Consider a pair of stationary processes X (t) and Y (t). Show that the cross-correlations R XY
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Consider a pair of stationary processes X (t) and Y (t). Show that the cross-correlations RXY (τ) and RYX (τ) of these processes have the following properties:
(a) RXY (τ) = RYX (-τ)
(b) | RXY (τ) | < ½ [RX (0) + RY (0)]
Where RX (τ) and RY (τ) are the auto correlation function of X (t) and y (t), respectively
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