GENERAL INSTRUCTIONS

1. The work submitted by you MUST be your own.

2. Use A4 sheets only. Write on both sides.

3. Turn in the Matlab code and output results in black and white wherever applicable.

4. The copied / derived work will be awarded zero credit.

5. Put Assignment Question Sheet before your Solution.

RP Assignment 1 Operations on Multiple RVs (CLO-1)
1. : ulation
Name verification of median of Rayleigh distributed R
___________________ Regn. No. _____________
Max. Marks: 20 Due Date: _____________

Problem 1:
Find the mean value of the function (, ) = 2 + 2 where and are RVs defined by the density
2 2 2
( + )/2
function , (, ) = 2 2 with 2 a constant.

Problem 2:
|11 |
Show that the correlation coefficient satisfies the expression: || = 1.
02 20

Problem 3:
Two RVs have a uniform density on a circular region defined by:
1 2 + 2 2
, (, ) = { 2
0 elsewhere
Find the mean value of the function (, ) = 2 + 2 .
Verify your results in Matlab.

Problem 4:
Statistically independent RVs and have moments 10 = 2, 20 = 14, 02 = 12, and 11 = 6. Find
the moment 22 .

Problem 5:
In a control system, a random voltage is known to have a mean value = 1 = 2 and a second
moment
2 = 2 = 9 2 . If the voltage is amplified by an amplifier that gives an output = 1.5 +
2, find 2 , , 2, 2 , and .

Problem 6:
The cosine inequality, sometimes called Schwarzs inequality for RVs and is:
[()]2 ( 2 )( 2 )

Prove its validity.

Problem 7:
Zero-mean Gaussian RVs and have variances 2 = 3 and 2 = 4, respectively, and a correlation
1
coefficient = 4.

a) Write an expression for the joint density function.

1 2
b) Show that a rotation of coordinates through the angle = 2 1 [ 2

2 ]will produce new

statistically independent RVs.
Verify your results in Matlab.

Problem 8:
Two Gaussian RVs and have variances 2 = 9 and 2 = 4, respectively, and a correlation coefficient
. It is known that a coordinate rotation by an angle /8 results in new RVs 1 and 2 that are
uncorrelated. What is ?

Problem 9:
Let and be jointly Gaussian RVs where 2 = 2 and = 1. Find a transformation matrix such that
new RVs 1 and 2 are statistically independent.

Problem 10:
4 2.05 1.05
Zero-mean Gaussian RVs 1 , 2 , and 3 having a covariance matrix [ ] = [2.05 4 2.05] are
1.05 2.05 4
transformed to new variables 1 = 51 + 22 3 ; 2 = 1 + 32 + 3 ; 3 = 21 2 + 23 .
a) Find the covariance matrix of 1 , 2 , and 3 .
b) Write an expression for the joint density function of 1 , 2 , and 3 .

Problem 11:
Use Matlab to generate = 100 values 1 , = 1,2, , , of a RV 1 uniform on (0,1).
Repeat the process for a second RV 2 with values 2 .
Use (5.6-1) and (5.6-6) to create two sets of values 1 and 2 , = 1,2, , , of two zero-mean
2 2
Gaussian RVs 1 and 2 having respective variances 1
= 4 and 2
= 9, and normalized
correlation coefficient = 0.4.
Compare true and estimated values of means, variances, and normalized correlation coefficient.
Repeat the above steps except use = 1000 values of 1 and 1000 values of 2 .
Comment on the advantage of using = 1000 instead of using = 100.

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