# 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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