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SEM Random Signal

5 Analysis

Preface
As engineering students, we are master procrastinators. We don't study things until we need to,
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Syllabus
Module Content Page
No. nos.
1 Overview of Probability Theory and Basics of Random 05
Variables
1.1 Sample Space, events, set operations, the notion and
axioms of probability.
1.2 Conditional probability, Joint probabilty, Baye's rule,
Independence of events, Sequential Experiments
1.3 Notion of random variable
1.4 Continuous random variables, probability density
function, probability distribution function, Uniform,
Exponential and Gaussain continuous random variables and
distributions.
1.5 Discrete random variables, probability mass function,
probability distribution function, binomial, Poisson and
geometric discrete random variables and distributions.
2 Operations on One Random Variable 21
2.1 Functions of a random variable and their distribution and
density functions.
2.2 Expectations, Variance and Moments of random variable
2.3 Transformation of a random variable, Markov, Chebyshev
and Chernoff bounds, characteristic functions, moment
theorem.
3 Multiple of Random Variables and Convergence 22
3.1 Vector random variables, Pairs of random variables, Joint
CDF, Joint PDF, Independence, Conditional CDF and PDF,
Conditional Expectation.
3.2 One function of two random variable, two functions of
two random variables: joint moments, joint characteristic
function, covariance and correlation-independent,
uncorrelated and orthogonal random variables.
4 Sequence of Random Variables and Convergence 34
4.1 Random sequences, Limit theorems: Strong and weak laws
of larger numbers.

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4.2 Central Limit Theorem and its significance


5 Random Process 42
5.1 Random process: Definition, realizations, sample paths,
discrete and continuous time processes
5.2 Probabilistic structure of a Random process; mean,
correlation and covariance functions, stationarity of random
process.
5.3Ergodicity, Transmission of WSS random process through
LTI system
5.4 Spectral analysis of random processes, power density
spectrum bandwidth, cross power density spectrum
5.5 Gaussian and Poisson random process
6 Markov Chains and Introduction to Queuing Theory 59
6.1 Markov processes
6.2 Discrete Markov chains, The n-step transition
probabilities, steady state probabilites
6.3 Introduction to continuous time Markov chains
6.4 Classifications of states
6.5 Markovian models
6.6 Birth and death queuing models
6.7 Steady state results
6.8 Single and Multiple server Queuing Models
6.9 Finite source models
6.10 Little's Formula

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Distribution Matrix
Module Dec May Dec May
2014 2015 2015 2016
1. Overview of Probability 40 10 35 10
Theory and Basics of Random
Variables
2. Operations on One Random 5 5 - 5
Variable
3. Multiple of Random 10 20 30 30
Variables and Convergence
4. Sequence of Random 15 25 15 10
Variables and Convergence
5. Random Process 40 40 30 25

6. Markov Chains and 15 35 10 30


Introduction to Queuing
Theory

Overall Weightage

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Chap 1| Overview of Probability Theory and


Basics of Random Variables

Q1) State and prove Total Probability theorem and Bayes's theorem?
Ans: [5M, 4M|May 2015, Dec 2014, Dec 2015, May 2016]
Total Probability Theorem:
Statement: If 𝐵1 , 𝐵2 , ……….𝐵𝑛 be a set of exhaustive and mutually exclusive
events and A is another event associated with (or caused by) 𝐵𝑖 , then
𝑛
𝐴
𝑃(𝐴) = ∑ 𝑃(𝐵𝑖 ). 𝑃 ( )
𝐵𝑖
𝑖=1
Proof:
The inner circle represents the event A. A can occur along with (or due to) 𝐵1 ,
𝐵2 , ……….𝐵𝑛 that are exhaustive and mutually exclusive.

∴ 𝐴𝐵1 , 𝐴𝐵2 , 𝐴𝐵3 , 𝐴𝐵4 … … … … … … … . . 𝐴𝐵𝑛 are also mutually exclusive


∴ 𝐴 = 𝐴𝐵1 + 𝐴𝐵2 + 𝐴𝐵3 + 𝐴𝐵4 … … + 𝐴𝐵𝑛 (By Addition Theorem)
𝑛

∴ 𝑃(𝐴) = 𝑃 (∑ 𝐴𝐵𝑖 )
𝑖=1
𝑛

= ∑ 𝑃(𝐴𝐵𝑖 )
𝑖=1
𝑨
∴ 𝑷(𝑨) = ∑𝒏𝒊=𝟏 𝑷(𝑩𝒊 ). 𝑷 ( )…… (A) (Using conditional
𝑩𝒊
probability
𝑃(𝐴𝐵) = 𝑃(𝐴 ∩ 𝐵) =

