(10-1)
z f Z ( z )dz.
(10-2)
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( x , y )Dz
XY
( x , y ) x y
(10-3)
( x , y )Dz
f XY ( x , y ) x y.
(10-4)
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z f Z ( z )dz
g ( x, y ) f XY ( x, y )dxdy.
(10-5)
or
E [ g ( X , Y )]
g ( x, y ) f XY ( x, y )dxdy.
(10-6)
(10-7)
E ak g k ( X , Y ) ak E [ g k ( X , Y )].
k
k
(10-8)
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g ( x )h( y ) f X ( x ) fY ( y )dxdy
(10-10)
__ __
XY X Y .
(10-11)
(10-12)
Var (U ) E a ( X X ) (Y Y )
(10-13)
5
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Cov ( X , Y )
Cov ( X , Y )
,
X Y
Var ( X )Var (Y )
or
Cov ( X , Y ) XY X Y
1 XY 1,
(10-14)
Var (U )
(10-15)
a
Fig. 10.1
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(10-16)
(10-17)
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0 z 2, 1 w 1, z w 2, z w 2, | w | z ,
otherwise,
(10-18)
w
1
and hence
Fig. 10.2
1
z 2 dw z ,
f Z ( z ) f ZW ( z , w)dw
0 z 1,
1
z- 2 2 dw 2 z, 1 z 2,
2 -z
or by direct computation ( Z = X + Y )
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f Z ( z ) f X ( z ) fY ( z )
and
fW ( w) f ZW ( z , w)dz
2 |w|
|w|
z,
0 z 1,
2 z , 1 z 2,
0,
otherwise,
1 | w |, 1 w 1,
1
dz
0,
otherwise.
2
(10-19)
(10-20)
and
and hence
(10-21)
E (W ) E ( X Y ) 0,
Cov ( Z ,W ) E ( ZW ) E ( Z ) E (W ) 0
(10-22)
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2
Z2 Var ( Z ) E ( Z Z )2 E a ( X X ) b(Y Y )
a 2 E ( X X ) 2 2abE ( X X )(Y Y ) b 2 E (Y Y ) 2
(10-23)
a 2 2 2ab b 2 2 .
X
XY
0,
and
(10-24)
Moments:
E[ X Y ]
k
x k y m f XY ( x , y )dx dy ,
(10-25)
Note that
j ( Xu Yv )
XY (u, v ) XY (0,0) 1.
e j ( Xu Yv ) f XY ( x, y )dxdy. (10-26)
12
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1 XY (u, v )
E ( XY ) 2
j
uv
.
u 0 ,v 0
(10-27)
Also
(10-28)
X (u ) XY (u, 0),
(10-29)
Y ( v ) XY (0, v ).
XY (u, v ) E ( e j ( Xu Yv ) ) e
1
j ( X u Y v ) ( X2 u 2 2 X Y uv Y2 v 2 )
2
(10-30)
1
j X u X2 u 2
2
(10-31)
N
(
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f XY ( X , Y ) f X ( x ) fY ( y ).
(10-32)
15
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1
j ( a X bY ) u ( a 2 X2 2 ab X Y b 2 Y2 ) u 2
2
1
j Z u Z2 u 2
2
(10-33)
where
Z
a X bY ,
(10-34)
Z2
a 2 X2 2 ab X Y b 2 Y2 .
(10-35)
Notice that (10-33) has the same form as (10-31), and hence
we conclude that Z aX bY is also Gaussian with mean and
variance as in (10-34) - (10-35), which also agrees with (1023).
From the previous example, we conclude that any linear
combination of jointly Gaussian r.vs generate a Gaussian r.v.
16
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W cX dY .
(10-36)
(10-37)
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ZW (u, v ) e
1
j ( Z u W v ) ( Z2 u 2 2 ZW X Y uv W2 v 2 )
2
where
(10-38)
Z a X bY ,
W c X dY ,
(10-39)
(10-40)
Z2 a 2 X2 2ab X Y b2 Y2 ,
(10-41)
W2 c 2 X2 2cd X Y d 2 Y2 ,
(10-42)
and
ZW
ac X2 ( ad bc ) X Y bd Y2
.
Z W
(10-43)
18
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Linear
operator
Gaussian output
Fig. 10.3
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Then
Y N (0, 2 ).
(10-44)
(10-45)
we have
Var ( X i ) E ( X i2 ) 2 .
(10-46)
(10-47)
20
PILLAI
Consider
Y (u ) E ( e
jYu
)Ee
j ( X 1 X 2 X n ) u / n
E (e
n
jX i u / n
i 1
X i (u / n )
(10-48)
i 1
jX i u / n
jX i u j 2 X i2u 2 j 3 X i3u 3
2u 2
1
) E 1
o
3/ 2 ,
3/ 2
2! n
3! n
2n
n
n
(10-49)
u
1
Y (u ) 1
o 3 / 2 ,
2n
n
2 2
and as
lim Y (u ) e
n
2 u 2 / 2
(10-50)
(10-51)
21
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since
x
lim 1
n
n
e x .
(10-52)
(10-53)
(10-54)
Y (u ) X (u / n ) e
i 1
|u|/ n
~ C ( n ),
(10-55)
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Z X Y.
(10-56)
Z (u ) X (u )Y (u ).
(10-57)
1 ( e ju 1)
so that
Z (u ) e
( 1 2 )( e ju 1)
Y (u ) e
2 ( e ju 1)
P( 1 2 )
(10-58)
(10-59)