Programming Assignments
Introduction :: System Model :: Expectation :: Part 1 :: Filters :: Part 2 :: Submission
Estimating the expectations
The algorithm described above requires calculation of the autocorrelation matrices and the crosscorrelation vectors. In practice, these are frequently estimated from sample averages. (In other words, we invoke an ergodic assumption.)
To illustrate this idea, suppose that we have a vector random process , and that we have vectors of measured sample data which we stack into columns as
Then the autocorrelation matrix may be estimated as
Let be a random process, with measured sample values . The cross correlation vector between a random process and , can be estimated as

 Exercise 5

Let