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𝐵 𝐴
𝑃(𝐵). 𝑃 ( ) = 𝑃(𝐴). 𝑃 ( ))
𝐴 𝐵

Bayes’ Theorem or Theorem of Probability of causes


Statement: If 𝐵1 , 𝐵2 , ……….𝐵𝑛 be a set of exhaustive and mutually exclusive
events associated with a random experiment and A is another event associated
with (or caused by) 𝐵𝑖 , then

𝐴
𝑃(𝐵𝑖 ).𝑃( )
𝐵𝑖 𝐵𝑖
𝑃( ) = 𝐴
i=1, 2 ….n
𝐴 ∑𝑛
𝑖=1 𝑃(𝐵𝑖 ).𝑃( ) 𝐵𝑖
Proof:

We know Conditional Probability is given as:


𝐴 𝐵
𝑃(𝐴𝐵𝑖 ) = 𝑃(𝐴 ∩ 𝐵𝑖 ) = 𝑃(𝐵𝑖 ). 𝑃 ( ) = 𝑃(𝐴). 𝑃 ( 𝑖 ) (1)
𝐵𝑖 𝐴
𝐴
𝑃(𝐵𝑖 ).𝑃( )
𝐵 𝐵𝑖
∴ 𝑃 ( 𝑖) = (2)
𝐴 𝑃(𝐴)

Now using Total Probability Theorem we have


𝐴
𝑃(𝐴) = ∑𝑛𝑖=1 𝑃(𝐵𝑖 ). 𝑃 ( ) (3)
𝐵𝑖
From equation (2) and equation (3)
𝑨
𝑩𝒊 𝑷(𝑩𝒊 ).𝑷( )
𝑩𝒊
𝑷( ) = 𝑨
𝑨 ∑𝒏
𝒊=𝟏 𝑷(𝑩𝒊 ).𝑷( ) 𝑩𝒊
……hence proved

Q2) A certain test for a particular cancer is known to be 95% accurate. A


person submits to the test and the results are positive. Suppose that the
person comes from a population of 100,000 where 2000 people suffer from
that disease. What can we conclude about the probability that the person
under test has that particular cancer?
Ans: (5M| May 2015)
Total Population n(S) =100000
Let ‘A’ be the event that the person is under test, ‘B1’ be the event that the
person has cancer
∴ Probability that a person has the cancer is

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2000
𝑃(𝐵1 ) = = 0.02
100000
Hence probability that a person does not have the cancer:
𝑃(𝐵2 ) = 1 − 𝑃(𝐵1 ) = 1 − 0.02 = 0.98
Probability the test is positive when a person has cancer is:

𝐴 95
𝑃( )= = 0.95
𝐵1 100
Probability the test is positive when a person does not have the cancer is:

𝐴
𝑃( ) = 1 − 0.95 = 0.05
𝐵2
According to total probability theorem
𝒏
𝑨
𝑷(𝑨) = ∑ 𝑷(𝑩𝒊 ). 𝑷 ( )
𝑩𝒊
𝒊=𝟏
𝑨 𝑨
𝑷(𝑨) = 𝑷 ( ) . 𝑷(𝑩𝟏 ) + 𝑷 ( ) . 𝑷(𝑩𝟐 )
𝑩𝟏 𝑩𝟐
𝑷(𝑨) = 𝟎. 𝟗𝟓 × 𝟎. 𝟎𝟐 + 𝟎. 𝟎𝟓 × 𝟎. 𝟗𝟖
𝑷(𝑨) = 𝟎. 𝟎𝟔𝟕𝟐
Using Bayes Theorem
𝑨
𝑩 𝑷(𝑩𝒊 ).𝑷( )
𝑩𝒊
𝑷 ( 𝒊) =
𝑨 𝑷(𝑨)
𝐴
𝐵1 𝑃(𝐵1 ). 𝑃 ( )
𝐵1
𝑃( ) =
𝐴 𝑛 𝐴
∑𝑖=1 𝑃(𝐵𝑖 ). 𝑃 ( )
𝐵𝑖
𝑩𝟏 𝟎. 𝟎𝟐 × 𝟎. 𝟗𝟓
𝑷( ) = = 𝟎. 𝟐𝟖𝟐𝟕
𝑨 𝟎. 𝟎𝟔𝟕𝟐

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