Difference between revisions of "ECE PhD QE CNSIP 2007 Problem1" - Rhea

Revision as of 09:53, 10 March 2015

Question

1. (25 Points)

X and Y are iid random variable with

$ P(X=i) = P(Y=i) = \frac {1}{2^i}\ ,i = 1,2,3,... $

a) Find $ P(min(X,Y)=k)\ $.

b) Find $ P(X=Y)\ $.

c) Find $ P(Y>X)\ $.

d) Find $ P(Y=kX)\ $.

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2. (25 Points)

Let $ \left\{ \mathbf{X}_{n}\right\} _{n\geq1} $ be a sequence of binomially distributed random variables, with the $ n $ -th random variable $ \mathbf{X}_{n} $ having pmf $ p_{\mathbf{X}_{n}}\left(k\right)=P\left(\left\{ \mathbf{X}_{n}=k\right\} \right)=\left(\begin{array}{c} n\\ k \end{array}\right)p_{n}^{k}\left(1-p_{n}\right)^{n-k}\;,\qquad k=0,\cdots,n,\quad p_{n}\in\left(0,1\right). $

Show that, if the $ p_{n} $ have the property that $ np_{n}\rightarrow\lambda $ as $ n\rightarrow\infty $ , where $ \lambda $ is a positive constant, then the sequence $ \left\{ \mathbf{X}_{n}\right\} _{n\geq1} $ converges in distribution to a Poisson random variable $ \mathbf{X} $ with mean $ \lambda $ .

Hint:

You may find the following fact useful:

$ \lim_{n\rightarrow\infty}\left(1+\frac{x}{n}\right)^{n}=e^{x}. $

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3. (25 Points)

Let $ \mathbf{X}\left(t\right) $ be a real Gaussian random process with mean function $ \mu\left(t\right) $ and autocovariance function $ C_{\mathbf{XX}}\left(t_{1},t_{2}\right) $ .

(a)

Write the expression for the $ n $ -th order characteristic function of $ \mathbf{X}\left(t\right) $ in terms of $ \mu\left(t\right) $ and $ C_{\mathbf{XX}}\left(t_{1},t_{2}\right) $ .

ref.

There are the note about the n-th order characteristic function of Gaussians random process . The only difference between the note and this problem is that this problem use the $ \mu\left(t\right) $ rather than $ \eta_{\mathbf{X}}\left(t\right)=E\left[\mathbf{X}\left(t\right)\right] $ .

Solution

$ \Phi_{\mathbf{X}\left(t_{1}\right)\cdots\mathbf{X}\left(t_{n}\right)}\left(\omega_{1},\cdots,\omega_{n}\right)=\exp\left\{ i\sum_{k=1}^{n}\mu_{\mathbf{X}}\left(t_{k}\right)\omega_{k}-\frac{1}{2}\sum_{j=1}^{n}\sum_{k=1}^{n}C_{\mathbf{XX}}\left(t_{j},t_{k}\right)\omega_{j}\omega_{k}\right\} $ .

(b)

Show that the probabilistic description of $ \mathbf{X}\left(t\right) $ is completely characterized by $ \mu\left(t\right) $ and autocovariance function $ C_{\mathbf{XX}}\left(t_{1},t_{2}\right) $ .

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