University of Illinois Fall 2011

ECE534: Exam II
Monday November 14, 2011
7:00 p.m. 8:15 p.m.
103 Talbot
1. [15 points] Suppose X
t
= V exp(Ut) where U and V are independent, and each is uniformly
distributed over the interval [0, 1].
(a) Find the mean function of X = (X
t
: t R).
Solution:
X
(t) = E[V exp(Ut)] =
1
2
_
1
0
e
ut
du =
_
_
_
e
t
1
2t
t = 0
1
2
t = 0.
(b) Find the autocorrelation function of X = (X
t
: t R).
Solution: R
X
(s, t) = E[V
2
exp(U(s +t))] =
1
3
_
1
0
e
u(s+t)
du =
_

_
e
s+t
1
3(s+t)
s +t = 0
1
3
s +t = 0.
(c) Find P{X
t
1 for 0 t 1}. Simplify your answer as much as possible.
Solution: Since X
t
is increasing in t, the event is the same as X
1
1 or equivalently
V exp(U) 1 or V exp(U). So the probability in question is equal to the area of the
region {(u, v) [0, 1]
2
: v e
u
} which is equal to
_
1
0
exp(u)du = 1 e
1
.
2. [5 points] Suppose Y = (Y
1
, . . . , Y
T
), where T 1 is xed, and Y
1
, . . . , Y
T
are independent
and each has the geometric distribution with parameter , where 0 < 1. Find

ML
(y).
Solution: Let s = y
1
+ +y
T
. Then P(Y = y|) =

T
t=1
p(1p)
yt1
= p
T
(1p)
sT
. Thus,
lnP(Y = y|) = T lnp + (s T) ln(1 p). The derivative of this is
T
p

sT
1p
=
Tsp
p(1p)
which
is positive for p <
T
s
and negative for p >
T
s
. Thus,

ML
(y) =
T
s
.
3. [10 points] (This is an extension of a homework problem.) Suppose an observation Y =
(Y
1
, . . . , Y
T
) has the form Y = Z + N, where Z = (Z
1
, . . . , Z
T
) and N = (N
1
, . . . , N
T
), such
that N
1
, . . . , N
T
, Z
1
, . . . Z
T
are mutually independent, and for each t, Z
t
has the exponential
distribution with parameter , and N
t
has the exponential distribution with parameter one,
and > 0 is an unknown parameter. Note that does not depend on t. Derive the EM
algorithm for nding

ML
(y). That is, determine the rule for obtaining an estimate
(k+1)
from an estimate
(k)
and observed data y = (y
1
, . . . , y
T
).
You may use the fact that for each t, f(y
t
, z
t
|) =
_
e
yt+(1)zt
0 z
t
y
t
0 else
and you may use the function dened by (y
t
, ) = E[Z
t
|y
t
, ].
Solution:
Q(|
(k)
) = E[ lnf
cd
(Y, Z|) |y,
(k)
]
=
T

t=1
E[ lnf(y
t
, Z
t
|) |y
t
,
(k)
]
= T ln + (1 )
T

t=1

_
y
t
,
(k)
_

t=1
y
t
which is a concave function of . The maximum over can be identied by setting the
derivative with respect to equal to zero, yielding:

(k+1)
= arg max

Q(|
(k)
) =
T

T
t=1

_
y
t
,
(k)
_.
4. [15 points] Consider a continuous-time Markov process with the transition rate diagram
shown. The rate for every edge is one.
9
1 2 3
4 5 6
7 8
(a) What is the mean holding time of state 5? That is, given the process enters state 5 at
some given time, what is the mean amount of time until it exits state 5?
Solution: The mean time is one over the sum of rates for exiting state ve, or
1
4
.
(b) What is the equilibrium probability distribution of the Markov process?
Solution: Since the Q matrix is symmetric, the equilibrium distribution is the uniform
distribution over all nine states. That is
i
=
1
9
for all i.
Another approach is to solve the ow balance equations Q = 0. Using symmetry sim-
plies the calculation;
2
=
4
=
6
=
8
and
1
=
3
=
7
=
9
. The ow balance
equation for state 1 becomes 2
1
= 2
2
and the ow balance equation for state 5 becomes
4
5
= 4
2
. This yields
i
=
1
9
for all i as before.
(c) Given the process begins in state 2, what is the mean time until the process reaches
state 1? Give the correct numerical answer for full credit. (Hint: What is M
1
, and how
does knowing M
1
help?)
Solution: Since
i
=
1
q
i,i
M
i
we nd that M
1
=
1
q
1,1

1
= 4.5. That is, the mean round
trip time from state 1 is 4.5. Starting in state 1, the process jumps out of state 1 in 0.5
time units on average because q
1,1
= 2, so the time from jumping out of state 1 until
returning to state 1 has mean 4. Just after jumping out of state 1, the process moves
either to state 2 or state 4, and by symmetry, the mean time to reach state 1 is the same
for either state 2 or state 4. So the mean time to reach state 1 from state 2 is 4.
Another approach is to let h = (h
1
, h
2
, , h
9
)
T
be the column vector such that h
i
is the mean time to reach state 1 starting from state i.. Then h is the solution to
(Qh)
i
= 1 for 2 i 9 and h
1
= 0. The nal answer sought is h
2
. Symmetry helps a
little; h
2
= h
4
, h
3
= h
7
, and h
6
= h
9
. The equations become h
2
= (1/3) + (h
3
+h
4
)/3 :
h
3
= 1/2+(h
2
+h
6
)/2; h
5
= 1/4+(h
2
+h
6
)/2; h
6
= 1/3+(h
3
+h
5
+h
9
)/3; h
9
= 1/2+h
6
.
2