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Unformatted text preview: ENEE 630 Fall 2009 Homework #5 Problem 1 A first order autoregressive (AR) process { u(n) } that is realvalued satisfies the realvalued difference equation u ( n ) + a 1 u ( n 1) = v ( n ) where a 1 is a constant and { v(n) } is a whitenoise process of varance σ 2 v . Such a process is also referred to as a firstorder Markov process . (a) Suppose in practical implementation, the generation of the process { u(n) } starts at n=1 with initialization u(0)=0. Determine the mean of the actual { u(n) } process that we have obtained. Under what conditions E [ u ( n )] converges to a constant and what the constant is? (b) Now consider the case when { v(n) } has zero mean. Determine the variance of the actual { u(n) } process that we have obtained. Under what conditions V ar [ u ( n )] converges to a constant and what the constant is? (c) For the conditions specified in part (b), find the autocorrelation function of the AR process { u(n) } . Sketch this autocorrelation function for the two cases 0....
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This note was uploaded on 10/31/2010 for the course EE 630 taught by Professor Wu during the Spring '10 term at Aarhus Universitet, Aarhus.
 Spring '10
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