says that for any w > 0. the Central Limit Theorem approximation grossly underestimates the true probability.pw. 45 .m sx=0:100.sy).5. 3) random variable W satisfies 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.sy=0:100. PW=PX. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.0. [SX. pmfplot(sw. 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. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0. [PX.(2) To use the Chernoff bound. sw=unique(SW). it should be apparent that the finitepmf function is implementing the convolution of the two PMFs. px=binomialpmf(100.PW. the CDF of the Erlang (λ.SY]=ndgrid(sx.sw). 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 .9 One solution to this problem is to follow the approach of Example 6.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12.100.*PY.sx).py).’\itw’.PY]=ndgrid(px. pw=finitepmf(SW. for λ = 1/2 and w = 20. it is a valid bound. SW=SX+SY.19: %unifbinom100.0338 s=7/20 (7) (3) Theorem 3.

the PMF PW (w) of the independent sum of a binomial (100.01 0. 100) random variable.008 PW(w) 0.006 0.0. 0.004 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6. 46 .5) random variable and a discrete uniform (0.9.

By Theorem 7. we need n = 100 samples.3 Define the random variable W = (X − µ X )2 . By Theorem 7. P [W > 75] ≤ (2) By the Chebyshev inequality. Since each X i is uniform (0. 47 . (1) E [X i ] = 15. 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. Quiz 7. 12 Thus E[W ] = 3E[X i ] = 45.Quiz Solutions – Chapter 7 Quiz 7. Observe that V100 (X ) = M100 (W ). 30). and Var[W ] = 3 Var[X i ] = 225. the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 .000889. Thus.6.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . Hence.1. (1) By the Markov inequality. (30 − 0)2 Var [X i ] = = 75. Mn (X ) has variance Var[Mn (X )] = 1/n. 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.

we require that ≥ c ≥ (0. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p.95 (3) p(1 − p) √ for every value of p.m.99 confidence interval.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 . the 0.3355 ≤ p ≤ 0. we require that 1. The interval is wide because the 0.99 confidence interval estimate is 0.41 0. √ This implies c n√ 2. n n (5) (4) √ For the 0. we must have √ c n ≥ 0.65 0.645 0.58 p(1 − p). Equivalently. we apply Theorem 7. Since p(1 − p) ≤ 1/4 for all p.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . 4 n n The 0. Since (x) is an increasing function of x.9 or α ≤ 0. n n Note that if M100 (X ) = 0.58)/ n.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . at time k.65 p(1 − p). The program bernoullisample. implying (c n/( p(1− p))) ≥ 0. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0. i. we generate m = 1000 sample paths.995. then the 0.5 Following the approach of bernoullitraces.9 confidence interval estimate of p is 0. we can use a Gaussian approximation for Mn (X ).1.41 c≥ √ = √ .99 confidence is high. SinceE[X ] = p and Var[X ] = p(1 − p).Quiz 7. Since p(1 − p) ≤ 1/4 for all p. we have α ≤ 0.m generates graphs the number of traces within one standard error as a function of the time. the number of trials in each trace. each sample path having n = 100 Bernoulli traces.4 Assuming the number n of samples is large. Quiz 7. 48 (7) (6) .4.4645. In this case.25)(2. we must satisfy c n ≥ 1.01.e.99 confidence interval estimate is 0.

68.m). plot(1:n.’-s’). stderrmat=stderr*ones(1. MN=cumsum(x).0. OK=sum(abs(MN-p)<stderrmat.p).6 0.5000.OK.5): 1 0. is examined in Problem 7.2.n.7 0.5 0. The following graph was generated by bernoullisample(100.5./sqrt((1:n)’). nn=(1:n)’*ones(1. The unusual sawtooth pattern./nn. 49 . as m gets large. stderr=sqrt(p*(1-p)).9 0. x=reshape(bernoullirv(p. though perhaps unexpected. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.m*n).2)/m.m).m.m).8 0.function OK=bernoullisample(n.

