Let {u(t), t E T} and {y(t), t E T}be stochastic processes related through the equation y(t) + a(t – 1)y(t – 1) = u(t) show that R, (s, t) – a? (s – 1)(t – 1)R,(s – 1,t – 1) = Ru (s, t)

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Let {u(t), t e T} and {y(t),t E T} be stochastic processes related through the equation
y(t) + a(t – 1)y(t – 1) = u(t)
-
show that
Ry (s, t) – a? (s – 1)(t – 1)R, (s – 1, t – 1) = Ru(s, t)
-
Transcribed Image Text:Let {u(t), t e T} and {y(t),t E T} be stochastic processes related through the equation y(t) + a(t – 1)y(t – 1) = u(t) - show that Ry (s, t) – a? (s – 1)(t – 1)R, (s – 1, t – 1) = Ru(s, t) -
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