X is a 3-dimensional random vector with E[X] = 0 and autocorrelation matrix R x with elements
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X is a 3-dimensional random vector with E[X] = 0 and autocorrelation matrix Rx with elements
RX(i,j) = 1 – 0.25|i – j|.
Y is a two-dimensional random vector with
Y1 = X1 + X2, Y2 = X2 + X3.
Use Y to form X1 = [a1 . a2] Y, a linear estimate of X1.
(a) Find the optimum coefficients a1 and a2 and the minimum mean square error e*L.
Use Y1 to form a linear estimate of X1: X1 = aY1 + b.. What are the optimum coefficients a* and b*? What is the minimum mean square error e*L?
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From the problem statement we learn for vectors X X 1 X 2 X 3 and Y Y 1 Y 2 that and a Since EY AEX ...View the full answer
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Related Book For 
Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers
ISBN: 978-1118324561
3rd edition
Authors: Roy D. Yates, David J. Goodman
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