. This implies that for x ≥ 0. X 15 ≤ x] = [P [X i ≤ x]]15 . . the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . if we observe X < 1. 1. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0.Quiz Solutions – Chapter 8 Quiz 8. 1. This rule simplifies to 106 − 104 k ∈ A0 if k ≤ k = = 214. . For a significance level of α = 0. . let R = {X ≤ r }. . From Theorem 8.7. 976 photons. the MAP and ML tests are the same. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. 975. . otherwise (1) (2) 0 Since the two hypotheses are equally likely. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a significance test. ln 100 ∗ k ∈ A1 otherwise. . then we accept hypothesis H1 . . we must choose a rejection region for X .33.01 It is straightforward to show that r = − ln 1 − (0. otherwise k = 0.2 From the problem statement.6. 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. Quiz 8. (3) k ∈ A1 otherwise. · · · .33 Hence. 50 . each X i has PDF and CDF f X i (x) = e−x x ≥ 0 0 otherwise FX i (x) = 0 x <0 1 − e−x x ≥ 0 (1) Hence.01)1/15 = 1.01.1 From the problem statement. X 2 ≤ x. That is. (4) Thus if we observe at least 214. the CDF of the maximum of X 1 . A reasonable choice is to reject the hypothesis if X is too small. . . then we reject the hypothesis.

T).T). Since N1 and N2 are iid Gaussian (0. 51 .3’. For a QPSK system.2’.’\it d=0.TT]=ndgrid(x.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities.1.m.1)/m.. FM1=sqdistroc(v. we have P[C] = 2( E/2σ 2 ).2).2.2).T).m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.’--k’. X 2 > 0|H0 ] = P E/2 + N1 > 0.1). X 2 ) ∈ A j for some j = i. . FM5(:. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m. function FM=sqdistrocplot(v. This implies the probability of a correct decision is P[C] = P[C|H0 ]. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8..1)).1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.T(:)).3) ylabel(’P_{MISS}’).’-k’. a symbol error occurs when si is transmitted but (X 1 . sqdistroc.1).T(:)). %add N volts. xlabel(’P_{FA}’).4 To generate the ROC.’:k’). [XX.3. FM5=sqdistroc(v.Quiz 8. it is easier to calculate the probability of a correct decision.1). FM2(:.. Here is the modified code: function FM=sqdistroc(v.FM5(:.. 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).1)/m. x= -v+randn(m.T). FM=[P10(:) P01(:)].0. N is Gauss(0.ˆ2)>TT). [XX. loglog(FM1(:. legend(’\it d=0.. P[C|H0 ] = P[C|Hi ] for all i.FM1(:. Given H0 .FM2(:. FM2=sqdistroc(v. P10=sum((XX+d*(XX.1’.m.1). the program sqdistrocplot.m. Equivalently. σ ) random variables.TT]=ndgrid(x. . Next.0.3 For the QPSK system.m. FM=[FM1 FM2 FM5].ˆ2)< TT).2). ’\it d=0. The modified program.T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts. P01=sum((XX+d*(XX.0...d. the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . E/2 + N2 > 0 (1) Because of the symmetry of the signals. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.m.

1:3.1:3. the commands T=-3:0. sqdistrocplot(3.T).100000. generated the plot shown in Figure 3.2 d=0. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.1 d=0.4 with squared distortion.To see the effect of d.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. sqdistrocplot(3.T). 52 .100000. Figure 3: The receiver operating curve for the communications system of Quiz 8.

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). 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.Quiz Solutions – Chapter 9 Quiz 9.Y (x. 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. 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. we need the marginal PDF f X (x).1 (1) First.

4. Thus Cov[T. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT.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. (6) By Theorem 9. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT.R = σT /σ R .Quiz 9. Cov [T. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. 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.2 (1) Since the expectation of the sum equals the sum of the expectations. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0.8. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64.3 When R = r . R] = Var[T ] = 9.4. 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. (4) From Definition 4. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ].R = √ √ σT Cov [T.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT. the correlation coefficient of T and R is ρT. 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) . E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent.

1236)10 (9) For example.R (x. note that a typical figure for the signal strength might be x = −120 dB. yielding log10 r = −1 − x/40 or rML (x) = (0.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m.3 −x/40 x ≥ −156. the MAP estimate of R given X = x is the value of r that maximizes f X. for very low signal strengths. then rMAP (−120) = 123. Setting the derivative of f X. This minimum occurs when the exponent is zero. r ).R (x. When the measured signal ˆ strength is not too low.From the conditional PDF f X |R (x|r ). the above estimate will exceed 1000 m.3 (0.R (x.6. This reflects the fact that large values of R are a priori more probable than small values. which is not possible in our probability model. Hence.R (x. r ) = f X |R (x|r ) f R (r ) = 106 32π 1 √ r e−(x+40+40 log10 r ) 2 /128 (5) From Theorem 9. This corresponds to a distance estimate of rML (−120) = 100 m. ˆ For the MAP estimate. That is.3 dB. we observe that the joint PDF of X and R is f X.6 m. When x ≤ −156. 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. (6) rMAP (x) = arg max f X. the MAP estimate takes into account that the distance can never exceed 1000 m.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. 55 . we can use Definition 9.2 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. R ≤ 1000 m. the MAP estimate is 23.6% larger than the ML estimate. However. 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. if x = −120dB. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156.

