is a Gaussian stochastic process with mean , ACF

Determine the expected absolute deviation

I have no idea where to begin except maybe setting , but then I have to figure out what the PDF is and I'm not sure how to proceed.

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- September 10th 2011, 09:00 AMMondreusStochastic process, expected absolute deviation
is a Gaussian stochastic process with mean , ACF

Determine the expected absolute deviation

I have no idea where to begin except maybe setting , but then I have to figure out what the PDF is and I'm not sure how to proceed. - September 12th 2011, 11:22 AMMondreusRe: Stochastic process, expected absolute deviation
The solution is that since X(t) is a Gaussian process, all linear combinations of X(t) are also Gaussian processes. That means that the PDF is also a standard Gaussian PDF. since , and the variance can be determined like this: