Question: In a variation on Example 12.10, we use the observation vector Y = Y (n) = [Y1 Y n ] ' to
In a variation on Example 12.10, we use the observation vector Y = Y(n) = [Y1 ∙ ∙ ∙ Yn]' to estimate X = X1. The 21-dimensional vector X has correlation matrix RX with i, jth element
RX(i,j) = r|i-j|.
Find the LMSE estimate XL(Y(n)) = a(n) Y(n). Graph the mean square error e*L(n) as a function of the number of observations n, and interpret your results for the cases
(a)
(b) r|i–j| = cos(0.5π|i – j|).
(n) Y (n
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