Example 25: Consider a random process X (t) = A cos wot +B sin wot where A aniB are two uncorrelated random variables with zero and equal variance and oOo isa real constant. Find the auto correlation function of X (t) and hence its powerdensity spectrum.

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Answered: Example 25: Consider a random process X…

Linear Algebra: A Modern Introduction

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ISBN:9781285463247

Author:David Poole

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Chapter4: Eigenvalues And Eigenvectors

Section4.6: Applications And The Perron-frobenius Theorem

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Example 25: Consider a random process X (t) = A cos wot + B sin wot where A omi B are two uncorrelated random variables with zero and equal variance and o a real constant. Find the auto correlation function of X (t) and hence its no density spectrum.