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Probability and Stochastic Processes 2E, By Roy D. Yates , David J. Goodman|Views: 910|Likes: 8

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- 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

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

SECOND EDITION

MATLAB Function Reference

Roy D. Yates and David J. Goodman

May 22, 2004

This document is a supplemental reference for MATLAB functions described in the text Prob-

ability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers.

This document should be accompanied by matcode.zip, an archive of the corresponding MAT-

LAB .m ﬁles. Here are some points to keep in mind in using these functions.

• The actual programs can be found in the archive matcode.zip or in a directory matcode.

To use the functions, you will need to use the MATLAB command addpath to add this

directory to the path that MATLAB searches for executable .m ﬁles.

• The matcode archive has both general purpose programs for solving probability problems

as well as speciﬁc .m ﬁles associated with examples or quizzes in the text. This manual

describes only the general purpose .m ﬁles in matcode.zip. Other programs in the archive

are described in main text or in the Quiz Solution Manual.

• The MATLAB functions described here are intended as a supplement the text. The code is

not fully commented. Many comments and explanations relating to the code appear in the

text, the Quiz Solution Manual (available on the web) or in the Problem Solution Manual

(available on the web for instructors).

• The code is instructional. The focus is on MATLAB programming techniques to solve prob-

ability problems and to simulate experiments. The code is deﬁnitely not bulletproof; for

example, input range checking is generally neglected.

• This is a work in progress. At the moment (May, 2004), the homework solution manual has

a number of unsolved homework problems. As these solutions require the development of

additional MATLAB functions, these functions will be added to this reference manual.

• 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, revisions both to this document and the collection of MATLAB func-

tions will be posted.

1

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Functions for Random Variables

bernoullipmf y=bernoullipmf(p,x)

function pv=bernoullipmf(p,x)

%For Bernoulli (p) rv X

%input = vector x

%output = vector pv

%such that pv(i)=Prob(X=x(i))

pv=(1-p)*(x==0) + p*(x==1);

pv=pv(:);

Input: p is the success probability of a Bernoulli

random variable X, x is a vector of possible

sample values

Output: y is a vector with y(i) = P

X

(x(i)).

bernoullicdf y=bernoullicdf(p,x)

function cdf=bernoullicdf(p,x)

%Usage: cdf=bernoullicdf(p,x)

% For Bernoulli (p) rv X,

%given input vector x, output is

%vector pv such that pv(i)=Prob[X<=x(i)]

x=floor(x(:));

allx=0:1;

allcdf=cumsum(bernoullipmf(p,allx));

okx=(x>=0); %x_i < 1 are bad values

x=(okx.*x); %set bad x_i=0

cdf= okx.*allcdf(x); %zeroes out bad x_i

Input: p is the success probability of

a Bernoulli random variable X,

x is a vector of possible sample

values

Output: y is a vector with y(i) =

F

X

(x(i)).

bernoullirv x=bernoullirv(p,m)

function x=bernoullirv(p,m)

%return m samples of bernoulli (p) rv

r=rand(m,1);

x=(r>=(1-p));

Input: p is the success probability of a

Bernoulli random variable X, m is

a positive integer vector of possible

sample values

Output: x is a vector of m independent

sample values of X

2

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bignomialpmf y=bignomialpmf(n,p,x)

function pmf=bignomialpmf(n,p,x)

%binomial(n,p) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

k=(0:n-1)’;

a=log((p/(1-p))*((n-k)./(k+1)));

L0=n*log(1-p);

L=[L0; L0+cumsum(a)];

pb=exp(L);

% pb=[P[X=0] ... P[X=n]]ˆt

x=x(:);

okx =(x>=0).*(x<=n).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

Input: n and p are the parameters of

a binomial (n, p) random vari-

able X, x is a vector of possible

sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

Comment: This function should al-

ways produce the same output

as binomialpmf(n,p,x);

however, the function calcu-

lates the logarithmof the proba-

bility and thismay lead to small

numerical innaccuracy.

binomialcdf y=binomialcdf(n,p,x)

function cdf=binomialcdf(n,p,x)

%Usage: cdf=binomialcdf(n,p,x)

%For binomial(n,p) rv X,

%and input vector x, output is

%vector cdf: cdf(i)=P[X<=x(i)]

x=floor(x(:)); %for noninteger x(i)

allx=0:max(x);

%calculate cdf from 0 to max(x)

allcdf=cumsum(binomialpmf(n,p,allx));

okx=(x>=0); %x(i) < 0 are zero-prob values

x=(okx.*x); %set zero-prob x(i)=0

cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)

Input: n and p are the pa-

rameters of a bino-

mial (n, p) random

variable X, x is a vec-

tor of possible sample

values

Output: y is a vector with

y(i) = F

X

(x(i)).

3

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

binomialpmf y=binomialpmf(n,p,x)

function pmf=binomialpmf(n,p,x)

%binomial(n,p) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

if p<0.5

pp=p;

else

pp=1-p;

end

i=0:n-1;

ip= ((n-i)./(i+1))*(pp/(1-pp));

pb=((1-pp)ˆn)*cumprod([1 ip]);

if pp < p

pb=fliplr(pb);

end

pb=pb(:); % pb=[P[X=0] ... P[X=n]]ˆt

x=x(:);

okx =(x>=0).*(x<=n).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

Input: n and p are the parameters of

a binomial (n, p) random vari-

able X, x is a vector of possible

sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

binomialrv x=binomialrv(n,p,m)

function x=binomialrv(n,p,m)

% m binomial(n,p) samples

r=rand(m,1);

cdf=binomialcdf(n,p,0:n);

x=count(cdf,r);

Input: n and p are the parameters of a binomial ran-

dom variable X, m is a positive integer

Output: x is a vector of m independent samples of

random variable X

bivariategausspdf

function f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)

%Usage: f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)

%Evaluate the bivariate Gaussian (muX,muY,sigmaX,sigmaY,rho) PDF

nx=(x-muX)/sigmaX;

ny=(y-muY)/sigmaY;

f=exp(-((nx.ˆ2) +(ny.ˆ2) - (2*rho*nx.*ny))/(2*(1-rhoˆ2)));

f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2));

Input: Scalar parameters muX,muY,sigmaX,sigmaY,rho of the bivariate Gaussian PDF, scalars

x and y.

Output: f the value of the bivariate Gaussian PDF at x,y.

4

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

duniformcdf y=duniformcdf(k,l,x)

function cdf=duniformcdf(k,l,x)

%Usage: cdf=duniformcdf(k,l,x)

% For discrete uniform (k,l) rv X

% and input vector x, output is

% vector cdf: cdf(i)=Prob[X<=x(i)]

x=floor(x(:)); %for noninteger x_i

allx=k:max(x);

%allcdf = cdf values from 0 to max(x)

allcdf=cumsum(duniformpmf(k,l,allx));

%x_i < k are zero prob values

okx=(x>=k);

%set zero prob x(i)=k

x=((1-okx)*k)+(okx.*x);

%x(i)=0 for zero prob x(i)

cdf= okx.*allcdf(x-k+1);

Input: k and l are the parameters of

a discrete uniform (k, l) random

variable X, x is a vector of pos-

sible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

duniformpmf y=duniformpmf(k,l,x)

function pmf=duniformpmf(k,l,x)

%discrete uniform(k,l) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

pmf= (x>=k).*(x<=l).*(x==floor(x));

pmf=pmf(:)/(l-k+1);

Input: k and l are the parameters

of a discrete uniform (k, l) ran-

dom variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

duniformrv x=duniformrv(k,l,m)

function x=duniformrv(k,l,m)

%returns m samples of a discrete

%uniform (k,l) random variable

r=rand(m,1);

cdf=duniformcdf(k,l,k:l);

x=k+count(cdf,r);

Input: k and l are the parameters of a discrete

uniform (k, l) random variable X, m is a

positive integer

Output: x is a vector of m independent samples

of random variable X

5

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

erlangb pb=erlangb(rho,c)

function pb=erlangb(rho,c);

%Usage: pb=erlangb(rho,c)

%returns the Erlang-B blocking

%probability for sn M/M/c/c

%queue with load rho

pn=exp(-rho)*poissonpmf(rho,0:c);

pb=pn(c+1)/sum(pn);

Input: Offered load rho (ρ = λ/µ), and

the number of servers c of an M/M/c/c

queue.

Output: pb, the blocking probability of the

queue

erlangcdf y=erlangcdf(n,lambda,x)

function F=erlangcdf(n,lambda,x)

F=1.0-poissoncdf(lambda*x,n-1);

Input: n and lambda are the parameters of an

Erlang random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

).

erlangpdf y=erlangpdf(n,lambda,x)

function f=erlangpdf(n,lambda,x)

f=((lambdaˆn)/factorial(n))...

*(x.ˆ(n-1)).*exp(-lambda*x);

Input: n and lambda are the parameters of an

Erlang random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

) =

λ

n

x

n−1

i

e

−λx

i

/(n − 1)!.

erlangrv x=erlangrv(n,lambda,m)

function x=erlangrv(n,lambda,m)

y=exponentialrv(lambda,m*n);

x=sum(reshape(y,m,n),2);

Input: n and lambda are the parameters of an

Erlang random variable X, integer m

Output: Length m vector x such that each x

i

is a

sample of X

exponentialcdf y=exponentialcdf(lambda,x)

function F=exponentialcdf(lambda,x)

F=1.0-exp(-lambda*x);

Input: lambda is the parameter of an ex-

ponential random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

) =

1 − e

−λx

i

.

6

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

exponentialpdf y=exponentialpdf(lambda,x)

function f=exponentialpdf(lambda,x)

f=lambda*exp(-lambda*x);

f=f.*(x>=0);

Input: lambda is the parameter of an ex-

ponential random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

) =

λe

−λx

i

.

exponentialrv x=exponentialrv(lambda,m)

function x=exponentialrv(lambda,m)

x=-(1/lambda)*log(1-rand(m,1));

Input: lambda is the parameter of an expo-

nential random variable X, integer m

Output: Length m vector x such that each x

i

is a sample of X

finitecdf y=finitecdf(sx,p,x)

function cdf=finitecdf(s,p,x)

% finite random variable X:

% vector sx of sample space

% elements {sx(1),sx(2), ...}

% vector px of probabilities

% px(i)=P[X=sx(i)]

% Output is the vector

% cdf: cdf(i)=P[X=x(i)]

cdf=[];

for i=1:length(x)

pxi= sum(p(find(s<=x(i))));

cdf=[cdf; pxi];

end

Input: sx is the range of a ﬁnite random variable

X, px is the corresponding probability as-

signment, x is a vector of possible sample

values

Output: y is a vector with y(i) = F

X

(x(i)).

finitecoeff rho=finitecoeff(SX,SY,PXY)

function rho=finitecoeff(SX,SY,PXY);

%Usage: rho=finitecoeff(SX,SY,PXY)

%Calculate the correlation coefficient rho of

%finite random variables X and Y

ex=finiteexp(SX,PXY); vx=finitevar(SX,PXY);

ey=finiteexp(SY,PXY); vy=finitevar(SY,PXY);

R=finiteexp(SX.*SY,PXY);

rho=(R-ex*ey)/sqrt(vx*vy);

Input: Grids SX, SY and

probability grid PXY de-

scribing the ﬁnite ran-

dom variables X and Y.

Output: rho, the correlation

coefﬁcient of X and Y

7

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

finitecov covxy=finitecov(SX,SY,PXY)

function covxy=finitecov(SX,SY,PXY);

%Usage: cxy=finitecov(SX,SY,PXY)

%returns the covariance of

%finite random variables X and Y

%given by grids SX, SY, and PXY

ex=finiteexp(SX,PXY);

ey=finiteexp(SY,PXY);

R=finiteexp(SX.*SY,PXY);

covxy=R-ex*ey;

Input: Grids SX, SY and probability grid

PXY describing the ﬁnite random

variables X and Y.

Output: covxy, the covariance of X and

Y.

finiteexp ex=finiteexp(sx,px)

function ex=finiteexp(sx,px);

%Usage: ex=finiteexp(sx,px)

%returns the expected value E[X]

%of finite random variable X described

%by samples sx and probabilities px

ex=sum((sx(:)).*(px(:)));

Input: Probability vector px, vector

of samples sx describing random

variable X.

Output: ex, the expected value E[X].

finitepmf y=finitepmf(sx,p,x)

function pmf=finitepmf(sx,px,x)

% finite random variable X:

% vector sx of sample space

% elements {sx(1),sx(2), ...}

% vector px of probabilities

% px(i)=P[X=sx(i)]

% Output is the vector

% pmf: pmf(i)=P[X=x(i)]

pmf=zeros(size(x(:)));

for i=1:length(x)

pmf(i)= sum(px(find(sx==x(i))));

end

Input: sx is the range of a ﬁnite random

variable X, px is the corresponding

probability assignment, x is a vector

of possible sample values

Output: y is a vector with y(i) =

P[X = x(i)].

finiterv x=finiterv(sx,p,m)

function x=finiterv(s,p,m)

% returns m samples

% of finite (s,p) rv

%s=s(:);p=p(:);

r=rand(m,1);

cdf=cumsum(p);

x=s(1+count(cdf,r));

Input: sx is the range of a ﬁnite random variable X, p

is the corresponding probability assignment, m is

positive integer

Output: x is a vector of m sample values y(i) =

F

X

(x(i)).

8

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finitevar v=finitevar(sx,px)

function v=finitevar(sx,px);

%Usage: ex=finitevar(sx,px)

% returns the variance Var[X]

% of finite random variables X described by

% samples sx and probabilities px

ex2=finiteexp(sx.ˆ2,px);

ex=finiteexp(sx,px);

v=ex2-(exˆ2);

Input: Probability vector px

and vector of samples

sx describing random

variable X.

Output: v, the variance

Var[X].

gausscdf y=gausscdf(mu,sigma,x)

function f=gausscdf(mu,sigma,x)

f=phi((x-mu)/sigma);

Input: mu and sigma are the parameters of an

Guassian random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

) =

((x

i

− µ)/σ).

gausspdf y=gausspdf(mu,sigma,x)

function f=gausspdf(mu,sigma,x)

f=exp(-(x-mu).ˆ2/(2*sigmaˆ2))/...

sqrt(2*pi*sigmaˆ2);

Input: mu and sigma are the parameters of an

Guassian random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

).

gaussrv x=gaussrv(mu,sigma,m)

function x=gaussrv(mu,sigma,m)

x=mu +(sigma*randn(m,1));

Input: mu and sigma are the parameters of an

Gaussian random variable X, integer m

Output: Length m vector x such that each x

i

is a

sample of X

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gaussvector x=gaussvector(mu,C,m)

function x=gaussvector(mu,C,m)

%output: m Gaussian vectors,

%each with mean mu

%and covariance matrix C

if (min(size(C))==1)

C=toeplitz(C);

end

n=size(C,2);

if (length(mu)==1)

mu=mu*ones(n,1);

end

[U,D,V]=svd(C);

x=V*(Dˆ(0.5))*randn(n,m)...

+(mu(:)*ones(1,m));

Input: For a Gaussian (µ

X

, C

X

) random vector X,

gaussvector can be called in two ways:

• C is the n × n covariance matrix, mu is

either a length n vector, or a length 1

scalar, m is an integer.

• C is the length n vector equal to the ﬁrst

row of a symmetric Toeplitz covariance

matrix C

X

, mu is either a length n vec-

tor, or a length 1 scalar, m is an integer.

If mu is a length n vector, then mu is the ex-

pected value vector; otherwise, each element

of X is assumed to have mean mu.

Output: n × m matrix x such that each column

x(:,i) is a sample vector of X

gaussvectorpdf f=gaussvector(mu,C,x)

function f=gaussvectorpdf(mu,C,x)

n=length(x);

z=x(:)-mu(:);

f=exp(-z’*inv(C)*z)/...

sqrt((2*pi)ˆn*det(C));

Input: For a Gaussian (µ

X

, C

X

) random vec-

tor X, mu is a length n vector, C is the

n × n covariance matrix, x is a length n

vector.

Output: f is the Gaussian vector PDF f

X

(x)

evaluated at x.

geometriccdf y=geometriccdf(p,x)

function cdf=geometriccdf(p,x)

% for geometric(p) rv X,

%For input vector x, output is vector

%cdf such that cdf_i=Prob(X<=x_i)

x=(x(:)>=1).*floor(x(:));

cdf=1-((1-p).ˆx);

Input: p is the parameter of a geometric

random variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

10

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

geometricpmf y=geometricpmf(p,x)

function pmf=geometricpmf(p,x)

%geometric(p) rv X

%out: pmf(i)=Prob[X=x(i)]

x=x(:);

pmf= p*((1-p).ˆ(x-1));

pmf= (x>0).*(x==floor(x)).*pmf;

Input: p is the parameter of a geometric random

variable X, x is a vector of possible sample

values

Output: y is a vector with y(i) = P

X

(x(i)).

geometricrv x=geometricrv(p,m)

function x=geometricrv(p,m)

%Usage: x=geometricrv(p,m)

% returns m samples of a geometric (p) rv

r=rand(m,1);

x=ceil(log(1-r)/log(1-p));

Input: p is the parameters of a

geometric random variable

X, m is a positive integer

Output: x is a vector of m inde-

pendent samples of random

variable X

icdfrv x=icdfrv(@icdf,m)

function x=icdfrv(icdfhandle,m)

%Usage: x=icdfrv(@icdf,m)

%returns m samples of rv X

%with inverse CDF icdf.m

u=rand(m,1);

x=feval(icdfhandle,u);

Input: @icdfrv is a “handle” (a kind of pointer)

to a MATLAB function icdf.m that is

MATLAB’s representation of an inverse

CDF F

−1

X

(x) of a random variable X, inte-

ger m

Output: Length m vector x such that each x

i

is a

sample of X

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pascalcdf y=pascalcdf(k,p,x)

function cdf=pascalcdf(k,p,x)

%Usage: cdf=pascalcdf(k,p,x)

%For a pascal (k,p) rv X

%and input vector x, the output

%is a vector cdf such that

% cdf(i)=Prob[X<=x(i)]

x=floor(x(:)); % for noninteger x(i)

allx=k:max(x);

%allcdf holds all needed cdf values

allcdf=cumsum(pascalpmf(k,p,allx));

%x_i < k have zero-prob,

% other values are OK

okx=(x>=k);

%set zero-prob x(i)=k,

%just so indexing is not fouled up

x=(okx.*x) +((1-okx)*k);

cdf= okx.*allcdf(x-k+1);

Input: k and p are the parameters of a Pas-

cal (k, p) random variable X, x is a

vector of possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

pascalpmf y=pascalpmf(k,p,x)

function pmf=pascalpmf(k,p,x)

%For Pascal (k,p) rv X, and

%input vector x, output is a

%vector pmf: pmf(i)=Prob[X=x(i)]

x=x(:);

n=max(x);

i=(k:n-1)’;

ip= [1 ;(1-p)*(i./(i+1-k))];

%pb=all n-k+1 pascal probs

pb=(pˆk)*cumprod(ip);

okx=(x==floor(x)).*(x>=k);

%set bad x(i)=k to stop bad indexing

x=(okx.*x) + k*(1-okx);

% pmf(i)=0 unless x(i) >= k

pmf=okx.*pb(x-k+1);

Input: k and p are the parameters of a Pas-

cal (k, p) random variable X, x is a

vector of possible sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

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pascalrv x=pascalrv(k,p,m)

function x=pascalrv(k,p,m)

% return m samples of pascal(k,p) rv

r=rand(m,1);

rmax=max(r);

xmin=k;

xmax=ceil(2*(k/p)); %set max range

sx=xmin:xmax;

cdf=pascalcdf(k,p,sx);

while cdf(length(cdf)) <=rmax

xmax=2*xmax;

sx=xmin:xmax;

cdf=pascalcdf(k,p,sx);

end

x=xmin+countless(cdf,r);

Input: k and p are the parameters of a Pas-

cal random variable X, m is a posi-

tive integer

Output: x is a vector of m independent

samples of random variable X

phi y=phi(x)

function y=phi(x)

sq2=sqrt(2);

y= 0.5 + 0.5*erf(x/sq2);

Input: Vector x

Output: Vector y such that y(i) = (x(i)).

poissoncdf y=poissoncdf(alpha,x)

function cdf=poissoncdf(alpha,x)

%output cdf(i)=Prob[X<=x(i)]

x=floor(x(:));

sx=0:max(x);

cdf=cumsum(poissonpmf(alpha,sx));

%cdf from 0 to max(x)

okx=(x>=0);%x(i)<0 -> cdf=0

x=(okx.*x);%set negative x(i)=0

cdf= okx.*cdf(x+1);

%cdf=0 for x(i)<0

Input: alpha is the parameter of a Poisson

(α) random variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

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poissonpmf y=poissonpmf(alpha,x)

function pmf=poissonpmf(alpha,x)

%Poisson (alpha) rv X,

%out=vector pmf: pmf(i)=P[X=x(i)]

x=x(:);

k=(1:max(x))’;

logfacts =cumsum(log(k));

pb=exp([-alpha; ...

-alpha+ (k*log(alpha))-logfacts]);

okx=(x>=0).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

%pmf(i)=0 for zero-prob x(i)

Input: alpha is the parameter of a

Poisson (α) random variable X, x

is a vector of possible sample val-

ues

Output: y is a vector with y(i) =

P

X

(x(i)).

poissonrv x=poissonrv(alpha,m)

function x=poissonrv(alpha,m)

%return m samples of poisson(alpha) rv X

r=rand(m,1);

rmax=max(r);

xmin=0;

xmax=ceil(2*alpha); %set max range

sx=xmin:xmax;

cdf=poissoncdf(alpha,sx);

%while ( sum(cdf <=rmax) ==(xmax-xmin+1) )

while cdf(length(cdf)) <=rmax

xmax=2*xmax;

sx=xmin:xmax;

cdf=poissoncdf(alpha,sx);

end

x=xmin+countless(cdf,r);

Input: alpha is the parameter of

a Poisson (α) random vari-

able X, m is a positive inte-

ger

Output: x is a vector of m inde-

pendent samples of random

variable X

uniformcdf y=uniformcdf(a,b,x)

function F=uniformcdf(a,b,x)

%Usage: F=uniformcdf(a,b,x)

%returns the CDF of a continuous

%uniform rv evaluated at x

F=x.*((x>=a) & (x<b))/(b-a);

F=f+1.0*(x>=b);

Input: a and ( b) are parameters for continuous

uniform random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

)

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uniformpdf y=uniformpdf(a,b,x)

function f=uniformpdf(a,b,x)

%Usage: f=uniformpdf(a,b,x)

%returns the PDF of a continuous

%uniform rv evaluated at x

f=((x>=a) & (x<b))/(b-a);

Input: a and ( b) are parameters for continuous

uniform random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

)

uniformrv x=uniformrv(a,b,m)

function x=uniformrv(a,b,m)

%Usage: x=uniformrv(a,b,m)

%Returns m samples of a

%uniform (a,b) random varible

x=a+(b-a)*rand(m,1);

Input: a and ( b) are parameters for continuous uni-

form random variable X, positive integer m

Output: m element vector x such that each x(i) is

a sample of X.

