Let = X + Nt = μ+ €t-1 Vet X₁ Yt Zt = with A, ER and where {e} {n} are independent white noise processes with {e} WN (0,0²), and {n} ~ WN(0,02). Find ex- pressions for the following in terms of model parameters and where possible use notation of Kronecker-Delta functions: (a) cov(Xt-Et-k, Yt), for all k.

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
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Chapter1: Starting With Matlab
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Let
X₁ = x + nt
Yt
Zt
'=
μ + €t-1
Vet
with A, ER and where {t} {n} are independent white noise
processes with {e} ~ WN(0, 0²), and {n} ~ WN(0,02). Find ex-
pressions for the following in terms of model parameters and where
possible use notation of Kronecker-Delta functions:
(a) cov(Xt-et-k, Yt), for all k.
Transcribed Image Text:Let X₁ = x + nt Yt Zt '= μ + €t-1 Vet with A, ER and where {t} {n} are independent white noise processes with {e} ~ WN(0, 0²), and {n} ~ WN(0,02). Find ex- pressions for the following in terms of model parameters and where possible use notation of Kronecker-Delta functions: (a) cov(Xt-et-k, Yt), for all k.
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