Unit.5.

Linear System with Random Inputs

MISRIMAL NAVAJEE MUNOTH JAIN ENGINEERING COLLEGE, CHENNAI

DEPARTMENT OF MATHEMATICS
PROBABILITY AND RANDOM PROCESSES (MA2261)
SEMESTER –IV
UNIT-V: LINEAR SYSTEM RANDOM INPUTS
QUESTION BANK ANSWERS
PART-A
Problem 1. If the system function of a convolution type of linear system is given by
1
 for t  a
h  t    2a find the relation between power spectrum density function of
0 for t  a

the input and output processes.
Solution:
sin a 
a
H      h  t  e  i  t dt 
a
a
We know that SYY    H   S XX  
2

sin 2 a
 SYY    S XX   .
a 2 2
Problem 2. Give an example of cross-spectral density.
Solution:
The cross-spectral density of two processes X  t  and Y  t  is given by
 p  iq , if   1
S XY    
0, otherwise
 A, 0  t  1
Problem 3. If a random process X  t  is defined as X  t    , where A is a
0, otherwise
random variable uniformly distributed from  to  . Prove that autocorrelation function
2
of X  t  is .
3
Solution:
RXX  t , t     E  X  t  . X  t    
 X  t  is cons tan t 
 E  A2 
But A is uniform in   , 
1
 f    ,   a  
2

RXX  t , t      a f  a  da
2


 
1 1  a3 
  a . d 
2


2 2  3  

1
Unit.5. Linear System with Random Inputs

1  3 1 2
       .2 3 
3

6   6 3
1
Problem 4. Check whether is a valid autocorrelation function of a random
1  9 2
process.
1
Solution: Given R   
1  9 2
1 1
 R       R  
1  9    1  9
2 2

 R   is an even function. So it can be the autocorrelation function of a random

process.
Problem 5. Find the mean square value of the process X(t) whose power density spectrum
4
is .
4  2
Solution:
4
Given S XX   
4 2

1
Then RXX     S XX   ei d
2 
Mean square value of the process is E  X 2  t    RXX  0 

1
  S XX   d
2 

1 4

2  4 

2
d

4 1  1 
  d 
 4   2 is even 
 0 4  2

4 1  2
 .  tan 1    tan 1   tan 1 0 
 2 2 0 
2 
 . 1
 2
1
 ; 0t T
Problem 6. A Circuit has an impulse response given by h  t    T find the
0 ; elsewhere
relation between the power spectral density functions of the input and output processes.
Solution:
T
H     h  t  eit dt
0

2
Unit.5. Linear System with Random Inputs

T
1  it
 e dt
0
T
T
1  eit 
 
T  i  0
1  e  iT  1 

T  i 



1  e 
 iT

Ti
SYY    H   S XX  
2

1  e   iT 2

 S XX  
 2T 2
Problem 7. Describe a linear system.
Solution:
Given two stochastic process  X 1  t  and  X 2  t  , we say that L is a linear
transformation if
L  a1 X 1  t   a2 X 2  t    a1 L  X1  t    a2 L  X 2  t  
Problem 8. Given an example of a linear system.
Solution:
Consider the system f with output tx  t  for an input signal x  t  .
i.e . y  t   f  X  t    t x  t 
Then the system is linear.
For any two inputs x1  t  , x2  t  the outputs are tx1  t  and tx2  t  Now
f  a1 x1  t   a2 x2  t    t  a1 x1  t   a2 x2  t  
 a1tx1  t   a2tx2  t 
 a1 f  x1  t    a2 f  x2  t  
 the system is linear.
Problem 9. Define a system, when it is called a linear system?
Solution:
Mathematically, a system is a functional relation between input x  t  and output y  t  .
Symbolically, y  t   f  x  t   ,   t  . .
The system is said to be linear if for any two inputs x1  t  and x2  t  and constants
a1 , a2 , f  a1 x1  t   a2 x2  t    a1 f  x1  t    a2 f  x2  t   .
Problem 10. State the properties of a linear system.
Solution:
Let X 1  t  and X 2  t  be any two processes and a and b be two constants.