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Functions for Stochastic Processes

brownian w=brownian(alpha,t)

function w=brownian(alpha,t)

%Brownian motion process

%sampled at t(1)<t(2)< ...

t=t(:);

n=length(t);

delta=t-[0;t(1:n-1)];

x=sqrt(alpha*delta).*gaussrv(0,1,n);

w=cumsum(x);

Input: t is a vector holding an ordered se-

quence of inspection times, alpha

is the scaling constant of a Brownian

motion process such that the i th in-

crement has variance α(t

i

− t

i −1

).

Output: w is a vector such that w(i) is

the position at time t(i) of the par-

ticle in Brownian motion.

cmcprob pv=cmcprob(Q,p0,t)

function pv = cmcprob(Q,p0,t)

%Q has zero diagonal rates

%initial state probabilities p0

K=size(Q,1)-1; %max no. state

%check for integer p0

if (length(p0)==1)

p0=((0:K)==p0);

end

R=Q-diag(sum(Q,2));

pv= (p0(:)’*expm(R*t))’;

Input: n × n state transition matrix Q for a

continuous-time ﬁnite Markov chain, length

n vector p0 denoting the initial state proba-

bilities, nonengative scalar t

Output: Length n vector pv such that pv(t) is

the state probability vector at time t of the

Markov chain

Comment: If p0 is a scalar integer, then the sim-

ulation starts in state p0

cmcstatprob pv=cmcstatprob(Q)

function pv = cmcstatprob(Q)

%Q has zero diagonal rates

R=Q-diag(sum(Q,2));

n=size(Q,1);

R(:,1)=ones(n,1);

pv=([1 zeros(1,n-1)]*Rˆ(-1))’;

Input: State transition matrix Q for a continuous-

time ﬁnite Markov chain

Output: pv is the stationary probability vector for

the continuous-time Markov chain

dmcstatprob pv=dmcstatprob(P)

function pv = dmcstatprob(P)

n=size(P,1);

A=(eye(n)-P);

A(:,1)=ones(n,1);

pv=([1 zeros(1,n-1)]*Aˆ(-1))’;

Input: n × n stochastic matrix P representing

a discrete-time aperiodic irreducible ﬁnite

Markov chain

Output: pv is the stationary probability vector.

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poissonarrivals s=poissonarrivals(lambda,T)

function s=poissonarrivals(lambda,T)

%arrival times s=[s(1) ... s(n)]

% s(n)<= T < s(n+1)

n=ceil(1.1*lambda*T);

s=cumsum(exponentialrv(lambda,n));

while (s(length(s))< T),

s_new=s(length(s))+ ...

cumsum(exponentialrv(lambda,n));

s=[s; s_new];

end

s=s(s<=T);

Input: lambda is the arrival rate of a

Poisson process, T marks the end of

an observation interval [0, T].

Output: s=[s(1), ..., s(n)]’ is

a vector such that s(i) is i th arrival

time. Note that length n is a Poisson

random variable with expected value

λT.

Comment: This code is pretty stupid.

There are decidedly better ways to

create a set of arrival times; see Prob-

lem 10.13.5.

poissonprocess N=poissonprocess(lambda,t)

function N=poissonprocess(lambda,t)

%input: rate lambda>0, vector t

%For a sample function of a

%Poisson process of rate lambda,

%N(i) = no. of arrivals by t(i)

s=poissonarrivals(lambda,max(t));

N=count(s,t);

Input: lambda is the arrival rate of a Pois-

son process, t is a vector of “inspec-

tion times’.’

Output: N is a vector such that N(i) is the

number of arrival by inspection time

t(i).

simcmc ST=simcmc(Q,p0,T)

function ST=simcmc(Q,p0,T);

K=size(Q,1)-1; max no. state

%calc average trans. rate

ps=cmcstatprob(Q);

v=sum(Q,2); R=ps’*v;

n=ceil(0.6*T/R);

ST=simcmcstep(Q,p0,2*n);

while (sum(ST(:,2))<T),

s=ST(size(ST,1),1);

p00=Q(1+s,:)/v(1+s);

S=simcmcstep(Q,p00,n);

ST=[ST;S];

end

n=1+sum(cumsum(ST(:,2))<T);

ST=ST(1:n,:);

%truncate last holding time

ST(n,2)=T-sum(ST(1:n-1,2));

Input: state transition matrix Q for a continuous-time

ﬁnite Markov chain, vector p0 denoting the ini-

tial state probabilities, integer n

Output: A simulation of the Markov chain system

over the time interval [0, T]: The output is an

n × 2 matrix ST such that the ﬁrst column

ST(:,1) is the sequence of system states and

the second column ST(:,2) is the amount of

time spent in each state. That is, ST(i,2) is

the amount of time the system spends in state

ST(i,1).

Comment: If p0 is a scalar integer, then the simula-

tion starts in state p0. Note that n, the number

of state occupancy periods, is random.

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simcmcstep S=simcmcstep(Q,p0,n)

function S=simcmcstep(Q,p0,n);

%S=simcmcstep(Q,p0,n)

% Simulate n steps of a cts

% Markov Chain, rate matrix Q,

% init. state probabilities p0

K=size(Q,1)-1; %max no. state

S=zeros(n+1,2);%init allocation

%check for integer p0

if (length(p0)==1)

p0=((0:K)==p0);

end

v=sum(Q,2); %state dep. rates

t=1./v;

P=diag(t)*Q;

S(:,1)=simdmc(P,p0,n);

S(:,2)=t(1+S(:,1)) ...

.*exponentialrv(1,n+1);

Input: State transition matrix Q for a continuous-

time ﬁnite Markov chain, vector p0 denot-

ing the initial state probabilities, integer n

Output: A simulation of n steps of the

continuous-time Markov chain system:

The output is an n × 2 matrix ST such that

the ﬁrst column ST(:,1) is the length n

sequence of system states and the second

column ST(:,2) is the amount of time

spent in each state. That is, ST(i,2) is

the amount of time the system spends in

state ST(i,1).

Comment: If p0 is a scalar integer, then the sim-

ulation starts in state p0. This program is

the basis for simcmc.

simdmc x=simdmc(P,p0,n)

function x=simdmc(P,p0,n)

K=size(P,1)-1; %highest no. state

sx=0:K; %state space

x=zeros(n+1,1); %initialization

if (length(p0)==1) %convert integer p0 to prob vector

p0=((0:K)==p0);

end

x(1)=finiterv(sx,p0,1); %x(m)= state at time m-1

for m=1:n,

x(m+1)=finiterv(sx,P(x(m)+1,:),1);

end

Input: n×n stochastic matrix P which is the state transition matrix of a discrete-time ﬁnite Markov

chain, length n vector p0 denoting the initial state probabilities, integer n.

Output: A simulation of the Markov chain system such that for the length n vector x, x(m) is the

state at time m-1 of the Markov chain.

Comment: If p0 is a scalar integer, then the simulation starts in state p0

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Random Utilities

count n=count(x,y)

function n=count(x,y)

%Usage n=count(x,y)

%n(i)= # elements of x <= y(i)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX<=MY),1))’;

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x less than or equal to y(i).

countequal n=countequal(x,y)

function n=countequal(x,y)

%Usage: n=countequal(x,y)

%n(j)= # elements of x = y(j)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX==MY),1))’;

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x equal to y(i).

countless n=countless(x,y)

function n=countless(x,y)

%Usage: n=countless(x,y)

%n(i)= # elements of x < y(i)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX<MY),1))’;

Input:

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x strictly less than y(i).

dftmat F=dftmat(N)

function F = dftmat(N);

Usage: F=dftmat(N)

%F is the N by N DFT matrix

n=(0:N-1)’;

F=exp((-1.0j)*2*pi*(n*(n’))/N);

Input: Integer N.

Output: F is the N by N discrete Fourier trans-

form matrix

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freqxy fxy=freqxy(xy,SX,SY)

function fxy = freqxy(xy,SX,SY)

%Usage: fxy = freqxy(xy,SX,SY)

%xy is an m x 2 matrix:

%xy(i,:)= ith sample pair X,Y

%Output fxy is a K x 3 matrix:

% [fxy(k,1) fxy(k,2)]

% = kth unique pair [x y] and

% fxy(k,3)= corresp. rel. freq.

%extend xy to include a sample

%for all possible (X,Y) pairs:

xy=[xy; SX(:) SY(:)];

[U,I,J]=unique(xy,’rows’);

N=hist(J,1:max(J))-1;

N=N/sum(N);

fxy=[U N(:)];

%reorder fxy rows to match

%rows of [SX(:) SY(:) PXY(:)]:

fxy=sortrows(fxy,[2 1 3]);

Input: For random variables X and Y, xy is

an m × 2 matrix holding a list of sample

values pairs; yy(i,:) is the i th sample

pair (X, Y). Grids SX and SY represent-

ing the sample space.

Output: fxy is a K × 3 matrix. In each row

[fxy(k,1) fxy(k,2) fxy(k,3)]

[fxy(k,1) fxy(k,2)] is a unique

(X, Y) pair with relative frequency

fxy(k,3).

Comment: Given the grids SX, SY and the

probability grid PXY, a list of random

sample value pairs xy can be simulated

by the commands

S=[SX(:) SY(:)];

xy=finiterv(S,PXY(:),m);

The output fxy is ordered so that the

rows match the ordering of rows in the

matrix

[SX(:) SY(:) PXY(:)].

fftc S=fftc(r,N); S=fftc(r)

function S=fftc(varargin);

%DFT for a signal r

%centered at the origin

%Usage:

% fftc(r,N): N point DFT of r

% fftc(r): length(r) DFT of r

r=varargin{1};

L=1+floor(length(r)/2);

if (nargin>1)

N=varargin{2}(1);

else

N=(2*L)-1;

end

R=fft(r,N);

n=reshape(0:(N-1),size(R));

phase=2*pi*(n/N)*(L-1);

S=R.*exp((1.0j)*phase);

Input: Vector r=[r(1) ... r(2k+1)]

holding the time sequence r

−k

, . . . , r

0

, . . . , r

k

centered around the origin.

Output: S is the DFT of r

Comment: Supports the same calling conventions

as fft.

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pmfplot pmfplot(sx,px,’x’,’y axis text’)

function h=pmfplot(sx,px,xls,yls)

%Usage: pmfplot(sx,px,xls,yls)

%sx and px are vectors, px is the PMF

%xls and yls are x and y label strings

nonzero=find(px);

sx=sx(nonzero); px=px(nonzero);

sx=(sx(:))’; px=(px(:))’;

XM = [sx; sx];

PM=[zeros(size(px)); px];

h=plot(XM,PM,’-k’);

set(h,’LineWidth’,3);

if (nargin==4)

xlabel(xls);

ylabel(yls,’VerticalAlignment’,’Bottom’);

end

xmin=min(sx); xmax=max(sx);

xborder=0.05*(xmax-xmin);

xmax=xmax+xborder;

xmin=xmin-xborder;

ymax=1.1*max(px);

axis([xmin xmax 0 ymax]);

Input: Sample space vector sx

and PMF vector px for ﬁ-

nite random variable PXY,

optional text strings xls

and yls

Output: A plot of the PMF

P

X

(x) in the bar style used

in the text.

rect y=rect(x)

function y=rect(x);

%Usage:y=rect(x);

y=1.0*(abs(x)<0.5);

Input: Vector x

Output: Vector y such that

y

i

= rect(x

i

) =

1 |x

i

| < 0.5

0 otherwise

sinc y=sinc(x)

function y=sinc(x);

xx=x+(x==0);

y=sin(pi*xx)./(pi*xx);

y=((1.0-(x==0)).*y)+ (1.0*(x==0));

Input: Vector x

Output: Vector y such that

y

i

= sinc(x

i

) =

sin(πx

i

)

πx

i

Comment: The code is ugly because it makes

sure to produce the right limit value at

x

i

= 0.

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simplot simplot(S,xlabel,ylabel)

function h=simplot(S,xls,yls);

%h=simplot(S,xlabel,ylabel)

% Plots the output of a simulated state sequence

% If S is N by 1, a discrete time chain is assumed

% with visit times of one unit.

% If S is an N by 2 matrix, a cts time Markov chain

% is assumed where

% S(:,1) = state sequence.

% S(:,2) = state visit times.

% The cumulative sum

% of visit times are transition instances.

% h is a handle to a stairs plot of the state sequence

% vs state transition times

%in case of discrete time simulation

if (size(S,2)==1)

S=[S ones(size(S))];

end

Y=[S(:,1) ; S(size(S,1),1)];

X=cumsum([0 ; S(:,2)]);

h=stairs(X,Y);

if (nargin==3)

xlabel(xls);

ylabel(yls,’VerticalAlignment’,’Bottom’);

end

Input: The simulated state sequence vector S generated by S=simdmc(P,p0,n) or the n × 2

state/time matrix ST generated by either

ST=simcmc(Q,p0,T)

or

ST=simcmcstep(Q,p0,n).

Output: A “stairs” plot showing the sequence of simulation states over time.

Comment: If S is just a state sequence vector, then each stair has equal width. If S is n × 2

state/time matrix ST, then the width of the stair is proportional to the time spent in that state.

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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.

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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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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(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

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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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(2) P[Y ≤ 1] = F

Y

(1) = 0.6

(3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − F

Y

(2) = 1 −0.8 = 0.2

(4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − F

Y

(2

−

) = 1 −0.6 = 0.4

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

Y

(1

+

) − F

Y

(1

−

) = 0.6

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

Y

(3

+

) − F

Y

(3

−

) = 0.8 −0.8 = 0

Quiz 2.5

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

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

P

C

(c) =

⎧

⎨

⎩

0.7 c = 25

0.3 c = 40

0 otherwise

(1)

(2) The expected value of C is

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

Quiz 2.6

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

T = 25N +40(3 − N) = 120 −15N (1)

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

¨

¨

¨

¨

¨

¨

¨

N=0

0.1

r

r

r

r

r

r

r

N=3

0.3

$

$

$

$

$

$

$N=1 0.3

N=2 0.3

•T=120

•T=105

•T=90

•T=75

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

P

T

(t ) =

⎧

⎨

⎩

0.3 t = 75, 90, 105

0.1 t = 120

0 otherwise

(2)

From the PMF P

T

(t ), the expected value of T is

E [T] = 75P

T

(75) +90P

T

(90) +105P

T

(105) +120P

T

(120) (3)

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

10

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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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

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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.

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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)

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(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

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(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

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(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

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(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

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(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

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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)

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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)

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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)

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(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(2) Let F

X

(x) denote the CDF of both X

1

and X

2

. The CDF of Z = max(X

1

, X

2

)

is found by observing that Z ≤ z iff X

1

≤ z and X

2

≤ z. That is,

P [Z ≤ z] = P [X

1

≤ z, X

2

≤ z] (4)

= P [X

1

≤ z] P [X

2

≤ z] = [F

X

(z)]

2

(5)

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

i

. From the PDF

f

X

(x), the CDF is

F

X

(x) =

_

x

−∞

f

X

(y) dy =

⎧

⎨

⎩

0 x < 0

x − x

2

/4 0 ≤ x ≤ 2

1 x > 2

(6)

Thus for 0 ≤ z ≤ 2,

F

Z

(z) = (z − z

2

/4)

2

(7)

The complete expression for the CDF of Z is

F

Z

(z) =

⎧

⎨

⎩

0 z < 0

(z − z

2

/4)

2

0 ≤ z ≤ 2

1 z > 1

(8)

Quiz 4.11

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

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

µ

1

= µ

X

= 0, µ

2

= µ

Y

= 0, (1)

and that

σ

1

= σ

X

= 1, σ

2

= σ

Y

= 1. (2)

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

f

X,Y

(x, y) =

1

√

3π

2

e

−2(x

2

−xy+y

2

)/3

. (3)

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

Y = y are

E [X|Y = y] = y/2 ˜ σ

X

= σ

2

1

(1 −ρ

2

) =

_

3/4. (4)

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

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

f

X|Y

(x|2) =

1

√

3π/2

e

−2(x−1)

2

/3

. (5)

31

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 6.3

The MGF of K is

φ

K

(s) = E

_

e

s K

_

==

4

k=0

(0.2)e

sk

= 0.2

_

1 +e

s

+e

2s

+e

3s

+e

4s

_

(1)

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

K

(s) is

dφ

K

(s)

ds

= 0.2(e

s

+2e

2s

+3e

3s

+4e

4s

) (2)

Evaluating the derivative at s = 0 yields

E [K] =

dφ

K

(s)

ds

¸

¸

¸

¸

s=0

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

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

E

_

K

2

_

=

d

2

φ

K

(s)

ds

2

¸

¸

¸

¸

s=0

= 0.2(e

s

+4e

2s

+9e

3s

+16e

4s

)

¸

¸

¸

s=0

= 6 (4)

E

_

K

3

_

=

d

3

φ

K

(s)

ds

3

¸

¸

¸

¸

s=0

= 0.2(e

s

+8e

2s

+27e

3s

+64e

4s

)

¸

¸

¸

s=0

= 20 (5)

E

_

K

4

_

=

d

4

φ

K

(s)

ds

4

¸

¸

¸

¸

s=0

= 0.2(e

s

+16e

2s

+81e

3s

+256e

4s

)

¸

¸

¸

s=0

= 70.8 (6)

(7)

Quiz 6.4

(A) Each K

i

has MGF

φ

K

(s) = E

_

e

s K

i

_

=

e

s

+e

2s

+· · · +e

ns

n

=

e

s

(1 −e

ns

)

n(1 −e

s

)

(1)

Since the sequence of K

i

is independent, Theorem 6.8 says the MGF of J is

φ

J

(s) = (φ

K

(s))

m

=

e

ms

(1 −e

ns

)

m

n

m

(1 −e

s

)

m

(2)

(B) Since the set of α

j

X

j

are independent Gaussian random variables, Theorem 6.10

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

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

the sum of the expectations:

E [W] = αE [X

1

] +α

2

E [X

2

] +· · · +α

n

E [X

n

] = 0 (3)

41

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 8.3

For the QPSK system, a symbol error occurs when s

i

is transmitted but (X

1

, X

2

) ∈ A

j

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

decision. Given H

0

, the conditional probability of a correct decision is

P [C|H

0

] = P [X

1

> 0, X

2

> 0|H

0

] = P

_

√

E/2 + N

1

> 0,

√

E/2 + N

2

> 0

_

(1)

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

0

] = P[C|H

i

] for all i . This implies the

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

0

]. Since N

1

and N

2

are iid Gaussian

(0, σ) random variables, we have

P [C] = P [C|H

0

] = P

_

√

E/2 + N

1

> 0

_

P

_

√

E/2 + N

2

> 0

_

(2)

=

_

P

_

N

1

> −

√

E/2

__

2

(3)

=

_

1 −

_

−

√

E/2

σ

__

2

(4)

Since (−x) = 1 − (x), we have P[C] =

2

(

_

E/2σ

2

). Equivalently, the probability

of error is

P

ERR

= 1 − P [C] = 1 −

2

_

_

E

2σ

2

_

(5)

Quiz 8.4

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

probability P

MISS

= P

01

and the false alarm probability P

FA

= P

10

. The modiﬁed pro-

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

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

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

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

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

%square law distortion recvr

%P(error) for m bits tested

%transmit v volts or -v volts,

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

%add d(v+N)ˆ2 distortion

%receive 1 if x>T, otherwise 0

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

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

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

P01=sum((XX+d*(XX.ˆ2)< TT),1)/m;

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

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

P10=sum((XX+d*(XX.ˆ2)>TT),1)/m;

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

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

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

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

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

FM=[FM1 FM2 FM5];

loglog(FM1(:,1),FM1(:,2),’-k’, ...

FM2(:,1),FM2(:,2),’--k’, ...

FM5(:,1),FM5(:,2),’:k’);

legend(’\it d=0.1’,’\it d=0.2’,...

’\it d=0.3’,3)

ylabel(’P_{MISS}’);

xlabel(’P_{FA}’);

51

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 9.2

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

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

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

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

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

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

_

T

2

_

+ E [T X] (3)

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

0 and E[T

2

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

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

ρ

T,R

=

Cov [T, R]

√

Var[R] Var[T]

=

σ

T

σ

R

=

√

3/2 (4)

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

ˆ

T

L

(R) = ρ

T,R

σ

T

σ

R

(R − E [R]) + E [T] (5)

Since E[R] = E[T] = 0 and ρ

T,R

= σ

T

/σ

R

,

ˆ

T

L

(R) =

σ

2

T

σ

2

R

R =

σ

2

T

σ

2

T

+σ

2

X

R =

3

4

R (6)

Hence a

∗

= 3/4 and b

∗

= 0.

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

e

∗

L

= Var[T](1 −ρ

2

T,R

) = 9(1 −3/4) = 9/4 (7)

Quiz 9.3

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

10

r is Gaussian with expected

value −40 −40 log

10

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

f

X|R

(x|r) =

1

√

128π

e

−(x+40+40 log

10

r)

2

/128

(1)

54

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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

found has the binomial PMF

P

N(t )

(n) =

_ _

t

n

_

p

n

(1 − p)

t −n

n = 0, 1, . . . , t

0 otherwise

(3)

(3) First we will ﬁnd the PMF of T

1

. This problem is easy if we view each resistor test

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

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

1

= t if we observe failures on

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

T

1

has the geometric PMF

P

T

1

(t ) =

_

(1 − p)

t −1

p t = 1, 2, . . .

9 otherwise

(4)

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

P

T

1

(5) = (0.8)

4

(0.2) = 0.08192.

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

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

1

] = 1/p = 5.

