Linking Autocorrelation of Gaussian Random Process to Conditional Probabilities
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For a zero-mean Gaussian random process , the probability density function (pdf) of the conditional random variable is Gaussian. Its properties can be calculated from the autocorrelation (or power spectral density) of the process, (or ).
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Contributed by: Victor S. Frost (October 12)
(University of Kansas)
Open content licensed under CC BY-NC-SA
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Reference
[1] K. S. Shanmugan and A. M. Breiphol, Random Signals: Detection, Estimation and Data Analysis, New York: Wiley, 1988.
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