Chapter 3

Random Processes

3.1 (a) The mean and autocorrelation functions of ) (t X are

+ =
8 /
8 /
0 0
cos
2 4 4
) cos( )] ( [ t
A
d t A t X E
) 2 2 cos(
2
cos
2
)] 2 2 2 [cos(
2
cos
2
)] cos( ) cos( [ ) , (
0 0
2
0
0 0
2
0
0 0 0
+

+ =
+ + + =
+ + + = +
t
A A
t E
A A
A t A E t t R
xx
2
2


(b) E[X(t)] and R
xx
(t + , t) are functions of time, then the process X(t) is not
stationary.

3.2 (a) At ) 0 ( 1 ) ( 0
0
X t s T = = = , and at ) 1 ( 0 ) ( 1
0
X t s T = = = . Then, we
have


(b) ]} ) ( ) ( [ { )] ( ) ( [ ) , (
0 0 0 2 0 1 2 1 2 1
t T T t X T t X E E t X t X E t t R
xx
= = =

35
FX (x ; 0) fX (x ; 0)
1
1
x
x
1 0
2
1
2
1

2
1

Signal Detection and Estimation
36

) 1 ( ) 1 (
2
1
) ( )
2
1
) 1 ( ) 1 ( ) 1 ( ) 0 ( ) 0 ( ) 0 (
2 1 2 1
0 2 1 0 2 1
+ =
= + = =
t s t s t s s(t
T P t s t s T P t s t s




3.3 (a) The time average of ) (t X is
)] ( [ 0 ) cos(
2
1
lim ) (
0
t X E d t A
T
t x
T
T
T
= + = > <

ensemble average.
Therefore, the process ) (t X is not ergodic in the mean
(b)

+ + + = > + <
T
T
T
dt t A t A
T
t x t x ) cos( ) cos(
2
1
lim ) ( ) (
0 0 0

+ = ) , ( cos
2
0
2
t t R
A
xx
The process is not ergodic in
the autocorrelation.

3.4 (a) )] ( ) ( [ ) , (
2 2
t X t X E t t R
yy
+ = +

) 2 cos(
8 4
)] 2 cos( ) 4 2 4 [cos(
8 4
)] 2 2 cos( ) 2 2 2 [cos(
4 4
) 2 2 cos(
2
1
2
1
) 2 2 2 cos(
2
1
2
1
)] ( cos ) ( cos [
0
4 4
0 0 0
4 4
0 0 0
4 4
0 0 0
4
0
2 2
0 0
2 2
+ =
+ + + + =
+ + + + =
)
`

+ +
(

+ + + =
+ + + =
A A
t E
A A
t t E
A A
t t E A
t A t A E



t2
1/2
1/2
-1/2
-1/2
3/2
3/2
Height
2
1

t1
Random Processes

37
(b) )] ( cos [ )] ( [ )] ( [
0
2 2 2
+ = = t A E t X E t Y E

2
)] 2 2 [cos(
2 2
2
0
2 2
A
t E
A A
= + + = = constant. Therefore, Y(t)
is wide-sense stationary.

3.5 (a) ] [ ] [ ] [ )] ( [
) ( ) ( + +
= =
t j t j
e E A E Ae E t X E , where

=
0
2
2
2
2
2
] [
a
da e
a
A E
a
and
. 0 )] ( [ 0
2
1
] [ ] [
2
0
) (
= =

= =

+
t X E d e e e E e e E
j t j j t j t j

(b)
) ( 2 ) ( ) (
2 1
2 1 2 1
] [ ] [ ) , (
t t j t j t j
xx
e A E Ae Ae E t t R
+ +
= = , where

=
0
2
2
2
3
2
2 ] [
2
2
da e
a
A E
a

Let t
1
= t + and t
2
= t ) ( 2 ) , (
2
= = +

xx
j
xx
R e t t R . Therefore, ) (t X is
wide-sense stationary.

