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
).
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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