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    Exercise 3

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    This document contains 6 exercises related to stochastic processes and probability. The exercises involve calculating expectations and covariances of Poisson, stationary, and weakly stationary processes, as well as proving weak laws of large numbers for independent and weakly dependent random variables. Solutions should be emailed to joonas.am.turunen@helsinki.fi for comments and corrections.

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    Exercise 3

    Uploaded by

    drive quinto
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    This document contains 6 exercises related to stochastic processes and probability. The exercises involve calculating expectations and covariances of Poisson, stationary, and weakly stationary processes, as well as proving weak laws of large numbers for independent and weakly dependent random variables. Solutions should be emailed to joonas.am.turunen@helsinki.fi for comments and corrections.

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    This document contains 6 exercises related to stochastic processes and probability. The exercises involve calculating expectations and covariances of Poisson, stationary, and weakly stationary processes, as well as proving weak laws of large numbers for independent and weakly dependent random variables. Solutions should be emailed to joonas.am.turunen@helsinki.fi for comments and corrections.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    17 views2 pages

    Exercise 3

    Uploaded by

    drive quinto
    This document contains 6 exercises related to stochastic processes and probability. The exercises involve calculating expectations and covariances of Poisson, stationary, and weakly stationary processes, as well as proving weak laws of large numbers for independent and weakly dependent random variables. Solutions should be emailed to joonas.am.turunen@helsinki.fi for comments and corrections.

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    © All Rights Reserved
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    University of Helsinki / Department of mathematics and statistics

    Stochastic methods for physics and biology, spring 2016


    Exercise 3
    12.2.2016

    Questions, comments and corrections to joonas.am.turunen@helsinki.fi.

    1. Let X ∼ Poisson(λ), λ > 0. Define Y = χ(X > 0), where χ is the indicator
    function. Calculate the conditional expectation E(X|σ(Y )).

    2. (Pavliotis, Chapter 1: 1.(a), 2.)


    (a) Let Y0 , Y1 , . . . be a sequence of independent identically distributed random vari-
    ables and consider the stochastic process Y := (Yn )∞ n=0 . Show that Y is a strictly
    stationary process.
    (b) Let Z be a random variable and define the stochastic process X = (Xn )∞ n=0 by
    Xn = Z , n = 0, 1, 2, . . . . Show that Xn is a strictly stationary process.

    3. (Pavliotis, Chapter 1: 3.) Let A0 , A1 , . . . , Am and B0 , B1 , . . . , Bm be uncorrelated


    random variables with mean zero and variances E(A2i ) = σi2 , E(Bi2 ) = σi2 , i =
    1, . . . , m. Let ω0 , ω1 , . . . , ωm ∈ [0, π] be distinct frequencies and define, for n =
    0, ±1, ±2, . . . , the stochastic process
    m
    X
    Xn = (Ak cos(nωk ) + Bk sin(nωk )) .
    k=0

    Calculate the mean and the covariance of Xn . Show that it is a weakly stationary
    process.

    4. (Pavliotis, Chapter 1: 4.) Let {ξn : n = 0, ±1, ±2, . . . } be uncorrelated random


    variables with E(ξn ) = µ, E(ξn − µ)2 = σ 2 , n = 0, ±1, ±2, . . . . Let a1 , a2 , . . . be
    arbitrary real numbers and consider the stochastic process

    Xn = a1 ξn + a2 ξn−1 + · · · + am ξn−m+1 .

    (a) Calculate the mean, variance, and the covariance function of Xn . Show that it
    is a weakly stationary process.
    √
    (b) Set ak = 1/ m for k = 1, . . . , m. Calculate the covariance function and study
    the cases m = 1 and m → ∞.

    5. Prove the following weak law of large numbers: Let {ξi }ni=1 be a sequence of i.i.d.
    random variables defined over the same probability space. Let Xn := ni=1 ξi /n.
    P

    Then if E(ξ1 ) = µ < ∞ and E(ξ12 ) = C < ∞ we have

    lim P(|Xn − µ| ≥ ε) = 0
    n→∞

    for all ε > 0. That is, Xn converges in probability to µ. You might want to exploit
    the Chebychev’s inequality

    E(X − µ)2
    P(|X − µ| ≥ ε) ≤ .
    ε2
    6. Assume in the previous exercise that instead of independence the random variables
    {ξi }ni=1 are weakly dependent, in the sense of exponential decay of the correlations:

    hξi , ξj i := E(ξi − µ)(ξj − µ) = Kλ|i−j|

    where K, λ ∈ R with 0 < K < ∞ and 0 < λ < 1. Prove the weak law of large
    numbers in this setting.

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