3.6 (a) The autocorrelation function of Z(t) is
) ( ) ( ] [ )] ( ) ( ) ( ) ( [ )] ( ) ( [ ) (
2 2
= + + = + =
yy xx zz
R R A E t Y t Y t X t X A E t Z t Z E R ,
since A, X(t) and Y(t) are statistically independent.

. 13 ) 2 ( 9 ] [ ] [
2 2 2 2
= + = + = A E A E
a
Therefore,
) 9 ( cos 26 ) (
3 2
+ = e e R
zz

(b) From(3.31), we have 0 )] ( [ ) ( lim
2
= =

t Z E R
zz
. Therefore, the mean of
) (t Z
0 )] ( [ = t Z E
Signal Detection and Estimation
38
Since 0 =
z
m , then )] ( [
2 2
t Z E
z
= . Hence,
. 260 ) 1 9 ( 26 ) 0 ( )] ( [
2
= + = =
zz
R t Z E
3.7 Let s(t) be the square wave with amplitude A and without the shift t
0
. s(t)is
periodic. From (3.40) we have
). ( ) ( ) ( ) ( ) (
] [
) , (
0
0 0 2
0
0 1
2
2 1
= +

= =
xx
T T
xx
R dt t s t s
T
dt t t s t t s
T
A E
t t R
2

Two possible cases (i)
2
0
T
and (ii) 0
2

T
.
(i) For
2
0
T
, we have




(ii) For 0
2

T
, we have





|
.
|

\
|
=

|
.
|

\
|
+ |
.
|

\
|
= +

T
R
T T T
dt t s t s
xx
T
4
1 ) (
2 2
) 1 (
2
) 1 ( ) ( ) (
2
0
2 2


s(t+)
t
t
T T/2
-1
+1
)
2
(
T

s(t)
Random Processes

39




)
4
1 ( ) (
2
T

R
xx
+ = as shown below


A plot of the autocorrelation function is shown below












3.8 (a) As in the previous problem, s(t) is periodic and T
0
is uniformly distributed
over the period X(t) is stationary in the wide-sense.



s(t+)
t
t
T T/2
-1
)
2
(
T
s(t)

+ + + + = +

)]
2
( )[ 1 ( ]
2
)
2
[( ) 1 ( )] (
2
)[ 1 ( ) )( 1 ( ) ( ) (
0
T
T
T T T
dt t s t s
T


RXX ()
T/2 -T/2 T/4
-3T/4
3T/4
-T/4
-
2

2

Signal Detection and Estimation
40
(b) Consider one period only


A. x
A
x
x F
A
Tx T
t T
T
t P t T
A
Tx
t P
T
T t
A
Tx T
T P
A
Tx
T t T P x t X P
t X , P
A x x t X P t X P x F
A x x F
t
t
t X
t t
t t
t
t t t X
t t X
t
t
t
+ =
+ < + < =
+ < + + + < = <
= =
< < + = =
> =
0 for
4 4
3
) ( Therefore,
].
8 4 4
[ ]
8
[
]
4 8 4
[ ]
8
[ ] ) ( 0 [
and
4
3
] 0 ) ( [ Hence
. 0 for ] ) ( 0 [ ] 0 ) ( [ ) (
and , for 1 ) (
0 0
0 0 0 0





x(t)
X(t)
A
T
t
T0
4
0
T
T +
A
t Tx
T
8
) (
0
+
A
t Tx T
T
8
) (
4
0
+
xt
A
3/4
1
) (
t
t
X
x F
Random Processes

41

(d)

= = =
8 4
) ( )] ( [
0
A
dx
A
x
dx x f x t X E
A
t
t
t t X t
t
and
.
192
13
12
)] ( [
2 2
2
2
A
A
t X E
t
x
= =
(e)

= = > <
T
A
dt t x
T
t x
0
8
) (
1
) ( and
12
) (
2
2
A
t x = > < .
3.9 (a) In fixing 2 / 1
1
= t and 2 / 3
2
= t , we obtain two independent random
variables ( ) 2 / 1 X and ( ) 2 / 3 X with marginal density functions
|
.
|

\
|
= |
.
|

\
|
2
rect
2
1
2
1
;
x
x f
X
and |
.
|

\
|
= |
.
|

\
|
2
rect
2
1
2
3
;
x
x f
X
. Therefore, the joint density
function is just the product of the marginal density functions to yield
4
1
2
1
2
1
) 5 . 1 , 5 . 0 ; 0 , 0 ( = =
X
f .