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

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

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

2

= T

1

+ T

where T

**is independent and identically distributed to T
**

1

. Thus

E [T

2

|T

1

= 10] = E [T

1

|T

1

= 10] + E

_

T

|T

1

= 10

_

(5)

= 10 + E

_

T

_

= 10 +5 = 15 (6)

Quiz 10.4

Since each X

i

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

i

has PDF

f

X(i )

(x) =

1

√

2π

e

−x

2

/2

(1)

By Theorem 10.1, the joint PDF of X =

_

X

1

· · · X

n

_

is

f

X

(x) = f

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

(x

1

, . . . , x

n

) =

k

i =1

f

X

(x

i

) =

1

(2π)

n/2

e

−(x

2

1

+···+x

2

n

)/2

(2)

60

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 10.8

First we ﬁnd the expected value

µ

Y

(t ) = µ

X

(t ) +µ

N

(t ) = µ

X

(t ). (1)

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

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

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

)] = 0. Since R

Y

(t, τ) =

E[Y(t )Y(t +τ)], we have

R

Y

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

= E [X(t )X(t +τ)] + E [X(t )N(t +τ)]

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

= R

X

(t, τ) + R

N

(t, τ). (4)

Quiz 10.9

From Deﬁnition 10.14, X

1

, X

2

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

time instants n

1

, . . . , n

m

and time offset k,

f

X

n

1

,...,X

n

m

(x

1

, . . . , x

m

) = f

X

n

1

+k

,...,X

n

m

+k

(x

1

, . . . , x

m

) (1)

Since the random sequence is iid,

f

X

n

1

,...,X

n

m

(x

1

, . . . , x

m

) = f

X

(x

1

) f

X

(x

2

) · · · f

X

(x

m

) (2)

Similarly, for time instants n

1

+k, . . . , n

m

+k,

f

X

n

1

+k

,...,X

n

m

+k

(x

1

, . . . , x

m

) = f

X

(x

1

) f

X

(x

2

) · · · f

X

(x

m

) (3)

We can conclude that the iid random sequence is stationary.

Quiz 10.10

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

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

(1) R

1

(τ) = e

−|τ|

meets all three conditions and thus is valid.

(2) R

2

(τ) = e

−τ

2

also is valid.

(3) R

3

(τ) = e

−τ

cos τ is not valid because

R

3

(−2π) = e

2π

cos 2π = e

2π

> 1 = R

3

(0) (2)

(4) R

4

(τ) = e

−τ

2

sin τ also cannot be an autocorrelation function because

R

4

(π/2) = e

−π/2

sin π/2 = e

−π/2

> 0 = R

4

(0) (3)

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Quiz 10.11

(1) The autocorrelation of Y(t ) is

R

Y

(t, τ) = E [Y(t )Y(t +τ)] (1)

= E [X(−t )X(−t −τ)] (2)

= R

X

(−t −(−t −τ)) = R

X

(τ) (3)

Since E[Y(t )] = E[X(−t )] = µ

X

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

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

see the same second order statistics.

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

they are jointly wide sense stationary by seeing if R

XY

(t, τ) is just a function of τ.

In this case,

R

XY

(t, τ) = E [X(t )Y(t +τ)] (4)

= E [X(t )X(−t −τ)] (5)

= R

X

(t −(−t −τ)) = R

X

(2t +τ) (6)

Since R

XY

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

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

X

(τ) = e

−|τ|

so that

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

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

Quiz 10.12

From the problem statement,

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

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

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

The Gaussian random vector X =

_

X(t ) X(t +1)

_

**has covariance matrix and corre-
**

sponding inverse

C

X

=

_

1 1/2

1/2 1

_

C

−1

X

=

4

3

_

1 −1/2

−1/2 1

_

(4)

Since

x

C

−1

X

x =

_

x

0

x

1

_

4

3

_

1 −1/2

−1/2 1

_ _

x

0

x

1

_

=

4

3

_

x

2

0

− x

0

x

+

x

2

1

_

(5)

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

f

X(t ),X(t +1)

(x

0

, x

1

) =

1

(2π)

n/2

[det (C

X

)]

1/2

exp

_

−

1

2

x

C

−1

X

x

_

(6)

=

1

√

3π

2

e

−

2

3

_

x

2

0

−x

0

x

1

+x

2

1

_

(7)

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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.

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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.

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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.

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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.

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−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.

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Thus

C

Y

= R

Y

= HH

=

1

16

⎡

⎣

4 3 2

3 4 3

2 3 4

⎤

⎦

. (4)

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

C

−1

Y

= 16

⎡

⎣

7/12 −1/2 1/12

−1/2 1 −1/2

1/12 −1/2 7/12

⎤

⎦

. (5)

Thus, the PDF of Y is

f

Y

(y) =

1

(2π)

3/2

[det (C

Y

)]

1/2

exp

_

−

1

2

y

C

−1

Y

y

_

. (6)

A disagreeable amount of algebra will show det(C

Y

) = 3/1024 and that the PDF can be

“simpliﬁed” to

f

Y

(y) =

16

√

6π

3

exp

_

−8

_

7

12

y

2

33

+ y

2

34

+

7

12

y

2

35

− y

33

y

34

+

1

6

y

33

y

35

− y

34

y

35

__

. (7)

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

is that y

C

−1

Y

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

Y

(y).

Quiz 11.4

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

X

n

=

_

X

n−1

X

n

_

and

R

X

n

=

_

R

X

[0] R

X

[1]

R

X

[1] R

X

[0]

_

=

_

1.1 0.9

0.9 1.1

_

(1)

and

R

X

n

X

n+1

= E

__

X

n−1

X

n

_

X

n+1

_

=

_

R

X

[2]

R

X

[1]

_

=

_

0.81

0.9

_

. (2)

The MMSE linear ﬁrst order ﬁlter for predicting X

n+1

at time n is the ﬁlter h such that

←−

h = R

−1

X

n

R

X

n

X

n+1

=

_

1.1 0.9

0.9 1.1

_

−1

_

0.81

0.9

_

=

1

400

_

81

261

_

. (3)

It follows that the ﬁlter is h =

_

261/400 81/400

_

**and the MMSE linear predictor is
**

ˆ

X

n+1

=

81

400

X

n−1

+

261

400

X

n

. (4)

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

to directly calculate

e

∗

L

= E

_

(X

n+1

−

ˆ

X

n+1

)

2

_

. (5)

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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.

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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)

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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.

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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)

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(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

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−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.

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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.

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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

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2

0 1

0.9

0.1

1

1

P =

⎡

⎣

0.9 0.1 0

0 0 1

1 0 0

⎤

⎦

(1)

With π =

_

π

0

π

1

π

2

_

, the system of equations π

= π

P yields π

1

= 0.1π

0

and

π

2

= π

1

. This implies

π

0

+π

1

+π

2

= π

0

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

It follows that the limiting state probabilities are

π

0

= 5/6, π

1

= 1/12, π

2

= 1/12. (3)

Quiz 12.4

The communicating classes are

C

1

= {0, 1} C

2

= {2, 3} C

3

= {4, 5, 6} (1)

The states in C

1

and C

3

are aperiodic. The states in C

2

have period 2. Once the system

enters a state in C

1

, the class C

1

is never left. Thus the states in C

1

are recurrent. That

is, C

1

is a recurrent class. Similarly, the states in C

3

are recurrent. On the other hand, the

states in C

2

are transient. Once the system exits C

2

, the states in C

2

are never reentered.

Quiz 12.5

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

bilities are

P

n−1,n

= P [K > n|K > n −1] =

P [K > n]

P [K > n −1]

(1)

P

n−1,0

= P [K = n|K > n −1] =

P [K = n]

P [K > n −1]

(2)

(3)

The Markov chain resembles

0 1

P K=2 [ ]

P K= [ 1]

3 4

P K=4 [ ]

2

P K=3 [ ]

P K=5 [ ]

1 1 1 1 1

… ...

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The stationary probabilities satisfy

π

0

= π

0

P [K = 1] +π

1

, (4)

π

1

= π

0

P [K = 2] +π

2

, (5)

.

.

.

π

k−1

= π

0

P [K = k] +π

k

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

From Equation (4), we obtain

π

1

= π

0

(1 − P [K = 1]) = π

0

P [K > 1] (7)

Similarly, Equation (5) implies

π

2

= π

1

−π

0

P [K = 2] = π

0

(P [K > 1] − P [K = 2]) = π

0

P [K > 2] (8)

This suggests that π

k

= π

0

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

k

=

π

0

P[K > k] satisﬁes Equation (6):

π

0

P [K > k −1] = π

0

P [K = k] +π

0

P [K > k] . (9)

When we apply

∞

k=0

π

k

= 1, we obtain π

0

∞

n=0

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

we recall that

∞

k=0

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

π

n

=

P [K > n]

E [K]

(10)

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

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

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

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

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

P

W

(n) = π

n

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

a time in the distant future.

Quiz 12.6

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

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

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

3

i =0

π

i

= 1:

π

0

= (3/4)π

1

+(1/4)π

3

(1)

π

1

= (1/4)π

0

+(1/4)π

2

(2)

π

2

= (1/4)π

1

+(3/4)π

3

(3)

1 = π

0

+π

1

+π

2

+π

3

(4)

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Solving the second and third equations for π

2

and π

3

yields

π

2

= 4π

1

−π

0

π

3

= (4/3)π

2

−(1/3)π

1

= 5π

1

−(4/3)π

0

(5)

Substituting π

3

back into the ﬁrst equation yields

π

0

= (3/4)π

1

+(1/4)π

3

= (3/4)π

1

+(5/4)π

1

−(1/3)π

0

(6)

This implies π

1

= (2/3)π

0

. It follows from the ﬁrst and second equations that

π

2

= (5/3)π

0

and π

3

= 2π

0

. Lastly, we choose π

0

so the state probabilities sum to

1:

1 = π

0

+π

1

+π

2

+π

3

= π

0

_

1 +

2

3

+

5

3

+2

_

=

16

3

π

0

(7)

It follows that the state probabilities are

π

0

=

3

16

π

1

=

2

16

π

2

=

5

16

π

3

=

6

16

(8)

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

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

lim

n→∞

P

00

(nd) = dπ

0

=

3

8

(9)

Quiz 12.7

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

is the modiﬁed transition rates:

0 1

1

3 4

( ) 2/3

a

1 - ( ) 2/3

a

( ) 3/4

a

1 - 3/4 ( )

a

( ) 4/5

a

1 - 4/5 ( )

a

2

( ) 1/2

a

1- 1/2 ( )

a

…

The event T

00

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

occurs with probability

P [T

00

> n] = 1 ×

_

1

2

_

α

×

_

2

3

_

α

×· · · ×

_

n −1

n

_

α

=

_

1

n

_

α

. (1)

Thus the CDF of T

00

satisﬁes F

T

00

(n) = 1−P[T

00

> n] = 1−1/n

α

. To determine whether

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

P [V

00

] = lim

n→∞

F

T

00

(n) = lim

n→∞

1 −

1

n

α

= 1. (2)

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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

××× ×××

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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)

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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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

**Functions for Random Variables
**

bernoullipmf y=bernoullipmf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).

function pv=bernoullipmf(p,x) %For Bernoulli (p) rv X %input = vector x %output = vector pv %such that pv(i)=Prob(X=x(i)) pv=(1-p)*(x==0) + p*(x==1); pv=pv(:);

bernoullicdf

y=bernoullicdf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=bernoullicdf(p,x) %Usage: cdf=bernoullicdf(p,x) % For Bernoulli (p) rv X, %given input vector x, output is %vector pv such that pv(i)=Prob[X<=x(i)] x=floor(x(:)); allx=0:1; allcdf=cumsum(bernoullipmf(p,allx)); okx=(x>=0); %x_i < 1 are bad values x=(okx.*x); %set bad x_i=0 cdf= okx.*allcdf(x); %zeroes out bad x_i

bernoullirv

x=bernoullirv(p,m) Input: p is the success probability of a Bernoulli random variable X , m is a positive integer vector of possible sample values Output: x is a vector of m independent sample values of X

function x=bernoullirv(p,m) %return m samples of bernoulli (p) rv r=rand(m,1); x=(r>=(1-p));

2

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

bignomialpmf

y=bignomialpmf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). Comment: This function should always produce the same output as binomialpmf(n,p,x); however, the function calculates the logarithm of the probability and thismay lead to small numerical innaccuracy.

function pmf=bignomialpmf(n,p,x) %binomial(n,p) rv X, %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] k=(0:n-1)’; a=log((p/(1-p))*((n-k)./(k+1))); L0=n*log(1-p); L=[L0; L0+cumsum(a)]; pb=exp(L); % pb=[P[X=0] ... P[X=n]]ˆt x=x(:); okx =(x>=0).*(x<=n).*(x==floor(x)); x=okx.*x; pmf=okx.*pb(x+1);

binomialcdf

y=binomialcdf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=binomialcdf(n,p,x) %Usage: cdf=binomialcdf(n,p,x) %For binomial(n,p) rv X, %and input vector x, output is %vector cdf: cdf(i)=P[X<=x(i)] x=floor(x(:)); %for noninteger x(i) allx=0:max(x); %calculate cdf from 0 to max(x) allcdf=cumsum(binomialpmf(n,p,allx)); okx=(x>=0); %x(i) < 0 are zero-prob values x=(okx.*x); %set zero-prob x(i)=0 cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)

3

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

m is a positive integer Output: x is a vector of m independent samples of random variable X function x=binomialrv(n.r).*x.rho.ˆ2) +(ny.Name:joey iwatsuru Email:joeyiwat@yahoo. x=okx.m) Input: n and p are the parameters of a binomial random variable X .(2*rho*nx.sigmaX.sigmaY.p.sigmaX.rho) PDF nx=(x-muX)/sigmaX.0:n). %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] if p<0.muY. AR.ˆ2) . cdf=binomialcdf(n.muY. bivariategausspdf function f=bivariategausspdf(muX.*(x==floor(x)).p) rv X.*pb(x+1). hot springs..rho. Output: f the value of the bivariate Gaussian PDF at x.sigmaX.sigmaY.m) % m binomial(n. us (United States) Zip Code:71901 . end pb=pb(:).x.x. else pp=1-p. scalars x and y./(i+1))*(pp/(1-pp)).5 pp=p.sigmaX. % pb=[P[X=0] .p.*(x<=n).x) Input: n and p are the parameters of a binomial (n.muY. pb=((1-pp)ˆn)*cumprod([1 ip]).sigmaY.x) %binomial(n. okx =(x>=0).muY.y. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). f=exp(-((nx.p.sigmaY.p) samples r=rand(m. ny=(y-muY)/sigmaY.rho of the bivariate Gaussian PDF. p) random variable X . end i=0:n-1.p. f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2)). Input: Scalar parameters muX. 4 Address:104 pine meadows loop.y) %Evaluate the bivariate Gaussian (muX. if pp < p pb=fliplr(pb).com Phone:5017621195 binomialpmf y=binomialpmf(n.y) %Usage: f=bivariategausspdf(muX.*ny))/(2*(1-rhoˆ2))).p.. x=count(cdf.1). ip= ((n-i). pmf=okx. P[X=n]]ˆt x=x(:). binomialrv x=binomialrv(n. function pmf=binomialpmf(n.

r). %for noninteger x_i allx=k:max(x).l) rv X % and input vector x.x) Input: k and l are the parameters of a discrete uniform (k. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). cdf=duniformcdf(k. us (United States) Zip Code:71901 . AR.l.l.l) rv X. %set zero prob x(i)=k x=((1-okx)*k)+(okx. duniformpmf y=duniformpmf(k.x) %Usage: cdf=duniformcdf(k.allx)).*(x<=l). l) random variable X .Name:joey iwatsuru Email:joeyiwat@yahoo. function pmf=duniformpmf(k. %allcdf = cdf values from 0 to max(x) allcdf=cumsum(duniformpmf(k. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=duniformrv(k.x) Input: k and l are the parameters of a discrete uniform (k. x=k+count(cdf. pmf=pmf(:)/(l-k+1). function cdf=duniformcdf(k.l.l. 5 Address:104 pine meadows loop.l.*(x==floor(x)).m) Input: k and l are the parameters of a discrete uniform (k. l) random variable X .l. %x_i < k are zero prob values okx=(x>=k).k:l). duniformrv x=duniformrv(k. l) random variable X .*allcdf(x-k+1).m) %returns m samples of a discrete %uniform (k. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). %x(i)=0 for zero prob x(i) cdf= okx.com Phone:5017621195 duniformcdf y=duniformcdf(k.*x).1).l) random variable r=rand(m. hot springs.x) % For discrete uniform (k.l. %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] pmf= (x>=k).x) %discrete uniform(k.l. output is % vector cdf: cdf(i)=Prob[X<=x(i)] x=floor(x(:)).l.

function F=erlangcdf(n. the blocking probability of the queue function pb=erlangb(rho.lambda. vector x Output: Vector y such that yi = FX (xi ).x) Input: n and lambda are the parameters of an Erlang random variable X .n-1).x) F=1. erlangcdf y=erlangcdf(n.m) Input: n and lambda are the parameters of an Erlang random variable X . %Usage: pb=erlangb(rho. vector x Output: Vector y such that yi = FX (xi ) = 1 − e−λxi . AR.x) F=1. erlangpdf y=erlangpdf(n.m. 6 Address:104 pine meadows loop.. exponentialcdf y=exponentialcdf(lambda.*exp(-lambda*x).lambda. and the number of servers c of an M/M/c/c queue.ˆ(n-1)).0:c).lambda.com Phone:5017621195 erlangb pb=erlangb(rho. pb=pn(c+1)/sum(pn).n).m*n). vector x Output: Vector y such that yi = f X (xi ) = λn xin−1 e−λxi /(n − 1)!.0-exp(-lambda*x).x) Input: n and lambda are the parameters of an Erlang random variable X . function f=erlangpdf(n. Output: pb.2). *(x.x) Input: lambda is the parameter of an exponential random variable X .c) %returns the Erlang-B blocking %probability for sn M/M/c/c %queue with load rho pn=exp(-rho)*poissonpmf(rho.. hot springs. erlangrv x=erlangrv(n.lambda.x) f=((lambdaˆn)/factorial(n)). us (United States) Zip Code:71901 .0-poissoncdf(lambda*x. integer m Output: Length m vector x such that each xi is a sample of X function x=erlangrv(n. x=sum(reshape(y.Name:joey iwatsuru Email:joeyiwat@yahoo.lambda.lambda.c) Input: Offered load rho (ρ = λ/µ).c).m) y=exponentialrv(lambda. function F=exponentialcdf(lambda.

x) f=lambda*exp(-lambda*x).com Phone:5017621195 exponentialpdf y=exponentialpdf(lambda. rho=(R-ex*ey)/sqrt(vx*vy). exponentialrv x=exponentialrv(lambda.PXY).PXY).PXY). . vx=finitevar(SX.p. vector x Output: Vector y such that yi = f X (xi ) = λe−λxi .sx(2). hot springs. %Usage: rho=finitecoeff(SX. AR.1)).*SY.PXY) Input: Grids SX. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). end finitecoeff rho=finitecoeff(SX.*(x>=0).SY. f=f. function f=exponentialpdf(lambda. for i=1:length(x) pxi= sum(p(find(s<=x(i)))).x) Input: sx is the range of a ﬁnite random variable X .x) Input: lambda is the parameter of an exponential random variable X .p.Name:joey iwatsuru Email:joeyiwat@yahoo.PXY).m) x=-(1/lambda)*log(1-rand(m. SY and probability grid PXY describing the ﬁnite random variables X and Y .. integer m Output: Length m vector x such that each xi is a sample of X function x=exponentialrv(lambda. vy=finitevar(SY. ey=finiteexp(SY. px is the corresponding probability assignment.PXY). the correlation coefﬁcient of X and Y function rho=finitecoeff(SX.m) Input: lambda is the parameter of an exponential random variable X . 7 Address:104 pine meadows loop.SY.PXY).PXY) %Calculate the correlation coefficient rho of %finite random variables X and Y ex=finiteexp(SX. us (United States) Zip Code:71901 .x) % finite random variable X: % vector sx of sample space % elements {sx(1).. function cdf=finitecdf(s.} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % cdf: cdf(i)=P[X=x(i)] cdf=[]. pxi]. Output: rho. cdf=[cdf. finitecdf y=finitecdf(sx. R=finiteexp(SX.SY.

for i=1:length(x) pmf(i)= sum(px(find(sx==x(i)))).px) Input: Probability vector px. function covxy=finitecov(SX. hot springs.x) % finite random variable X: % vector sx of sample space % elements {sx(1).1). p is the corresponding probability assignment.PXY)..*SY. R=finiteexp(SX.p=p(:). finiteexp ex=finiteexp(sx. SY. Output: ex. %Usage: cxy=finitecov(SX. covxy=R-ex*ey.} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % pmf: pmf(i)=P[X=x(i)] pmf=zeros(size(x(:))).px) %returns the expected value E[X] %of finite random variable X described %by samples sx and probabilities px ex=sum((sx(:)).PXY).*(px(:))).PXY) %returns the covariance of %finite random variables X and Y %given by grids SX. .com Phone:5017621195 finitecov covxy=finitecov(SX.PXY). the covariance of X and Y. %Usage: ex=finiteexp(sx.SY.SY. 8 Address:104 pine meadows loop. function pmf=finitepmf(sx. ey=finiteexp(SY. x=s(1+count(cdf. SY and probability grid PXY describing the ﬁnite random variables X and Y .Name:joey iwatsuru Email:joeyiwat@yahoo. AR.SY.p) rv %s=s(:).r)). end finiterv x=finiterv(sx. finitepmf y=finitepmf(sx.p.sx(2).x) Input: sx is the range of a ﬁnite random variable X .m) % returns m samples % of finite (s.px). m is positive integer Output: x is a vector of m sample values y(i) = FX (x(i)). x is a vector of possible sample values Output: y is a vector with y(i) = P[X = x(i)]. and PXY ex=finiteexp(SX.PXY). vector of samples sx describing random variable X . px is the corresponding probability assignment..px. cdf=cumsum(p).p. Output: covxy. function ex=finiteexp(sx.m) Input: sx is the range of a ﬁnite random variable X .PXY) Input: Grids SX.p. the expected value E[X ]. function x=finiterv(s. r=rand(m. us (United States) Zip Code:71901 .

