The coefficients of the optimum linear prediction filter

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For a wide sense stationary sequence Xn with zero expected value, extend lmsepredictor.m to a function

function h = kpredictor(rx,M,k) Which produces the filter vector h of the optimal k step linear predictor of X+ given the observation

Problem 11.4.1

Xn is a wide sense stationary random sequence with µX = 0 and autocorrelation function

For M = 2 samples, find h = [h0 h1]', the coefficients of the optimum linear prediction filter of Xn+1, given Xn-1 and Xn. What is the mean square error of the optimum linear predictor?

Reference no: EM131083451

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