(b) We observe that the duration of 1 second represents the length of a pulse
and thus, the samples spaced 1 second apart will be independent
4
1
) 5 . 1 , 5 . 0 ; 0 , 0 ( =
Y
f as in (a).

3.10 )] ( ) ( [ ) ( t Y t Y E R
yy
+ =

. R R R
t X t X t X t X E
xx xx xx
) 1 ( ) 1 ( ) ( 2
)]} 1 ( ) ( )][ 1 ( ) ( {[
+ + + =
+ + + + =


) (
t
t
X
x f
xt
A
0
(3/4)
A 4
1
(c)

=
=
otherwise , 0
0 ,
4
1
0 , ) (
4
3
) (

A x
A
x x
x f
t
t t
t X
t


Signal Detection and Estimation
42


3.11 The autocorrelation function of the process ) 1 ( ) ( ) ( = t X t Y t Z is

)]} 1 ( ) ( )][ 1 ( ) ( {[ ) ( + + = t X t Y t X t Y E R
zz


) ( ) (
) ( ) 1 ( ) 1 ( ) (
+ =
+ + =
xx yy
xx xy yx yy
R R
R R R R

since R
yx
= R
xy
= 0 from orthogonality. Therefore, ) ( 2 ) ( 2 ) ( f S f S f S
xx yy zz
= =
as shown below.












3.12 )]. ( [ )] ( [
6 2
t X E t Y E = From Equation (2.80), we have

( )
3
2 6
3
6
6
15 15
2 ! 3
! 6
)] ( [ = =

=


t X E where,
the variance .
2
) (
0
0
0
0 2

= = = =

N
df e N df e
N
df f S
f f
xx

Therefore,
the mean square value .

15 )] ( [
3
0 2
|
|
.
|

\
|
=
N
t Y E

+1 -1 +2 -2
2 2
1
+1 -1 +2 -2

0 0
1
Ryy ()

2
+1 -1
+ 1
f
0
Szz (f)
Random Processes

43
3.13 ) 2 ( ) 1 ( ) ( ) ( ) ( ) ( ) (
2 1
+ = + = t X t X t h t X t h t X t Y . Thus,
) 1 ( ) 1 ( ) ( 2
) 1 ( ) 1 ( ) ( ) (
)]} 2 ( ) 1 ( [ )] 2 ( ) 1 ( {[ ) (
+ + + =
+ + + + =
+ + + + =
xx xx xx
xx xx xx xx
yy
R R R
R R R R
t X t X t X t X E R
















3.14 (a) ) 1 ( ) ( ) ( + = t N t N t Y or, we have





with ) 1 ( ) ( ) ( + = t t t h . From (3.135),
2
) ( ) ( ) ( f H f S f S
nn yy
= where
f j
e f H
2
1 ) (

+ = and thus, ( )( ) ( ) f e e f H
f j f j


+ = + + =
+
2 cos 1 2 1 1 ) (
2 2
2
.

Hence, the output power spectral density is ] 2 cos 1 [ ) rect( 2 ) ( f f f S
yy
+ = .














2 1 0 -1 -2
1
) (
yy
R
) (t h
) (t Y ) (t N
-1/2 1/2 0
f
) ( f S
yy
4
Signal Detection and Estimation
44
(b) )]} ( ) ( )][ ( ) ( {[ )] ( ) ( [ ) ( t N t V t N t U E t Z t W E R
wz

+ + + + = + =
) ( ) ( + =
nn uv
R R

Since ) (t U and ) (t N are statistically independent and zero mean. Hence,
) ( ) ( ) ( f S f S f S
nn uv wz
+ = as shown below.










