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Assignment 7

This document contains 19 questions related to probability, random variables, and estimation theory. The questions cover topics such as determining the value of a constant to make a function a valid probability density function, showing random variables are independent or uncorrelated, computing mean, variance, and covariance, finding minimum mean squared error estimates of random variables given observations, determining maximum likelihood and maximum a posteriori estimates, and bounding probabilities using Markov's and Chebyshev's inequalities.

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ThiyaguDhanam MohansriRithubaran
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174 views

Assignment 7

This document contains 19 questions related to probability, random variables, and estimation theory. The questions cover topics such as determining the value of a constant to make a function a valid probability density function, showing random variables are independent or uncorrelated, computing mean, variance, and covariance, finding minimum mean squared error estimates of random variables given observations, determining maximum likelihood and maximum a posteriori estimates, and bounding probabilities using Markov's and Chebyshev's inequalities.

Uploaded by

ThiyaguDhanam MohansriRithubaran
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Assignment 7

Q.1: Let fX (x) be given as


fX (x) = Kex
)T

u(x)

(1)

)T ,

Where = (1 , ..., n with i > 0 all i, x = (x1 , ...., xn


u(x) = 1 if xi 0, i = 1, ..., n and zero otherwise,
and K is a constant to be determined. What value of K will enable fX (x) to be a pdf? [S & W, 5.1]
Q.2: Show that the two random variables X1 and X2 with joint pdf
1
|x1 | < 4, 2 x2 4
fX,Y (x1 , x2 ) = 16
0
otherwise

(2)

are independent and orthogonal [S & W, 5.5].


Q.3: Let Xi , i = 1, ..., n be n mutually uncorrelated random vectors with means i = E[Xi ]. Show that [S &
W, 5.7]

2
n
n
X

X


E[ (Xi i ) ] =
E[k(Xi i )k2 ]


i=1

(3)

i=1

Q.4: Let Xi , i = 1, ..., n be n mutually uncorrelated random variables with E[Xi ] = i , i = 1, ..., n. Show that
E[

n
n
n
X
X
X
(Xi i )
(Xj j )T ] =
Ki
i=1

where Ki = E[(Xi i )(Xi i

)T ].

j=1

(4)

i=1

[S & W, 5.8]

Q.5: Explain why none of the following matrices can be covariance matrices associated with real random
vectors [S & W, 5.9]

2 4 0
4 0 0
6
1+j 2
4 6 2
5
1 (d) 6 9 3
(a) 4 3 1 (b) 0 6 0 (c) 1 j
0
1 2
0 0 2
2
1
6
9 12 16
Q.6: Let X = (X1 , X2 , X3 )T be a random vector with = E[X] given by = (5, 5, 6)T and covariance given
by

5 2 1
(5)
K= 2 5 0
1 0 4
Calculate the mean and variance of Y = AT X + B, where A = (2, 1, 2)T and B = 5 [S & W, 5.15].
Q.7: Show that if X = (X1 , ...., Xn )T has mean = (1 , ...., n )T and covariance K = {Kij }nn , then the
scalar random variable Y , given by Y = p1 X1 + ..... + pn Xn has mean and variance as [S & W, 5.17]
E[Y ] =

n
X
i=1

pi i

(6)

Y2

n X
n
X

pi pj Kij

(7)

i=1 j=1

Q.8: Let X = (X1 , ...., X4 ) be a Gaussian random vector with E[X] = 0. Show that [S & W, 5.20]
E[X1 X2 X3 X4 ] = K12 K34 + K13 K24 + K14 K23

(8)

Q.9: Let the joint pdf of X1 , X2 , X3 be given by fX = 23 (x1 +x2 +x3 over the region S = {(x1 , x2 , x3 ) : 0 < xi 1},
i = 1, 2, 3 and zero elsewhere. Compute the covariance matrix and show that the random variables X1 , X2 , X3 ,
although not independent, are essentially uncorrelated. [S & W, 5.21]
Q.10: The random variables X and Y have the joint pdf

2(y + x) 0 x y 1
fX,Y (x, y) =
0
otherwise

(9)

