Continuing Example 12 10, the 21 dimensional vector X has correlation matrix Rx with I,jth element We use the observation vector Y Y (n) Y 1 Y n ' to estimate X X 21 Find the LMSE estimate X L (Y (n) ) a (n) Y (n) Graph the mean square error e L (n) as a function of the number of observations n for...

This problem can be solved using the function mse defined in Example 1210 All we need to do is defin ...

Continuing Example 12.10, the 21 dimensional vector X has correlation matrix Rx with I,jth element We use

Question:

Continuing Example 12.10, the 21 dimensional vector X has correlation matrix Rx with I,jth element

We use the observation vector Y = Y_(n) = [Y₁ ∙ ∙ ∙ Y_n]' to estimate X = X₂₁. Find the LMSE estimate X_L(Y_(n)) = a_(n) Y_(n). Graph the mean square error e*_L(n) as a function of the number of observations n for ϕ₀ ∈ {0.1,0.5,0.9}. Interpret your results. Does smaller ϕ₀ or larger ϕ₀ yield better estimates?