3
Unit.5. Linear System with Random Inputs

If L is a linear filter then

L  a1 x1  t   a2 x2  t    a1L  x1  t    a2 L  x2  t   .
Problem 11. Describe a linear system with an random input.
Solution:
We assume that X  t  represents a sample function of a random process  X  t  , the
system produces an output or response Y  t  and the ensemble of the output functions
forms a random process Y  t  . The process Y  t  can be considered as the output of
the system or transformation f with  X  t  as the input the system is completely
specified by the operator f .
Problem 12. State the convolution form of the output of linear time invariant system.
Solution:
If X  t  is the input and h  t  be the system weighting function and Y  t  is the output,

then Y  t   h  t   X  t    h  u  X  t  u  du

Problem 13. Write a note on noise in communication system.
Solution:
The term noise is used to designate unwanted signals that tend to disturb the transmission
and processing of signal in communication systems and over which we have incomplete
control.
Noise

Uncorrelated Noise Correlated Noise

Internal Noise External Noise

White Shot Partition Atmospheric Man made

Noise, Noise Noise Noise Noise
Thermal
Noise
Problem 14. Define band-limited white noise.
Solution:
Noise with non-zero and constant density over a finite frequency band is called band-
limit white noise i.e.,
 N0
 ,   B
S NN     2
0 , otherwise
Problem 15. Define (a) Thermal Noise (b) White Noise.
Solution:

4
Unit.5. Linear System with Random Inputs

(a) Thermal Noise: This noise is due to the random motion of free electrons in a
conducting medium such as a resistor.
(or)
Thermal noise is the name given to the electrical noise arising from the random
motion of electrons in a conductor.
(b) White Noise(or) Gaussian Noise: The noise analysis of communication
systems is based on an idealized form of noise called White Noise.

PART-B
Problem 16. A random process X  t  is the input to a linear system whose impulse
response is h  t   2e  t , t  0 . If the autocorrelation function of the process is
RXX    e 2  , find the power spectral density of the output process Y  t  .
Solution:
Given X  t  is the input process to the linear system with impulse response
h  t   2e  t , t  0
So the transfer function of the linear system is its Fourier transform

H     h t  e
 it
dt


  2e
 t  it
e dt  2e  t , t  0 


 2 e1i t dt
0

 e1i t 
 2 
  1  i   0
2 2
  0  1 
1  i 1  i
Given RXX    e 2 

 the spectral density of the input is


S XX      R  eXX
 i
dt



e
2 
 e i d

0 


 e2 e  i d   e 2 e  i d
0
0 
 2 i 
 e d   e  2i  d
 0

5
Unit.5. Linear System with Random Inputs

0 
 e 2i    e  2 i  
    
 2  i      2  i   0
1 1
 1  0  0  1
2  i 2  i
1 1
 
2  i 2  i
2  i  2  i 4
 
 2  i  2  i  4   2
We know the power spectral density of the output process Y  t  is given by
SYY    H   S XX   
2

2
2 4

1  i 4   2
4 4

1    4   2
2

16

1    4   2 
2

Problem 17. If Y  t   A cos 0t     N  t  , where A is a constant ,  is a random

variable with uniform distribution in   ,   and N  t  is a band-limited Gaussian white
 N0
 , for   0  B
noise with a power spectral density S NN     2 . Find the power
0, elsewhere
spectral density of Y  t  . Assume that N  t  and  are independent.
Solution:
Given Y  t   A cos 0t     N  t 
N  t  is a band-limited Gaussian white noise process with power spectral density
N0
S NN    ,   0  B ie. 0  B    0   B
2

Required SYY     R   e
YY
 i
d


Now RYY    E Y  t  Y  t    

 
 E  A cos 0t     N  t    A cos 0t  0     N  t    

6
Unit.5. Linear System with Random Inputs

 A2 cos 0t    cos 0t  0     N  t  N  t     A cos 0 t    N  t    

 E 
 A cos 0t  0    N  t  
 A2 E cos 0t    .cos 0t  0      E  N  t  N  t    

 AE cos  0t     E  N  t    
 AE cos 0t  0     E  N  t    and N  t  are independent]
A2

