Determining the parameters of a uniform distribution from its autocorrelation function
$begingroup$
I have a noise process v(t) which is wide sense stationary (WSS) and uniformly distributed with autocorrelation $R_{vv}(tau)=c^2e^{-betamidtaumid}$ where c =0.1.
How would I find $E[v(t)]$, the expected value of v(t)?
I think the way to solve is to take the Fouier transform ($FT$) of $R_{vv}$ and evaluate the function at 0, the DC value. I.e. $S_{vv}(omega)=FT{R_{vv}}$, $E[v(t)] = S_{vv}(0)$
Next, I want to determine the amplitude range of v(t). I believe this is equivalent to finding the bounds of the uniform distribution. I am unsure how to proceed with finding this. Here is what I have tried:
I would think the autocorrelation function would help because $R_{vv}=E[v(t)v(t+tau)]$ but I don't see how to derive PDF properties from this.
The power spectral density (PSD) contains the same information as $R_{vv}$ so if 1 can't help me, this can't either.
Any ideas?
2.
stochastic-processes random-variables stationary-processes
$endgroup$
add a comment |
$begingroup$
I have a noise process v(t) which is wide sense stationary (WSS) and uniformly distributed with autocorrelation $R_{vv}(tau)=c^2e^{-betamidtaumid}$ where c =0.1.
How would I find $E[v(t)]$, the expected value of v(t)?
I think the way to solve is to take the Fouier transform ($FT$) of $R_{vv}$ and evaluate the function at 0, the DC value. I.e. $S_{vv}(omega)=FT{R_{vv}}$, $E[v(t)] = S_{vv}(0)$
Next, I want to determine the amplitude range of v(t). I believe this is equivalent to finding the bounds of the uniform distribution. I am unsure how to proceed with finding this. Here is what I have tried:
I would think the autocorrelation function would help because $R_{vv}=E[v(t)v(t+tau)]$ but I don't see how to derive PDF properties from this.
The power spectral density (PSD) contains the same information as $R_{vv}$ so if 1 can't help me, this can't either.
Any ideas?
2.
stochastic-processes random-variables stationary-processes
$endgroup$
add a comment |
$begingroup$
I have a noise process v(t) which is wide sense stationary (WSS) and uniformly distributed with autocorrelation $R_{vv}(tau)=c^2e^{-betamidtaumid}$ where c =0.1.
How would I find $E[v(t)]$, the expected value of v(t)?
I think the way to solve is to take the Fouier transform ($FT$) of $R_{vv}$ and evaluate the function at 0, the DC value. I.e. $S_{vv}(omega)=FT{R_{vv}}$, $E[v(t)] = S_{vv}(0)$
Next, I want to determine the amplitude range of v(t). I believe this is equivalent to finding the bounds of the uniform distribution. I am unsure how to proceed with finding this. Here is what I have tried:
I would think the autocorrelation function would help because $R_{vv}=E[v(t)v(t+tau)]$ but I don't see how to derive PDF properties from this.
The power spectral density (PSD) contains the same information as $R_{vv}$ so if 1 can't help me, this can't either.
Any ideas?
2.
stochastic-processes random-variables stationary-processes
$endgroup$
I have a noise process v(t) which is wide sense stationary (WSS) and uniformly distributed with autocorrelation $R_{vv}(tau)=c^2e^{-betamidtaumid}$ where c =0.1.
How would I find $E[v(t)]$, the expected value of v(t)?
I think the way to solve is to take the Fouier transform ($FT$) of $R_{vv}$ and evaluate the function at 0, the DC value. I.e. $S_{vv}(omega)=FT{R_{vv}}$, $E[v(t)] = S_{vv}(0)$
Next, I want to determine the amplitude range of v(t). I believe this is equivalent to finding the bounds of the uniform distribution. I am unsure how to proceed with finding this. Here is what I have tried:
I would think the autocorrelation function would help because $R_{vv}=E[v(t)v(t+tau)]$ but I don't see how to derive PDF properties from this.
The power spectral density (PSD) contains the same information as $R_{vv}$ so if 1 can't help me, this can't either.
Any ideas?
2.
stochastic-processes random-variables stationary-processes
stochastic-processes random-variables stationary-processes
asked Dec 21 '18 at 1:27
AvedisAvedis
667
667
add a comment |
add a comment |
0
active
oldest
votes
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3048108%2fdetermining-the-parameters-of-a-uniform-distribution-from-its-autocorrelation-fu%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
0
active
oldest
votes
0
active
oldest
votes
active
oldest
votes
active
oldest
votes
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3048108%2fdetermining-the-parameters-of-a-uniform-distribution-from-its-autocorrelation-fu%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown