Let the random process Zt be defined by Zt tX Y where X an

Let the random process Z(t) be defined by Z(t) = tX + Y, where X and Y are jointly Gaussian random variables with parameters muX, muY, sigmaX, sigmaY, and rhoxy Compute the mean of the process Z(t). Compute the covariance of the process Z(t). Give an expression for the probability density function (PDF) of the process Z(t).

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