Friday 17 July 2015

autocorrelation - Expectation of product of Filtered White Gaussian Noise


Assume I have a random process $X(t)$ that is white gaussian noise with psd $S(f)$. Now, let's filter that noise through a LPF of bandwidth $B$. How would I evaluate the following expression:


$$E[S(f_1)S(f_2)]$$




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