1.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 . n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .4. E[XW ] = E[X]E[W ] = 0.1 (2) (3) It follows that a ∗ = 1/1. −0. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. 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. Because µ X 2 = µY2 = 0.1 −0.9 . (1) Because E[X] = E[Y] = 0. Y2 ] .Quiz 9.1 0 .1 (9) .Y2 ) = 1 − L Cov [X 2 .4 ˆ (1) From Theorem 9. 0 0. (7) (8) Because X and W are independent. Note that X and W have correlation matrices RX = 1 −0. Thus we can apply Theorem 9. we calculate the correlation coefficient ρ X 2 . This implies RY = E XX + E WW = RX + RW = In addition. E[WX ] = 0. Y2 ] 1 =√ σ X 2 σY2 1.9 1. −0.0909 1. we need to find RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = .7.9 1 RW = 0.7.9 . it follows that E[Y] = 0. Similarly. Finally. To apply Theorem 9. 2 Cov [X 2 .1 (6) In terms of Theorem 9.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . to compute the expected square error. it follows that b∗ = 0.1 (4) 1 1 = = 0.7. the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . we need to find RY and RYX 2 .

X 2 − a2rY2 . Thus.9 RYX 2 = = . This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. This problem is atypical in that one does not usually get L 57 .7. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . (14) (13) Quiz 9. (11) 2 1 E X2 By Theorem 9. Thus. By the same reasoning. The question we must address is what value c minimizes e∗ . Thus E[X 1 X 2 ] −0.0725. 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. 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. jth entry RW (i. by ˆ ˆ ˆ Theorem 9.X 2 = 0. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0. X L (Y) = a Y where a = R−1 RYX . j) = c|i− j|−1 . Y E[WX ] = 0 and E[X W ] = 0 .725 (12) Therefore.Since X and W are independent vectors.725Y2 .5 Since X and W have zero expected value. ˆ a = R−1 RYX 2 = Y −0. E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. Y also has zero expected value.225Y1 + 0.7. Since X and W are independent.225 0.

we observe that Var[Wi ] = RW (i.01:0. If this argument is not clear.5 c 1 As we see in the graph. On the other hand. xlabel(’c’). end plot(c. However. >> mquiz9minc(c) ans = 0.1). mse=1-((v1’)*af). function cmin=mquiz9minc(c). msec=zeros(size(c)). We note that the answer is not obviously apparent from Equation (7). we will see that the answer is somewhat instructive. our 20 measurements will be all the same and one measurement is as good as 20 measurements. In particular. RW=toeplitz(c.4500 1 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.msec).to choose the correlation structure of the noise.ylabel(’e_Lˆ*’). Note in mquiz9 that v1 corresponds to the vector 1 of all ones. In this case. both small values and large values of c result in large MSE. The following commands finds the minimum c and also produces the following graph: >> c=0.af]=mquiz9(c).8 e* L 0. RY=(v1*(v1’)) +RW.af]=mquiz9(c(k)).optk]=min(msec). [msec(k). consider the extreme case in which every Wi and W j have correlation coefficient ρi j = 1. cmin=c(optk). Thus.ˆ((0:19)-1)). To find the optimal value of c. v1=ones(20. the noises Wi have high variance and we would expect our estimator to be poor.99. [msemin. i) = 1/c. when c is small.2 0 0. 58 . if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent.01:0. This would suggest that large values of c will also result in poor MSE. af=(inv(RY))*v1.6 0. for k=1:length(c).4 0. function [mse.

then we obtain a continuous time. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time.2 (2) 59 . . D H . X N .1 There are many correct answers to this question. s). (3) If we sample the process in part (a) every T seconds. continuous valued process when we record the temperature as a continuous waveform over time. the number of new calls that arrive during the experiment • X 1 . then we obtain a discrete time. . the number of ongoing calls at the start of the experiment • N . Quiz 10. the call completion times of the H calls that hang up Quiz 10. . (2) If at every moment in time. discrete valued process. .3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. . One choice for an alternate set of random variables that would specify m(t. A correct answer specifies enough random variables to specify the sample path exactly. 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. the interarrival times of the N new arrivals • H . discrete valued process. . . s) is • m(0. the number of calls that hang up during the experiment • D1 .01) dr = 0. .Quiz Solutions – Chapter 10 Quiz 10.2 (1) We obtain a continuous time. continuous valued process.

