A white Gaussian noise process N(t) with autocorrelation RN(Ï) = αδ(Ï) is passed through an integrator yielding
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Find E[Y(t)] and the autocorrelation function RY(t, Ï). Show that Y(t) is a non-stationary process.
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Y(t) =| N(u) du.
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Writing Yt t 0 Nv dv permits us to write the autocorrelation of Yt as A...View the full answer
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Related Book For
Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers
ISBN: 978-1118324561
3rd edition
Authors: Roy D. Yates, David J. Goodman
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