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Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.7: Applications

Problem 13EQ

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Given a WSS Gaussian random process X(t,), t, = 1, 2, 3, the autocorrelation function is
Ryy (T) =16el with mean X=3. Find the covariance matrix.
XX

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