T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. This problem is easy if we view each resistor test as an independent trial. . E[T1 ] = 1/ p = 5. . .X (n) (x1 .. .5. (5) Note that once we find the first 1% resistor. . . (4) From Theorem 2.(2) In t seconds. . the probability the first 1% resistor is found in exactly five seconds is PT1 (5) = (0. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10.2. the number of additional trials needed to find the second 1% resistor once again has a geometric PMF with expected value 1/ p since each independent trial is a success with probability p. That is. .4 Since each X i is a N (0. .8)4 (0. Consequently.1. each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10. .08192. T2 = T1 + T where T is independent and identically distributed to T1 .. t 0 otherwise t n (3) (3) First we will find the PMF of T1 . just as in Example 2. exactly t resistors are tested. a geometric random variable with success probability p has expected value 1/ p. independent of any other resistor..11. 1) random variable. . 1. In this problem. . The first 1% resistor is found at time T1 = t if we observe failures on trials 1. . the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. ..2) = 0. Hence. . Each resistor is a 1% resistor with probability p. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . 9 otherwise (4) Since p = 0. A success occurs on a trial with probability p if we find a 1% resistor. t − 1 followed by a success on trial t. 2.

otherwise (1) Since M1 and M2 are independent. 1. . has the same PDF as Y1 (t). we can conclude that the interarrival times of N (t) are not exponential random variables.7 First. That is. we note that for t > s. . Quiz 10. 2.M2 (m 1 . the expected number of packets in each hour is E[Mi ] = α = 36. we look at the interarrival times.11. PM1 . .5 The first and second hours are nonoverlapping intervals. λ) random variable. X (t) − X (s) is independent of X (s ) for all s ≥ s . m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. the time until the first arrival of the N (t) is Y1 = X 1 + X 2 .6 To answer whether N (t) is a Poisson process. the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. . . . . . X 2 . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec.Quiz 10. ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. . Since s ≥ s . . Since we count only evennumbered arrival for N (t). . This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . 000. see Theorem 6.13 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. . 1. Since X 1 and X 2 are independent exponential (λ) random variables. denote the interarrival times of the N (t) process. W (t) − W (s) is independent of W (s ). 1. (2) Quiz 10. Let X 1 . Since Yi (t). . Theorem 3. Thus N (t) is not a Poisson process. X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. 61 . . the ith interarrival time of the N (t) process. Y1 is an Erlang (n = 2.

.X nm +k (x1 . . . . . . (2) (3) (4) Quiz 10. we have RY (t. . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. .. .. . Since RY (t. 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 . . . .8 First we find the expected value µY (t) = µ X (t) + µ N (t) = µ X (t). . . . τ ) = E [(X (t) + N (t)) (X (t + τ ) + N (t + τ ))] = E [X (t)X (t + τ )] + E [X (t)N (t + τ )] + E [X (t + τ )N (t)] + E [N (t)N (t + τ )] = R X (t. n m + k. Quiz 10.. xm ) Since the random sequence is iid. τ ) + R N (t.9 From Definition 10.. xm ) = f X n1 +k . for time instants n 1 + k.X nm (x1 . . . n m and time offset k..... ..X nm +k (x1 .14.10 We must check whether each function R(τ ) meets the conditions of Theorem 10.Quiz 10. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. X 1 . .. . f X n1 . . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly.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. τ ) = E[Y (t)Y (t + τ )]. . τ ). (1) To find the autocorrelation. is a stationary random sequence if for all sets of time instants n 1 . f X n1 . .X nm (x1 .. f X n1 +k . . ... . X 2 . ... we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. (2) R2 (τ ) = e−τ also is valid.

In this case.Quiz 10.X (t+1) (x0 . 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 . To see why this is. Y (t) = X (−t) and X (t) become less and less correlated. In fact. 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. suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. 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). (2) Since X (t) and Y (t) are both wide sense stationary processes. we see the same second order statistics. Quiz 10. In this case. τ ) depends on both t and τ . we conclude that X (t) and Y (t) are not jointly wide sense stationary. 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 see that by viewing a process backwards in time.12 From the problem statement.11 (1) The autocorrelation of Y (t) is RY (t. we can conclude that Y (t) is a wide sense stationary process. as t gets larger. we can check whether they are jointly wide sense stationary by seeing if R X Y (t. R X Y (t. τ ) is just a function of τ .

