Find the autocorrelation function

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Reference no: EM131216574

A shot noise process with random amplitudes is defined by

where the are a sequence of points from a Poisson process and the A_i are IID random variables which are also indpendent of the Poisson points.

(a) Find the mean function of X(t).

(b) Find the autocorrelation function of X(t).

Reference no: EM131216574

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