2

E cos  20t  0t  2    cos 0  RNN   
 A E cos 0t     E  N  t      A E cos 0t  0  2   E  N  t   
1
Since  is uniformly distributed in   ,   the pdf of  is f    ,     
2

E cos 0t       cos  t    f   d
0


1
  cos  t.cos   sin  t.sin   2 d

0 0

 
1  
  cos  0 
t cos  d   sin 0  sin  d  
t
2    
1 
cos 0t sin    sin 0t.0   0


2  

1
Similarly E cos  20t  0  2     cos  2 t     2  2 d
0 0


1

2  cos  2 t     cos 2  sin  2 t     sin 2  d

0 0 0 0

1  
 
 cos  20t  0   cos 2 d  sin  20t  0   sin 2 d 
2    
1  

 sin 2 
 cos  20t  0  .   sin  2 t     .0 0
 2  
0 0
2  
2
A
RYY    cos 0  RNN  
2

 A2 
 SYY       cos 0  RNN   e  i d 
 
2 
 
A2
 cos 0 . e d    R   e
 i  i 
 NN d
2  

A 2

2
   0      0   S NN  

7
Unit.5. Linear System with Random Inputs

 A2 N

2
    0      0   0 , 0  B    0  B
2
Problem 18. Consider a Gaussian white noise of zero mean and power spectral density
N0 1
applied to a low pass RC filter whose transfer function is H  f   . Find
2 1  i 2 fRC
the autocorrelation function.
Solution:
The transfer function of a RC circuit is given. We know if X  t  is the input process and
Y  t  is the output process of a linear system, then the relation between their spectral
densities is SYY    H   S XX  
2

The given transfer function is in terms of frequency f

SYY  f   H  f  S XX  f 
2

1 N0
SYY  f  
1  4 f R C 2
2
2 2 2


1
RYY     S   e
YY
i
d
2 

1 ei 2 f N

2  1  4 2 f 2 R 2C 2 20 d f
ei 2  f

N0
  2 2 2  1
4 2
df
4 R C  2 2 2  f 
 4 R C 
 i  2  f
N0 e
2 
 df
16 R C   1 2
3 2

 f
2

 2 RC 

eimx  ma
We know from contour integration  2 dx  e

a x 2
a

N0  
RYY    e 2 RC
16 R C 2
3 2
1
2 RC

N0 
 2 2
RC e 2 RC
16 3 R 2 C 2

N0 
 e 2 RC
8 RC
Problem 19. A wide-sense stationary noise process N(t) has an autocorrelation function
RNN    Pe 3  , where P is a constant Find its power spectrum
Solution:

8
Unit.5. Linear System with Random Inputs

Given the autocorrelation function of the noise process N  t  is RNN    Pe 3 .


S NN     R   e
XX
 i
d



 Pe
3 
 e  i d


0 

 P   e3 e i d   e 3 e  i d 
  0 
 0 

 P   e  d   e   d 
3i   3 i 

  0 
  e3i   0
 e  3i  


 P    
  3  i      3  i   0
 1
 0  1
1
 P 1  0  
 3  i 3  i  
 1 1 
 P  
 3  i 3  i 
 3  i  3  i  6P
 P 
  3  i  3  i   9  
2

Problem 20. A wide sense stationary process X(t) is the input to a linear system with
impulse response h  t   2e7t , t  0 . If the autocorrelation function of X(t) is
RXX    e 4  , find the power spectral density of the output process Y(t).
Solution:
Given X(t) is a WSS process which is the input to a linear system and so the output
process Y(t) is also a WSS process (by property autocorrelation function)
Further the spectral relationship is SYY    H   S XX  
2