3.15 ) ( ) ( ) ( ) (
) (
=

h h R R
g
xx yy
4 43 4 42 1


For 0 1 , we have

+ = + =
1 1
) (
) 1 ( ) 1 ( ) ( dt e t e dt e t g
t t
=
2
e

For 1 0 , we have







e e dt e t dt e t g
t t +

+ = + + =

2 ) 2 ( ) 1 ( ) 1 ( ) (
) 1 (
0
1 0
) ( ) (

+1 -1 0
+1 -1 0

) ( f S
wz
f
1/2 -1/2
3/2
Random Processes

45
For 1 , we have






e e e dt e t dt e t g
t t +

+ = + + =

2 ) 1 ( ) 1 ( ) (
) 1 ( ) 1 (
0
1
1
0
) ( ) (

Now, ). ( ) ( ) ( = h g R
yy
In the same manner, we have:

For 1 ,
) e e e e e
dt e e e e
dt e e t e dt e e t R
t t t t
t t t t t
yy
2 1 3 3
1
) 1 ( ) 1 (
0
1
1
0
) 1 ( 2
3
2
3
1
3
1
(
] 2 [
] 2 ) 2 ( [ ) ( ) (

+
+ + =
+ +
+ + =

For 0 1 ,
e e e e e e
dt e e e e
dt e e t e dt e e t R

t t t t
t t t t t
yy
]
3
2
3
1
) 1 [(
] 2 [
) 2 2 ( ) ( ) (
2 1 3 3
1
) 1 ( ) 1 (
0 1
0
1 2

+
+ + + =
+ +
+ + =

For 1 0 ,

e e e e e e e e
dt e e e e dt e e t e R

t t t t t t t
yy
]
2
1
3
2
3
2
2
1
[
] 2 [ ] 2 2 [ ) (
2 1 3 3 1 2
1
) 1 ( ) 1 (
1
) 1 (

+
+ + + =
+ + + =



+1
-1
0
Signal Detection and Estimation
46
For 1 ,
. e e
2
1
e
2
1
] 2 [ ) (
1 1 ) 1 ( ) 1 ( +

+
+ = + =

dt e e e e R
t t t t
yy

3.16 ) ( ) ( ) (
2
f S f H f S
xx yy
= . The transfer function of the RC network is
RC f j
f H
+
=
2 1
1
) ( . Hence,
2 2 2
2
4
2
) (
f
d e e f S
f j
xx
+

= =

) 4 1 )( 4 (
2
) (
2 2 2 2 2 2 2
C R f f
f S
yy
+ +

=
3.17 The transfer function of the RLC network is
RC j LC
C j
L j R
c j
f H
+
=

+ +

=
2
1
1
1
1
) (
The mean of the output is 2 ) 0 ( ) ( ) ( = = =
x y x y
m m H t m t m . Also,
) ( ) ( ) (
2
f S f H f S
xx yy
= where
2 2
4 4
4
) ( 4 ) (
f
f f S
xx
+
+ =
Therefore,

+
+
+
=
2 2 2 2 2
1
1
) ( 4
) ( ) 1 (
1
) (
f
f
RC LC
f S
yy


3.18 The spectrum of ) ( f S
nn
does not contain any impulse at f and thus,
0 )] ( [ )] ( [ = + = t N E t N E . The samples at t and + t are uncorrelated if
0 ) , ( = + t t C
nn
. It follows that the samples are uncorrelated provided
. 0 ) ( =
nn
R Hence,
Random Processes

47
.
2
2 sin
2
) ( )] ( ) ( [ ) (
0
2 0 2

= = = + =
B
B
f j f j
nn nn
B
B
B N df e
N
df e f S t N t N E R


From the plot of ) (
nn
R ,













We observe that 0 ) ( =
nn
R for ... , 2 , 1 ,
2
= = k
B
k
. Therefore, the
sampling rates are ,
2 1
k
B
f
s
= =

K , 3 , 2 , 1 = k .

