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OpenStudy (anonymous):
The time series xt is defined as xt = ωt – 2 ω t-1 , where ωt is a Gaussian white noise with mean 0 and variance 1. a. Find the mean and autocorrelation function of xt. Is xt stationary? b. Compute the power spectrum of xt. c. Compute the cross spectrum and square coherence between xt and ωt.
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