Question: Please see the problem in the attachment. Consider zero-mean random variables Y1, Y2, Y37 and X with the following correlation matrix 1 0.5 0.5 0

Please see the problem in the attachment.

Consider zero-mean random variables Y1, Y2, Y37 and X with the following correlation matrix 1 0.5 0.5 0 0.5 1 0.5 0.25 0.5 0.5 1 0.25 0 0.25 0.25 1 (a) Compute linear innovations sequence for Y1, Y2, and Y3. (b) Compute the LMSE of X based on the linear innovations sequence

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