where Sk is an exponential (λ) random variable. Schedule the first arrival to occur at S1 . satisfies M(t) < c = 120. the number of ongoing calls. when M(t) = c.13 The simple structure of the switch simulation of Example 10. we must block the call. The program simply executes the event at the head of the schedule. we need to know that M(t). when an arrival occurs at time t. increase the system state n by 1.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. block the arrival. 2. Start at time t = 0 with an empty system. at discrete time instances. The blocking switch is an example of a discrete event system. 64 . Examine the head-of-schedule event. an exponential (λ) random variable. check the state M(t). 3. and schedule a departure to occur at time t + Sn . • When the head-of-schedule event is the kth arrival is at time t. – If M(t) = c. – If M(t) < c. admit the arrival. The system evolves via a sequence of discrete events. In particular. we cannot generate these vectors all at once. With the introduction of call blocking. 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. Quiz 10.13.120 100 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 know the system state cannot change until the next scheduled event. do not schedule a departure event. The logic of such a simulation is 1. 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. Delete the head-of-schedule event and go to step 2. reduce the system state n by 1. Otherwise. namely arrivals and departures. • If the head of schedule event is a departure. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled.

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. The complete program is shown in Figure 5.0057. plot(t. In this case. event(i)=1 if the ith scheduled event is an arrival. 65 . we use the vector t as the set of time instances at which we inspect the system state. 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. 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. or event(i)=-1 if the ith scheduled event is a departure.t). In our simulation. Thus for all times t(i) between the current head-of-schedule event and the next. One reason our simulation underestimates the blocking probability is that in a 5. we will learn that the exact blocking probability is given by Equation (12. 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. [m. the discrete event simulation is widely-used and often very efficient simulation method. we can calculate that the exact blocking probability is Pb = 0. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here. (1) Pb = a+b In Chapter 12.1:5000. Thus this would account for only part of the disparity. When the program is passed a vector t.0048 and 0.m).000 minutes. we set m(i) to the current switch state.93).Thus we know that M(t) will stay the same until then. The rest of the gap between 0.0048.” From the Erlang-B formula.b]=simblockswitch(10. In M ATLAB.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. a kind of Markov chain. for very complicated systems. We can estimate the probability a call is blocked as b ˆ = 0. Nevertheless. we will learn that the blocking switch is an example of an M/M/c/c queue. a result known as the “Erlang-B formula. In most programming languages.a. Note that in Chapter 12. The 5. 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. A sample path of the first 100 minutes of that simulation is shown in Figure 4. However.1. generated a simulation lasting 5.000 minute simulation.0. The following instructions t=0:0. this says that roughly the first two percent of the simulation time was unusual.120.

%total # admits M=zeros(size(t)).blocks)). while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n.admits.1). n=n+1... eventnow=event(1).3d Admits %10d Blocks %10d’. immed departure disp(sprintf(’Time %10. blocks=0. time=[time(b4depart) depart time(˜b4depart)]. % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam. % next arrival b4arrival=time<arrival. depart=timenow+exponentialrv(mu.admits. % # in system time=[ exponentialrv(lam. event=[event(b4depart) -1 event(˜b4depart)]. b4depart=time<depart.1) ]. end elseif (eventnow==-1) %departure n=n-1. if n<c %call admitted admits=admits+1.blocks]=simblockswitch(lam.13. else blocks=blocks+1. timenow. tmax=max(t). event=[event(b4arrival) 1 event(˜b4arrival)]. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10. %first event is an arrival timenow=0.c. time=[time(b4arrival) arrival time(˜b4arrival)].mu.1). event(1)=[ ]. 66 . %one more block. %total # blocks admits=0. timenow=time(1). event=[ 1 ].t).. time(1)= [ ]. n=0.function [M.

2.Quiz Solutions – Chapter 11 Quiz 11. 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. we can deduce that RY (τ ) = 1 e−|τ | by symmetry. 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. 67 . RY (τ ) = Hence.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. 1 RY (τ ) = e−|τ | 2 Quiz 11. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).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. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. Just to be safe though.1 By Theorem 11. For τ < 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 11.3 By Theorem 11.2 −0. Thus E[Y] = 0.5.1 0. Moreover.x 10 8 0.1 0 τ 0. or by directly applying Theorem 5. 4 0 0 1 1 1 1 (2) (3) In this case.7. the identity matrix.13 with µX = 0 and A = H.5. by Theorem 11. Quiz 11.4 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 and ⎡ ⎤ 1 1 1 1 0 0 1 H = ⎣0 1 1 1 1 0⎦ . (1) Despite the fact that R X [k] is an impulse. which equals the correlation matrix RY since Y has zero expected value.8. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process. Since R X [n] = δn . RX = I.6 SX(f) 0. 68 .5 to find the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j]. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.2 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. Fo find the PDF of the Gaussian vector Y. One way to find the RY is to observe that RY has the Toeplitz structure of Theorem 11. we obtain RY = HRX H . following Theorem 11. we need to find the covariance matrix CY .6 and to use Theorem 11.

