Calculation of expected value in terms ACFAlternative Expected Value ProofAutocorrelation and spectral density in MATLABAutocorrelation and spectral density in MATLABAutocorrelation Function and Power spectrum from ACFHow to find covariance matrix from correlation if mean is not given?Calculation of a Autocorrelation function and Power spectral densityAutocorrelation function of phase modulated wiener processpartial Autocorrelation in terms of matrixExpected value and variance of random variable on some terms(dates?)Calculation of expected value.
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Calculation of expected value in terms ACF
Alternative Expected Value ProofAutocorrelation and spectral density in MATLABAutocorrelation and spectral density in MATLABAutocorrelation Function and Power spectrum from ACFHow to find covariance matrix from correlation if mean is not given?Calculation of a Autocorrelation function and Power spectral densityAutocorrelation function of phase modulated wiener processpartial Autocorrelation in terms of matrixExpected value and variance of random variable on some terms(dates?)Calculation of expected value.
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How to find expexted value of system output in terms of transfer function with knowing expected value of input and autocorrelation function of input?
I should find Expectation of $y(t)=int x(t-tau)h(tau ,t)dtau $ in terms of transfer function.
I have started with : $y(t)=int H(f,t)x(f)e^jpi ft)df$
But I have no idea what I can do with that...
statistics random correlation expected-value
asked Mar 8 at 8:27
NaniNani
32
$endgroup$
add a comment |
$begingroup$
How to find expexted value of system output in terms of transfer function with knowing expected value of input and autocorrelation function of input?
I should find Expectation of $y(t)=int x(t-tau)h(tau ,t)dtau $ in terms of transfer function.
I have started with : $y(t)=int H(f,t)x(f)e^jpi ft)df$
But I have no idea what I can do with that...
statistics random correlation expected-value
asked Mar 8 at 8:27
NaniNani
32
$endgroup$
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54
add a comment |
$begingroup$
How to find expexted value of system output in terms of transfer function with knowing expected value of input and autocorrelation function of input?
I should find Expectation of $y(t)=int x(t-tau)h(tau ,t)dtau $ in terms of transfer function.
I have started with : $y(t)=int H(f,t)x(f)e^jpi ft)df$
But I have no idea what I can do with that...
statistics random correlation expected-value
asked Mar 8 at 8:27
NaniNani
32
$endgroup$
How to find expexted value of system output in terms of transfer function with knowing expected value of input and autocorrelation function of input?
I should find Expectation of $y(t)=int x(t-tau)h(tau ,t)dtau $ in terms of transfer function.
I have started with : $y(t)=int H(f,t)x(f)e^jpi ft)df$
But I have no idea what I can do with that...
statistics random correlation expected-value
statistics random correlation expected-value
asked Mar 8 at 8:27
NaniNani
32
asked Mar 8 at 8:27
NaniNani
32
edited Mar 14 at 7:49
Nani
asked Mar 8 at 8:27
NaniNani
32
asked Mar 8 at 8:27
NaniNani
32
asked Mar 8 at 8:27
NaniNani
32
32
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54
add a comment |
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54
add a comment |
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Yufjip
$begingroup$
I don't think the ACF will uniquely determine the expected value. If $y_t = c + x_t$ where $c$ is a constant, then $x_t$ and $y_t$ have same autocorrelation functions but different means (since adding a constant doesn't affect correlation).
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:26
$begingroup$
@MinusOne-Twelfth i didnt find any formulas. In task ACF and expectation of x(t) are given and i need to calculate the expectation of y(t)....So i think that ACF and Expectation should have a relation...
$endgroup$
– Nani
Mar 14 at 7:51
$begingroup$
Ah sorry, I thought you didn't know the expected value of the input series.
$endgroup$
– Minus One-Twelfth
Mar 14 at 7:54