12 A random process has sample functions of the form xr(t)= A cos (@ t+ 0) in whichA and o are constants and 0 is a random variable.(i) Prove that this process is stationary in the wide sense ife is uniformly distributedbetween 0 and 2n.

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Answered: 2 A random process has sample functions…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Show that the random process X(t) =cos(2π fot + θ) Where θ is an random variable uniformly distributed in the range {0, π/2, π, π/3} is a wide sense stationary process .
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A stochastic process (SP) X(t) is given byX(t) = Asin(ωt + Φ)where A and Φ are independent random variables and Φ is uniformly distributed between 0 and 2π.a) Calculate mean E[X(t)]. b) Calculate the auto-correlation RX (t1,t2).c) Is X(t) wide sense stationary (WSS)? Justify your answer.Now consider that X(t) is a Gaussian SP with mean μX (t) = 0.5 and auto-correlation RX (t1,t2) =10e−14 |t1−t2|. Let Z = X(5) and W = X(9) be the two random variables.d) Calculate var(Z), var(W), and var(Z + W). e) Calculate cov(ZW).
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Let i_t denote the effective annual return achieved on an equity fund achieved between time (t -1) and time t. Annual log-returns on the fund, denoted by In(1 + i_t) , are assumed to form a series of independent and identically distributed Normal random variables with parameters u = 6% and o = 14%.An investor has a liability of £10,000 payable at time 15. Calculate the amount of money that should be invested now so that the probability that the investor will be unable to meet the liability as it falls due is only 5%. Using only formulas, no tables
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2 A random process has sample functions of the form x(t) =A cos (o t + 0) in which A and o are constants and 0 is a random variable. (i) Prove that this process is stationary in the wide sense if e is uniformly distributed between 0 and 2n. %3D