9 h = R−1 RXn X n+1 = Xn 0.1 R X [1] R X [0] 0.1 0.1 0. L 69 .13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .9 for the case of k = 1 and M = 2. 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⎦ .81 X n−1 R X [2] = . 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 . In this case.9 1.81 81 = .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. X n+1 = Xn 0. Y Quiz 11. (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). X n+1 = 400 400 (4) to find the mean square error. one approach is to follow the method of Example 11. 0. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ .1 1 0.9 1. the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y . C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus.9 R X [0] R X [1] = 0.4 This quiz is solved using Theorem 11.9 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.

graphs of S X ( f ) and R X (τ ) appear in Figure 6. Since X n+1 = h Xn .This method is workable for this simple problem but becomes increasingly tedious for higher order filters. Instead. Consulting Table 11. 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 9.5 (1) By Theorem 11. Quiz 11. 70 . 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 ).13(b). X = X n+1 and ← − ˆ a = h .81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.1 − = = 0.3487. the mean square error is 1 506 ← − 0. 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. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .1.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9.1. we can derive the mean square error for an arbitary prediction ← − ˆ filter h. 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 . 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. (13) L 0.7 by using the orthoginality property of the LMSE estimator. In any case.7 with Y = Xn .

R X Y (t. a0 Consulting with the Fourier transforms in Table 11.17.8 We solve this quiz using Theorem 11.1. 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). then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus.6 In a sampled system. (2) Quiz 11. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 .7 Since Y (t) = X (t − t0 ). That is. From Table 11. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . First we need some preliminary facts. where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the filter time constant. H( f ) = (1) Theorem 11.Quiz 11. (This quiz is really lame!) Quiz 11.17. 71 (5) 2a0 a1 . R X [n] = 10δ[n]. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . if R X [n] = 10δ[n].1. Let a0 = 5. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) . 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. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ).1. τ ) = R X Y (τ ) = R X (τ − t0 ). the discrete time impulse δ[n] has a flat discrete Fourier transform. From Table 11.17.

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 . the output signal has almost as much power as the input. 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. Using partial fractions and the Fourier transform table.1. 2 2 2a0 2a1 K0 K1 + 2 . 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 11.000 rad/sec.000 rad/sec and the signal X (t) has most of its its signal energy below 5. we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . In particular. Since the RC filter has a 3dB bandwidth of 10. 2 K1 = . some algebra will show that SY ( f ) = where K0 = Thus. 72 . a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1.Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. 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 ). the latter method is actually less algebra. (12) The average power of the Y (t) process is RY (0) = a1 2 = .

SY X ( f ) = S X ( f ).9 This quiz implements an example of Equations (11.146) and (11. (1) Now we can go on to the quiz. Comment: Since the text omitted the derivations of Equations (11. R N (0) = Var[N ] = 1. we note that Example 10. Taking Fourier transforms. (1) Since µ N = 0. decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B.1 that SX ( f ) = 1 f rect . (2) RY X (τ ) = R X (τ ). 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 . at peace with the derivations. (2) Since R X (τ ) = sinc(2W τ ). (6) 73 . This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B).000 Hz. we see from Table 11. The ˆ solution to this quiz is just to find the filter H ( f ) using Equation (11.146) and (11. 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 . where W = 5. Because the noise process N (t) has constant power R N (0) = 1.147) for a system in which we filter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). it follows that SY ( f ) = S X ( f ) + S N ( f ).24 showed that RY (τ ) = R X (τ ) + R N (τ ).146).146) and to calculate the mean square error e L ∗ using Equation (11.147). (5) From Equation (11.Quiz 11.147).

