MA034 - RANDOM PROCESSES

QUESTION BANK

PROBABILITY AND RANDOM VARIABLES:

PART A

1. Suppose that 75% of all investors invest in traditional annuities and 45% of them
invest in the stock market. If 85% invest in the stock market and / or traditional
annuities, what percentage invests in both?

2. A factory produces its entire output with three machines. Machines I, II and III produce
50%, 30% and 20% of the output, but 4%, 2% and 4% of their outputs are defective
respectively. What fraction of the total output is defective?

3. Find the moment generating function of a random variable X which is uniformly

distributed over (-2.3) and hence find its mean.

3
4
1
4
2
( )
4. If A and B ate events such that P ( A B ) = , P ( A B ) = , P A = . Find P A | B
3
( )
5. Suppose that for a RV X, E X n = 2n , n = 1, 2,3.... Calculate its moment generating
function.

PART B

2
6. (i) Let X be a continuous RV with pdf f X ( x ) = ,1 < x < 2. Find E [ log X ] (4)
x2

(ii) The average IQ score on a certain campus is 110. If the variance of these
scores is 15, what can be said about the percentage of students with an IQ above
140 ? (6)

(iii) The MGF of a RV X is ( 3et + 7 ) , what is the MGF of Y=3X+2. Also find the mean
2

and variance of X. (6)

2
( x + 1) , 1 < x < 2
7. (i) If the continuous RV X has pdf fX ( x) = 9 , find the pdf
0 otherwise
of Y=X2. (4)

(ii) If the probability that an applicant for a drivers license will pass the road test
on any given trial is 0.8, what is the probability that he will finally pass the test

(a) on the fourth trial (b) in fewer than four trials ? (8)
 (iii) The cumulative distribution function for a RV X is given by
FX ( x ) = 1 e 3 x , x 0 , find Var(3X+2). (4)

8. (i) Let X be an exponential RV with parameter = 1 . Use Chebyshevs inequality,

to find P {1 X 3} . Also, find the actual probability. (6)

f X ( x ) = , 2 < x < 2 .Find P { X > 1}

1
(ii) Let X be a continuous RV with pdf
4
and P {2 X + 1 > 2} (6)

1
(iii) Let X be a RV with the pdf f X ( x ) = < x < . Find the pdf of
(1 + x 2 )
Z = tan 1 X . (4)

9. (i) The time that it takes for a computer system to fail is exponential with mean
700 hours. If a lab has 20 such computer systems what is the probability that
atleast two fail before 1700 hours of use ? (6)

(ii) The Pap test makes a correct diagnosis with probability 95%. Given that the test is
positive for a lady, what is the probability that she really has the
disease? Assume that one in every 2000 women has the disease (on an
average). (5)

(iii) Experience has shown that while walking in a certain park, the time X, in
minutes, between seeing two people smoking has a density function of the form
f X ( x ) = xe x , x > 0. Calculate the value of . Find the cumulative distribution
function of X.What is the probability that George who has just seen a person
smoking will see another person smoking in 2 to 5 minutes? In at least 7 minutes?
(5)

10. (i) Let X be a Gamma RV with parameters n and . Find the moment
generating function of X and use it to find E[X] and Var(X). (6)

(ii) Suppose that, on an average, a post office handles 10,000 letters a day with a
variance of 2000. What can be said about the probability that this post office will
handle between 8000 and 12000 letters tomorrow? (6)

(iii) Peter and Xavier play a series of backgammon games until one of them wins five
games. Suppose that the games are independent and the probability that Peter
wins a game is 0.58.

(a) Find the probability that the series ends in seven games

(b) If the series ends in seven games, what is the probability that Peter wins.
(4)
TWO-DIMENSIONAL RANDOM VARIABLES:

PART A

1. The joint pdf of a bivariate RV (X,Y) is given by f(x,y)= kxy, 0<x<1, 0<y<1,where k
is a constant. Find the value of k.

2. The joint pdf of a RV (X,Y) is given by f ( x, y ) = e y , 0 < x y, find the

conditional cumulative distribution function of Y given that X=x.

3. Let X and Y be two independent RVs, show that Cov(X,XY)=E[Y] VarX

4. Let the jont pdf of (X,Y) be f(x,y)=2, 0<x<y<1. Find the marginal density function of
the RV X.

5. Given that X=4Y+5 and Y=kX+4 are the lines of regression of X on Y and Y on X
respectively. Show that 0<4k<1. If k=1/16 , find the means of the two variables.

