Math Problem Statement
Solution
This question involves finding the statistical properties of a discrete-time random process , where and is a standard normal random variable (i.e., ).
Let's go through each requirement:
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Expectation Function : To find the expectation of , we calculate . Since is a normal random variable with mean and variance , we use the moment-generating function of a normal distribution:
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Mean Function : The mean function is the same as the expectation function found above, so: [ \text{Mean Function } = E[X[n]] = e^{\frac{n^2}{2}}. ]
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Variance Function : To find the variance, we use: [ \text{Var}(X[n]) = E[X[n]^2] - (E[X[n]])^2. ] We calculate , and thus:
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Autocorrelation Function : The
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Math Problem Analysis
Mathematical Concepts
Random Process
Expectation
Variance
Autocorrelation
Formulas
E[X[n]] = e^{n^2 / 2}
Var(X[n]) = E[X[n]^2] - (E[X[n]])^2
E[X[n]^2] = e^{2n^2}
R_X(n, m) = E[X[n]X[m]]
Theorems
Properties of the Normal Distribution
Moment-Generating Function of Normal Distribution
Suitable Grade Level
Undergraduate
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