the Var[X ]. function f=gausscdf(mu.m) x=mu +(sigma*randn(m. %Usage: ex=finitevar(sx..px) % returns the variance Var[X] % of finite random variables X described by % samples sx and probabilities px ex2=finiteexp(sx.sigma. gaussrv x=gaussrv(mu. hot springs. gausscdf y=gausscdf(mu.m) Input: mu and sigma are the parameters of an Gaussian random variable X .Name:joey iwatsuru Email:joeyiwat@yahoo. sqrt(2*pi*sigmaˆ2). Output: v.ˆ2/(2*sigmaˆ2))/.sigma.sigma. us (United States) Zip Code:71901 . variance function v=finitevar(sx. gausspdf y=gausspdf(mu. 9 Address:104 pine meadows loop. vector x Output: Vector y such that yi = FX (xi ) = ((xi − µ)/σ ). integer m Output: Length m vector x such that each xi is a sample of X function x=gaussrv(mu.com Phone:5017621195 finitevar v=finitevar(sx.px) Input: Probability vector px and vector of samples sx describing random variable X .sigma.px).x) Input: mu and sigma are the parameters of an Guassian random variable X .sigma.sigma.px).x) f=phi((x-mu)/sigma)..1)). vector x Output: Vector y such that yi = f X (xi ). ex=finiteexp(sx. AR.px).ˆ2.x) Input: mu and sigma are the parameters of an Guassian random variable X .x) f=exp(-(x-mu). function f=gausspdf(mu. v=ex2-(exˆ2).

output is vector %cdf such that cdf_i=Prob(X<=x_i) x=(x(:)>=1). function f=gaussvectorpdf(mu.. x is a length n vector.x) Input: p is the parameter of a geometric random variable X . mu is either a length n vector. or a length 1 scalar.. x=V*(Dˆ(0. sqrt((2*pi)ˆn*det(C)). Output: f is the Gaussian vector PDF f X (x) evaluated at x.m). mu is either a length n vector. If mu is a length n vector.. 10 Address:104 pine meadows loop.i) is a sample vector of X function x=gaussvector(mu.m) %output: m Gaussian vectors. AR. us (United States) Zip Code:71901 . function cdf=geometriccdf(p.1).C. end [U. mu is a length n vector.. +(mu(:)*ones(1.Name:joey iwatsuru Email:joeyiwat@yahoo. otherwise.x) Input: For a Gaussian (µX .m)). m is an integer.C. • C is the length n vector equal to the ﬁrst row of a symmetric Toeplitz covariance matrix CX . C is the n × n covariance matrix. CX ) random vector X. %For input vector x.C.com Phone:5017621195 gaussvector x=gaussvector(mu. Output: n × m matrix x such that each column x(:.D. f=exp(-z’*inv(C)*z)/.ˆx). gaussvector can be called in two ways: • C is the n × n covariance matrix.2). z=x(:)-mu(:). x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).x) n=length(x).5))*randn(n. gaussvectorpdf f=gaussvector(mu.x) % for geometric(p) rv X. end n=size(C.*floor(x(:)). hot springs. %each with mean mu %and covariance matrix C if (min(size(C))==1) C=toeplitz(C). geometriccdf y=geometriccdf(p.m) Input: For a Gaussian (µX .C. cdf=1-((1-p). m is an integer. if (length(mu)==1) mu=mu*ones(n.V]=svd(C). or a length 1 scalar. then mu is the expected value vector. each element of X is assumed to have mean mu. CX ) random vector X.

integer m Output: Length m vector x such that each xi is a sample of X function x=icdfrv(icdfhandle.m that is M ATLAB’s representation of an inverse −1 CDF FX (x) of a random variable X .m) %Usage: x=icdfrv(@icdf.*(x==floor(x)). function pmf=geometricpmf(p.m) Input: @icdfrv is a “handle” (a kind of pointer) to a M ATLAB function icdf.com Phone:5017621195 geometricpmf y=geometricpmf(p.m) %Usage: x=geometricrv(p.1). AR.x) Input: p is the parameter of a geometric random variable X . x=feval(icdfhandle.Name:joey iwatsuru Email:joeyiwat@yahoo. pmf= p*((1-p).ˆ(x-1)).u).m) % returns m samples of a geometric (p) rv r=rand(m. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). pmf= (x>0). x=ceil(log(1-r)/log(1-p)).m u=rand(m.m) Input: p is the parameters of a geometric random variable X .m) %returns m samples of rv X %with inverse CDF icdf. geometricrv x=geometricrv(p. us (United States) Zip Code:71901 .1). hot springs.x) %geometric(p) rv X %out: pmf(i)=Prob[X=x(i)] x=x(:). m is a positive integer Output: x is a vector of m independent samples of random variable X function x=geometricrv(p. icdfrv x=icdfrv(@icdf.*pmf. 11 Address:104 pine meadows loop.

allx)).p. cdf= okx.p. % other values are OK okx=(x>=k). function pmf=pascalpmf(k.*pb(x-k+1).p) rv X. %set zero-prob x(i)=k.(1-p)*(i./(i+1-k))]. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). %just so indexing is not fouled up x=(okx. 12 Address:104 pine meadows loop.p. us (United States) Zip Code:71901 .p. %set bad x(i)=k to stop bad indexing x=(okx.*(x>=k). AR.*x) + k*(1-okx).x) %Usage: cdf=pascalcdf(k. p) random variable X .x) %For Pascal (k. function cdf=pascalcdf(k. pascalpmf y=pascalpmf(k.*x) +((1-okx)*k).x) %For a pascal (k. %pb=all n-k+1 pascal probs pb=(pˆk)*cumprod(ip). %x_i < k have zero-prob.p) rv X %and input vector x. okx=(x==floor(x)). ip= [1 . %allcdf holds all needed cdf values allcdf=cumsum(pascalpmf(k. and %input vector x.*allcdf(x-k+1).p. n=max(x).com Phone:5017621195 pascalcdf y=pascalcdf(k. i=(k:n-1)’.x) Input: k and p are the parameters of a Pascal (k.p. hot springs. output is a %vector pmf: pmf(i)=Prob[X=x(i)] x=x(:).Name:joey iwatsuru Email:joeyiwat@yahoo. the output %is a vector cdf such that % cdf(i)=Prob[X<=x(i)] x=floor(x(:)). p) random variable X . % pmf(i)=0 unless x(i) >= k pmf=okx.x) Input: k and p are the parameters of a Pascal (k. % for noninteger x(i) allx=k:max(x).

cdf=pascalcdf(k. phi y=phi(x) Input: Vector x Output: Vector y such that y(i) = (x(i)). hot springs.%set negative x(i)=0 cdf= okx. y= 0.sx). cdf=pascalcdf(k.Name:joey iwatsuru Email:joeyiwat@yahoo. %set max range sx=xmin:xmax. while cdf(length(cdf)) <=rmax xmax=2*xmax.p.5 + 0.p. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=pascalrv(k. poissoncdf y=poissoncdf(alpha. %cdf=0 for x(i)<0 13 Address:104 pine meadows loop. end x=xmin+countless(cdf.1).com Phone:5017621195 pascalrv x=pascalrv(k. x is a vector of possible sample values Output: y is a vector with y(i) FX (x(i)). cdf=cumsum(poissonpmf(alpha. %cdf from 0 to max(x) okx=(x>=0). xmax=ceil(2*(k/p)). function y=phi(x) sq2=sqrt(2).x) Input: alpha is the parameter of a Poisson (α) random variable X . rmax=max(r).*x).x) %output cdf(i)=Prob[X<=x(i)] x=floor(x(:)). = function cdf=poissoncdf(alpha.5*erf(x/sq2).*cdf(x+1).p. AR.sx).m) % return m samples of pascal(k.m) Input: k and p are the parameters of a Pascal random variable X .p.sx)).%x(i)<0 -> cdf=0 x=(okx. us (United States) Zip Code:71901 . xmin=k. sx=0:max(x).p) rv r=rand(m. sx=xmin:xmax.r).

m is a positive integer Output: x is a vector of m independent samples of random variable X function x=poissonrv(alpha. uniformcdf y=uniformcdf(a.x) Input: alpha is the parameter of a Poisson (α) random variable X .*(x==floor(x)). cdf=poissoncdf(alpha.b. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).. end x=xmin+countless(cdf.1).b.x) Input: a and ( b) are parameters for continuous uniform random variable X . okx=(x>=0).*pb(x+1). -alpha+ (k*log(alpha))-logfacts]). .m) %return m samples of poisson(alpha) rv X r=rand(m.x) %Poisson (alpha) rv X. %out=vector pmf: pmf(i)=P[X=x(i)] x=x(:).*((x>=a) & (x<b))/(b-a).*x.. F=f+1. us (United States) Zip Code:71901 . k=(1:max(x))’. rmax=max(r). pmf=okx. %while ( sum(cdf <=rmax) ==(xmax-xmin+1) ) while cdf(length(cdf)) <=rmax xmax=2*xmax. function pmf=poissonpmf(alpha. pb=exp([-alpha.sx). AR. logfacts =cumsum(log(k)). xmin=0. %set max range sx=xmin:xmax. %pmf(i)=0 for zero-prob x(i) poissonrv x=poissonrv(alpha.r). hot springs. 14 Address:104 pine meadows loop.x) %Usage: F=uniformcdf(a.x) %returns the CDF of a continuous %uniform rv evaluated at x F=x.Name:joey iwatsuru Email:joeyiwat@yahoo. xmax=ceil(2*alpha). sx=xmin:xmax.0*(x>=b).b. cdf=poissoncdf(alpha. x=okx.com Phone:5017621195 poissonpmf y=poissonpmf(alpha.m) Input: alpha is the parameter of a Poisson (α) random variable X .sx). vector x Output: Vector y such that yi = FX (xi ) function F=uniformcdf(a.

b. function x=uniformrv(a.b. positive integer m Output: m element vector x such that each x(i) is a sample of X .x) %returns the PDF of a continuous %uniform rv evaluated at x f=((x>=a) & (x<b))/(b-a).Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 uniformpdf y=uniformpdf(a. hot springs.b.b.b) random varible x=a+(b-a)*rand(m. AR. vector x Output: Vector y such that yi = f X (xi ) function f=uniformpdf(a.x) %Usage: f=uniformpdf(a.m) %Usage: x=uniformrv(a.b. us (United States) Zip Code:71901 . 15 Address:104 pine meadows loop.m) Input: a and ( b) are parameters for continuous uniform random variable X .m) %Returns m samples of a %uniform (a.x) Input: a and ( b) are parameters for continuous uniform random variable X .b.1). uniformrv x=uniformrv(a.

function w=brownian(alpha.1). then the simulation starts in state p0 function pv = cmcprob(Q.1)-1. delta=t-[0. cmcprob pv=cmcprob(Q. n=size(Q.t(1:n-1)]. 16 Address:104 pine meadows loop. function pv = dmcstatprob(P) n=size(P.n). cmcstatprob pv=cmcstatprob(Q) Input: State transition matrix Q for a continuoustime ﬁnite Markov chain Output: pv is the stationary probability vector for the continuous-time Markov chain function pv = cmcstatprob(Q) %Q has zero diagonal rates R=Q-diag(sum(Q.t) Input: n × n state transition matrix Q for a continuous-time ﬁnite Markov chain.p0. R(:. n=length(t). A(:.n-1)]*Aˆ(-1))’.1). nonengative scalar t Output: Length n vector pv such that pv(t) is the state probability vector at time t of the Markov chain Comment: If p0 is a scalar integer.1)=ones(n.t) %Q has zero diagonal rates %initial state probabilities p0 K=size(Q.t) Input: t is a vector holding an ordered sequence of inspection times. us (United States) Zip Code:71901 . t=t(:). state %check for integer p0 if (length(p0)==1) p0=((0:K)==p0). pv=([1 zeros(1.1).Name:joey iwatsuru Email:joeyiwat@yahoo.1). A=(eye(n)-P). dmcstatprob pv=dmcstatprob(P) Input: n × n stochastic matrix P representing a discrete-time aperiodic irreducible ﬁnite Markov chain Output: pv is the stationary probability vector..n-1)]*Rˆ(-1))’. w=cumsum(x).t) %Brownian motion process %sampled at t(1)<t(2)< . AR. hot springs. alpha is the scaling constant of a Brownian motion process such that the ith increment has variance α(ti − ti−1 ).2)).1)=ones(n.*gaussrv(0.2)).com Phone:5017621195 Functions for Stochastic Processes brownian w=brownian(alpha. length n vector p0 denoting the initial state probabilities. end R=Q-diag(sum(Q.1.. x=sqrt(alpha*delta). pv=([1 zeros(1. pv= (p0(:)’*expm(R*t))’. %max no. Output: w is a vector such that w(i) is the position at time t(i) of the particle in Brownian motion.p0.

t is a vector of “inspection times’.t) Input: lambda is the arrival rate of a Poisson process.1)-1.:). end n=1+sum(cumsum(ST(:.2)=T-sum(ST(1:n-1.. %truncate last holding time ST(n.T) function s=poissonarrivals(lambda. s=ST(size(ST. Note that length n is a Poisson random variable with expected value λT . while (s(length(s))< T).1). cumsum(exponentialrv(lambda.n)).1*lambda*T).T) %arrival times s=[s(1) . rate ps=cmcstatprob(Q).Name:joey iwatsuru Email:joeyiwat@yahoo. ST=simcmcstep(Q.. v=sum(Q.T).1).n). T ]. Comment: This code is pretty stupid. s=cumsum(exponentialrv(lambda.com Phone:5017621195 poissonarrivals s=poissonarrivals(lambda. the number of state occupancy periods. AR. n=ceil(0...6*T/R). R=ps’*v.’ Output: N is a vector such that N(i) is the number of arrival by inspection time t(i).2) is the amount of time spent in each state. Input: lambda is the arrival rate of a Poisson process. ST=[ST.p0.n)).2) is the amount of time the system spends in state ST(i. vector p0 denoting the initial state probabilities. see Problem 10. function N=poissonprocess(lambda. us (United States) Zip Code:71901 .. T marks the end of an observation interval [0.S]. Comment: If p0 is a scalar integer.5.1). s=[s. s(n)] % s(n)<= T < s(n+1) n=ceil(1. p00=Q(1+s. of arrivals by t(i) s=poissonarrivals(lambda.max(t)). function ST=simcmc(Q.2))<T).:)/v(1+s).1) is the sequence of system states and the second column ST(:. max no. That is. hot springs. ST=ST(1:n. 17 Address:104 pine meadows loop. . K=size(Q. vector t %For a sample function of a %Poisson process of rate lambda. Note that n.T) Input: state transition matrix Q for a continuous-time ﬁnite Markov chain. while (sum(ST(:. s_new=s(length(s))+ . simcmc ST=simcmc(Q.13.p0. then the simulation starts in state p0. integer n Output: A simulation of the Markov chain system over the time interval [0.2*n). is random.t). s_new].. state %calc average trans.t) %input: rate lambda>0. end s=s(s<=T). ST(i.p00.2)).2). s(n)]’ is a vector such that s(i) is ith arrival time. Output: s=[s(1). %N(i) = no. poissonprocess N=poissonprocess(lambda. T ]: The output is an n × 2 matrix ST such that the ﬁrst column ST(:. There are decidedly better ways to create a set of arrival times. S=simcmcstep(Q..2))<T). N=count(s.p0.

AR.1)-1. Output: A simulation of the Markov chain system such that for the length n vector x. length n vector p0 denoting the initial state probabilities.n) function x=simdmc(P. rates t=1. then the simulation starts in state p0 18 Address:104 pine meadows loop. us (United States) Zip Code:71901 . Comment: If p0 is a scalar integer.n).p0.1). state probabilities p0 K=size(Q.:). %S=simcmcstep(Q.n) K=size(P. S(:. This program is the basis for simcmc. vector p0 denoting the initial state probabilities.%init allocation %check for integer p0 if (length(p0)==1) p0=((0:K)==p0). x(m+1)=finiterv(sx.1). rate matrix Q. end x(1)=finiterv(sx..1)=simdmc(P.p0. % init.n). %x(m)= state at time m-1 for m=1:n.p0. then the simulation starts in state p0. end v=sum(Q.. %initialization if (length(p0)==1) %convert integer p0 to prob vector p0=((0:K)==p0).1)) .P(x(m)+1. %max no.Name:joey iwatsuru Email:joeyiwat@yahoo. %highest no. ./v. integer n. x(m) is the state at time m-1 of the Markov chain.n) Input: State transition matrix Q for a continuoustime ﬁnite Markov chain.n) % Simulate n steps of a cts % Markov Chain. end Input: n ×n stochastic matrix P which is the state transition matrix of a discrete-time ﬁnite Markov chain. ST(i.2). %state dep. Comment: If p0 is a scalar integer. %state space x=zeros(n+1.com Phone:5017621195 simcmcstep S=simcmcstep(Q.1) is the length n sequence of system states and the second column ST(:.1)-1. function S=simcmcstep(Q. That is.p0. state sx=0:K.2)=t(1+S(:.1).n+1).2) is the amount of time the system spends in state ST(i.p0. S(:.1).2).p0. P=diag(t)*Q. hot springs.p0. simdmc x=simdmc(P.2) is the amount of time spent in each state. state S=zeros(n+1.*exponentialrv(1. integer n Output: A simulation of n steps of the continuous-time Markov chain system: The output is an n × 2 matrix ST such that the ﬁrst column ST(:.

y) %n(i)= # elements of x < y(i) [MX.Name:joey iwatsuru Email:joeyiwat@yahoo. countequal n=countequal(x.MY]=ndgrid(x. hot springs. function n=count(x. dftmat F=dftmat(N) Input: Integer N .0j)*2*pi*(n*(n’))/N). 19 Address:104 pine meadows loop. AR.y) %Usage: n=countequal(x.MY]=ndgrid(x.y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x equal to y(i). Output: F is the N by N discrete Fourier transform matrix function F = dftmat(N).y) %Usage n=count(x. function n=countless(x. us (United States) Zip Code:71901 .y).com Phone:5017621195 Random Utilities count n=count(x.1))’. Usage: F=dftmat(N) %F is the N by N DFT matrix n=(0:N-1)’.y) %Usage: n=countless(x.1))’. countless n=countless(x.y) %n(j)= # elements of x = y(j) [MX.MY]=ndgrid(x. F=exp((-1. %each column of MX = x %each row of MY = y n=(sum((MX<MY). %each column of MX = x %each row of MY = y n=(sum((MX==MY).y).y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x less than or equal to y(i). function n=countequal(x.y).1))’.y) %n(i)= # elements of x <= y(i) [MX.y) Input: Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x strictly less than y(i). %each column of MX = x %each row of MY = y n=(sum((MX<=MY).

SY) %xy is an m x 2 matrix: %xy(i. rk centered around the origin.0j)*phase).Y) pairs: xy=[xy.SX. if (nargin>1) N=varargin{2}(1). The output fxy is ordered so that the rows match the ordering of rows in the matrix [SX(:) fftc S=fftc(r.’rows’).[2 1 3]).Name:joey iwatsuru Email:joeyiwat@yahoo.N). xy is an m × 2 matrix holding a list of sample values pairs. n=reshape(0:(N-1).3).SY) %Usage: fxy = freqxy(xy.1) fxy(k. . S=fftc(r) Input: Vector r=[r(1) . .3)] [fxy(k.size(R)). SY and the probability grid PXY. xy=finiterv(S.*exp((1. function fxy = freqxy(xy. Y ) pair with relative frequency fxy(k. L=1+floor(length(r)/2). AR. a list of random sample value pairs xy can be simulated by the commands S=[SX(:) SY(:)]. . Output: S is the DFT of r Comment: Supports the same calling conventions as fft. r0 . SX(:) SY(:)]. r(2k+1)] holding the time sequence r−k .1) fxy(k. Grids SX and SY representing the sample space. Output: fxy is a K × 3 matrix. . N=hist(J.1) fxy(k. else N=(2*L)-1. SY(:) PXY(:)].2)] % = kth unique pair [x y] and % fxy(k. hot springs. . end R=fft(r.Y %Output fxy is a K x 3 matrix: % [fxy(k. N=N/sum(N). In each row [fxy(k. .m). S=R.. freq.N): N point DFT of r % fftc(r): length(r) DFT of r r=varargin{1}. Comment: Given the grids SX.2) fxy(k. %extend xy to include a sample %for all possible (X.PXY(:). fxy=[U N(:)]. yy(i.3)= corresp. . phase=2*pi*(n/N)*(L-1).com Phone:5017621195 freqxy fxy=freqxy(xy. function S=fftc(varargin)..I. rel. .1:max(J))-1.2)] is a unique (X.:) is the ith sample pair (X. %reorder fxy rows to match %rows of [SX(:) SY(:) PXY(:)]: fxy=sortrows(fxy.SY) Input: For random variables X and Y . [U. 20 Address:104 pine meadows loop. us (United States) Zip Code:71901 .J]=unique(xy.SX.:)= ith sample pair X.N). Y ). %DFT for a signal r %centered at the origin %Usage: % fftc(r.SX.

