Question: A zero-mean, stationary, first-order Gauss-Markov random process with correlation coefficient p = 0.99. Thus the source samples evolve according to the following equation X(n) =

A zero-mean, stationary, first-order Gauss-Markov random process with correlation coefficient p = 0.99.

Thus the source samples evolve according to the following equation X(n) = px (n − 1) + W(n) where W(n) is an iid zero-mean Gaussian random process with variance ow and W(n) is independent of X(n - m), where m=1,2,..... (a) Calculate the auto-correlation function Rxx(k), k = 0,1,2....

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