- #1
aliirmak
- 1
- 0
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 auto-correlation is a function of τ. But I am pretty badly stuck at finding auto-correlation of X. How should i proceed?
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 auto-correlation is a function of τ. But I am pretty badly stuck at finding auto-correlation of X. How should i proceed?