Find the wiener hopf equation for the optimum filter

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Reference no: EM131218970

Suppose we observe a random process (without any noise) over a time interval Based on this observation, we wish to predict the value of the same random process at time That is, we desire to design a filter with impulse response, , whose output will be an estimate of

(a) Find the Wiener-Hopf equation for the optimum (in the minimum mean square error (MMSE) sense) filter.

(b) Find the form of the Wiener filter if

c) Find an expression for the mean square error

Reference no: EM131218970

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