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2.1 Suppose that (x,) is a stationary process with constant mean , = E(x)= and autocorrelation function p. Define =-Ex, to be the sample mean of xxx, 1174 Prove that var(2) [1+2(1-4] where y-var(x,).

2.1 Suppose that (x,) is a stationary process with constant mean , = E(x)= and autocorrelation function p. Define =-Ex, to be the sample mean of xxx, 1174 Prove that var(2) [1+2(1-4] where y-var(x,).

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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2.1 2.2 QUESTION 2 Suppose that (x,) is a stationary process with constant mean , = E(x) = μ and autocorrelation function P₁. Define x = -x, to be the sample mean of x,....... Prove that var(x)= = %= [1+2 (1-4) p.] v where %= var(x,). Show that the autoregressive process, AR (3) given by x,x+(x2-x)+z₁, where 2-wn(0,0) has autocorrelation function p₁ = (Ak+ + B) () + C (-) a values of constants A,B and C. and also obtain the
Transcribed Image Text:2.1 2.2 QUESTION 2 Suppose that (x,) is a stationary process with constant mean , = E(x) = μ and autocorrelation function P₁. Define x = -x, to be the sample mean of x,....... Prove that var(x)= = %= [1+2 (1-4) p.] v where %= var(x,). Show that the autoregressive process, AR (3) given by x,x+(x2-x)+z₁, where 2-wn(0,0) has autocorrelation function p₁ = (Ak+ + B) () + C (-) a values of constants A,B and C. and also obtain the
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