CHAPTER 12 12-1 x(t) = 10 + y(t) R(t) = 2 6(x) E(y(t)} = 0 E{n,} = E{x(t)} = 10 C(t) = 26(r) Poa 7 dl i ls, oe 1 . ra - = i “oy” ora J CO - oT dt x | 28(r) dt T -T —T 12-2 The process x(t) is normal (note correction) and such that Fux Fe) as tte a We shall show that it is mean-ergodic, It suffices to show that {see (12-10)] cr) + 0 as tte Proof. We can With this sume (scaling and centering) that n= 0 C(O) = 1. sumption, the RVs x(t +r) and x(t) are N(0,031,1;r) where r= r(x) = C(a) is the autocovariance of x(t). Hence, £ (x, x30) = —Li— exp} -_1 wai” alin i 2 -3n &- ~»{ e? Clearly, £(x,y) = £(y,x), hence, (see figure) ne 1 2nvI=ee 2(1-r2) 1 = —i— exp] - F(xtdx, x+ax3t) - F(x,x,1) = 2 fete de dx -/2 (E=xr) >| dbe dx 173Furthermore, FP (x4 dx) ~ F2(x) = 2 F(DE (Rae x Froethe above and (1) it follows that | bare dy 6( 32) — 30 Amt) poe : 0 oe Hence, r(t) +0 ast +e 12-3 If x(t) is normal, then [see (12-27)] Cg) = REHORGATE RIE) 2(e) = x(e+Ax(0) If, therefore, (t) = 0 for |t|>a, then c.() = 0 for |t|>A+a. 12-4 rf x(t) = a e+) chen the time-average t + i x(etaa*(e)ae = oJ [al? T 12-5 TE z(t) = x(t +A)y(t), then Gyg() = Mgletd + Dy Ce HCE AACE) — ROD and the result follows from (12-5). 17412-6 12-7 The process Z(t) = «(t -8) 4s stationary with mean 7 and covariance E(x) given by [see (10-176) and (10-177)] T if aed | n(epat Gn) =F | cle ta ede ° a TE R(t +t,t) +n2(e) as r+= (note correction), then C(t+1,t)—+0 hence (+) —+ 0 tt. 1° This shows that [see (12-10)], X(t) 1s ergodic, therefore, oe + J ae = E J x(e)dt— 7 << mcg This yields the desired result because for a specific outcome, 0(c) = @ 4s a constant and 7 +8 x(t)de = tim al x(t)de note cee From (9-38) it follows that ae an wade [ff ceyrepeeye,« [ J ecesoene where D is the parallelogram in the figure. Given ¢>0, we can find a constant +, 17512-8 lcce+z,t)| t, (uniform continuity). Furthermore, if C(e,t)

Espo)? var §,(0) = 2|r(0,0)|? = 2¢87«s,(0)) ‘The remaining part of the problem is more difficult. We outline the proof (For details see Papoulis, Signal Analysis). From (1) and the convolu- tion theorem it follows that reo « [eae sae) sit Tides) a SY ada If S(w) 4s nearly constant in an interval of length 1/T, then it can be taken outside the integral sign. Hence, Tuy) = sv) j Sep stata sqvy #8 T(u +v) mw T(u + v-a) a Tie +v) This yields T(uy-u) * S(w) < Taw) * S(u) S827 eo are Var Sp(w) <2 Fis (ENS (0) TH 17912-14 The function ? w) = J e(edx(tye Fae = ie the Fourier transform of the product 1 lel 0,0 <0 < 2m, and once again substituting these into (12-177) we obtain EP, (o9) = RO) eM — e040 50-10 RIG) eH = Ro) [0% — io*+0) 390] = 2) R(0) err? sin (v@) — BP - §) Due to the strict Hurwitz nature of P,1(2), as @ varies from 0 to 2r, there is no net increment in the phase term ¥(0), and the entire argument of the sine term above increases by nx. Consequently P,(e) equals zero atleast at n distinct points 0),02,-*On, 0 < 0; < 2x. However P,(2) is a polynomial od degree n in z and can have atmost n zeros, Thus all the above zeros are simple and they all lie on the unit, circle, (b) Suppose P,(2) and P,-:(2) has a common zero at z = 2. Then |zo| > 1 and from (12-137), we get 20 $n Pya(zo) = 0 which gives s, = 0, since P,_1(20) # 0, (Px1(2) has all its zeros in lz] < 1). Hence s, # 0 implies P,(2) and P, (2) do not have a common zero. 18312.21 Substituting s, = p",|p| <1 in (12-177) we get PP" Paz) = Pa—a(2) — (20)" Prs(/2") Let a = zp and Pa(a/p) = An(a) so that the above iteration reduces to VI= PF An(@) = An-a(r) — 2" AR_,(1/2") = Apa(e) — 2A, a(x) From problem (12-20), the polynomial ,(:r) has all its zeros on the unit circle (since s, = 1). ie., ny = ot = 4p. e the zeros 24 = (I/p)e% or |zx| = 1/p. (The zeros of P,(2) lie on a circle of radius 1/p) 12.22 The Levinson Polynomials P,(2) satisfy the recusion in (12-177). Define sf, = N"sy, [A] = 1, and replacing s, by s, and P,(2) by Pé(2) in (12-177) we get = 28, Py = Pha) — 2A)" 8 Pra) (UY: ) Let y = =) and define Pf(y/2) = simplifies to A,(y) so that the above recursion An(y) = Analy) = 9" 80 Apa (1/y") = Analy) — yn Ani(y) and on comparing with (12-177), we notice that An(y) = Pay) = P,(Az). Thus P,(A2) represents the new set of Levinsion Polynomials 18412.23 (a) In this case S(0) (0?\[ = [1 - €9]? = 2” — e- = 211 — cos0) so that ro = 2,r1 = —1.rx = 0,|A| > 2. Substituing these values into (9-196) and taking the determinant of the tridiagonal matrix T,, we obtain the recursion [Dal = An = 2An—1 — Anz 2p and hence we get A,=n+2, n20. Using (12-192) and (9-196) we get (b) The new set of reflection coefficient sj, = —s, switches around the Levinson Polynomials P,(z) and Q(z), and hence it follows that they correspond to the positive-real function which gives rf 185