Difference between revisions of "ECE PhD QE CNSIP Jan 2004 Problem1.4" - Rhea

Latest revision as of 00:05, 10 March 2015

4. (30 pts.)

Assume that $ \mathbf{X}\left(t\right) $ is a zero-mean, continuous-time, Gaussian white noise process with autocorrelation function $ R_{\mathbf{XX}}\left(t_{1},t_{2}\right)=\delta\left(t_{1}-t_{2}\right) $. Let $ \mathbf{Y}\left(t\right) $ be a new random process defined by $ \mathbf{Y}\left(t\right)=\frac{1}{T}\int_{t-T}^{t}\mathbf{X}\left(s\right)ds $, where $ T>0 $ .

(a)

What is the mean of $ \mathbf{Y}\left(t\right) $ ?

$ E\left[\mathbf{Y}\left(t\right)\right]=E\left[\frac{1}{T}\int_{t-T}^{t}\mathbf{X}\left(s\right)ds\right]=\frac{1}{T}\int_{t-T}^{t}E\left[\mathbf{X}\left(s\right)\right]ds=\frac{1}{T}\int_{t-T}^{t}0ds=0. $

(b)

What is the autocorrelation function of $ \mathbf{Y}\left(t\right) $ ?

$ R_{\mathbf{YY}}\left(t_{1},t_{2}\right)=E\left[\mathbf{Y}\left(t_{1}\right)\mathbf{Y}^{*}\left(t_{2}\right)\right]=E\left[\right] $

(c)

Write an expression for the second-order pdf $ f_{\mathbf{Y}\left(t_{1}\right)\mathbf{Y}\left(t_{2}\right)}\left(y_{1},y_{2}\right) $ of $ \mathbf{Y}\left(t\right) $ .

(d)

Under what conditions on $ t_{1} $ and $ t_{2} $ will $ \mathbf{Y}\left(t_{1}\right) $ and $ \mathbf{Y}\left(t_{2}\right) $ be statistically independent?