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Math Help - Autocorelation of random process

  1. #1
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    Autocorelation of random process

    G ,G′ and U are independant random variables. G and G′ are iid gausian and U is uniform [0,1].
    If we have a random process Y(t) such trhat Y(t)=G if t>u
    G′ if t≤u
    Find the mean and autocorelation of the process Y(t)

    The mean I can find, i am getting the wrong answer for the autocorelation, it is tricky because U is a random variable
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  2. #2
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    Re: Autocorelation of random process

    are G, G and U realised once or are they random processes G(t) G'(t) and U(t)?
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  3. #3
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    Re: Autocorelation of random process

    they are not random processes evolving in time
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  4. #4
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    Re: Autocorelation of random process

    can you find the conditional autocorrelation? if so, using the law of iterated expectations on the result.
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