Where S XX   = Fourier transform of RXX  



 R  e
 i
 XX d



e
4 
 e i d

0 

 e e d   e e d
4  i 4  i

 0
0 
  4  i 
 e d   e   4 i  d
 0

9
Unit.5. Linear System with Random Inputs

0 
 e  4 i    e   4i  
    
 4  i    4  i  0
1 1
 e0  e    e   e0 
4  i 4  i
1 1
 
4  i 4  i
4  i  4  i 2i
S XX    
 4  i  4  i  16   2
H   = Fourier transform of h  t 


 h  t e
 it
 dt


  2e 7t .e  it dt h  t   0 if t  0 
0

 2 e  7 i t dt
0

 e  7 i t 
 2 
   7  i   0
2 2
 e  e0  
7  i 7  i
2 2
 H    
7  i 49   2
4
 H   
2

49   2
Substituting in (1) we get the power spectral density of Y(t),
4 2i 8i
SYY    .  .
49   16  
2 2
 49   16   2 
2

Problem 21. A random process X(t) with RXX    e

2 
is the input to a linear system
whose impulse response is h  t   2e  t , t  0 . Find cross correlation RYY   between the
input process X(t) and the output process Y(t).
Solution:
The cross correlation between input X(t) and output Y(t) to a linear system is
RXY    RXX   h  
Taking Fourier transforms, we get
S XY    RXX    H  
Given RXX    e 2 

10
Unit.5. Linear System with Random Inputs


 S XX      R  e
XX
 i
d



e
2 
 e i d

0 

e d   e 2 e i d
2  i
 e
 0
0 
 2i 
 e d   e  2i  d
 0
0 
e  2i 
  e  2 i  
   
 2  i      2  i   0
1 1
 1  0    0  1
2  i 2  i
1 1 4
  
2  i 2  i 4   2

 H     h t  e
 it
dt


 

2 e t e it dt


 e1i t 
1 i t
 2e dt  2  
0   1  i   0
2 2
  0  1 
1  i 1  i
4 2
S XY    .
4   2 1  i
8

 2  i  2  i 1  i 
8 A B C
Let   
 2  i  2  i 1  i  2  i 2  i 1  i
8  A  2  i 1  i   B  2  i 1  i   C  2  i  2  i 
Put   i 2, then 8  A  4  1  A  2
8
  i then 8  C 1 3  C 
3
2
  i 2, then 8  B  4  3  B 
3
2
2 8/3
 S XY     3 
2  i 2  i 1  i

11
Unit.5. Linear System with Random Inputs

Taking inverse Fourier transform

 2 
 2   3  1  8 / 3 
 RXY    F 1  1
  F   F  
 2  i   2  i   1  i 
 
2 8
 2.e 2     e2      e    
3 3
Problem 22. If X(t) is a band limited process such that S XX    0 ,where    prove
that 2  RXX  0   RXX      2 2 RXX  0 
Solution:
Given S XX    0 ,   
 S XX     0 if    or   

1
RXX     S   e
XX
i 
d
2 

1
 S   e
i
 d
2
XX


1

2  S   cos  i sin   dw

XX

 
1  
   XX  
S  cos  dw  i  S XX   sin  dw 
2   
  
  S XX    cos   d   2  S XX   cos   d  and  S   sin   d   0
XX
 0 

1
 RXX    2 S XX   cos  d 
2 0

1
S XX   cos  d 
 0


1
 RXX  0   S XX   d 
 0
...(1)
 
1 1
 RXX  0   RXX     S XX   d    S   cos  d
XX
 
 

1
S XX  1  cos   d 
 


1   
  S XX   2sin 2   d
   2 
We know that sin 2    2

12
Unit.5. Linear System with Random Inputs

2
         2 2
2 2
 2sin 2
    0     ,  2   2 
 2   2  2 2

1  2 2
 RXX  0   RXX    . S XX   d
 0 2

1  2 2
S XX   d 
 2 0


 2 2

2  S   d 
0
XX

2 
 2

2  S   d 
0
XX

 2 2
 RXX  0  [Using (1)]
2
 2  RXX  0   RXX      2 2 RXX  0 
Problem 23. The autocorrelation function of the Poisson increment process is given by
 2 for  

R     2     . Prove that its spectral density is given by
   1   for  
   
t
4 sin 2
S    2 2    2 .
2  2

Solution:
 2 for     or  

Given the autocorrelation function R     2    
    1    for    
  

 The spectral density is given by S     R   e
 i
d , by definition

  

 R   e  R   e d   R   e  i d
 i  i
 d 
  

 2      i
 

         e d

2  i 2  i
  e d    1  e d 
 
   
  
   e d    e d    e d   1   e i d
2  i 2  i 2  i

   
  

      i
  e d   1    e d
2  i


 

13
Unit.5. Linear System with Random Inputs

   
 F  2    1     cos  i sin   d
 
Where F   2  is the Fourier transform of  2
      
   
S    F   2     1   cos  d  i  1   sin  d  .....(1)
       
 
     
But 1   cos is an even function of  and 1   sin  is an odd function of 
   

   
   
 
  1   sin  d  0 and  1   cos  d  2  1   cos  d   0;    
 
  
 0

   
S    F   2   2 1   cos  d
 0  

2    sin    1   cos   
 F  2   1        [by Bernoulli’s formula]
          2   0

2  1    1 
 F    2
 1   sin   cos  
      2
0
2  1 
 F  2    0 2 
cos    cos 0  
   
2 1
 F  2   1  cos   
 2
2 
 F   2   2 2 .2sin 2
  2
4 2 
S    F     2 2 sin
2
....... 1
  2
To find the value of F   2  , we shall find the inverse Fourier transform of S    ,
R    F 1  S   

1
 S   e
i
 d
2 

Consider S    2 2   , where    is the unit impulse function.


1
R     2    e
2 i 
d
2 


    e
i 
 2
d


  .1
2
    t    t  dt    0 


14
Unit.5. Linear System with Random Inputs


 2  e
i 
   d  e 0  1 as     ei 


Thus   R  
2
Taking Fourier transform
F   2   F  R     S    2 2  
4   
Substituting in (1) we get S    2 2    sin 2  .
  2
 2 
2

Problem 24. Suppose X(t) be the input process to a linear system with autocorrelation
1
RXX    3   and the impulse response H     , then find(i) the
6  i
autocorrelation of the output process Y(t). (ii) the power spectral density of Y(t).
Solution:
1
Given RXX    3   and H   
6  i

 S XX     R   e
XX
 i
d



 3   e
 i
 d


 3     e  i d


We know          0 


Here     e  i   0   1
 S XX    3.1  3
We know the spectral relation between input and output process is
SYY    H   S XX   
2

1
But H    
2

36   2
3
 SYY     which is the power spectral density of Y  t 
36   2
Now the autocorrelation of Y  t  is RYY    F 1  SYY   
 3 
RYY    F 1  2 
 36   
 2   
We know F 1  2 2 
e
  
3 1  2.6 
2  
 RYY    F  2 Here   6
2.6  6  

15
Unit.5. Linear System with Random Inputs

1 6 
 e
4

(ii) SYY     R   e
YY
 i
d


1
 4e
6 
 e i d


1   6 i  
0 
  e d   e 6i  d 
4   0 
1   e    e  6i   
0 
6  i 
     
4   6  i      6  i   0 
 
1 1
 0  1 
1
  1  0  
4  6  i 6  i 
1 1 1 
   
4  6  i 6  i 
1  6  i  6  i 
  
4   6  i  6  i  
1  12  3
  2
 .
4  36    36   2
Problem 25. Show that the power spectrum SYY   of the output of a linear system with

system function H   is given by SYY     S XX    H   where S XX   is the

2

power spectrum of the input.

Solution:

If  X  t  is a WSS and if y  t    h   X  t    d 


We shall prove that SYY    S XY   H   .

