This topic considers extending previous topics on calculating the
input-output statistics of a linear time-invariant (LTI) system in
response to a wide-sense stationary (WSS) process at the input, when the
LTI system is described by a difference equation. The video begins by
reviewing the difference-equations description of linear filters, and
different possibilities for manipulating the system. The video proposes
a single approach by showing that the input-output statistics satisfy
the same difference equation that describes the system. Therefore,
through solving this difference equation, the desired statistics can be
obtained. A detailed example is then provided for a first-order linear system.
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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