/(pi*xx).5). xx=x+(x==0). h=plot(XM. y=1.px. axis([xmin xmax 0 ymax]).0*(x==0)). sinc y=sinc(x) Input: Vector x Output: Vector y such that yi = sinc(xi ) = sin(π xi ) π xi function y=sinc(x). sx=(sx(:))’. xmax=xmax+xborder.0*(abs(x)<0. xmin=xmin-xborder. AR.’y axis text’) Input: Sample space vector sx and PMF vector px for ﬁnite random variable PXY.5 0 otherwise function y=rect(x). ylabel(yls. px is the PMF %xls and yls are x and y label strings nonzero=find(px).’Bottom’).*y)+ (1. rect y=rect(x) Input: Vector x Output: Vector y such that yi = rect(xi ) = 1 |xi | < 0. Comment: The code is ugly because it makes sure to produce the right limit value at xi = 0. set(h.PM. ymax=1. if (nargin==4) xlabel(xls).yls) %sx and px are vectors.’-k’). XM = [sx.’VerticalAlignment’. sx].05*(xmax-xmin). y=((1.0-(x==0)).’LineWidth’.com Phone:5017621195 pmfplot pmfplot(sx.xls.’x’.yls) %Usage: pmfplot(sx.Name:joey iwatsuru Email:joeyiwat@yahoo.px. xmax=max(sx). y=sin(pi*xx). 21 Address:104 pine meadows loop. optional text strings xls and yls Output: A plot of the PMF PX (x) in the bar style used in the text. function h=pmfplot(sx. hot springs. px].1*max(px). sx=sx(nonzero). end xmin=min(sx). xborder=0. px=px(nonzero).xls. us (United States) Zip Code:71901 .px. PM=[zeros(size(px)).3). %Usage:y=rect(x). px=(px(:))’.

yls). a discrete time chain is assumed % with visit times of one unit. X=cumsum([0 .ylabel) function h=simplot(S. Output: A “stairs” plot showing the sequence of simulation states over time.com Phone:5017621195 simplot simplot(S.Y). %h=simplot(S. if (nargin==3) xlabel(xls). AR.T) or ST=simcmcstep(Q. then each stair has equal width. then the width of the stair is proportional to the time spent in that state. S(:.p0. % h is a handle to a stairs plot of the state sequence % vs state transition times %in case of discrete time simulation if (size(S. h=stairs(X.2) = state visit times.ylabel) % Plots the output of a simulated state sequence % If S is N by 1.2)==1) S=[S ones(size(S))]. 22 Address:104 pine meadows loop.2)]).xls.’VerticalAlignment’.p0. end Input: The simulated state sequence vector S generated by S=simdmc(P.xlabel. If S is n × 2 state/time matrix ST.1). S(size(S. Comment: If S is just a state sequence vector. % If S is an N by 2 matrix.’Bottom’).n). us (United States) Zip Code:71901 .n) or the n × 2 state/time matrix ST generated by either ST=simcmc(Q.xlabel.1) = state sequence.1)]. a cts time Markov chain % is assumed where % S(:.Name:joey iwatsuru Email:joeyiwat@yahoo.1) . end Y=[S(:.p0. ylabel(yls. % The cumulative sum % of visit times are transition instances. hot springs. % S(:.

m ﬁles in matcode.com Phone:5017621195 Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers Second Edition Quiz Solutions Roy D.Name:joey iwatsuru Email:joeyiwat@yahoo.m ﬁles associated with examples or quizzes in the text.zip. AR. Nevertheless. • We have made a substantial effort to check the solution to every quiz. 2004 • The M ATLAB section quizzes at the end of each chapter use programs available for download as the archive matcode. a probability close to unity) that errors will be found. This archive has programs of general purpose programs for solving probability problems as well as speciﬁc . 1 Address:104 pine meadows loop. corrected solutions will be posted at the website. If you ﬁnd errors or have suggestions or comments. Goodman May 22. there is a nonzero probability (in fact. please send email to ryates@winlab. When errors are found. Also available is a manual probmatlab. hot springs.pdf describing the general purpose .rutgers.edu.zip. us (United States) Zip Code:71901 . Yates and David J.

vvd. 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 1.1 In the Venn diagrams for parts (a)-(g) below. we can simply check for these properties. ddd} (3) A2 = {vvv. Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. dvd.Name:joey iwatsuru Email:joeyiwat@yahoo. A4 and B4 are collectively exhaustive. Also. dvd} (4) R ∩ M (6) T c − M (7) A4 = {vvv. dvv. dvv. AR. vdd} (2) B1 = {dvv.com Phone:5017621195 Quiz Solutions – Chapter 1 Quiz 1. dvd. The pair A1 and B1 are mutually exclusive and collectively exhaustive. ddd} (6) B3 = {vdv. ddd} (5) A3 = {vvv. The pair A2 and B2 are mutually exclusive and collectively exhaustive. vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. ddv. dvd} (4) B2 = {vdv. However. hot springs. Since we have written down each pair Ai and Bi above. ddv. vdd. vvd. vdv. us (United States) Zip Code:71901 . the shaded area represents the indicated set. 2 Address:104 pine meadows loop. vdd. ddv. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . dvd. vvd.2 (1) A1 = {vvv. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. ddv} (8) B4 = {ddd. vdv.

25. .25 B 0.25 B 0.35 0. We represent these events in the table: V D L 0.35 ? The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1.62 (8) P[student passes] = P[{s60 .35 0. .02 (2) P[{s100 }] = 0.82 Quiz 1. s89 }] = 39 × 0. . s100 }] = 21 × 0.22 (4) P[F] = P[{s51 . AR. .02 = 0. . . . V L. we can conclude that P[V B] = 0.com Phone:5017621195 Quiz 1. . (1) P[{s79 }] = 0. . us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo. Each of these outcomes has probability 0. s100 }] = 31 × 0.05 and the complete table is V D L 0.02 (3) P[A] = P[{s90 .02 = 0.42 (6) P[T < 90] = P[{s51 .6 − 0. s100 }] = 11 × 0. s59 }] = 9 × 0. . hot springs. This implies P[D B] = 0.3 There are exactly 50 equally likely outcomes: s51 through s100 . .02 = 0. This allows us to ﬁll in two more table entries: V D L 0. . . the problem statement tells us how to ﬁll in the table.6 = P [V L] + P [DL] (1) (2) Since P[V L] = 0. . . and DL. In particular. s100 }] = 41 × 0. .02 = 0. D B.02 = 0.78 (7) P[a C grade or better] = P[{s70 .35 = 0.35 ? B ? ? In a roundabout way. .05 Finding the various probabilities is now straightforward: 3 Address:104 pine meadows loop. s52 . .02 = 0. . P [V ] = 0.7 = P [V L] + P [V B] P [L] = 0. .35 and that P[DL] = 0. . .35. .18 (5) P[T ≥ 80] = P[{s80 . .4 We can describe this experiment by the event space consisting of the four possible events V B.35 0.02.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.6 In this experiment, there are four outcomes with probabilities P[{vv}] = (0.8)2 = 0.64 P[{dv}] = (0.2)(0.8) = 0.16 P[{vd}] = (0.8)(0.2) = 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 Next, we observe that P [N V ≥ 1] = P [{vd, dv, vv}] = 0.96 Finally, we make the comparison P [N V = 2] P [N V ≥ 1] = (0.64)(0.96) = P [N V = 2, N V ≥ 1] which shows the two events are dependent. (2) The probability of the joint event is P [N V ≥ 1, C1 = v] = P [{vd, vv}] = 0.80 From part (a), P[N V ≥ 1] = 0.96. Further, P[C1 = v] = 0.8 so that P [N V ≥ 1] P [C1 = v] = (0.96)(0.8) = 0.768 = P [N V ≥ 1, C1 = v] 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, {C2 = v}, and the ﬁrst call is a data call, {C1 = d} are independent events. Just to be sure, we can do the calculations to check: P [C1 = d, C2 = v] = P [{dv}] = 0.16 (6) Since P[C1 = d]P[C2 = 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 [C2 = v, N V is even] = P [{vv}] = 0.64 Also, each event has probability P [C2 = v] = P [{dv, vv}] = 0.8, P [N V is even] = P [{dd, vv}] = 0.68 (8) Thus, P[C2 = v]P[N V is even] = (0.8)(0.68) = 0.544. Since P[C2 = v, N V is even] = 0.544, the events are dependent. 5 (7) (5) (4) (3) (2) (1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.7 Let Fi denote the event that that the user is found on page i. The tree for the experiment is

0.8 ¨ F1 0.8 ¨ F2 0.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0.2 0.2 0.2

The user is found unless all three paging attempts fail. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 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 subexperiment has two possible outcomes: 0 and 1. Thus by the fundamental principle of counting, there are 2 × 2 × 2 × 2 = 24 = 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 = 6 ways to do this. Hence, there are six code words with exactly two zeroes. 2 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 N a code word is M . For N = 8 and M = 3, there are 8 = 56 code words. 3 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 Sk,100−k = 100 k 6

k

(1 − )100−k

(1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

.100). X=(R<= 0.01)(0.3660 P S1. the transistors in the chip are like devices in series. 7 Address:104 pine meadows loop. The probability that a chip works is P[C] = pn . Let Ck denote the event that exactly k chips work.99) 2 3 99 (2) (3) (4) (5) = 0. chip failures are also independent.9.100 = (1 − )100 = (0.0610 (6) Quiz 1.100 + P S1. These three cases will have probabilities 0. 700(0. + (2*(R>0.. 8 P [C9 ] = (P [C])9 = p 9n . we note there are three cases: • If R(i) <= 0. AR. P S0. Lastly.4.98 = 4950(0. • If 0. + (3*(R>0.01) (0.01. Second. X(i)=1 if ﬂip i was heads. us (United States) Zip Code:71901 .99)100 = 0.97 = 161. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).9)).*(R<=0. • If 0.4 < R(i) and R(i)<=0. then X(i)=1.99) 8 = 0.5 and 0.4) ..4. we use the hist function to count how many occurences of each possible value of X(i). That is.com Phone:5017621195 For = 0.99) (2) The probability a packet is decoded correctly is just P [C] = P S0.4). The module works if either 8 chips work or 9 chips work. X(i)=2 if ﬂip i was tails. we ﬁrst generate a vector R of 100 random numbers. then X(i)=3. Y=hist(X. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.9)) .9819 = 0.1849 P S3.01) (0. hot springs.1:3) (1) (2) (3) For a M ATLAB simulation.Name:joey iwatsuru Email:joeyiwat@yahoo. then X(i)=2.10 Since the chip works only if all n transistors work.97 = 0. 0.98 + P S3. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip. and X(i)=3) is ﬂip i landed on the edge. Since transistor failures are independent of each other.99 + P S2..11 R=rand(1.1.99 = 100(0. To see how this works.9 < R(i).3700 9 97 P S2.

.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2. .36 3.0 0. 2.9)9 = 0. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. Similar to Example 2. the remaining parts are straightforward. with probability p. AR.24 2.0387 8 (2) Address:104 pine meadows loop.1 The sample space.1)(0. that is.com Phone:5017621195 Quiz Solutions – Chapter 2 Quiz 2. 0 otherwise (1) (2) If p = 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. 3 G 0.5 0. us (United States) Zip Code:71901 .24 2. the trial is a success.2 (1) To ﬁnd c. (2) P[N = 1] = PN (1) = c = 6/11 (3) P[N ≥ 2] = PN (2) + PN (3) = c/2 + c/3 = 5/11 (4) P[N > 3] = ∞ n=4 PN (n) = 0 Quiz 2. hot springs. . X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1.5 0. That is. Now that we have found c.11.” Each bit is in error. we recall that the PMF must sum to 1.Name:joey iwatsuru Email:joeyiwat@yahoo.1.

01. us (United States) Zip Code:71901 . .99)99 + = 0. AR. .com Phone:5017621195 The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x). P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0.75)9 = 0. 4. (6) If p = 0. FY (y) takes the upper value FY (y0 ). the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0. Just as in Example 2. 5.01)2 (0.910 = 0. Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0. 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. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly.25)3 (0.3487.4 Each of these probabilities can be read off the CDF FY (y).15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3.Name:joey iwatsuru Email:joeyiwat@yahoo. we must keep in + mind that when FY (y) has a discontinuity at y0 .. However.99)100 + 100(0.13. (3) The random variable Y is the number of successes in 100 independent trials. This x=10 sum is not too hard to calculate.9207 100 (0. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.01)2 (0.0645 2 (10) Quiz 2. (1) P[Y < 1] = FY (1− ) = 0 9 Address:104 pine meadows loop.01)(0.1.25. P[X ≥ 10] = 0. However.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0. hot springs. That is.99)98 = 0. .

This corresponds to the PMF ⎧ ⎨ 0.3.3 t = 75.3) = 29.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0. 105 PT (t) = 0. we have a data call and C = 40. a call is a voice call and C = 25. us (United States) Zip Code:71901 .3 N =3 •T =75 From the tree. we can write down the PMF of T : ⎧ ⎨ 0. we can draw the following tree: N =0 •T =120 0. Otherwise.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).Name:joey iwatsuru Email:joeyiwat@yahoo.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0.com Phone:5017621195 (2) P[Y ≤ 1] = FY (1) = 0.3) + 120(0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.7 c = 25 PC (c) = 0. with probability 0. hot springs.6 (1) As a function of N .3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ rr rr0.1) = 62 (2) (3) (4) 10 Address:104 pine meadows loop. AR.8 − 0.7) + 40(0.3 N =2 •T =90 r rr 0.5 (1) With probability 0.7. 90.1¨¨ ¨ ¨ ¨ 0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.6 = 0.8 = 0 Quiz 2. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .5 cents Quiz 2.8 = 0.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 Quiz 2.8 = g(E[A]).4) + 22 (0. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.3) + 3(0. The two quantities are different because g(A) is not of the form α A + β.4) + 2(0.8 The PMF PN (n) allows to calculate each of the desired quantities.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.4) + 2(0. hot springs. (3) 11 Address:104 pine meadows loop.14.5) = 2. g(E[A]) = g(2) = 4.8 (3) Since E[A] = 2.4) + 4(0. AR.4 − (1.1) = 4.3) + 6(0.4)2 = 0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.1) + 12 (0.44 = 0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.1) + 1(0.2) + 8(0. E[M] = 4.7 (1) Using Deﬁnition 2. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1. us (United States) Zip Code:71901 .5) = 1.2) + 4(0.10. Quiz 2. However.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.663.

. 9.80 (6) By Theorem 2.75) + 0. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. . 4. us (United States) Zip Code:71901 .75) + 0. 4.155)(5) + (0. .9 (1) From the problem statement. we learn that the conditional PMF of N given the event I is 0. 5 = 0.17. AR.19375 n = 1. 5 = 0. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. calculating conditional expectations is easy. . 2. 8. .02 n = 1. 3.com Phone:5017621195 Quiz 2.8 n = 1.15625 12 Address:104 pine meadows loop. 2. 10 ⎩ 0 otherwise ⎧ ⎨ 0. 2. 7. 4. E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. the conditional PMF of N given the event T is PN |T (n) = 0.02(0. 5 n = 6. . 3. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4. 7. 7.005)(5) = 0.19375) + n=6 n(0. 5 = 0. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. 4.005 n = 6.25) ⎩ 0 otherwise ⎧ ⎨ 0.2(0.155/0. hot springs. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. 2.005/0. 3.00625) (11) (12) = 3. . .2 n = 1. 2.Name:joey iwatsuru Email:joeyiwat@yahoo. 8. . 10 ⎩ 0 otherwise (5) Once we have the conditional PMF.02(0. 9. . From Theorem 1.155 n = 1. 2. 3.8 n = 6. . 4. 50 = 0(0. . 7.10 (the law of total probability).25) n = 1. 3.00625 n = 6.

i)=cumsum(X).com Phone:5017621195 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. 2./K.M). . hot springs. . M(:. The ith column M(:.10. for i=1:5. . Each time samplemean(k) is called produces a random output. m k .10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. X=duniformrv(0. k.00625) = 12. .i) of M holds a sequence m 1 .71875 − (3.75684 (16) (17) Quiz 2. . .19375) + 330(0. we ﬁrst ﬁnd the conditional second moment E N 2 |N ≤ 10 = n 5 n 2 PN |N ≤10 (n) 10 (13) n 2 (0.5).k). end.Name:joey iwatsuru Email:joeyiwat@yahoo. . What is observed in these ﬁgures is that for small n. AR.15625)2 = 2.19375) + 2 (14) (15) = 55(0.71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. m 2 . us (United States) Zip Code:71901 . Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. function M=samplemean(k). . m n is fairly random but as n gets 13 Address:104 pine meadows loop.00625) n=6 = n=1 n (0. M=zeros(k. K=(1:k)’. plot(K.

the sequences always converges to E[X ]. Although each sequence m 1 . us (United States) Zip Code:71901 . . m n gets close to E[X ] = 5. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. m 2 . that we generate is random. 14 Address:104 pine meadows loop. This random convergence is analyzed in Chapter 7. AR. .com Phone:5017621195 large. .

AR. hot springs.5] = 1 − P[Y ≤ 1.5) = 1 − (1.1 The CDF of Y is 1 FY(y) 0. We will evaluate this integral using integration by parts: ∞ −∞ f X (x) d x = 0 ∞ cxe−x/2 d x ∞ 0 (1) ∞ 0 = −2cxe−x/2 =0 + 2ce−x/2 d x (2) = −4ce−x/2 ∞ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2.5)/4 = 5/8 Quiz 3. To ﬁnd c. we use ∞ the fact that −∞ f X (x) d x = 1.Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 Quiz Solutions – Chapter 3 Quiz 3.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 Address:104 pine meadows loop. us (United States) Zip Code:71901 .2 0. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1. λ = 1/2) PDF 0.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.5] = 1 − FY (1.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).

(3) 16 Address:104 pine meadows loop. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0.e. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . AR..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. 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. us (United States) Zip Code:71901 . 0 otherwise.Name:joey iwatsuru Email:joeyiwat@yahoo. (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. (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.com Phone:5017621195 (2) To ﬁnd the CDF FX (x). P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . f Y (y) = f Y (−y)). hot springs. (9) (10) Quiz 3.5 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). For x ≥ 0. (1) (1) The expected value of Y is E [Y ] = ∞ −∞ y f Y (y) dy = 1 −1 (3/2)y 3 dy = (3/8)y 4 1 −1 = 0. (4) Similarly.

(3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3. E[X ] = 1/λ and Var[X ] = 1/λ2 . us (United States) Zip Code:71901 . To ﬁnd a and b. √ b = 3 + 3 3.1 (1) The PDFs of X and Y are shown below. (5) (z) function and Table 3. AR. (4) (2) We know X is a uniform (a.6 to write E [X ] = This implies a + b = 6.Name:joey iwatsuru Email:joeyiwat@yahoo. it is important to remember that as the standard deviation increases. 0 otherwise. However. the peak value of the Gaussian PDF goes down.4 0. b) random variable. The only valid solution with a < b is √ a = 3 − 3 3. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). fY(y) 0. Since E[X ] = 3 and Var[X ] = 9. a+b =3 2 Var[X ] = (b − a)2 = 9.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 Address:104 pine meadows loop. f X (x) = 0 otherwise. 12 (2) √ b − a = ±6 3. We start with the sketches.4 (1) When X is an exponential (λ) random variable.com Phone:5017621195 (3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. (4) The standard deviation of Y is σY = Quiz 3. we must have λ = 1/3. hot springs. we apply Theorem 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. Quiz 3. (1) √ Var[Y ] = √ 3/5.2.

P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0. (2) P[X < 1] = FX (1− ) = 1/2. us (United States) Zip Code:71901 . P[X > 3. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1.75) = 1 − 2 0. (5) Since Y is Gaussian (0. AR.5 ) = Q(1.0401.5 0 −2 (1.383. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. 2 (4) (1) (2) (4) Again.5] = Q( 3.6 The CDF of X is 1 FX(x) 0. The resulting PDF is 0. (3) Since Y is Gaussian (0. 2). (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y). since X is Gaussian (0. ⎩ 1 x ≥ 1. ⎩ 0 otherwise.33 × 10−4 .5 fX(x) 0. 2). (2) Quiz 3.com Phone:5017621195 (2) Since X is Gaussian (0. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0.5] = Q(3. Quiz 3. 1). hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo.7 18 Address:104 pine meadows loop.5) = 2.75) = 0 x 2 ⎧ x < −1.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.6826. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1. P[Y > 3. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2. 1).

FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . Finally. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4.Name:joey iwatsuru Email:joeyiwat@yahoo. ⎨ 0 2 /4 0 ≤ y < 1. hot springs. Y is also nonnegative.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. (5) 0. Also. for 0 ≤ x ≤ 2. FY (y) = 1 for all y ≥ 1. ⎨ 0 2 /4 0 ≤ x ≤ 2. Using the CDF FX (x). Thus FY (y) = 0 for y < 0. Note that when y < 0 or y > 1. the PDF is zero.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. FX (x) = 0 for x < 0. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. because Y ≤ 1. we obtain the PDF f Y (y). (4) By taking the derivative of FY (y).8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. (1) The complete CDF of X is 1 F (x) 0. Also.5 f (y) 1 0. 19 Address:104 pine meadows loop. for 0 < y < 1. FX (x) = x−x ⎩ 1 x > 2. AR. the complete expression for the CDF of Y is 1 F (y) 0.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. us (United States) Zip Code:71901 . Lastly.6 .5 0 −1 Y (4) 0 As expected.com Phone:5017621195 (1) Since X is always nonnegative. (3) (3) Since X is nonnegative. FY (y) = y−y ⎩ 1 y ≥ 1. 1.

6 (4) (6) From the conditional PDF f Y |Y >8 (y). t=zeros(m.com Phone:5017621195 (2) From Deﬁnition 3.15. hot springs. while (i<m). 1/6 0 ≤ y ≤ 6.Name:joey iwatsuru Email:joeyiwat@yahoo. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. (1) 1 dy = 0. (3) (5) From the conditional PDF f Y |Y ≤6 (y).1). 2 (5) Quiz 3. end end A second method exploits the fact that if T is an exponential (λ) random variable. the conditional PDF of Y given Y ≤ 6 is f Y |Y ≤6 (y) = (3) The probability Y > 8 is P [Y > 8] = 8 10 f Y (y) P[Y ≤6] 0 y ≤ 6. = otherwise. i=i+1.15. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9.1). In this case the command t=2.2 . 20 Address:104 pine meadows loop. then T = T + 2 has PDF f T (t) = f T |T >2 (t). 0 otherwise. 1/2 8 < y ≤ 10. 0 otherwise.0+exponentialrv(1/3. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. us (United States) Zip Code:71901 . the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8.9 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. if (x>2) t(i+1)=x.lambda=1/3. x=exponentialrv(lambda.m) generates the vector t. = otherwise. AR. 10 (2) (4) From Deﬁnition 3.

