Homework Assignments
Homework 10

Suppose
is a Wiener process. Define a
process
by
 Find the mean and autocorrelation functions of .
 Show that is stationary and find its spectrum.

Suppose
is
are zero mean and individually
and jointly W.S.S. Show that the meansquare error associated with
the noncausal Wiener filter for estimation of
from
is

Suppose
for
, where
and
are zeromean, W.S.S., and orthogonal. Suppose that we
wish to estimate

Consider the situation of the previous problem with
,
 Find the noncausal Wiener filter for estimating from . Find the corresponding meansquare error.
 Find the causal Wiener filter for estimating from . Consider and .
Copyright 2008,
Todd Moon.
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