Final Stochastic Assignments 2021

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1.

Give the proof for the following statements:


(1) The expectation operator is linear, i.e.,
𝐄𝐌𝐁𝐄𝐃
where c is a constant
(2)
(3) if

2. Use the Price's Theorem to prove the following proposition:


If are jointly normal and zero mean, then

and

where a is determined by solving

in which and . Also


= bivariate normal

3. Give the proof for the Theorem:


If X and Y are circularly symmetric and independent, then X and Y are Gaussian
with mean and equal variance

4. Consider a random walk process with time interval T and step size S and X(0)=0.
Let

Question: how to determine the auto-correlation function of X(t)?


X (t ) '
X ( t ) , prove that
5. A SP has a m.s. derivative

∂2 R t ,t
(1) X X 1 2 ∂ t ∂ t XX ( 1 2 )
R ' ' ( t ,t )=

1 2

d2
′ R X ' X ' ( τ )=− R XX ( τ )
(2) if X (t ) is stationary, then dτ 2

6. Consider X ( t ) and to be jointly Gaussian, stationary, and zero mean.

Give the proof for the following statements:


Let
(1)
(2)
(3)
(4)

7. Prove the properties of auto-correlation function of random process :


¿
(1) R (−τ )=R ( τ )

(2) R ( 0 ) ≥0

(3) |Re [ R ( τ ) ]|≤R ( 0 )


n n
is positive definite,i.e.∑ ∑ R ( τ m−τ l ) al a m≥0 ∀ a ,...,a ∀ τ
¿
Where
R (τ ) l=1 m=1 1 m m

8. Consider two random process and ,

where is a constant and is uniformly distributed over any region.

(1) Find the means of and respectively


(2) Show that the cross-correlation function of and is given by
(3) Suppose we sample and and at regular time intervals of duration T to form
two sequences of random variables and respectively. Find the smallest value of T
such that the two sequences are uncorrelated, i.e

9. The transition of wet (w) and dry (D) days in a city is modeled as a Markov chain

with transition probability matrix which is shown as follow , draw the

transition figure of that Markov chain.


If it is dry today, what is the probability that it will be dry 2 days from today?

10. Give the proof for the following statement:


If X(t) is Markoff and Gaussian and zero mean, then its autocorrelation must satisfy
.

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