I have a problem and I was thinking if somebody could help me;
I have to calculate the mean value
where and are two samples of the same process y which is gaussian with 0 mean and known sqare value .
The problem is that the correlation of the process is exponential:
I believe I should calculate the joint probability density function but I don't know how.
Please could somebody help me, or simply tell me a good reference where I can find this topic?
Thanks a lot.