statistics of functions of a random process.

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1 total messages Started by Ira Ekhaus Wed, 06 Jan 1993 22:53

#807

Author: Ira Ekhaus
Date: Wed, 06 Jan 1993 22:53

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hello,

I'm looking into the statistics of functions of a process.
Specifically a low pass system response of an electro mechanical
system h(t+z),  where z is the random variable.

In the engineering text books I've been reviewing (mea culpa),
the standard correlation functions 
focus on the moments of a random process at deterministic offsets.
ie the mean
m(z) ==  <x(t)x'(t+z)>
x a random process, and z a delay parameter.

There is a lot of imposed structure on this system response function:
Limited bandwidth, conjugate symmetry, exponential decay,
that I'd like to exploit.

I'd appreciate  any references or applications where this 
type of analysis is done.

ira

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