PART B

6. Two RVs X and Y have the following joint pdf f ( x, y ) = 2 x y, 0 x 1, 0 y 1.

Find (i) Marginal pdfs of X and Y (ii) Conditional density functions (iii) Var (X) and
Var(Y) (iv) Correlation (v) Lines of regression (16)

7.(i) What is the probability that the average of 150 random points from the interval
(0,1) is within 0.02 of the midpoint of the interval? (8)

(ii) Let X and Y be independent (strictly positive) exponential RVs each with
parameter . Are the RVs X+Y and X | Y independent? (8)

8. Let the joint pdf of (X,Y) be f ( x, y ) = e y , 0 < x < y < . Find r(X,Y).

9. (i) Let X and Y be independent RVs with common pdf f X ( x) = e x , x > 0. Find the
joint pdf of U=X+Y and V=eX. (8)

(ii) Suppose that, whenever invited to a party, the probability that a person attends
with his or her guest is 1/3, attends alone is 1/3, and does not attend is 1/3. A
company invited all 300 of its employees and their guests to a Christmas party.
What is the probability that atleast 320 will attend? (8)

y xy
10. (i) The joint pdf of (X,Y) is f ( x, y ) = e , x > 0, 0 < y < 2 find E[e X |2 |Y = 1] (8)
2

(ii) If X and Y are continuous RVs with joint pdf

3
f ( x, y ) = 2 xy + y 2 , 0 < x < 1, 0 < y < 1 , find the conditional pdfs X and Y. (8)
2
RANDOM PROCESSES:

PART A

1. Given the random process x(t) = cos at + B sin at where a is a constant and A and
B are uncorrelated zero-mean RVs having different density functions but common
variance 2 . Is x(t) wide-sense stationary?

2. Show that a Binomial process is a Markov process.

3. Prove that the sum of two independent Poisson process is a Poisson process.

4. Define (i) Ergodic process (ii) Weakly stationary random process.

5. Show that the interarrival times of a Poisson process with intensity obeys an
exponential probability distribution.

PART B

6.(i) Consider the random process x(t ) = cos(t + ), is a RV with pdf

1
f ( x) = , < < check whether x(t) is first order stationary. (8)
2 2

(ii) A stochastic process is described by x(t ) = A sin t + B cos t where A and B are
independent RVs with zero means and equal variances. Find the variance and
covariance of the given process. (8)

7. (i) Let N(t) be a Poisson process with parameter . Determine the coefficient of
correlation between N(t) and N(t + > 0) ; t>0 , > 0 .

ii) Let { x(t ), t 0} be a Poisson process with parameter . Suppose each arrival is
registered with probability p independent of other arrivals. Let { y (t ), t 0} be the
process of registered arrivals. Prove that Y(t) is a Poisson process with
parameter p . (6)

8.(i) Prove that the process x(t)=8+A with f A ( ) = 1;0 < < 1 is (a) first order
stationary (b) Second-order stationary (c) strictly stationary (d) not ergodic. (8)

(ii) x(t) is a random telegraph type process composed of pulses of heights +1 and -1
respectively. The number of transactions of the t-axis in a time 2 is given by
e 4 4 K
P (k transitions ) = . Classify the above process. (8)
K!

9. Show that the random process x(t ) = cos(t + ) where is uniformly distributed in
( 0, 2 ) is (a) first order stationary (b) stationary in wide sense (c) Ergodic. (16)
 10.(i) Let { x(t ), t 0} be a random process with stationary independent increments,
and assume that x(0) = 0 . Show that cov ( x(t ), x( s ) ) = 12 min(t , s ) , where
12 = Var ( x(1) ) . (8)

(ii) Classify the random process x(t ) = A cos t where A and are RVs with joint
1
pdf f A ( , ) = , 0 < < 2, 8 < < 12. (8)
8

CORRELATION FUNCTION:

PART A

1. Statistically independent zero-mean random processes x(t) and y(t) have

autocorrelation functions Rxx ( ) = e and Ryy ( ) = cos 2 respectively. Find the

autocorrelation function of the sum Z(t)=x(t)+y(t).

2. Suppose that a random process is wide sense stationary with autocorrelation function


Rxx ( ) = e 2
Find the second moment of the random variable x(5) x(3)

3. Show that Rxx ( 0 ) = x 2 .

4. Show that the autocorrelation function Rxx ( ) is maximum at = 0 .

5. If x(t) is a stationary random process having mean value E[x(t)]=3 and

autocorrelation function Rxx ( ) = 10 + 3e . Find the variance of x(t).

