Show that random variables y1 and y2 are jointly gaussian

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Reference no: EM131281841

Consider the pair of integrals

612_Equation 08.jpg

where X(t) is a Gaussian process and h1(t) and h2(t) are two different weighting functions.

Show that the two random variables Y1 and Y2, resulting from the integrations, are jointly Gaussian.

Reference no: EM131281841

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