3.19 (a) Nyquist rate . sec
2
1
2
1
= =
c
f
T
(b)

<
= =
otherwise , 0
1 , 1
) rect( ) rect( ) (
f f
f f f S
xx




sinc sinc sinc ) (
2
. R
xx
= =


or, { } )
2
1
( ) ( ] ) 1 [( ) (
xx xx
R T R T n X nT X E = = + since sec
2
1
= T . Therefore,
2
2
2
2
2
) 2 (
)
2
( sin
)
2
1
( sinc )
2
1
( |
.
|

\
|

= =
xx
R and
2
2
|
.
|

\
|
=

since the process is zero

mean and stationary; that is, a shift in time does not change .

) (
nn
R
B 2
1
B 2
2
B 2
3
B 2
4

B 2
1
B 2
2
B 2
3

B 2
4

B N
0

0
Signal Detection and Estimation
48
3.20 From (3.31), ( ) . 2 )] ( [ 4 ) ( lim )] ( [
2
= = =

t X E R t X E
xx
The mean of
Y(t) is

= = =
t t
t d d X E t Y E
0 0
2 2 )] ( [ )] ( [ Y(t) is not stationary.

3.21 If ), ( 2 ) , (
2 1 2 1
t t t t R
xx
= then

=
1 2
0 0
2 1
) ( 2 ) , (
t t
yy
d d t t R .
We have 2 cases:
2 1
t t > and
2 1
t t < .

Case1:
2 1
t t >

= =
(
(

=
2 2 1
0 0
2
0
2 1
. 2 2 ) ( 2 ) , (
t t t
yy
t d d d t t R









Case2:
2 1
t t <

= =
(
(

=
1 1 2
0 0
1
0
2 1
. 2 2 ) ( 2 ) , (
t t t
yy
t d d d t t R











Therefore,

<
<
= =
1 2 2
2 1 1
2 1 2 1
, 2
, 2
) , min( 2 ) , (
t t t
t t t
t t t t R
yy
.



=
t1 t2
t2
0


=
t1
t1
t2
0
Random Processes

49
3.22 (a)

=
1
0
) ( dt t X I
a
. From (2.80),

=
odd , 0
even ,
2 )! 2 / (
!
] [
2



n
n
n
n
X E
n
n
n
.
Hence,
2
4
4
2 ! 2
! 4
] [ =
a
I E . The variance of I
a
is ] [ ] [
2 2 2
a a i
I E I E
a
= with

= =
1
0
0 )] ( [ ] [ dt t X E I E
a
and .
3
2
] [
2
=
a
I E Hence, .
3
2
] [
2 2
= =
a
I E After
substitution, we obtain .
3
4
4 ! 2
3
2
! 4
] [
4
4
=
|
.
|

\
|
=
a
I E

(b) 0 ] [ ] [ ] [ = =
b a b a
I E I E I I E since 0 ] [ =
a
I E and the random variable I
b
is
obtained independently from I
b
.

(c) The mean of I
c
is

= =
(
(

=
T T
c
dt t X E dt t X E I E
0 0
. 0 )] ( [ ) ( ] [ Hence,
]. [ ] var[
2
c c
I E I = Using (3.203), the variance of I
c
is


=
|
|
.
|

\
|
= =
T
T
T
T
xx xx xx c
T d R T d R
T
T d R T I
1
1
. ) ( ) ( 1 ) ( ) ( ] var[
or,

= = =

1
0
1
0 0
) 1 ( 2 ) 1 ( 2 ) ( ) ( 2 ) ( ) ( ] var[ d d T d R T d R T I
T
xx
T
T
xx c

T T =
3
1
for . 1 >> T

3.23 (a) We first compute the mean of Y(t) to obtain

= =
t t
d X E d X E t Y E
0 0
)] ( [ ] ) ( [ )] ( [
But,
1 )] ( [ 1 ) ( lim )] ( [
2
= = =

t X E R t X E
xx

Signal Detection and Estimation
50
Therefore, t d t Y E
t
= =

0
) 1 ( )] ( [ , which is function of time ) (t Y t is not
stationary.

