Determine covariance matrix for values of process

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Reference no: EM13108886

A zero mean process has power spectrum defined by the stationary signal X(t) has spectral density of form
Sx(f) = 5, for 10/2Pi <= |f| <= 20/2Pi = 0, elsewhere

Determine the covariance matrix for values of this process at time t=1,2,3,4. Determine its inverse(numerically) and write formula for pdf of corresponding random vector. Compute (numerically) the probability that process stays in (-1,1) band at time instants listed above.

Reference no: EM13108886

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