Determine the closed form solution for wiener-hopf equations

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Reference no: EM13262123

Define the cost function of the filter as the mean square value of . That is, let

J(w)=E{e(n)e*(n)

1. Formulate the cost function in terms of autocorrelation values of the time sequence and filter weights
2. Derive Wiener-Hopf equations (in matrix form)
3. Determine the closed form solution for Wiener-Hopf equations (in matrix form)
4. Use steepest descent approach to formulate an iterative process for determination of filter weights

Reference no: EM13262123

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