(b)

=
(
(

= =
1 2 2 1
0 0 0 0
2 1 2 1
) , ( ) ( ) ( )] ( ) ( [ ) , (
t t
xx
t t
yy
d d R d X d X E t Y t Y E t t R


=
1 2
0 0
) (
t t
xx
d d R

3.24 (a) ) (t X and ) (

t X orthogonal . 0 ) (

=
x x
R From (3.225),
) (

) (

) (

= =
xx xx x x
R R R which is not zero for all . (a) is False.

(b) j H j t X = )} (
~
{ H )] (

) (

[ )} (

) ( { t X t X j t X j t X + = + , but ) ( ) (

t X t X = and
hence, j H j t X = )} (
~
{ = + ) (
~
) ( ) (

t X t X t X (b) is true.

(c) If
t f j
e t X t X
0
2
1
) ( ) ( = is an analytic signal 0 ) (
1 1
= f S
x x
for 0 < f .
. ) ( ] ) ( ) ( [ )] ( ) ( [ ) (
0 0 0
1 1
) (
1 1
+
= + = + =
j
xx
t j t j
x x
e R e t X e t X E t X t X E R
The power spectral density of the process ) (
1
t X is then ) ( ) (
0
1 1
f f S f S
xx x x
= ,
which is zero if
c
f f >
0
so that all the spectrum will be shifted to the right.

(d)

= = =
c
f
xx x x x x
df f S df f S R t X E
0
~ ~ ~ ~
2
) ( 4 ) ( ) 0 ( )] (
~
[ , since from (3.235),

<
>
=
0 , 0
0 , ) ( 4
) ( ~ ~
f
f f S
f S
xx
x x
.
Hence,

= =
c c
f
xx
f
xx
t X E df f S df f S
0
2
0
)] ( [ 2 ) ( 2 2 ) ( 4 (d ) is true.

Also,

)] 0 (

) 0 ( [ 2 ) 0 ( )] (
~
[ ~ ~
2
xx xx x x
R j R R t X E + = = from (3.233) possibly true if
, 0 ) 0 (

=
xx
R but ) (

) (

=
xx xx
R R from (3.225). At 0 = , we have
Random Processes

51
) 0 (

) 0 (

xx xx
R R = and thus, = = = )] ( [ 2 ) 0 ( 2 )] (
~
[ 0 ) 0 (

2 2
t X E R t X E R
xx xx

(d ) is true.

3.25 (a) The equivalent circuit using a noiseless resistor is










The transfer function
RC j LC
L j R
C j
C j
j H
n
v v
+
=
+ +

=
) 1 (
1
1
1
) (
2 0
. Hence,
the power spectral density of ) (
0
t v is
RC j LC
kTR
f S j H f S
n n n
v v v v v v
+
= =
) 1 (
2
) ( ) ( ) (
2
2
0 0 0
.
(b) The input impedance is
2 2 2
2 2
2 2 2
) ( ) 1 (
) 1 (
) ( ) 1 (
) (
1
) (
1
) (
RC LC
C R LC L
j
RC LC
R
L j R
C j
jL R
C j
j Z
+

+
+
=
+ +

=
But Nyquist theorem says

kT S
vv
2 ) ( = e
2 2 2
) ( ) 1 (
2
)} ( {
RC LC
kTR
j Z
+
= which agrees with the result
obtained in (a).






