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Weakly stationary Gaussian process?
X = (Y(t))^2 where Y(t) is zero mean Gaussian process and correlation function R_YY = exp(-λ|τ|) i want to check if X is weakly stationary.So i guess for the first part, i checked if mean is constant σ^2=R_YY = exp(-λ|0|) = 1 E(X^2) = μ^2+ σ^2 = 1 since μ is zero and σ = 1 I wanted to check if...- aliirmak
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- Gaussian Gaussian process Process
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- Forum: Calculus and Beyond Homework Help