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Suppose a zero mean random sequence Xn has correlation parameters

Suppose a zero mean random sequence Xn has correlation parameters given by rk= E [ XnXn + k] = c|k|. An estimate of a future value Xn of is X n = a1Xn – 1 + a2Xn – 2 which is a special case of Equation (6.67).

(a) Use Equation (6.72) to find the ai.

(b) What is the mean squared error, E [( Xn – Ẋn )2]?

(a) Use Equation (6.72) to find the ai.

(b) What is the mean squared error, E [( Xn – Ẋn )2]?

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