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Math Help - Autocorrelation & Spectral Density?

  1. #1
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    Autocorrelation & Spectral Density?

    Hi,

    I have that the spectral density of a wide-sense stationary process X(t) is \frac{\sigma^2}{2\lambda}

    Is there some way I can write the autocorrelation R_X(t,t+h) in terms of \sigma^2 and \lambda?

    Thanks
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  2. #2
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    The spectral density is the Fourier transform of the autocorrelation function. So, the autocorrelation function can be found by applying the inverse Fourier transform on the spectral density.
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