Question: Let X(t) be a random process with mean function ux(t) and autocorrelation function Rx(s, t) (X(t) is not necessarily a WSS process). Let Y(t) be

Let X(t) be a random process with mean function ux(t) and

Let X(t) be a random process with mean function ux(t) and autocorrelation function Rx(s, t) (X(t) is not necessarily a WSS process). Let Y(t) be given by Y (t) = h(t) * X(t), Show that: a. My (t) = ux(t) * h(t). b. RxY (t1, t2) = h(t2) * Rx(t1, t2) = S_h(a)Rx(t1, t2 - a) da

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