Question: Continuing Example 12.10, the 21 dimensional vector X has correlation matrix Rx with I,jth element We use the observation vector Y = Y (n) =

Continuing Example 12.10, the 21 dimensional vector X has correlation matrix Rx with I,jth element

We use the observation vector Y = Y_(n) = [Y₁ ∙ ∙ ∙ Y_n]' to estimate X = X₂₁. Find the LMSE estimate X_L(Y_(n)) = a_(n) Y_(n). Graph the mean square error e*_L(n) as a function of the number of observations n for ϕ₀ ∈ {0.1,0.5,0.9}. Interpret your results. Does smaller ϕ₀ or larger ϕ₀ yield better estimates?

Rx(i, j) = sin( li-jl)

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