(a) What is fX/Y (x/y), the conditional PDF of X given Y = y? (b) What is x
M (y), the minimum mean
square error estimate of X given Y = y? (c) What is fY /X (y/x), the conditional PDF of Y given X = x? (d)
What is yM (x), the minimum mean square error estimate of Y given X = x? [Y & G, Q-9.1]
Q.11: A telemetry signal, T, transmitted from a temperature sensor on a communications satellite is a Gaussian
random variable with E[T ] = 0 and V ar[T ] = 9. The receiver at mission control receives R = T + X, where
X is a noise voltage independent of T with PDF
1
3 x 3
fX (x) = 6
(10)
0 otherwise
The receiver uses R to calculate a linear estimate of the telemetry voltage: tL (r) = ar + b. (a) What is
E[R], the expected value of the received voltage? (b) What is Var[R], the variance of the received voltage?
(c) What is Cov[T, R], the covariance of the transmitted voltage and the received voltage? (d) What is the
correlation coefficent T,R of T and R? (e) What are a and b , the optimum mean square values of a and b
in the linear estimator? (f) What is eL , the minimum mean square error of the linear estimate? [Y & G, Q-9.2]
Q.12: A receiver at a radial distance R from a radio beacon measures the beacon power to be X = Y 40
40log10 R dB. where Y called the shadow fading factor, is a Gaussian (0, 8) random variable that is independent
of R. When the receiver is equally likely to be at any point within a 1000 m radius circle around the beacon,
the distance R has PDF
 2r
0 r 1000
fR (r) = 106
(11)
0
otherwise
Find the maximum likelihood (ML) and maximum aposteriori (MAP) estimates of R given the observation
X = x. [Y & G, Q-9.3]
Q.13: X and Y have the joint PDF

fX,Y (x, y) =

6(y x) 0 x y 1
0
otherwise

(12)

(a) What is fX (x)? (b) What is blind estimate x


B ? (c) What is the minimum mean square error estimate of
X given X < 0.5? (d) What is fY (y)? (e) What is blind estimate yB ? (e) What is the minimum mean square

PX,Y (x, y)
x=-1
x=0
x=1

Table 1:
y=-3
1/6
1/12
0

Table
y=-1
1/8
1/12
1/24

1
y=1
1/24
1/12
1/8

y=3
0
1/12
1/6

error estimate of Y given Y > 0.5? [Y & G, 9.1.2]


Q.14: X and Y have the joint PDF

fX,Y (x, y) =

6(y x) 0 x y 1
0
otherwise

(13)

(a) What is fX/Y (x/y)? (b) What is x


M (y), the minimum mean square error estimate of X given Y = y? (c)
What is fY /X (y/x)? (d) What is yM (x), the minimum mean square error estimate of Y given X = x? [Y &
G, 9.1.4]
Q.15: X and Y have the joint PDF

fX,Y (x, y) =

2 0xy1
0
otherwise

(14)

(a) What is fX/Y (x/y)? (b) What is x


M (y), the minimum mean square error estimate of X given Y = y? (c)

2
What is e (0.5) = E[(X x
M (0.5)) /Y = 0.5], the minimum mean square error estimate of X given Y = 0.5?
[Y & G, 9.1.5]
Q.16: The random variables X and Y have the joint PDF

2(y + x) 0 x y 1
fX,Y (x, y) =
0
otherwise

(15)

L (y) the minimum mean square error estimate of X given Y ? [Y & G, 9.2.5]
(a) What is X
Q.19: The following table (Table 1) gives PX,Y (x, y), the joint probability mass function (PMF) of random
variables X and Y . (a) Find the marginal PMFs PX (x) and PY (y). (b) Are X and Y independent? (c) Find
) = aY + b be a linear estimator of X. Find a and
E[X], Var[X], E[Y], Var[Y], and Cov[X, Y]. (d) Let X(Y
b , the values of a and b that minimize the mean square error eL . (e) What is eL , the minimum mean square
error of the optimum linear estimate? (f) Find PX/Y (x/ 3), the conditional PMF of X given Y = 3. (g)
Find x
M (3), the optimum (nonlinear) mean square error of X given Y=-3? (h) What is
e (3) = E[(X x
M (3))2 /Y = 3]

(16)

the mean square error of this estimate? [Y & G, 9.2.1]


Q.17: Let R be an exponential random variable with expected value 1 . If R = r, then over an interval of
length T the number of phone calls N that arrive at a telephone switch has a Poisson PMF with expected
value rT . (a) Find the MMSE estimate of R given N . (b) Find the MAP estimate of R given N . (c) Find the
ML estimate of R given N . [Y & G, 9.3.3]
Q.18: For a certain coin, Q, is a uniform (0,1) random variable. Given Q = q, each flip is heads with probability
q, independent of any other flip. Suppose this coin is flipped n times. Let K denote the number of heads in n
3

flips. (a) What is the maximum likelihood estimator of Q given K? (b) What is the PMF of K? (c) What is
the conditional PDF fQ/K (q/k)? (d) Find the MMSE estimator of Q given K = k. [Y & G, 9.3.4]
Q.19: Elevators arrive randomly at the ground floor of an office building. Becuase of a large crowd, a person
will wait for time W in order to board the third arriving elevator. Let X1 denote the time (in second) until
the first elevator arrives and let Xi denote the time between the arrival of elevator i 1 and i. Suppose X1 ,
X2 , X3 are independent uniform (0, 30) random variables. Find upper bounds to the probability W exceeds
75 seconds using (a) the Markov inequality, (b) the Chebyshev inequality. [Y & G, Q 7.2]

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