matlab:平稳随机过程的自相关函数及功率谱密度

kalman滤波基础及matlab仿真程序，王可东，例2-16，P48

clc;clear all
k =1; a1= 0.5; a2 =5;
t1 = -10:0.05:-0.05; 
t2 = 0:0.05:10;
t = [t1,t2];
omega = -10:0.05:10;
y11 = k *exp(a1*t1);
y12 =  k *exp(-a1*t2);
y1 = [y11, y12];

y21 = k *exp(a2*t1);
y22 =  k *exp(-a2*t2);
y2 = [y21, y22];

fai_y1 = 2*k*a1./(omega.^2 + a1^2);
fai_y2 = 2*k*a2./(omega.^2 + a2^2);

figure(1)
plot(t,y1,'r--', t,y2,'bo--'); 
xlabel('t');ylabel('Rxx\rm(\tau)')
legend('a1=0.5','a2=5');

figure(2)
plot(omega,fai_y1,'r--', omega,fai_y2,'bo--'); 
xlabel('\omega');ylabel('\Phi_x_x(\omega)')
legend('a1=0.5','a2=5');

仿真结果：