G (q. Y ≤ ∞] = 1. 0) + PQ. g) (4) (5) = 0. −∞) = P[X ≤ ∞.1.Y (−∞. 0) + PQ. (3) FX. 3) = 0.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.G (1. Y ≤ y] = P[Y ≤ y] = FY (y). y) = P[X ≤ ∞. us (United States) Zip Code:71901 .6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ. 1) = 0.12 = 0. Y ≤ −∞] = 0 since Y cannot take on the value −∞.Y (∞.24 + 0.12 + 0. (2) FX.18 + 0. g) (6) (7) = 0.2 From the joint PMF of Q and G given in the table.16 + 0.18 + 0.12 + 0.G (0.24 + 0.08 = 0. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. Quiz 4. (1) FX.06 + 0. (1) The probability that Q = 0 is P [Q = 0] = PQ.com Phone:5017621195 Quiz Solutions – Chapter 4 Quiz 4. ∞) = P[X ≤ ∞. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.Name:joey iwatsuru Email:joeyiwat@yahoo.24 + 0.G (0.G (0.1 Each value of the joint CDF can be found by considering the corresponding probability.G (0.Y (∞. hot springs. 2) = P[X ≤ −∞. 1) + PQ. (4) FX.16 + 0.Y (∞.78 21 Address:104 pine meadows loop. AR.G (q. This result is given in Theorem 4. 2) + PQ.6 (2) The probability that Q = G is P [Q = G] = PQ.08 = 0.G (0.

the marginal PMF of B is 1 PB (b) = h=−1 PH.Y (x.6 0. this corresponds to calculating the row sum across the table of the joint PMF. 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 Address:104 pine meadows loop. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0. us (United States) Zip Code:71901 .4 PH. y) d x d y = 1.com Phone:5017621195 Quiz 4. b) (2) For each value of b. y) d x d y = =c cx y d x dy y 0 2 0 (1) dy 2 0 x 2 /2 1 0 (2) =c (3) = (c/2) Thus c = 1. y) d x d y (4) To integrate over A. y = r sin θ and d x d y = r dr dθ .2 PB (b) 0.Y (x.4 0.B (h.2.1 0. hot springs.5 0.B (h.1 0 0.Y (x. this corresponds to the column sum down the table of the joint PMF. 2 0 0 2 1 f X.2 h=0 h=1 0. b) (1) For each value of h.3 By Theorem 4. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X.1 0 0. the marginal PMF of H is PH (h) = b=0.2 0. Speciﬁcally.3 Quiz 4.2 0.Name:joey iwatsuru Email:joeyiwat@yahoo. we convert to polar coordinates using the substitutions x = r cos θ . AR. To calculate P[A].3.4 To ﬁnd the constant c. Similarly. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH. we write P [A] = A y dy = (c/4)y 2 f X.B (h.1 0.

AR.5 By Theorem 4.8. f X (x) = 0.00 (T =540) b = 21.Y (x.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. 600 0. 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 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 .2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. the marginal PDF of X is f X (x) = ∞ −∞ f X.com Phone:5017621195 Quiz 4.10 (T =120) 0. 400 0.05 (T =18) 0. us (United States) Zip Code:71901 . ⎧ ⎪ 0.B (l. For 0 ≤ y ≤ 1.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table.2 t = 36. the complete expression for the PDF of Y is f Y (y) = Quiz 4. 000 b = 14. f Y (y) = = ∞ −∞ 6 1 f X. 000 l = 7.Y (x.20 (T =36) 0. b) l = 518. we can calculate the time T needed for the transfer.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) Address:104 pine meadows loop. 776. We can write these down on the table for the joint PMF of L and B as follows: PL . y) dy (1) For x < 0 or x > 1. 400 l = 2.1 t = 120 PT (t) = ⎪ 0.10 (T =24) 0.6 (A) The time required for the transfer is T = L/B.20 (T =90) 0. For 0 ≤ x ≤ 1.05 (T =180) 0. writing down the PMF of T is straightforward. 592. 800 0.05 t = 180 ⎪ ⎪ ⎪ 0.10 (T =360) b = 28. For each pair of values of L and B. 90 ⎪ ⎪ ⎨ 0. hot springs.05 t = 18 ⎪ ⎪ ⎪ 0.Name:joey iwatsuru Email:joeyiwat@yahoo.

Name:joey iwatsuru Email:joeyiwat@yahoo. we calculate the CDF FW (w) = P[W ≤ w]. AR. Thus f W (0) = 0 and f W (1) = 1.5.15 0.25 0. we ﬁnd the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4. For 0 < w < 1.15 0.1 0. PL . The calculus is simpler if we integrate over the region X Y > w.25) + 22 (0.4 PL (l) 0.5 0. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.2 0. us (United States) Zip Code:71901 . W = X Y satisﬁes 0 ≤ W ≤ 1. hot springs.5) + 3(0.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs.25) + 2(0.5. Speciﬁcally.25) = 4. 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. the variance of L is Var [L] = E L 2 − (E [L])2 = 0. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.6 t = 60 0.1 0.3 0. integrating over the region W ≤ w is fairly complex. As shown below. 24 t = 40 0.25) = 2.25 (7) (8) (1) (2) (3) Address:104 pine meadows loop.com Phone:5017621195 (B) First.T (l. Since the second moment of L is E L 2 = 12 (0.5) + 32 (0.

hot springs.4) = 48.6) + 602 (0.Name:joey iwatsuru Email:joeyiwat@yahoo. the correlation coefﬁcient is ρ L . for 0 ≤ y ≤ 2. (11) (B) As in the discrete case. AR. us (United States) Zip Code:71901 .15) + 1(60)(0.6) + 60(0. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40. f Y (y) = ∞ −∞ f X.1) = 96 (4) From Theorem 4. T ] = 0.1) + 2(60)(0. The second moment of T is E T 2 = 402 (0. f X (x) = ∞ −∞ f X. 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. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y).2) + 3(60)(0.15) + 2(40)(0.com Phone:5017621195 (2) The expected value of T is E [T ] = 40(0. 25 Address:104 pine meadows loop. For 0 ≤ x ≤ 1. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .4) = 2400.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0.16(a).3) + 3(40)(0.Y (x.Y (x. it is straightforward to calculate the various expectations. the covariance of L and T is Cov [L .

(L . P [A] = P [V > 80] = PL . 40) and (L . Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. PL . the correlation coefﬁcient is ρ X. (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. t) = 26 PL . T ) = (3. us (United States) Zip Code:71901 .Y = 0. 60) = 0. AR.45 By Deﬁnition 4.T |A (l. dy 1 0 (20) 2 x3 x y d x. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X.9. Quiz 4. Y ] = 0.T (3.T (2.Y (x.8 (A) Since the event V > 80 occurs only for the pairs (L . (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X.T (3. T ) = (2.Name:joey iwatsuru Email:joeyiwat@yahoo.T (l. 60). y) d x. 60). (22) (5) Since Cov[X. hot springs. 60) + PL .t) P[A] (1) 0 lt > 80 otherwise (2) Address:104 pine meadows loop. T ) = (3. 40) + PL .com Phone:5017621195 (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.

801 8 5 2 dy The conditional PDF of X and Y is f X. 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. hot springs. t) (3) (4) 1 2 1 4 = (2 · 60) + (3 · 40) + (3 · 60) = 133 9 3 9 3 For the conditional variance Var[V |A].Y |B (x. y) = = f X. E [V |A] = l t lt PL .com Phone:5017621195 We can represent this conditional PMF in the following table: PL . we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL . 400 9 3 9 It follows that Var [V |A] = E V 2 |A − (E [V |A])2 = 622 2 9 (7) (B) For continuous random variables X and Y . AR.Y (x. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) Address:104 pine meadows loop. we ﬁrst calculate the probability of the conditioning event.T |A (l. P [B] = B f X.T |A (l. y) /P [B] (x.T |A (l.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . 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 (x. t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18.

9 (24) (A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via PA. however.Y |B (x. The conditional expectation of W given event B is E [W |B] = = ∞ ∞ −∞ −∞ 60 3 40 x y f X. 116. 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. Consequently. we can note that A has range S A = {0. 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. 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 Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo.30 Quiz 4. Incorporating the information from the given conditional PMFs can be confusing. 1}. us (United States) Zip Code:71901 . 2} and B has range S B = {0.B (a. A table of the joint PMF will include all four possible combinations of A and B.78 −∞ −∞ 60 3 40 (x y)2 f X. hot springs. The general form of the table is PA.Y |B (x.com Phone:5017621195 where K = (4000P[B])−1 . AR. b) = PB|A (b|a)PA (a).B (a.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.

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. us (United States) Zip Code:71901 . b). y) = f Y |X (y|x) f X (x) = (2) From the given conditional PDF f Y |X (y|x).32 0. we have b=0 b=1 PA. b) b = 0 b = 1 a=0 0.62 a = 0 PA.B (a. f Y |X (y|1/2) = 29 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 6y 0 ≤ y ≤ x.B (a.5)(0.com Phone:5017621195 Substituting values from PB|A (b|a) and PA (a).3 a=2 (2) Given the conditional PMF PB|A (b|2).6) (0.3 0. 0 ≤ x ≤ 1 0 otherwise (7) 960 961 (6) Address:104 pine meadows loop.4) (0. b) a=0 (0.5) + (1)(0.5 (1) (3) From the joint PMF PA.2)(0.08 0.Y (x.5)(0. we can calculate the the conditional PMF ⎧ 0.6) a=2 or PA.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).4) (0.8)(0. AR. it is easy to calculate the conditional expectation 1 E [B|A = 2] = b=0 b PB|A (b|2) = (0)(0.5) = 0. 0) ⎨ PA|B (a|0) = = 0.32/0. hot springs.B (a.B (a.Name:joey iwatsuru Email:joeyiwat@yahoo.3/0.

12 0.Name:joey iwatsuru Email:joeyiwat@yahoo.16 0.06 0.09 and PX (0) = 0.08 0. we calculate the marginal PMFs from the table of the joint PMF PQ. In this case.12 0. for 1/2 ≤ x ≤ 1. (2) For random variables Q and G from Quiz 4.2.com Phone:5017621195 (3) The conditional PDF of Y given X = 1/2 is f X |Y (x|1/2) = f X. To ﬁnd f Y (1/2).Y (x.30 0.04 0.2. we integrate the joint PDF. f X |Y (x|1/2) = f X.G (q. g) in Quiz 4.20 Careful study of the table will verify that PQ. y) = 0. independence requires that either PX (x) = 0 or PY (y) = 0. Thus. it is not obvious whether they are independent. Var [X |Y = 1/2] = Quiz 4.01.Y (0.Y (x. the conditional PDF of X is uniform (1/2. Hence Q and G are independent. However. g that fail the independence requirement. us (United States) Zip Code:71901 . by the deﬁnition of the uniform (a.G (q. y) = PX (x)PY (y). 1/2)/ f Y (1/2). 1) = 0 = PX (0) PY (1) (1) (1 − 1/2)2 1 = 12 48 (11) Since we have found a pair x. hot springs. 0 ≤ x2 ≤ 2 0 otherwise 30 (2) (3) Address:104 pine meadows loop. 1). we see that given Y = 1/2. AR. PX. f X 1 . f Y (1/2) = Thus. Unlike X and Y in part (a).40 q=1 PG (g) 0.1. there are no obvious pairs q.X 2 (x1 .Y (x.18 0. x2 ) = f X 1 (x1 ) f X 2 (x2 ) = (1 − x1 /2)(1 − x2 /2) 0 ≤ x1 ≤ 2. (B) (1) Since X 1 and X 2 are independent. Note that whenever PX.1/2 ( ) d x = 1 1/2 6(1/2) d x = 3/2 (9) (4) From the pervious part. we can conclude that X and Y are dependent. g.Y (x.60 0. we observe that PY (1) = 0. PQ.G (q. 1/2) 6(1/2) =2 = f Y (1/2) 3/2 (10) ∞ −∞ f X. b) PDF.24 0. g) = PQ (q)PG (g) for every pair q. y such that PX.40 0. g) g = 0 g = 1 g = 2 g = 3 PQ (q) q=0 0.10 0.10 (A) (1) For random variables X and Y from Example 4.

f X |Y (x|2) = √ 3π/2 (5) 31 Address:104 pine meadows loop. (1) (2) By Theorem 4. µ1 = µ X = 0. 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.Name:joey iwatsuru Email:joeyiwat@yahoo.17 and Theorem 4. From the PDF f X (x). ˜ (4) When Y = y = 2. f X.Y (x.29. from the problem statement. we know that ρ = 1/2.com Phone:5017621195 (2) Let FX (x) denote the CDF of both X 1 and X 2 . and that σ1 = σ X = 1. (2) (1) Applying these facts to Deﬁnition 4. Speciﬁcally. The conditional PDF of X given Y = 2 is simply the Gaussian PDF 1 2 e−2(x−1) /3 . we see that E[X |Y = 2] = 1 and Var[X |Y = 2] = 3/4. AR. σ2 = σY = 1. X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. 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 ) = 3/4.11 This problem just requires identifying the various terms in Deﬁnition 4.17. X 2 ≤ z] = P [X 1 ≤ z] P [X 2 ≤ z] = [FX (z)]2 (4) (5) To complete the problem. That is. 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. hot springs. y) = √ 3π 2 (3) µ2 = µY = 0. P [Z ≤ z] = P [X 1 ≤ z. The CDF of Z = max(X 1 . we need to ﬁnd the CDF of each X i . us (United States) Zip Code:71901 .30. we have 1 2 2 e−2(x −x y+y )/3 .

x) PMF via Y = xU . PX (x) = 1/4 x = 1. Instead.28. First we observe that X has the discrete uniform (1. 32 Address:104 pine meadows loop. . hot springs. y=ceil(x. 4. x 0 otherwise (1) Given X = x. . x=finiterv(sx. given X = x. 3.12 One straightforward method is to follow the approach of Example 4. px=0.2. . 4) PMF. AR.*rand(m. we can generate a sample value of Y with a discrete uniform (1.com Phone:5017621195 Quiz 4.px. PY |X (y|x) = 1/x y = 1. and an independent uniform (0.1)). Y has a discrete uniform (1. us (United States) Zip Code:71901 . x) PMF.25*ones(4.1). xy=[x’.4]. 0 otherwise. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. . we use an alternate approach.y’].m).3. Also. That is. 1) random variable U .Name:joey iwatsuru Email:joeyiwat@yahoo. 2.

6 d x1 = 6x2 . Y2 = X 2 − X 1 and Y3 = X 3 − X 2 . Y3 = y3 ] = P [X 1 = y1 .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. y3 ∈ {1. Since 0 < X 1 < X 2 < X 3 . . (1) (2) (3) x2 x2 0 x3 x1 In particular.2 By deﬁnition of A. . .X 3 (x1 . Within these constraints. X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By deﬁning the vector a = 1 1 1 . the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 .X 3 (x2 .1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). 2. and that f X 1 . x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. . x3 ) = 0 unless 0 ≤ x 1 ≤ 33 Address:104 pine meadows loop. x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1. AR. y2 . X 2 = y2 + y1 . we must keep in mind that f X 1 .X 2 (x1 . . each Yi must be a strictly positive integer.com Phone:5017621195 Quiz Solutions – Chapter 5 Quiz 5. (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5.X 3 (x1 . y3 ∈ {1. us (United States) Zip Code:71901 .} 0 otherwise (5) Quiz 5. X 2 − X 1 = y2 . for y1 . P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. Y2 = y2 . X 3 − X 2 = y3 ] = P [X 1 = y1 . x3 ) = f X 1 . x2 ) = f X 2 .X 3 (x2 . Speciﬁcally. PY (y) = P [Y1 = y1 . y2 . Thus. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo.X 2 (x1 . f X 2 . Y1 = X 1 . .}. 6 d x2 = 6(x3 − x1 ). we have f X 1 . 2.

X 2 (x1 . us (United States) Zip Code:71901 . x3 ) d x2 = 1 x1 1 6(1 − x2 ) d x2 = 3(1 − x1 )2 6x2 d x3 = 6x2 (1 − x2 ) 2 6x2 d x2 = 3x3 (7) (8) (9) x2 x3 0 The complete expressions are f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = 3(1 − x1 )2 0 ≤ x1 ≤ 1 0 otherwise 6x2 (1 − x2 ) 0 ≤ x2 ≤ 1 0 otherwise 2 3x3 0 ≤ x3 ≤ 1 0 otherwise (10) (11) (12) Quiz 5.X 2 (x1 .W (v.X 3 (x2 .4 In the PDF f Y (y). The complete expressions are f X 1 . x2 ) d x2 = f X 2 . 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. 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 . x3 ) = f X 1 .X 3 (x2 . x2 ) = f X 2 . Y2 W= Y3 . f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 . We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V.com Phone:5017621195 x3 ≤ 1.Name:joey iwatsuru Email:joeyiwat@yahoo. When 0 ≤ xi ≤ 1 for each xi . AR.X 3 (x1 . Y4 (1) 34 Address:104 pine meadows loop. x3 ) d x3 = f X 2 .X 3 (x2 . hot springs. w) = 4 0 ≤ v1 ≤ v2 ≤ 1.

x3 ∈ {0. . A and R.6 and p3 = 0. 0. 1. 1. f W (w) = = 4(1 − w1 ) dw1 = 2 f V. f V (v) = = 0 1 f V. 0.1.6)x2 (0.3) random variable. .1)x3 x1 + x2 + x3 = 5. If we view each test as a trial with success probability P[L] = 0. x2 . however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. 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 . hot springs. Quiz 5. .W (v.3)x1 (0. PX (x) = (1) x1 . w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly.3.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . we see that X 1 is a binomial (n. . In ﬁve trials. .3. 0. .W (v. For 0 ≤ v1 ≤ v2 ≤ 1.W (v. That is.5 (A) Referring to Theorem 1.x2 . AR.6) random variable and X 3 is a binomial (5.x3 (0. for p1 = 0. . PX i (x) = pix (1 − pi )5−x x = 0. 5 0 otherwise 35 5 x (2) Address:104 pine meadows loop. Similarly. each test is a subexperiment with three possible outcomes: L. the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V.19. . p) = (5. X 2 is a binomial (5. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x).com Phone:5017621195 We must verify that V and W are independent.1) random variable. for 0 ≤ w1 ≤ w2 ≤ 1. p2 = 0. w) = f V (v) f W (w). conﬁrming that V and W are independent vectors.

we can apply Theorem 5.6 to ﬁnd the PMF of W . we need to ﬁnd E[X i X j ] for all i and j. we see that X 1 . PW (2) = PX (1. and w = 5. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. Hence. 6x 2 (1 − x) d x = 1/2.1458 = (3) (4) (5) In addition. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative.6)2 (0.com Phone:5017621195 From the marginal PMFs. or X 3 = w occurs.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0. PW (0) = PW (1) = 0. 2) + PX (2. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. w = 4.1)] 2!2!1! = 0. 3x 3 d x = 3/4.1)2 + 0. Thus.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 .6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5.6)(0. X 2 = w. 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.3(0. Quiz 5. 2. we use 3x(1 − x)2 d x = 1/4.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. 1.Name:joey iwatsuru Email:joeyiwat@yahoo. In particular.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X .6)2 (0. us (United States) Zip Code:71901 . 1) 5![0. hot springs.1)2 + 0. AR. X 2 and X 3 are not independent. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X . We start with 36 Address:104 pine meadows loop.32 (0. we must use Theorem 5. Furthermore. To do so.0802 (B) Since each Yi = 2X i + 4.32 (0. . 2. for w = 3. 2) + PX (2.

the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20. 3x 4 d x = 3/5. 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⎦ .com Phone:5017621195 the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10. x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5.3. 6x 3 (1 − x) d x = 3/10. 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 . (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 5. x2 ) . us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo. AR. hot springs. 1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) Address:104 pine meadows loop.X 2 (x1 . X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ . Summarizing the results. 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 .

0000 1.16 tells us that Y is a 1 dimensional Gaussian vector. 0 (1) It follows from Theorem 5. Here is the output of julytemps.(1:31)). just a Gaussian random variable. Since T is a Gaussian random vector.5000 0. [D1 D2]=ndgrid((1:31). Next we calculate Var[Y ]. rounds off those probabilities.m.00002844263128 0.0000.0221 0. p=phi((T-80)/sqrt(CY)). computing the covariance matrix by calculus can be a time consuming task.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1. Quiz 5. 1 −1 1 2 (2) Quiz 5. invoked with the command format short.97792616932396 38 Address:104 pine meadows loop.e. by Theorem 5. i.99997155736872 0.m: >> julytemps([70 75 80 85 90 95]) ans = 0. function p=julytemps(T). A=ones(31. hot springs. Its just that the M ATLAB’s short format output. AR. The ﬁnal step is to use the (·) function to calculate P[Y < T ]. CY=(A’)*CT*A.16.1)/31. the ﬁrst two lines generate the 31 × 31 covariance matrix CT. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0.9779 1. 1 −1 b= 2 . The expected value of Y is µY = µT = 80. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 . or CT .8 First.02207383067604 Columns 5 through 6 0. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. Thus. In julytemps. CT=36. us (United States) Zip Code:71901 .50000000000000 0.18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = .Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 This problem shows that even for fairly simple joint PDFs.0.. Var[Y ] = ACT A .0000 0.99999999922010 0.7 We observe that X = AZ + b where A= 2 1 . Theorem 5./(1+abs(D1-D2)).

1 + |i − j| (1) If we write out the elements of the covariance matrix. . However. We will see in Chapters 9 and 11 that Toeplitz covariance matrices are quite common. CY=(A’)*CT*A. ../(1+abs(0:30)). in this problem. In fact. ⎥ ⎢ . ⎥ .com Phone:5017621195 The ndgrid function is a useful to way calculate many covariance matrices. ⎣ . c=36. M ATLAB has a toeplitz function for generating them. ⎥. we see that ⎡ ⎤ c0 c1 · · · c30 .0. c30 · · · c1 c0 (2) This covariance matrix is known as a symmetric Toeplitz matrix. jth element is CT (i. hot springs. CT=toeplitz(c).. us (United States) Zip Code:71901 . C X has a special structure. 39 Address:104 pine meadows loop. The function julytemps2 use the toeplitz to generate the correlation matrix CT . function p=julytemps2(T). . .Name:joey iwatsuru Email:joeyiwat@yahoo. ⎢ c1 c0 CT = ⎢ . . AR. j) = c|i− j| = 36 . p=phi((T-80)/sqrt(CY)).1)/31. c1 ⎦ . the i... A=ones(31.

That is. . the variance of the sum equals the sum of the variances. W = X + Y is nonnegative. . the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7.com Phone:5017621195 Quiz Solutions – Chapter 6 Quiz 6.5. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. For w > 0. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .Name:joey iwatsuru Email:joeyiwat@yahoo. K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1.5. .5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. . (4) 40 Address:104 pine meadows loop. First. the random variables K 1 . by Theorem 6.5n (5) Since the rolls are independent. .1 Let K 1 . 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. a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. . this integral is easy to evaluate. . AR.25n Quiz 6. otherwise. us (United States) Zip Code:71901 .5)2 = 1. .2 Random variables X and Y have PDFs f X (x) = 3e−3x x ≥ 0 0 otherwise f Y (y) = 2e−2y y ≥ 0 0 otherwise (1) (6) (4) (2) (3) Since X and Y are nonnegative.5 − (2. hot springs.25 Since E[K i ] = 2. K n are independent. . f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. . . Hence. By Theorem 6.3. .

