Xn is an iid random sequence with E[Xn] = 0 and Var[Xn] = 3. Find the auto-correlation

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Xn is an iid random sequence with E[Xn] = 0 and Var[Xn] = 3. Find the auto-correlation function CY[n, k] of the process Yn = Xn-1 Xn.

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Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers

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Question Posted: Jul 18, 2016 08:49 AM

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Xn is an iid random sequence with E[Xn] = 0 and Var[Xn] = 3. Find the auto-correlation

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Since the X n are independent EY n EX n1 X n EX n1 EX n 0 1 Thus the autocovariance function is C Y ...View the full answer

Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers

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