2


Consider Y  t    X  t    h   d 


X t  Y t    X  t    X  t    h   d 


E  X  t    Y  t     E  X  t    X  t    h   d


RYX      R     h   d
XX


RXY     R     h    d 
XX


16
Unit.5. Linear System with Random Inputs

RXY    RXX   * h   

Y t Y t     X  t    Y  t    h   d 


E Y  t  Y  t     
 R    h   d XY


Assuming that  X  t  & Y  t  are jointly WSS

RYY    RXY   * h   --------- (2)
Taking Fourier transform of (1) we get
S XY     S XX   H *   ------ (3)
Where H *    is the conjugate of H  
Taking Fourier transform of (2) we get
SYY    S XY   H   --------- (4)
Inserting (3) in (4)
SYY    S XX   H *   H   
SYY     S XX   H  
2

Problem 26. A system has an impulse response h  t   e   tU  t  , find the power spectral
density of the output Y  t  corresponding to the input X  t  .
Solution:
Given h  t   e   t , t  0

H     h t  e
 it
dt


H      e   t eit dt
0

 t    i 
 e dt
0

 e  t   i  
 
     i   0
1
H   
  i
1
H    
  i
H     H   H   
2

 1  1 
  
   i     i 

17
Unit.5. Linear System with Random Inputs

1

  2
2

 SYY    H   S XX  
2

S XX  
SYY   
 2  2
Problem 27. If X  t  is the input voltage to a circuit and Y  t  is the output voltage,
 X  t  is a stationary random process with  x  0 and RXX    e
2 
. Find  y , S XX  
1
and SYY   , if the system function is given by H    2 .
  22
Solution:
Given Mean  X  t     X  0

Y t    h   X  t    d 


E Y  t     h   E  X  t    d  0


S XX     RXX   e i d


  

e e cos d  2 e 2 cos d

2   i 2 
 e d 
  0

 2  4
S XX     2  2   2
  4    4
1
H    2
 4
 1  4
SYY    H   S XX     2
2
 2
 4  4
4
SYY   
  4 
2 2

Problem 28. X  t  is the input voltage to a circuit (system) and Y  t  is the output
voltage.  X  t  is a stationary random process with  x  0 and RXX    e
 
. Find
R
 y , S yy   & Ryy   if the power transfer function is H    
R  iL
Solution:

Y t    h   X  t    d 


18
Unit.5. Linear System with Random Inputs


E Y  t     h   E  X  t    d 


E Y  t    0

S XX     R   e
XX
 i
d

0 

 d   e  e i d
  i
 e e
 0
0 
 e i    e  i   1 1 2
       2
   i       i   0   i   i   
2

SYY    S XX    H  
2

2 R

   R  L2 2
2 2
2

Consider,
2 R 2 A B
 2  2
    R  L      R  L2 2
2 2 2 2 2 2

By partial fractions
 
 R2 
 R 2
 2  2 
2  2 2 2    2  R 
SYY     R L    L2 
 2  2 R 2  L2 2
2
R
2
 R2 
2   2  2
  L
. 2
1
 L  . 1
R
2
  2 2
R R
2

    2       2
2

L L L

1 1
 . 2  .
  2
R
2

  
2

L

 e i
  ei
RYY      2  2 d     R 2 2 d
2  2 
  
L
By contour integration technique we know that

eiaz  ab
 z 2  b2 dz  b e , a  0


19
Unit.5. Linear System with Random Inputs

2 2
R R
      R  
 RYY     L
e  
   2 e  L
L
2
R R
   2  
2

L L .
Problem 29. X  t  is the i/P voltage to a circuit and Y  t  is the O/P voltage. X  t  is a
stationary random process with zero mean and autocorrelation RXX    e 2  . Find the
1
mean of Y  t  and its PSD if the system function H    .
J  2
Solution:
1
H   
J  2
1
 H  0 
2
E Y  t    E  X  t   .H  0   0
1
H   
2

 4 2

S XX     F  RXX     F e
2 
  24
  4
4
SYY     H   S XX    
2

  4
2 2

0 2
E Y 2
    2     9  2e  d     2     9  2e  d 
 

2 0
0 2
 9 2
  9 2  

 18  4e   2 e   1   18  4e 
 
2 e   1 
 2  2  2 0
E  Y2   40.542
V ar Y   E Y 2    E Y  
2

 40.542  36  4.542
1
Problem 30. Consider a system with transfer function . An input signal with
1  i
autocorrelation function m    m2 is fed as input to the system. Find the mean and
mean-square value of the output.
Solution:
1
Given, H    and RXX    m     m 2
1  i
S XX     m  2 m 2  
We know that, SYY    H   S XX  
2

