Let the stationary Gaussian process, with expected value mX = 3 and covariance function be the input to a linear filter with the impulse response where denotes the delta function located at c....

Let the stationary Gaussian process,

with expected value m_X
= 3 and covariance function

be the input to a linear filter with the impulse response

where

denotes the delta function located at c. Compute the probability

Where

is the output of the filter.