The stationary gaussian process xn with expected value

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The stationary Gaussian process X_n with expected value E[X_n] = 0 and autocorrelation function R_X (k) = 2^-|k| is passed through the linear filter given by the filter vector h = [1 -1 1]'. Find the PDF of X = [X₃ X₄X₅]'.

Reference no: EM131083324

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