1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. L Although this completes the solution to the quiz.147). As B is decreased. 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. Finally. As B shrinks.16 Hz. we need to whether B ≤ W . Thus as ˆ B descreases. In L particular. 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. From Equation (11. (8) To evaluate the MSE e∗ .10 It is fairly straightforward to find S X (φ) and SY (φ). When B ≤ W . we note that we can choose B very large and also achieve MSE e∗ = 0. S N ( f ) = 1/2B over frequencies | f | < W . Two examples of the filter H ( f ) are shown in Figure 7. The noise power is always Var[N ] = 1 Watt. the filter suppresses less of the signal of X (t). 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. The result is that the MSE goes down. Since the problem asks us to L find the largest possible B.ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the filter H ( f ).05 requires B ≤ 5. what is happening may not be obvious. In this case. B ≥ 9. the PSD S N ( f ) becomes increasingly tall.000.5 × 104 guarantees 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. ˆ the Wiener filter H ( f ) is an ideal (flat) lowpass filter ⎧ 1 ⎨ 104 | f | < 5. for all values of B. but only over a bandwidth B that is decreasing.05. We can go back and consider the case B > W later. let’s suppose B ≤ W . Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. L Quiz 11.000 B (9) To obtain MSE e∗ ≤ 0. The following M ATLAB program generates and plots the functions shown in Figure 8 74 . when B > W = 5000. The Wiener filter removes the noise that is outside the band of the desired signal.000/19 = 263. the filter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B.

SY2 and SY10 in mquiz11 should all be realvalued vectors. h10=0. figure. As an aside. xlabel(’n’).ylabel(’S_{Y_2}(n/N)’). SX=fftc(rx. the low pass moving average filter for M = 10 removes the high frquency components and results in a filter output that varies very slowly. H10=fft(h10.*((abs(H10)).N).* ((abs(H2)). %impulse/filter response: M=2 SY2=SX. when M = 10. they tend to confuse the stem function.abs(SY10)). %PSD of Y for M=2 xlabel(’n’).ˆ2). stem(0:N-1. the finite numerical precision of M ATLAB results in tiny imaginary parts.abs(SY2)). H2=fft(h2.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener filter for Quiz 11. Relative to M = 2.ylabel(’S_{Y_{10}}(n/N)’). In the context of Example 11.10). %mquiz11.26. 75 . %autocorrelation and PSD stem(0:N-1.1 H(f) 0. the filter H (φ) filters out almost all of the high frequency components of X (t).1*ones(1.m N=32. xlabel(’n’). rx=[2 4 2]. Although these imaginary parts have no computational significance. However.ˆ2). h2=0.N). figure. we generate stem plots of the magnitude of each power spectral density. note that the vectors SX.ylabel(’S_X(n/N)’). stem(0:N-1.5 0 H(f) −5000 −2000 0 f 2000 5000 1 0.abs(sx)).9.5*[1 1].N). %impulse/filter response: M=10 SY10=sx. Hence.

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

2 From the problem statement.4 0.99 0.2 0.01 0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.4)n ⎣ 0 (4) −0.5 0.9 (1) Since each X n must be either 0 or 1.6 0.1 The system has two states depending on whether the previous packet was received in error.5 1 −0.2 0.90 (3) Quiz 12.2 0.2⎦ + (0. From the problem statement.6 0.2 Quiz 12.6 0.6 0.01 0 0.5 0 0.6 0.99 P X n+1 = 1|X n = 1 = 0. we can conclude that P X n+1 = 1|X n = 0 = 0.6 P = ⎣0. the ith row of S.4 0.2⎦ 1 0 1 0 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.2 0.1 1 P= 0.5 0 −0.6 0.01 0.9 P X n+1 = 0|X n = 1 = 0.6 0.10 0.99 0.6 0.5 0.5 −0. the Markov chain and the transition matrix are ⎡ ⎤ 0.4 0 0 λ3 0.4 0.6 0 0.5 1 (3) where si .6 0.2 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 . is the left eigenvector of P satisfying si P = λi si .4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.Quiz Solutions – Chapter 12 Quiz 12. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.6 −0.4 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.2 −0.2 0.

.. Once the system enters a state in C1 . C1 is a recurrent class. 5.5 At any time t. 1} C2 = {2.1) = 1 It follows that the limiting state probabilities are π0 = 5/6.9 0. 2. 1 … 78 .n = P [K > n|K > n − 1] = Pn−1. Similarly.. the states in C2 are transient. Once the system exits C2 .9 0. .0.1 + 0. Quiz 12. On the other hand. The states in C2 have period 2. This implies π0 + π1 + π2 = π0 (1 + 0.1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . the states in C3 are recurrent. The state transition probabilities are Pn−1. .1π0 and π2 = π1 .1 0 1 1 1 ⎡ ⎤ 0. the states in C2 are never reentered. 1.0 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 . (3) (2) The states in C1 and C3 are aperiodic. Thus the states in C1 are recurrent. That is. Quiz 12. the class C1 is never left. 3} C3 = {4.4 The communicating classes are C1 = {0. 6} (1) π1 = 1/12. π2 = 1/12. the system of equations π = π P yields π1 = 0.. the state n can take on the values 0.

