statistics of a linearly filtered (digital) signal

Hi all,
I would like to know "the" right method to analytically calculate the 
Probability Density Function (PDF) of the output of a FIR filter whose 
input PDF is not gaussian (the indicator function for instance)...
I learnt that when i was a student (long time ago) and i can't remember 
the way to make such calculation... :(
Can anyone help ?
Thanx in advance.
A.Herbert

Arthur Herbert wrote:

> Hi all,
> I would like to know "the" right method to analytically calculate the 
> Probability Density Function (PDF) of the output of a FIR filter whose 
> input PDF is not gaussian (the indicator function for instance)...
> I learnt that when i was a student (long time ago) and i can't remember 
> the way to make such calculation... :(
> Can anyone help ?
> Thanx in advance.
> A.Herbert

Method A:  Drag out your statistics book and get to work.

Method B:  Does it have a finite variance?  If so, and if you're 
averaging enough samples in you filter, use the central limit theorem, 
which says that if you add enough non-Gaussian random variables together 
the result will be Gaussian.

-- 

Tim Wescott
Wescott Design Services
http://www.wescottdesign.com