Suppose we wish to predict the next value of a random process by forming a linear combination

Question:

Suppose we wish to predict the next value of a random process by forming a linear combination of the most recent samples:

Find an expression for the values of the prediction coefficients which minimize the mean- square prediction error.

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Probability and Random Processes With Applications to Signal Processing and Communications

ISBN: 978-0123869814

2nd edition

Authors: Scott Miller, Donald Childers

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Question Posted: Nov 20, 2015 12:12 AM

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Suppose we wish to predict the next value of a random process by forming a linear combination

Question:

Y[n + 1] = a,Y[n-k+ 1]. k = 1

Step by Step Answer:

a To simplify the notation introduce the following vectors and matric...View the full answer

Probability and Random Processes With Applications to Signal Processing and Communications

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