Pillai Grad Lecture 9 'Stochastic Inputs to Linear Systems'

Cross correlation and autocorrelation of the output stochastic process of a linear time-invariant system is derived here in terms of the input stochastic process autocorrelation function and the impulse response of the system both in the general case and when the input is a wide sense stationary process. Specific examples such as a differentiator applied to a stationary Gaussian process is also worked out to illustrate some interesting consequences.

[joshDotJS]

Exactly what I was looking for today. Thank you professor Pillai.

[ShivarajKarki]

Awesome lecture series... Thank you prof

[pprrnnk]

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