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Problem 1 - 12 POINTS TOTAL. Let Xo, W1, W2, W3, ... be a sequence of zero-mean pairwise uncorrelated random variables with Cov(Xo) = 02
Problem 1 - 12 POINTS TOTAL. Let Xo, W1, W2, W3, ... be a sequence of zero-mean pairwise uncorrelated random variables with Cov(Xo) = 02 > 0. and Cov(Wn) = 02(1 - p2) for all n = 1, 2, 3, ... where p E (-1, 1) For n = 1, 2, 3, ... let: Xn = pXn-1 + Wn Also consider a 3-dimensional innovations sequence formed from the above process: XA 1 0 O Xo YA O X1 XA 1 X2 . 4 POINTS Is the above process wide-sense stationary? . 4 POINTS Is the innovations process wide-sense stationary? . 4 POINTS If V ~ Normal (0, 1) then is Xn = 2 cos(n) + V sin(n) is a wide-sense stationary process
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