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Stochastic Signal Theory 1. The random variable A is Gaussian distributed with mean 10 and standard deviation e20 A random pr

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Answer #1

a) E(X (t)) E(Ae cos(t)) E(A)e cos(t) 10ecos (t) is the mean function since

E(aX aE(X)

Var(X(t) Var(Ae cos(t)) = (e cos(t))2Var(A) (20e cos(t))? since

Var(aX)aVar(X

Autocovariance is EX1 (t)X2(t EX1(T)EX2(t)

EIA2e tt2) cos(t) cos(t)- EAet cos(t)|E| Ae2 cos(t2)]

Which equals e-(1tt) cos(t) cos(t2) E[A21 - (E[A]e cos(t1)) (E[A]e_t2 cos(t2)

Which is EA (EIA)= Var(A) EA] = 202+ 102 - 500

So that e-(1tt) cos(t) cos(t2) E[A21 - (E[A]e cos(t1)) (E[A]e_t2 cos(t2) equals

500e(+t2) cos(t) cos (t2) (10e cos(t)) (10e cos (t2)

Which is (after multiplying out and simplifying)

400e-(+t2) cos(t) cos(t2 is the required autocovariance function

\blacksquare

Please do rate this answer positively if you found it helpful. Thanks and have a good day!

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