the system is in state 0. 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] . When the counter expires. 2. we obtain π0 ∞ P[K > k] = 1. Thus the period of state 0 is d = 2. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. n=0 > k] = E[K ]. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. (2) To find the stationary probabilities. . 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. Quiz 12.5. π1 = π0 P [K = 2] + π2 . we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. From Equation (4). . This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. Since we spend one unit of time in each state. The system state is the time until the counter expires.The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 .11. including state 0. From Problem 2.6 (1) By inspection. 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) . and we randomly reset the counter to a new value K = k and then we count down k units of time. . (6) This suggests that πk = π0 P[K > k]. the number of transitions need to return to state 0 is always a multiple of 2. we have k − 1 units of time left after the state 0 counter reset. . πk−1 = π0 P [K = k] + πk . . . If we have a random variable W such that the PMF of W satisfies PW (n) = πn .

(3/4) 1 . we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1. The only difference is the modified transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1. we can use Theorem 12.22. To determine whether state 0 is recurrent.7 The Markov chain has the same structure as that in Example 12.14 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.(1/2) a 1 1 . Lastly. It follows from the first and second equations that π2 = (5/3)π0 and π3 = 2π0 . which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α .(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0. (1) Thus the CDF of T00 satisfies FT00 (n) = 1− P[T00 > n] = 1−1/n α . 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.(2/3) a 1 .Solving the second and third equations for π2 and π3 yields π2 = 4π1 − π0 π3 = (4/3)π2 − (1/3)π1 = 5π1 − (4/3)π0 (5) Substituting π3 back into the first equation yields π0 = (3/4)π1 + (1/4)π3 = (3/4)π1 + (5/4)π1 − (1/3)π0 (6) This implies π1 = (2/3)π0 . nα (2) 80 .

Thus state 0 is recurrent for all α > 0. (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. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. we need to calculate E[T00 ]. Quiz 12. then all states are transient. we did this by deriving the PMF PT00 (n). 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞. all states are 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 . nα (3) For 0 < α ≤ 1. In this problem.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . In Example 12.5.24. Applying this result. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 . On the other hand. ∞ 1 E [T00 ] = 2 + . it will be simpler to use the result of Problem 2. the Markov chain is positive recurrent. Since the chain has only one communicating class. for α > 1. ( We also note that if α = 0.) To determine whether the chain is null recurrent or positive recurrent.

(1 − p)q (1) (2) Since Equation (2) holds for i = 0. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. . 1. 014. .01 p1 = 2 p0 + 3 p2 5. 1. . This implies πi+1 = p πi . . . . . we note that (1 − p)q is the probability that no new customer arrives. 1. 2. 620 p0 1.1 per msec and the rate to state 0 is the sum of those two rates.. the limiting state probabilities do not exist. ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. 1−α (4) Thus for α < 1. .01 p2 = 2 p1 + 3 p3 3. 381 (1) . for α ≥ 1 or. (5) In addition.9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3.In the above chain. . we obtain the following useful equations for the stationary distribution. p ≥ q/(1 − q). .}. From the Markov chain. i} and S = {i + 1. i + 2. 5.01 1 3 0.01 0. By applying Theorem 12.1 since the task completes at rate 3 per msec and the processor reboots at rate 0. p3 in terms of p2 and so on. we have that πi = π0 α i where p . i = 0. πi p = πi+1 (1 − p)q. . . equivalently.01 0. the limiting state probabilities are πi = (1 − α)α i . we have that for α < 1. we see that for any state i ≥ 0. .01 p3 = 2 p2 + 3 p4 5.13 with state space partitioned between S = {0. α= (1 − p)q Requiring the state probabilities to sum to 1. Quiz 12.01 2 3 3 3 4 Note that q10 = 3. an existing customer gets one unit of service and then departs the store.01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 .

2. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 . . 2. 443. . the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. .Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. . . . . 401 and the stationary probabilities are p0 = 0.2573 p2 = 0. . 381/2. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. 014. . . . . . c (ρ/c) pn−1 n = c + 1.1015 p4 = 0.1606 p3 = 0. c + 2. c n−c c p0 (ρ/c) ρ /c! 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. .0655 Quiz 12.4151 p1 = 0. c + 2.

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