2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0.8 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(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments. Thus to ﬁnd the PDF of W . Theorem 6.8 (4) (5) (6) (7) = 0.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0. hot springs. us (United States) Zip Code:71901 .com Phone:5017621195 Quiz 6.10 says that W is a Gaussian random variable.2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives. AR.Name:joey iwatsuru Email:joeyiwat@yahoo.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70.2)esk = 0.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0. 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. we need only ﬁnd the expected value and variance.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. The ﬁrst derivative of φ K (s) is d φ K (s) = 0. Since the expectation of the sum equals the sum of the expectations: E [W ] = α E [X 1 ] + α 2 E [X 2 ] + · · · + α n E [X n ] = 0 41 (3) Address:104 pine meadows loop. Theorem 6.

42 Address:104 pine meadows loop. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. 1 − 4 es 5 (1) From Theorem 6.1. we can use Math Fact B. hot springs.5 (1) From Table 6.1. the variance of the sum equals the sum of the variances: Var[W ] = α 2 Var[X 1 ] + α 4 Var[X 2 ] + · · · + α 2n Var[X n ] = α 2 + 2(α 2 )2 + 3(α 2 )3 + · · · + n(α 2 )n Deﬁning q = α 2 .com Phone:5017621195 Since the α j X j are independent. 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 . each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . AR. (3) (2) From Table 6. we see that R has the MGF of an exponential (1/5) random variable.12.6 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 ].Name:joey iwatsuru Email:joeyiwat@yahoo. 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. us (United States) Zip Code:71901 . 1−s φ N (s) = 1 s 5e .

we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations. us (United States) Zip Code:71901 .4013 Note that we used Table 3.Name:joey iwatsuru Email:joeyiwat@yahoo. we use the central limit theorem and Table 3.com Phone:5017621195 Quiz 6.5987 = 0. (6) (7) (8) (9) (5) (4) (3) (6) Once again. hot springs. AR.25). 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. the standard deviation of A is σ A = 12 (5) To use the central limit theorem.9773 = 0. (3) Using X i to denote the access time of block i.1 to look up (0.6 (1) The expected access time is E [X ] = ∞ −∞ x f X (x) d x = 0 12 x d x = 6 msec 12 (1) (2) The second moment of the access time is E X2 = ∞ −∞ x 2 f X (x) d x = 0 12 x2 d x = 48 12 (2) The variance of the access time is Var[X ] = E[X 2 ] − (E[X ])2 = 48 − 36 = 12. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent.0227 (10) (11) (12) 43 Address:104 pine meadows loop.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0.

com Phone:5017621195 Quiz 6.Name:joey iwatsuru Email:joeyiwat@yahoo.66 × 10−5 √ 12 12 (3) 44 Address:104 pine meadows loop.16666) − 1 = 0. (2) The variance of K 48 is Var[K 48 ] = 48P [V ] (1 − P [V ]) = 48(3/4)(1/4) = 9 Thus K 48 has standard deviation σ K 48 = 3.9687 (4) (5) Quiz 6. λ) random variable. AR.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. we ﬁnd that W has expected value and variance E [W ] = 3/λ = 6 Var[W ] = 3/λ2 = 12 (2) (1) By the Central Limit Theorem. From Appendix A.9545 (4) Since K 48 is a discrete random variable. (1) In Theorem 6. (3) Using the ordinary central limit theorem and Table 3. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0.5 − 36 30 − 0. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36.11. X 3 are iid exponential (λ) random variables. The arrival time of the third train is W = X 1 + X 2 + X 3. us (United States) Zip Code:71901 . hot springs.8 The train interarrival times X 1 . we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x).5 − 36 − 3 3 = 2 (2. X 2 .

3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.PY]=ndgrid(px. it is a valid bound.19: %unifbinom100. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0. for λ = 1/2 and w = 20. pw=finitepmf(SW. Quiz 6.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12. py=duniformpmf(0.0338 s=7/20 (7) (3) Theorem 3.’\itw’.11 says that for any w > 0. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.sx). 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. px=binomialpmf(100. [SX. 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 . PW=PX.SY]=ndgrid(sx. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.PW. 45 Address:104 pine meadows loop. AR.sy).*PY.sy).0.sy=0:100.pw. the CDF of the Erlang (λ.100. SW=SX+SY. By contrast.’\itP_W(w)’). [PX. us (United States) Zip Code:71901 .py). hot springs.9 One solution to this problem is to follow the approach of Example 6.m sx=0:100. the Central Limit Theorem approximation grossly underestimates the true probability.com Phone:5017621195 (2) To use the Chernoff bound. sw=unique(SW). pmfplot(sw.5.sw). A graph of the PMF PW (w) appears in Figure 2 With some thought.Name:joey iwatsuru Email:joeyiwat@yahoo.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

0.01 0.008 PW(w) 0.006 0.004 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200

Figure 2: From Quiz 6.9, the PMF PW (w) of the independent sum of a binomial (100, 0.5) random variable and a discrete uniform (0, 100) random variable.

46

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

**Quiz Solutions – Chapter 7
**

Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. By Theorem 7.1, Mn (X ) has variance Var[Mn (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), (30 − 0)2 Var [X i ] = = 75. (1) E [X i ] = 15, 12 Thus E[W ] = 3E[X i ] = 45, and Var[W ] = 3 Var[X i ] = 225. (1) By the Markov inequality, P [W > 75] ≤ (2) By the Chebyshev inequality, 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 7.3 Deﬁne the random variable W = (X − µ X )2 . Observe that V100 (X ) = M100 (W ). By Theorem 7.6, the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 . Thus, 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 = 0.000889.

47

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 7.4 Assuming the number n of samples is large, we can use a Gaussian approximation for Mn (X ). SinceE[X ] = p and Var[X ] = p(1 − p), we apply Theorem 7.13 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 . 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 ≥ 0.95 (3) p(1 − p) √ for every value of p. Since (x) is an increasing function of x, we must satisfy c n ≥ 1.65 p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that 1.65 0.41 c≥ √ = √ . 4 n n The 0.9 conﬁdence interval estimate of p is 0.41 0.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n (5) (4)

√ For the 0.99 conﬁdence interval, we have α ≤ 0.01, implying (c n/( p(1− p))) ≥ 0.995. √ This implies c n√ 2.58 p(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 0.645 0.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n Note that if M100 (X ) = 0.4, then the 0.99 conﬁdence interval estimate is 0.3355 ≤ p ≤ 0.4645. 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 program 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 (7) (6)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

is examined in Problem 7.n./nn.2)/m. though perhaps unexpected. nn=(1:n)’*ones(1.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect. The unusual sawtooth pattern.68.Name:joey iwatsuru Email:joeyiwat@yahoo.5.m). stderrmat=stderr*ones(1. AR.2. as m gets large.p). x=reshape(bernoullirv(p. plot(1:n. MN=cumsum(x).6 0. The following graph was generated by bernoullisample(100.7 0.m*n).5 0. OK=sum(abs(MN-p)<stderrmat.5000.m.’-s’).OK.5): 1 0.com Phone:5017621195 function OK=bernoullisample(n. 49 Address:104 pine meadows loop. us (United States) Zip Code:71901 ./sqrt((1:n)’).0.m).9 0. hot springs.8 0.m). stderr=sqrt(p*(1-p)). the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.

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. . the MAP and ML tests are the same. (4) Thus if we observe at least 214.33 Hence. 1. X 15 ≤ x] = [P [X i ≤ x]]15 . . For a signiﬁcance level of α = 0.Name:joey iwatsuru Email:joeyiwat@yahoo. 976 photons. let R = {X ≤ r }. 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. otherwise k = 0. we must choose a rejection region for X . the CDF of the maximum of X 1 . . hot springs. ln 100 ∗ k ∈ A1 otherwise. . 975. A reasonable choice is to reject the hypothesis if X is too small. 50 Address:104 pine meadows loop.7. then we reject the hypothesis. us (United States) Zip Code:71901 . From Theorem 8. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test.6.01 It is straightforward to show that r = − ln 1 − (0. That is.01)1/15 = 1.01. then we accept hypothesis H1 . . 1. . This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214. X 2 ≤ x. . . the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . otherwise (1) (2) 0 Since the two hypotheses are equally likely. · · · . .1 From the problem statement. This implies that for x ≥ 0.33. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0.2 From the problem statement. (3) k ∈ A1 otherwise. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x.com Phone:5017621195 Quiz Solutions – Chapter 8 Quiz 8. AR. Quiz 8. if we observe X < 1. .

the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 .1). X 2 ) ∈ A j for some j = i. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8. E/2 + N2 > 0 (1) Because of the symmetry of the signals. Here is the modiﬁed code: function FM=sqdistroc(v. [XX.0. ’\it d=0. FM=[FM1 FM2 FM5].. it is easier to calculate the probability of a correct decision.0.1. 51 Address:104 pine meadows loop.3) ylabel(’P_{MISS}’).m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.m.2)..TT]=ndgrid(x.FM5(:.3.’\it d=0. Equivalently. loglog(FM1(:..T). legend(’\it d=0.FM2(:. x= -v+randn(m. P01=sum((XX+d*(XX. Since N1 and N2 are iid Gaussian (0. X 2 > 0|H0 ] = P E/2 + N1 > 0. %add N volts. function FM=sqdistrocplot(v. FM2(:.3’.2).m.2. sqdistroc.FM1(:. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0. FM1=sqdistroc(v. P10=sum((XX+d*(XX..m.T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts. P[C|H0 ] = P[C|Hi ] for all i. This implies the probability of a correct decision is P[C] = P[C|H0 ].1)). [XX. a symbol error occurs when si is transmitted but (X 1 . otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities..’-k’.T).2). FM5=sqdistroc(v.T). hot springs.com Phone:5017621195 Quiz 8.d.T). us (United States) Zip Code:71901 .TT]=ndgrid(x.ˆ2)< TT). N is Gauss(0.’--k’. Next. the program sqdistrocplot.ˆ2)>TT). xlabel(’P_{FA}’). 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). FM2=sqdistroc(v. . Given H0 .1)/m.’:k’).m. FM=[P10(:) P01(:)]. AR.Name:joey iwatsuru Email:joeyiwat@yahoo. σ ) random variables.1)..T(:)).1’.2’.T(:)).3 For the QPSK system.1) %add d(v+N)ˆ2 distortion %receive 1 if x>T. FM5(:.m.0. The modiﬁed program. we have P[C] = 2( E/2σ 2 ).1)/m.1).1).. For a QPSK system.4 To generate the ROC. .

1:3. AR.2 d=0. us (United States) Zip Code:71901 .3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. sqdistrocplot(3.T). Figure 3: The receiver operating curve for the communications system of Quiz 8. generated the plot shown in Figure 3.T). hot springs. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.1 d=0.1:3. sqdistrocplot(3.4 with squared distortion. 52 Address:104 pine meadows loop.com Phone:5017621195 To see the effect of d.100000. the commands T=-3:0.100000.Name:joey iwatsuru Email:joeyiwat@yahoo.

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. AR.Name:joey iwatsuru Email:joeyiwat@yahoo. we need the marginal PDF f X (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. For 0 ≤ x ≤ 1. us (United States) Zip Code:71901 .1 (1) First. 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. (3) To obtain the conditional PDF f Y |X (y|x).com Phone:5017621195 Quiz Solutions – Chapter 9 Quiz 9. hot springs.Y (x. 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 Address:104 pine meadows loop.

ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. 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. E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent. (4) From Deﬁnition 4. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64.R = √ √ σT Cov [T.com Phone:5017621195 Quiz 9.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 9.3 When R = r .4. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ].R = σT /σ R . Cov [T. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT. the correlation coefﬁcient of T and R is ρT.Name:joey iwatsuru Email:joeyiwat@yahoo. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. us (United States) Zip Code:71901 . 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) Address:104 pine meadows loop.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT.8. R] = Var[T ] = 9. the variance of the sum R = T + X is Var[R] = Var[T ] + Var[X ] = 9 + 3 = 12 (3) Since T and R have expected values E[R] = E[T ] = 0. AR.2 (1) Since the expectation of the sum equals the sum of the expectations. (6) By Theorem 9.4. Thus Cov[T. hot springs.

the MAP estimate is 23. Hence.R (x.6% larger than the ML estimate. for very low signal strengths. AR.com Phone:5017621195 From the conditional PDF f X |R (x|r ). 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 minimum occurs when the exponent is zero. r ) with respect to r to zero yields e−(x+40+40 log10 r ) Solving for r yields r = 10 1 25 log10 e −1 2 /128 1− 80 log10 e (x + 40 + 40 log10 r ) = 0 128 (7) 10−x/40 = (0.2 to write the ML estimate of R given X = x as rML (x) = arg max f X |R (x|r ) ˆ r ≥0 (2) We observe that f X |R (x|r ) is maximized when the exponent (x + 40 + 40 log10 r )2 is minimized. the MAP estimate takes into account that the distance can never exceed 1000 m. we observe that the joint PDF of X and R is f X.1236)10 (9) For example. the above estimate will exceed 1000 m. which is not possible in our probability model.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct.6. This corresponds to a distance estimate of rML (−120) = 100 m. When x ≤ −156.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m.3 (0. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156. r ). That is. When the measured signal ˆ strength is not too low. yielding log10 r = −1 − x/40 or rML (x) = (0.R (x. However. R ≤ 1000 m. 55 Address:104 pine meadows loop.R (x.R (x. Setting the derivative of f X. the MAP estimate of R given X = x is the value of r that maximizes f X. we can use Deﬁnition 9. 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.3 dB. This reﬂects the fact that large values of R are a priori more probable than small values. us (United States) Zip Code:71901 . if x = −120dB.Name:joey iwatsuru Email:joeyiwat@yahoo. (6) rMAP (x) = arg max f X.3 −x/40 x ≥ −156. ˆ For the MAP estimate. then rMAP (−120) = 123.6 m. note that a typical ﬁgure for the signal strength might be x = −120 dB. hot springs.

4. 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 . hot springs.1. E[XW ] = E[X]E[W ] = 0. Note that X and W have correlation matrices RX = 1 −0.1 (4) 1 1 = = 0. it follows that E[Y] = 0.7. Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . 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. to compute the expected square error.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0.1 −0. (1) Because E[X] = E[Y] = 0. AR. we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . Thus we can apply Theorem 9.1 (6) In terms of Theorem 9.9 .7. This implies RY = E XX + E WW = RX + RW = In addition.1 (9) Address:104 pine meadows loop.9 1.4 ˆ (1) From Theorem 9. Y2 ] 1 =√ σ X 2 σY2 1. us (United States) Zip Code:71901 . −0.1 (2) (3) It follows that a ∗ = 1/1. To apply Theorem 9.0909 1. we calculate the correlation coefﬁcient ρ X 2 . 0 0. 2 Cov [X 2 .com Phone:5017621195 Quiz 9.9 1 RW = 0. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. E[WX ] = 0. Y2 ] . Because µ X 2 = µY2 = 0.9 . n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .7. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . it follows that b∗ = 0. (7) (8) Because X and W are independent.Name:joey iwatsuru Email:joeyiwat@yahoo. Finally. Similarly.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 .Y2 ) = 1 − L Cov [X 2 . −0.1 0 .

AR. j) = c|i− j|−1 .5 Since X and W have zero expected value.Name:joey iwatsuru Email:joeyiwat@yahoo. 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. Y also has zero expected value.9 RYX 2 = = .X 2 − a2rY2 .725 (12) Therefore. The question we must address is what value c minimizes e∗ .X 2 = 0.225 0.com Phone:5017621195 Since X and W are independent vectors. X L (Y) = a Y where a = R−1 RYX . Thus E[X 1 X 2 ] −0. 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. by ˆ ˆ ˆ Theorem 9. By the same reasoning. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . This problem is atypical in that one does not usually get L 57 Address:104 pine meadows loop. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. us (United States) Zip Code:71901 .0725. Thus. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0. (14) (13) Quiz 9. Thus.7. (11) 2 1 E X2 By Theorem 9.7. Since X and W are independent. Y E[WX ] = 0 and E[X W ] = 0 . jth entry RW (i. ˆ a = R−1 RYX 2 = Y −0.725Y2 . hot springs.225Y1 + 0.

com Phone:5017621195 to choose the correlation structure of the noise. v1=ones(20.Name:joey iwatsuru Email:joeyiwat@yahoo. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0.ˆ((0:19)-1)). both small values and large values of c result in large MSE. we will see that the answer is somewhat instructive. >> mquiz9minc(c) ans = 0. Note in mquiz9 that v1 corresponds to the vector 1 of all ones. end plot(c. To ﬁnd the optimal value of c. However. we observe that Var[Wi ] = RW (i. us (United States) Zip Code:71901 . when c is small.8 e* L 0. xlabel(’c’).01:0. function cmin=mquiz9minc(c). 58 Address:104 pine meadows loop.af]=mquiz9(c(k)). We note that the answer is not obviously apparent from Equation (7). In particular. [msec(k). Thus. In this case.ylabel(’e_Lˆ*’). On the other hand.6 0. the noises Wi have high variance and we would expect our estimator to be poor. msec=zeros(size(c)).5 c 1 As we see in the graph. our 20 measurements will be all the same and one measurement is as good as 20 measurements. for k=1:length(c). function [mse.2 0 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.af]=mquiz9(c). [msemin. af=(inv(RY))*v1. i) = 1/c. If this argument is not clear.4500 1 0.optk]=min(msec).msec). if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent. mse=1-((v1’)*af). RY=(v1*(v1’)) +RW.99.01:0. hot springs. AR.1). consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1. cmin=c(optk).4 0. This would suggest that large values of c will also result in poor MSE. RW=toeplitz(c.

discrete valued process. hot springs. continuous valued process when we record the temperature as a continuous waveform over time. the number of ongoing calls at the start of the experiment • N . X N . . Quiz 10.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time. the call completion times of the H calls that hang up Quiz 10. (3) If we sample the process in part (a) every T seconds. continuous valued process. s) is • m(0. s). the number of new calls that arrive during the experiment • X 1 .com Phone:5017621195 Quiz Solutions – Chapter 10 Quiz 10. we round the temperature to the nearest degree. AR.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. then we obtain a discrete time.01) dr = 0. the number of calls that hang up during the experiment • D1 . . (2) If at every moment in time. . One choice for an alternate set of random variables that would specify m(t. .2 (1) We obtain a continuous time. D H . .2 (2) 59 Address:104 pine meadows loop. us (United States) Zip Code:71901 . . then we obtain a continuous time. discrete valued process. the interarrival times of the N new arrivals • H . . . A correct answer speciﬁes enough random variables to specify the sample path exactly.Name:joey iwatsuru Email:joeyiwat@yahoo.1 There are many correct answers to this question.

xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 Address:104 pine meadows loop.8)4 (0.. a geometric random variable with success probability p has expected value 1/ p. The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1.1.2. E[T1 ] = 1/ p = 5. Consequently. the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. Hence. hot springs. us (United States) Zip Code:71901 .4 Since each X i is a N (0. independent of any other resistor. .08192.2) = 0. . . . In this problem.11.. 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.X (n) (x1 . . . (4) From Theorem 2. This problem is easy if we view each resistor test as an independent trial. each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. T2 = T1 + T where T is independent and identically distributed to T1 . . . . t − 1 followed by a success on trial t. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). 1) random variable. just as in Example 2. 9 otherwise (4) Since p = 0. .com Phone:5017621195 (2) In t seconds. That is. .Name:joey iwatsuru Email:joeyiwat@yahoo. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. Each resistor is a 1% resistor with probability p. .5. (5) Note that once we ﬁnd the ﬁrst 1% resistor. A success occurs on a trial with probability p if we ﬁnd a 1% resistor. Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. . AR. 2.. 1.. . t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 . . exactly t resistors are tested.

hot springs. we note that for t > s. . 1. has the same PDF as Y1 (t). . This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . .Name:joey iwatsuru Email:joeyiwat@yahoo. 1. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. Since Yi (t).7 First. the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . we can conclude that the interarrival times of N (t) are not exponential random variables.11. . 000. the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. . us (United States) Zip Code:71901 . . . Since we count only evennumbered arrival for N (t). X 2 . X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. X (t) − X (s) is independent of X (s ) for all s ≥ s . Since s ≥ s .5 The ﬁrst and second hours are nonoverlapping intervals. Let X 1 . . we look at the interarrival times. . denote the interarrival times of the N (t) process. This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. PM1 . . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. That is. see Theorem 6.com Phone:5017621195 Quiz 10. Thus N (t) is not a Poisson process. (2) Quiz 10. . W (t) − W (s) is independent of W (s ). 61 Address:104 pine meadows loop. λ) random variable. ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. 2. Quiz 10. Theorem 3. .6 To answer whether N (t) is a Poisson process.M2 (m 1 . 1. the expected number of packets in each hour is E[Mi ] = α = 36. otherwise (1) Since M1 and M2 are independent. m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise.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. Since X 1 and X 2 are independent exponential (λ) random variables. AR. the ith interarrival time of the N (t) process. . Y1 is an Erlang (n = 2. .

. . Since RY (t. . . . for time instants n 1 + k. . .9 From Deﬁnition 10. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0.. (1) To ﬁnd the autocorrelation.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.. we observe that since X (t) and N (t) are independent and since N (t) has zero expected value.10 We must check whether each function R(τ ) meets the conditions of Theorem 10.. . . ..com Phone:5017621195 Quiz 10.. xm ) Since the random sequence is iid. AR. . τ ). .X nm (x1 ...X nm (x1 . f X n1 +k . hot springs. X 2 . n m + k.. X 1 . . ... . (2) R2 (τ ) = e−τ also is valid. τ ) + R N (t..Name:joey iwatsuru Email:joeyiwat@yahoo.X nm +k (x1 ..X nm +k (x1 . f X n1 . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. .. . n m and time offset k. f X n1 .14. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. is a stationary random sequence if for all sets of time instants n 1 .. . Quiz 10. we have RY (t. . xm ) = f X n1 +k . (2) (3) (4) Quiz 10. ..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. . . . . . 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 Address:104 pine meadows loop.. . . τ ) = E[Y (t)Y (t + τ )]. us (United States) Zip Code:71901 .

