Show that the process X = Acos(ωt) Bsin(ωt), t=0,±1, (where A and B are uncorrelated random variables with mean 0 and variance σ^2 and ω is a fixed frequency in the interval [0,π]) is stationary and find its mean and autocovariance function. Deduce that the function K(h) = cos(ωh); h=0,±1, is nonnegative definite.
Show that the process X = Acos(ωt) Bsin(ωt), t=0,±1, (where A and …
Apr 24, 2023
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