Random variables X1 and X2 have zero expected value. The random vector X = [X1 X2] has
Question:
(a) For what values of α and β is C a valid covariance matrix?
(b) For what values of α and β can X be a Gaussian random vector?
(c) Suppose now that α and β satisfy the conditions in part (b) and X is a Gaussian random vector. What is the PDF of X2? What is the PDF of W = 2X1 - X2?
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1β
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a C must be symmetric since EX 1 X 2 1 In addition must be chosen so that C is ...View the full answer
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Related Book For
Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers
ISBN: 978-1118324561
3rd edition
Authors: Roy D. Yates, David J. Goodman
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