Find a general expression for the autocorrelation function

Reference no: EM131218819

Consider an AR(2) process which is described by the recursion

Where is an IID random process with zero-mean and variance

(a) Show that the autocorrelation function of the AR(2) process satisfies the difference equation

(b) Show that the first two terms in the autocorrelation function satisfy

(c) Using the difference equation in part (a) together with the initial conditions in part (b), find a general expression for the autocorrelation function of an AR(2) process.

(d) Use your result in part (c) to find the PSD of an AR(2) process.

Reference no: EM131218819

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