R
L
C v0(t)
+
_

Vn (t)
) ( j Z
Signal Detection and Estimation
52
3.26 (a) The equivalent circuit with noiseless resistors is








2
2
2
1
) ( ) ( ) ( ) ( ) ( ) ( ) (
2 2 1 1
2 2 1 1 0 0
f H f S f H f S f S f S f S
e e e e
n n n n v v v v v v
+ = + =
Using superposition principle, the power spectral density at the terminal pairs for
each source is
2
2 1
1 1
)] ( [ 1
1
2 ) (
1 1
R R C
R kT f S
v v
+ +
= and
2
2 1
2 2
)] ( [ 1
1
2 ) (
2 2
R R C
R kT f S
v v
+ +
= .
Hence, the output power spectral density is
2
2 1
2 2 1 1
)] ( [ 1
) ( 2
) (
0 0
R R C
R T R T k
f S
v v
+ +
+
=
(b) In order to determine the autocorrelation function, we rewrite ) (
0 0
f S
v v
as
2 2
2
2 1
2 1
2 1
2 2 1 1
4
] ) [(
1
) (
1
2
) (
) (
) (
0 0
f
C R R
C R R
C R R
R T R T k
f S
v v
+
+
(

+
+
+
=
Hence,
(

+
+
=
C R R C R R
R T R T k
R
vv
) (
exp
) (
) (
) (
2 1 2 1
2 2 1 1

(c) The mean square value is
C R R
R T R T k
R
vv
) (
) (
) 0 (
2 1
2 2 1 1
+
+
=
_
) (
1 1
T R
C
+

) (
1
t V
n


) (
2
t V
n
) (
1 1
T R
v0(t)
Random Processes

53
Substituting for the given values of C T T R R and , , ,
2 1 2 1
, we obtain
10
10 457 . 0 ) 0 (

=
vv
R . Therefore, the root mean square value is
. V 76 . 6 volts 10 76 . 6
6
=

3.27 The equivalent circuit using a noiseless resistor is









(a) The transfer function relating ) (t I to ) (t V
n
is
L j R
j H
n
in
+
=
1
) ( .

Therefore, the power spectral density of ) (t I is
2 2
2
) (
2
) ( ) ( ) (
L R
kTR
S j H S
n n n
v v iv ii
+
= = = .

(b) From (3.244), we need to determine the power spectral density of the
short-circuit current. Hence, we have, for the circuit below,







2 2 2 2
) (

) (

1 1
L R
L
j
L R
R
L j R Z
Y
in
in
+

+
=
+
= =
Therefore, the power spectral density of the short-circuit current is
kT S
ii
2 ) ( = e
2 2
) (
2 } {
L R
R
kT Y
in
+
=
R
Yin
L
R
I(t)
L

) (t V
n
Signal Detection and Estimation
54
3.28 (a)

= ) ( ) ( ) ( d h t X t Y . The mean of Y(t) is

= = ) 0 ( )] ( ) ( [ )] ( [ H m d h t X E t Y E
x

where, . 1 ) 0 (
0

= =

d e H Hence .
x y
m m =

(b) Since , 0 )] ( [ = =
x
m t X E the mean of Y(t) is 0 )] ( [ = t Y E and the variance is

= . ) ( ) ( ) ( )] ( [
2
d d h h R t Y E
xx

The autocorrelation function of the input is ) ( ) ( = k R
xx
, where k is a constant.
Therefore,

= = = = .
2
) ( ) ( ) ( ) ( )] ( [
0
2 2 2
k
d e k d h k d d h h k t Y E
3.29 Since ) ( f S
nn
does not have an impulse at 0 = f , 0 )] ( [ = t N E and the mean
of the output of the linear filter is . 0 ) 0 ( )] ( [ )] ( [ = = H t N E t Y E Hence, the variance
of Y(t) is

= = = df f S R t Y E
yy yy y
) ( ) 0 ( )] ( [
2 2

where,
2
0
2
) (
2
) ( ) ( ) ( f H
N
f H f S f S
nn yy
= = .
The system function is given by

>

|
|
.
|

\
|

=
B f
B f
B
f
K
f H
, 0
, 1
) (
Therefore,
Random Processes

55


|
.
|

\
|
=
(

|
.
|

\
|
+
(

|
.
|

\
|
+ =

B B
B
y
df
B
f
K N df
B
f
K
N
df
B
f
K
N
0
2
2
0
2
0
0
2
0
0 2
. 1 1
2
1
2


3
2
0
BK N
=