soln2

soln2 - EE 562a Homework Solutions 2 5 February 2007 1 1....

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Unformatted text preview: EE 562a Homework Solutions 2 5 February 2007 1 1. Solution: When you see a problem like this you must immediately find the eigenvalues/vectors. This is easy for the given matrix because the third component of y ( u ) is uncorrelated with the first two components. This implies that e 3 = 1 , is an eigenvector with corresponding 3 = 3. The other two eigenvectors can be found by finding the eigenvectors of the (2 2) matrix 3- 1- 1 3 . so the other eigenvectors/values are e 1 = 1 2 1 1 , 1 = 2 e 2 = 1 2 1- 1 , 2 = 4 . (a) The mean squared length of y ( u ) is E {| y ( u ) | 2 } = E { y t ( u ) y ( u ) } = E { tr( y ( u ) y t ( u )) } = tr( E { y ( u ) y t ( u ) } ) = tr( R y ) = tr( K y ) = 9 , where we used m y = and tr( ) is the trace function.. (b),(c) It is always true that the variance computation is V ar b t y ( u ) = b t K y b . In addition, since E { b t y ( u ) } = b t m y = 0 , there is no difference between the variance and the second moment (what if the mean of y ( u ) was not ?). It then follows that b max = e max = 1 2 1- 1 V ar b t max y ( u ) = max = 4 b min = e min = 1 2 1 1 V ar b t min y ( u ) = min = 2 . (d) This is simply Chebychevs inequality P {| y ( u ) | > 10 } E {| y ( u ) | 2 } 10 2 = 9 / 100 = 0 . 09 . 2 EE 562a Homework Solutions 2 5 February 2007 2. Solution: In each of the parts of this problem we want to choose a deterministic matrix H and a deterministic vector c so that the random vector x ( u ) = Hw ( u ) + c has the desired second order statistics. We are given that K w = I and m w = . w (u) H Hw (u) + c c Desired 2nd Order Statistics In other words, we solve for H and c from m x = E { Hw ( u ) + c } K x = E { [ Hw ( u )][ Hw ( u )] ) } Simplifying implies c = m x HH = K x , so the choice of c is obvious, and H results from the factorization of the non-negative definite covariance matrix. (a) Of course c = m x = [1 2 3] t . Well find H by the direct method: H = h 11 h 21 h 22 h 31 h 32 h 33 . Substituting this into HH = K x yield the following equations h 2 11 = 1 h 11 h 21 = 1 h 11 h 31 = 1 h 2 21 + h 2 22 = 2 h 21 h 31 + h 22 h 32 = 2 h 2 31 + h 2 32 + h 2 33 = 3 . Solve this system of equations in the order in which they were written gives The result is H = 1 0 0 1 1 0 1 1 1 (b) Again c = m y = [1 1- 1- 1] t . By solving det( K y- I ) = 0, the eigenvalues of this rank-2 matrix are easily shown to be 4, 2, and 0 (twice). Corresponding eigenvectors ( e s) are then found by solving K y e = e for each choice of the eignevalue . In this case there is a two-dimensional space of eigenvectors with eigenvalue 0 and any pair of linearly independent vectors from this space is a basis for that set. Because we want to use eigenvectors as elements of an orthogonal/unitary matrix, we add the constraint that the eigenvectors be an orthonormal set. Orthonormal eigenvectors and their eigenvaluesthe eigenvectors be an orthonormal set....
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soln2 - EE 562a Homework Solutions 2 5 February 2007 1 1....

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