(2) Since X (t) and Y (t) are both wide sense stationary processes. we conclude that X (t) and Y (t) are not jointly wide sense stationary. 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.Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 Quiz 10. we see the same second order statistics. In fact. we can conclude that Y (t) is a wide sense stationary process. AR. In this case. suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. To see why this is. Quiz 10. τ ) depends on both t and τ . Y (t) = X (−t) and X (t) become less and less correlated. R X Y (t. we see that by viewing a process backwards in time.X (t+1) (x0 . In this case.12 From the problem statement. 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 Address:104 pine meadows loop. τ ) is just a function of τ . τ ) = E [Y (t)Y (t + τ )] = E [X (−t)X (−t − τ )] = R X (−t − (−t − τ )) = R X (τ ) (1) (2) (3) Since E[Y (t)] = E[X (−t)] = µ X . hot springs. as t gets larger. 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).11 (1) The autocorrelation of Y (t) is RY (t. us (United States) Zip Code:71901 . we can check whether they are jointly wide sense stationary by seeing if R X Y (t.

namely arrivals and departures. increase the system state n by 1. Schedule the ﬁrst arrival to occur at S1 . Examine the head-of-schedule event. block the arrival. 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. In particular. when M(t) = c. admit the arrival. where Sk is an exponential (λ) random variable. when an arrival occurs at time t. and schedule a departure to occur at time t + Sn . The blocking switch is an example of a discrete event system.13 The simple structure of the switch simulation of Example 10. – If M(t) < c. The program simply executes the event at the head of the schedule. an exponential (λ) random variable. satisﬁes M(t) < c = 120.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled. • If the head of schedule event is a departure. we cannot generate these vectors all at once. we must block the call. Quiz 10. 2. we need to know that M(t).com Phone:5017621195 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. – If M(t) = c. we know the system state cannot change until the next scheduled event. reduce the system state n by 1. us (United States) Zip Code:71901 . Delete the head-of-schedule event and go to step 2. With the introduction of call blocking. check the state M(t). A simulation of the system moves from one time instant to the next by maintaining a chronological schedule of future events (arrivals and departures) to be executed. The logic of such a simulation is 1. AR. do not schedule a departure event. Otherwise. the number of ongoing calls. • When the head-of-schedule event is the kth arrival is at time t. 3.13. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. 64 Address:104 pine meadows loop. The system evolves via a sequence of discrete events. Start at time t = 0 with an empty system. at discrete time instances.

plot(t. 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. this says that roughly the ﬁrst two percent of the simulation time was unusual. The following instructions t=0:0. the discrete event simulation is widely-used and often very efﬁcient simulation method.com Phone:5017621195 Thus we know that M(t) will stay the same until then. Note that in Chapter 12. Nevertheless. 65 Address:104 pine meadows loop. However. In this case. we can calculate that the exact blocking probability is Pb = 0.0048 and 0. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. 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.” From the Erlang-B formula. 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. event(i)=1 if the ith scheduled event is an arrival. When the program is passed a vector t. In M ATLAB.m).120. AR.Name:joey iwatsuru Email:joeyiwat@yahoo. a kind of Markov chain. or event(i)=-1 if the ith scheduled event is a departure. In our simulation. The complete program is shown in Figure 5. The rest of the gap between 0.1. for very complicated systems. generated a simulation lasting 5. us (United States) Zip Code:71901 .93).000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. The 5. hot springs. We can estimate the probability a call is blocked as b ˆ = 0.a. we set m(i) to the current switch state. roughly the ﬁrst 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0.0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability.0048. (1) Pb = a+b In Chapter 12. Thus this would account for only part of the disparity.000 minutes. In most programming languages. One reason our simulation underestimates the blocking probability is that in a 5.b]=simblockswitch(10. 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.1:5000.000 minute simulation. we will learn that the blocking switch is an example of an M/M/c/c queue.0. Thus for all times t(i) between the current head-of-schedule event and the next. [m. we use the vector t as the set of time instances at which we inspect the system state. a result known as the “Erlang-B formula.t). we will learn that the exact blocking probability is given by Equation (12.0057.

. event=[event(b4depart) -1 event(˜b4depart)].13. blocks=0.1). % # in system time=[ exponentialrv(lam. if n<c %call admitted admits=admits+1. event(1)=[ ]. % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam. %total # admits M=zeros(size(t)).1). time=[time(b4arrival) arrival time(˜b4arrival)]. 66 Address:104 pine meadows loop.admits. %one more block.3d Admits %10d Blocks %10d’. event=[event(b4arrival) 1 event(˜b4arrival)]. %total # blocks admits=0.t). b4depart=time<depart.Name:joey iwatsuru Email:joeyiwat@yahoo. else blocks=blocks+1.. AR. us (United States) Zip Code:71901 . n=n+1. time=[time(b4depart) depart time(˜b4depart)]..blocks)). immed departure disp(sprintf(’Time %10. while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n. tmax=max(t).1) ]. depart=timenow+exponentialrv(mu. n=0. time(1)= [ ]. % next arrival b4arrival=time<arrival. %first event is an arrival timenow=0. end elseif (eventnow==-1) %departure n=n-1. eventnow=event(1).c. timenow=time(1).com Phone:5017621195 function [M.admits.blocks]=simblockswitch(lam. timenow. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10. event=[ 1 ].mu. hot springs.

2 The expected value of the output is ∞ ∞ −τ h(u)h(τ + u) du = ∞ −τ 1 e−u e−τ −u du = eτ 2 (4) (5) µY = µ X n=−∞ h n = 0. we have RY (τ ) = 0 ∞ e−u e−τ −u du = e−τ 0 ∞ 1 e−2u du = e−τ 2 (3) For τ < 0. 67 Address:104 pine meadows loop. RY (τ ) = Hence. For τ < 0. 1 RY (τ ) = e−|τ | 2 Quiz 11.Name:joey iwatsuru Email:joeyiwat@yahoo. we 2 can double check. we can deduce that RY (τ ) = 1 e−|τ | by symmetry. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).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. AR.2. us (United States) Zip Code:71901 .1 By Theorem 11.com Phone:5017621195 Quiz Solutions – Chapter 11 Quiz 11. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. 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. Just to be safe though. hot springs.

Since R X [n] = δn . Thus E[Y] = 0.6 and to use Theorem 11. we need to ﬁnd the covariance matrix CY . the identity matrix.2 −0. 4 0 0 1 1 1 1 (2) (3) In this case. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.com Phone:5017621195 x 10 8 0.3 By Theorem 11. 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⎦ . Moreover. (1) Despite the fact that R X [k] is an impulse.5.13 with µX = 0 and A = H.5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j]. or by directly applying Theorem 5. us (United States) Zip Code:71901 .8. hot springs. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process. RX = I.2 0 −15 −10 −5 0 f 5 10 15 SX(f) 6 4 2 0 −1500−1000 −500 10 R (τ) 5 0 −5 −2 −1 0 τ 1 x 10 2 −3 0 f 500 1000 1500 10 RX(τ) 5 0 −5 −0.7.2 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. Fo ﬁnd the PDF of the Gaussian vector Y.5.4 0. In this problem.6 SX(f) 0. 68 Address:104 pine meadows loop. we obtain RY = HRX H . by Theorem 11. which equals the correlation matrix RY since Y has zero expected value. following Theorem 11.1 0 τ 0. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11. Quiz 11. AR.Name:joey iwatsuru Email:joeyiwat@yahoo.1 0. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 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 . AR. In this case.1 0. 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⎦ . L 69 Address:104 pine meadows loop.1 0. (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C−1 y is a very concise representation of the cross-terms in the exponent of f Y (y).com Phone:5017621195 Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ .9 1. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .Name:joey iwatsuru Email:joeyiwat@yahoo. X n+1 = 400 400 (4) to ﬁnd the mean square error.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.9 R X [0] R X [1] = 0. Y Quiz 11. X n+1 = Xn 0.81 X n−1 R X [2] = . us (United States) Zip Code:71901 .9 R X [1] −1 (1) (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ← − 1.1 R X [1] R X [0] 0. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus. 0. one approach is to follow the method of Example 11.1 1 0. Y 2 (5) (6) A disagreeable amount of algebra will show det(CY ) = 3/1024 and that the PDF can be “simpliﬁed” to 16 7 2 7 2 1 2 y33 + y34 + y35 − y33 y34 + y33 y35 − y34 y35 exp −8 f Y (y) = √ 3 12 12 6 6π .4 This quiz is solved using Theorem 11.81 81 = .9 for the case of k = 1 and M = 2. hot springs.9 h = R−1 RXn X n+1 = Xn 0.

Quiz 11. we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h. In any case. 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 . X = X n+1 and ← − ˆ a = h . we obtain Xn e∗ = R X [0] − RXn X n+1 R−1 RXn X n+1 L Xn ← − = R X [0] − h RXn X n+1 (11) (12) Note that this is essentially the same result as Theorem 9.13(b).1. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 . Since X n+1 = h Xn .com Phone:5017621195 This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters.Name:joey iwatsuru Email:joeyiwat@yahoo. 70 Address:104 pine meadows loop.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1. Instead.1 − = = 0.1.7 by using the orthoginality property of the LMSE estimator. hot springs.5 (1) By Theorem 11. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. the mean square error is 1 506 ← − 0. 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 ).9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 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. 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. graphs of S X ( f ) and R X (τ ) appear in Figure 6. Consulting Table 11. AR. us (United States) Zip Code:71901 .7 with Y = Xn .3487.

where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant. (2) Quiz 11.17. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 .17. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . 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). That is.17.com Phone:5017621195 Quiz 11.8 We solve this quiz using Theorem 11.Name:joey iwatsuru Email:joeyiwat@yahoo. if R X [n] = 10δ[n]. 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.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | .1. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) Address:104 pine meadows loop. 71 (5) 2a0 a1 .1. From Table 11. From Table 11. R X Y (t. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus. τ ) = R X Y (τ ) = R X (τ − t0 ). R X [n] = 10δ[n]. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11. (This quiz is really lame!) Quiz 11. First we need some preliminary facts. AR. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform.6 In a sampled system.7 Since Y (t) = X (t − t0 ). a0 Consulting with the Fourier transforms in Table 11. us (United States) Zip Code:71901 .1. H( f ) = (1) Theorem 11. Let a0 = 5. hot springs.

1. (12) The average power of the Y (t) process is RY (0) = a1 2 = . us (United States) Zip Code:71901 .000 rad/sec and the signal X (t) has most of its its signal energy below 5. SY ( f ) = 2 2 2a0 a0 + (2π f )2 2a1 a1 + (2π f )2 2 a0 K0 K1 + + (2π f )2 a1 + (2π f )2 2 −2a0 a1 2 2 a1 − a0 (8) 2 2a0 a1 2 a1 − a0 . we can either use basic calculus and ∞ calculate −∞ SY ( f ) d f directly or we can ﬁnd RY (τ ) as an inverse transform of SY ( f ).000 rad/sec. (9) (10) Consulting with Table 11. hot springs. 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. AR. a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . Since the RC ﬁlter has a 3dB bandwidth of 10.Name:joey iwatsuru Email:joeyiwat@yahoo. the output signal has almost as much power as the input. the latter method is actually less algebra. 2 2 2a0 2a1 K0 K1 + 2 . some algebra will show that SY ( f ) = where K0 = Thus. 2 K1 = .com Phone:5017621195 Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. 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 . In particular. 72 Address:104 pine meadows loop. Using partial fractions and the Fourier transform table.

decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B.147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t).146). Comment: Since the text omitted the derivations of Equations (11. This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B).com Phone:5017621195 Quiz 11. AR.146) and (11. (2) RY X (τ ) = R X (τ ).1 that SX ( f ) = 1 f rect . Because the noise process N (t) has constant power R N (0) = 1. we note that Example 10. at peace with the derivations.Name:joey iwatsuru Email:joeyiwat@yahoo. The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11. the optimal ﬁlter is ˆ H( f ) = SX ( f ) = SX ( f ) + SN ( f ) 1 104 1 104 rect + f 104 1 2B rect f 104 rect f 2B .147). (1) Now we can go on to the quiz. (2) Since R X (τ ) = sinc(2W τ ).147). 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 .146) and (11.24 showed that RY (τ ) = R X (τ ) + R N (τ ). Taking Fourier transforms. we see from Table 11.9 This quiz implements an example of Equations (11. where W = 5. SY X ( f ) = S X ( f ).000 Hz. (1) Since µ N = 0. (5) From Equation (11. hot springs.146) and to calculate the mean square error e L ∗ using Equation (11. it follows that SY ( f ) = S X ( f ) + S N ( f ). (6) 73 Address:104 pine meadows loop. R N (0) = Var[N ] = 1. us (United States) Zip Code:71901 .

10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ). In L particular. when B > W = 5000. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. From Equation (11. ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5.000 B (9) To obtain MSE e∗ ≤ 0.com Phone:5017621195 ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ).Name:joey iwatsuru Email:joeyiwat@yahoo. Since the problem asks us to L ﬁnd the largest possible B. As B shrinks. but only over a bandwidth B that is decreasing. 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). Finally. S N ( f ) = 1/2B over frequencies | f | < W . 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 PSD S N ( f ) becomes increasingly tall. hot springs. for all values of B.05. The following M ATLAB program generates and plots the functions shown in Figure 8 74 Address:104 pine meadows loop. Thus as ˆ B descreases.16 Hz. us (United States) Zip Code:71901 . what is happening may not be obvious. let’s suppose B ≤ W .05 requires B ≤ 5.05.147). The result is that the MSE goes down. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. L Quiz 11. B ≥ 9.000/19 = 263. AR. the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B. In this case. We can go back and consider the case B > W later. The mean square error is e∗ L = 1 1 104 2B 1 1 −5000 104 + 2B 5000 df = 1 2B 1 104 + 1 2B = 1 B 5000 +1 (11) In this case. L Although this completes the solution to the quiz. As B is decreased. 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.000. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. the ﬁlter suppresses less of the signal of X (t).5 × 104 guarantees e∗ ≤ 0. When B ≤ W . Two examples of the ﬁlter H ( f ) are shown in Figure 7. we need to whether B ≤ W . (8) To evaluate the MSE e∗ . The noise power is always Var[N ] = 1 Watt. we note that we can choose B very large and also achieve MSE e∗ = 0.

N).com Phone:5017621195 1 H(f) 0. rx=[2 4 2].m N=32. AR.abs(SY2)).ylabel(’S_X(n/N)’). figure.26. %PSD of Y for M=2 xlabel(’n’). %impulse/filter response: M=2 SY2=SX. H10=fft(h10. figure. xlabel(’n’).N). Hence.9. h2=0.1*ones(1. us (United States) Zip Code:71901 . the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts.5 0 H(f) −5000 −2000 0 f 2000 5000 1 0.*((abs(H10)). SX=fftc(rx. As an aside. the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. when M = 10. %mquiz11. we generate stem plots of the magnitude of each power spectral density.N). 75 Address:104 pine meadows loop.10). However.abs(SY10)). the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t). xlabel(’n’).* ((abs(H2)).Name:joey iwatsuru Email:joeyiwat@yahoo.ylabel(’S_{Y_{10}}(n/N)’). they tend to confuse the stem function. stem(0:N-1. note that the vectors SX. H2=fft(h2. stem(0:N-1. In the context of Example 11. Although these imaginary parts have no computational signiﬁcance. h10=0.ˆ2).abs(sx)).ˆ2). hot springs.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11.5*[1 1]. %impulse/filter response: M=10 SY10=sx. Relative to M = 2. SY2 and SY10 in mquiz11 should all be realvalued vectors.ylabel(’S_{Y_2}(n/N)’). %autocorrelation and PSD stem(0:N-1.

76 Address:104 pine meadows loop. hot springs. and Sφ (n/N ) for M = 10 using an N = 32 point DFT.com Phone:5017621195 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 11.10. SY (n/N ) for M = 2.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . graphs of S X (φ). AR.

2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.01 0.6 0. hot springs.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0. is the left eigenvector of P satisfying si P = λi si . the Markov chain and the transition matrix are ⎡ ⎤ 0.4 0 0 λ3 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 Address:104 pine meadows loop.9 P X n+1 = 0|X n = 1 = 0.5 1 (3) where si .6 0.6 0.2 0.6 0 0.5 0.6 0.6 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.01 0.4 0.6 0.6 −0.6 0.2 −0.1 1 P= 0.99 0.2⎦ 1 0 1 0 0.2⎦ + (0.2 0.2 0. us (United States) Zip Code:71901 . we can conclude that P X n+1 = 1|X n = 0 = 0.4 0. AR.4 0.5 0.4 0.2 0.1 The system has two states depending on whether the previous packet was received in error.5 0 0.99 P X n+1 = 1|X n = 1 = 0.2 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.6 0.2 From the problem statement.com Phone:5017621195 Quiz Solutions – Chapter 12 Quiz 12. From the problem statement.2 0.90 (3) Quiz 12.5 1 −0.2 Quiz 12.6 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.6 P = ⎣0.5 −0.10 0.01 0 0.5 0 −0.99 0.4)n ⎣ 0 (4) −0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.Name:joey iwatsuru Email:joeyiwat@yahoo.9 (1) Since each X n must be either 0 or 1. the ith row of S.

Once the system enters a state in C1 .1π0 and π2 = π1 . On the other hand. 1.. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. 1 … 78 Address:104 pine meadows loop. Thus the states in C1 are recurrent. (3) (2) The states in C1 and C3 are aperiodic. The state transition probabilities are Pn−1. the state n can take on the values 0. That is.com Phone:5017621195 0. 3} C3 = {4..5 At any time t. the states in C2 are never reentered. Quiz 12. us (United States) Zip Code:71901 . the states in C3 are recurrent. Once the system exits C2 .1 0 1 1 1 ⎡ ⎤ 0. the states in C2 are transient. 2. the system of equations π = π P yields π1 = 0. This implies π0 + π1 + π2 = π0 (1 + 0. π2 = 1/12. Similarly.. . C1 is a recurrent class.n = P [K > n|K > n − 1] = Pn−1. AR. .9 0.1) = 1 It follows that the limiting state probabilities are π0 = 5/6.1 + 0. the class C1 is never left. 1} C2 = {2. 5.0 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 .4 The communicating classes are C1 = {0. 6} (1) π1 = 1/12. .1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . The states in C2 have period 2.9 0. Quiz 12.

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 ]. 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. . AR. . . When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. π1 = π0 P [K = 2] + π2 . 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] . . Quiz 12.Name:joey iwatsuru Email:joeyiwat@yahoo.6 (1) By inspection. 2. The system state is the time until the counter expires. 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) Address:104 pine meadows loop. From Equation (4). Since we spend one unit of time in each state. .11. Thus the period of state 0 is d = 2. πk−1 = π0 P [K = k] + πk . we have k − 1 units of time left after the state 0 counter reset. and we randomly reset the counter to a new value K = k and then we count down k units of time. This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. the system is in state 0. From Problem 2. When the counter expires. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . us (United States) Zip Code:71901 . (6) This suggests that πk = π0 P[K > k].5. hot springs. including state 0.com Phone:5017621195 The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 . . the number of transitions need to return to state 0 is always a multiple of 2. (2) To ﬁnd the stationary probabilities. we obtain π0 ∞ P[K > k] = 1. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly.

(1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α . To determine whether state 0 is recurrent. Lastly.7 The Markov chain has the same structure as that in Example 12.(3/4) 1 . we can use Theorem 12. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α . nα (2) 80 Address:104 pine meadows loop. AR.22.14 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.(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0.com Phone:5017621195 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 . we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1.(1/2) a 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. hot springs.(2/3) a 1 . It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 .Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . 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.

n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. AR. we did this by deriving the PMF PT00 (n). all states are recurrent.5.Name:joey iwatsuru Email:joeyiwat@yahoo. nα (3) For 0 < α ≤ 1.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . for α > 1. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 . Since the chain has only one communicating class. then all states are transient. Applying this result. In Example 12. On the other hand.24. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞. the Markov chain is positive recurrent. In this problem. (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 > 1.8 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 Address:104 pine meadows loop. hot springs. we need to calculate E[T00 ]. ∞ 1 E [T00 ] = 2 + .com Phone:5017621195 Thus state 0 is recurrent for all α > 0. ( We also note that if α = 0. Quiz 12. us (United States) Zip Code:71901 . it will be simpler to use the result of Problem 2.) To determine whether the chain is null recurrent or positive recurrent.

01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . This implies πi+1 = p πi . 014. 1.}.01 1 3 0. 2. 5. α= (1 − p)q Requiring the state probabilities to sum to 1. the limiting state probabilities are πi = (1 − α)α i .com Phone:5017621195 In the above chain. we have that πi = π0 α i where p . . .1 since the task completes at rate 3 per msec and the processor reboots at rate 0. . 1−α (4) Thus for α < 1. AR. .9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. (1 − p)q (1) (2) Since Equation (2) holds for i = 0.01 p2 = 2 p1 + 3 p3 3. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. for α ≥ 1 or. 1. From the Markov chain. hot springs. i = 0.01 p3 = 2 p2 + 3 p4 5. an existing customer gets one unit of service and then departs the store. 620 p0 1. p ≥ q/(1 − q). i + 2.1 per msec and the rate to state 0 is the sum of those two rates. . πi p = πi+1 (1 − p)q. By applying Theorem 12. 381 (1) Address:104 pine meadows loop.13 with state space partitioned between S = {0. p3 in terms of p2 and so on. .Name:joey iwatsuru Email:joeyiwat@yahoo. . (5) In addition. we note that (1 − p)q is the probability that no new customer arrives. 1. we obtain the following useful equations for the stationary distribution. . . Quiz 12. we see that for any state i ≥ 0. we have that for α < 1. the limiting state probabilities do not exist.01 0.01 2 3 3 3 4 Note that q10 = 3.01 p1 = 2 p0 + 3 p2 5. i} and S = {i + 1. . ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1.. .01 0. . equivalently. . us (United States) Zip Code:71901 .

1015 p4 = 0. 014. . . 381/2. 401 and the stationary probabilities are p0 = 0. .4151 p1 = 0.0655 Quiz 12. 2. . c + 2.1606 p3 = 0.10 The M/M/c/∞ queue has Markov chain λ λ λ λ λ (2) 0 µ 1 2µ cµ c cµ c+1 cµ From the Markov chain. 443. . AR. . . . . c + 2. . (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. . . . 2. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 Address:104 pine meadows loop. hot springs. c (ρ/c) pn−1 n = c + 1.com Phone:5017621195 Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo. .2573 p2 = 0. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. c n−c c p0 (ρ/c) ρ /c! n = c + 1.

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Probability and Stochastic Processes 2nd Roy D Yates and David J Goodman

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