20
Unit.5. Linear System with Random Inputs

2
1
  m  2 m 2   
1  i
1
  m  2 m 2    
2 
1 
RYY   is the Fourier inverse transform of SYY   .
m 
So, RYY    e  m2
2
lim
RXX    X
2
We know that
 
2
So X  M 2
X m
Also H  0   1
We know that Y  1, m  m
m
Mean-square value of the output  Y  RYY  0  
2
 m2
2
Problem 31. If the input to a time-invariant, stable, linear system is a WSS process,
prove that the output will also be a WSS process.
Solution:
Let X  t  be a WSS process for a linear time variant stable system with Y  t  as the
output process.

Then Y  t    h  u  X  t  u  du where h(t) is weighting function or unit impulse

response.

 E Y  t     E h  u  X  t  u   du


  h  u  E  X  t  u  du


Since X  t  is a WSS process, E  X  t   is a constant  X for any t.

 E  X  t  u     X

 E Y  t     h u   X du


 X  h  u  du


Since the system is stable ,  h  u  du is finite


 E Y  t   is a constant.

21
Unit.5. Linear System with Random Inputs

Now RYY  t , t     E Y  t  Y  t    

 

 E   h  u1  X  t  u1  du1  h  u2  X  t    u2  du2 
   
  

 E    h  u1  h  u2  X  t  u1  X  t    u2  du1u2 
   
 
   h  u  h  u  E  X  t  u  X  t    u  du u
 
1 2 1 2 1 2

Since X  t  is a WSS process, auto correlation function is only a function time difference.
 
 RYY  t , t       h  u  h  u R   u
1 2 XX 1  u2  du1 du2
 

When this double integral is evaluated by integrating w.r. to u1 , u2 , the R.H.S is only a
function of  .
 RYY  t , t    is only a function of time difference  .
Hence Y  t  is a WSS process.

Problem 32. Let X  t  be a WSS and if Y  t    h  u  X  t  u  du then show that


a) RXY    h    RXX  
b) RYX    h     RXX  
c) Ryy    h    Rxy  
Where  denotes the convolution and H    is the complex conjugate of H   .
Solution:
Given X  t  is WSSE  X  t   is constant and
RXX  t , t     RXX  

Y t    h  u  X  t  u  du


Now RXY  t , t     E  X  t  Y  t    
 

 E  X  t   h  u  . X  t    u  du 
  
 
 
 E   h  u  X  t  X  t    u  du    h  u  .E  X  t  X  t    u   du
   
Since X  t  is a WSS Process,
E  X  t  X  t    u    RXX   u 

 RXY  t , t      h  u  R   u  du
XX


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Unit.5. Linear System with Random Inputs

 RXY    RXX   * h  
(b). Now RYX    RXY   
 RXY    * h     from (i ) 
 RXX   * h    [Since RXX   is an even function of  ]
(c). RYY  t , t     E Y  t  Y  t    
 
 E   h  u  X  t  u  du Y  t    
  
 

 E   X  t  u  Y  t    h  u  du 
  
 
  E  X  t  u  Y  t     h  u  du   R   u  h  u  du
XY
 
It is a function of  only and it is true for any  .
 RYY    RXY   * h  
Problem 33. Prove that the mean of the output of a linear system is given by
Y  H  0   X , where X  t  is WSS.
Solution:
We know that the input X  t  , output Y  t  relationship of a linear system can expressed
as a convolution Y  t   h  t  * X  t 

  h  u  t  u  du


Where h  t  is the unit impulse response of the system.

 the mean of the output is
  
E Y  t    E   h  u  X  t  u  du    h  u  E  X  t  u   du
   
Since X(t) is WSS, E  X  t     X is a constant for any t.
E  X  t  u     X
 
 E Y  t     h u   X du   X  h  u  du
 

We know H   is the Fourier transform of h  t  .


i.e. H      h  t  dt

 
put   0 H  0    h  t  dt   h  u  du
 

E Y  t     X H  0  .

23