Linear Theory of Random Processes
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The existence of an important and sufficiently wide class of problems whose solution requires a knowledge of only the very general properties of a random function and its first and second moment is indeed remarkable and non-trivial. A substantial part of the theory of linear transformations of random functions is devoted to these problems and they constitute the main topic of the present chapter. We shall therefore discuss here random functions with values in a linear space with finite moments of second order unless otherwise explicitly stipulated.
KeywordsCorrelation Function Spectral Density Random Process Spectral Function Linear Theory
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