| Author |
Message |
Guest
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 Posted:
Thu Jan 06, 2005 11:20 pm Post subject:
linear MMSE estimation |
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hi all,
we observe a random WSS process X(t) and its derivative X'(t).
if the autocorrelation function of X is R(tau)=exp(-abs(tau)),
find A and B so that A*X(t)+B*X'(t) is the best estimate for
X(t+d)if the performance index is the expected mean square error,
which is to get minimized?
please note that since R(tau) isnt differentiable at t=0,
the cross-correlation functions of X(t) and X'(t) don't exist.
regards |
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Randy Yates
Guest
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| Posted:
Fri Jan 07, 2005 1:10 am Post subject:
Re: linear MMSE estimation |
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rambiz@gmail.com writes:
| Quote: | hi all,
we observe a random WSS process X(t) and its derivative X'(t).
if the autocorrelation function of X is R(tau)=exp(-abs(tau)),
find A and B so that A*X(t)+B*X'(t) is the best estimate for
X(t+d)if the performance index is the expected mean square error,
which is to get minimized?
please note that since R(tau) isnt differentiable at t=0,
the cross-correlation functions of X(t) and X'(t) don't exist.
regards
|
Would you like us to type the solution in here or would you prefer we
order the solutions manual and have it sent to your home?
--
Randy Yates
Sony Ericsson Mobile Communications
Research Triangle Park, NC, USA
randy.yates@sonyericsson.com, 919-472-1124 |
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Tim Wescott
Guest
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| Posted:
Fri Jan 07, 2005 2:17 am Post subject:
Re: linear MMSE estimation |
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Randy Yates wrote:
| Quote: | rambiz@gmail.com writes:
hi all,
we observe a random WSS process X(t) and its derivative X'(t).
if the autocorrelation function of X is R(tau)=exp(-abs(tau)),
find A and B so that A*X(t)+B*X'(t) is the best estimate for
X(t+d)if the performance index is the expected mean square error,
which is to get minimized?
please note that since R(tau) isnt differentiable at t=0,
the cross-correlation functions of X(t) and X'(t) don't exist.
regards
Would you like us to type the solution in here or would you prefer we
order the solutions manual and have it sent to your home?
|
Thank you Randy. I was going to say something, but I couldn't come up
with quite the right tone.
--
Tim Wescott
Wescott Design Services
http://www.wescottdesign.com |
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