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A stochastic process is defined by
where the frequency is uniformly distributed over the interval .
Now suppose we redefine the process to be
- Find the mean and correlation function of .
- Show that this process is non-stationary.
where and are statistically independent random variables.
is uniformly disributed over and is distributed as before.
- Compute the mean and correlation function of .
- Is wide-sense stationary? Show your reasoning.
- Find the first order density .
Dr. Bernd-Peter Paris