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10 points) Generate a realization of a stationary process with the correlation function (t) -exp(-al Ï„ D (a> 0) using the met


ANSWER

Y(t) has autocorrelation function
RY(t,τ)=E[Y(t)Y(t+τ)]
=E[X(t-t0)X(t+τ-t0)]
=Rx(τ)
The cross correlation of X(t) and Y(t) is
RXY(t,τ)=E[Y(t)Y(t+τ)]
=E[X(t)X(t+τ-t0)]
=Rx(τ-t0)

Comments

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