PART B

1 0 < t < b
6. Given the random process x(t ) = A g (t nb + )
n where g (t ) = , Ai ' s
n = 0 otherwise
1 1
and are independent RVs with density functions f A ( ) = ( 1) + ( + 1) and
2 2
1
f ( ) = , 0 < < b. The joint probability mass function of Ai is given by
b

Ai +1
-1 +1
Ai

-1 0.2 0.3

+1 0.3
0.2
 Find the autocorrelation function Rxx ( ) in 0 < < b for the above process.

7. Given x(n) = X k ( n k ) where the joint mass function for the RVs X k is given
k
below:-

X k +1
0 1
Xk

0 0.2 0.3

1 0.3 0.2

Find the autocorrelation function Rxx ( k ) and covariance function Lxx (k ) for
k = 0,1, 2,3.

8. Consider the random process x(n) = X (n k )
k =
k where the X k ' s are characterized

by the joint mass function

X k +1 0 1
Xk

0 0.5 0.1

1 0.1 0.3

Find the autocorrelation function Rxx ( k ) and covariance function for k = 0,1, 2,3. for
the above process.

1 0 < t < b
9. Given the random process x(t ) = A g (t nb + )
n where g (t ) = and
n = 0 otherwise
1
the An ' s and are independent RVs with density functions f ( ) = , 0 < < b. and
b
 1 1
f Ai ( ) = ( 1) + ( + 1) Evaluate the autocorrelation function Rxx ( ) in
2 2
0 < < b for the above process. Also the joint probability mass function for the Ai ' s is
given by

Ai +1
-1 +1
Ai

1 1
-1
4 4

1 1
+1
4 4

1 0 < t < b
10. Given the random process x(t ) = An g (t nb + ) where g (t ) = An ' s
0 otherwise
1 1
and are independent RVs with density functions f Ai ( ) = ( 1) + ( + 1)
2 2
1
and f ( ) = , 0 < < b. Evaluate the autocorrelation function Rxx ( ) in 0 < < b .
b
The joint probability mass function of Ai is given by

Ai +1
-1 +1
Ai

1 1
-1
3 6

1 1
+1
6 3
 SPECTRAL DENSITIES:

PART A

1. State and prove any one of the properties of cross spectral density functions.

2. The autocorrelation function of a random process x(t) is Rxx ( ) = 3 + 2e 4 . Find the

2

power spectral density of x(t).

3. A widesense stationary noise process N(t) has an autocorrelation function

RNN ( ) = Pe , < < with P as a constant. Find its power density spectrum.

4. The power spectral density of a stationary random process is a constant in a

symmetrical interval about zero and zero outside the interval. Compute the
autocorrelation function.

5. Which of the following functions could be a power spectral density?

a a
(i) (ii)
b+ f 2 f b
2

PART B

6. (i) Consider two independent zero-mean random processes x(t) and y(t) with power
spectral densities S xx ( jw) and S yy ( jw) respectively. Define new random processes
z(t)=x(t)+y(t), x(t)= x(t)-y(t) and (t ) =x(t)y(t). Find formulas for, S zz ( jw) , Suu ( jw) and
S ( jw) . (8)

1+ 2
(ii) Given the power spectral density . Use residue theory to find the average
4 + 4 2 + 4
power in the process x(t). (8)

7.(i) Two random processes x(t) and y(t) are given by x(t ) = A cos(t + ) and
y (t ) = A sin(t + ) where A and are constants and is a uniform RV over ( 0, 2 ) .
Find the cross-spectral density functions S xy ( ) and S yx ( ) and verify
S xy ( ) = S yx ( ) .

(ii) Find the cross-correlation function corresponding to the cross-power spectrum

6
S xy ( ) = .
( 9 + ) + ( 3 + j )2
2
 2

8.(i) The autocorrelation function of a signal is e 2k 2
where k is a constant. Find the power
spectral density and average power. (8)

(ii) Show that in an input-output system the energy of a signal is equal to the energy of its
spectrum. (8)

9.(i) Define convolution and correlation integrals for an input-output system. State and prove
Wiener-Khinchine theorem. (8)

(ii) A random process x(t) is given by x(t ) = b cos(t + ) were is a RV, b and are
constants. Find the autocorrelation and power spectral density functions. (8)

10. (i) For a linear system with random input x(t), the impulse response h(t) and output y(t),
obtain the cross correlation function and cross power spectral density functions.
(8)
(ii) The power spectrum density function of a wide sense stationary process x(t) is given
1
by S xx ( ) = . Find its autocorrelation and average power.
(4 + )
2 2

(8)

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