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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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Consider the following bivariate time series model Xt = Wt, Yt = Wt + Wt-1+ Ut, where {w;} and {; } are standard (variance = 1) Gaussian white nosie and they are independent of each other. Show that (xt , Yt) are jointly weakly stationary.
Transcribed Image Text:Consider the following bivariate time series model Xt = Wt, Yt = Wt + Wt-1+ Ut, where {w;} and {; } are standard (variance = 1) Gaussian white nosie and they are independent of each other. Show that (xt , Yt) are jointly weakly stationary.
Suppose {y:} is given as in Problem 1, while {x;}is instead given by the following signal-plus- noise model: xt =t+ Yt. Find the bivariate autocorrelation function P(8, t) of {x;}with justification. Hint: identify first which is the signal term (non-random) and which is the noise term (random, mean zero).
Transcribed Image Text:Suppose {y:} is given as in Problem 1, while {x;}is instead given by the following signal-plus- noise model: xt =t+ Yt. Find the bivariate autocorrelation function P(8, t) of {x;}with justification. Hint: identify first which is the signal term (non-random) and which is the noise term (random, mean zero).
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