6.3. Use a Kalman filter to estimate the first-order AR process defined by, x[n] = 0.5x[n −1]+ w[n] , where w[n] is zero mean white noise with a varianceσ w2 = 0.64 .

The noisy measurements of x[n] are defined by the equation, y[n] = x[n]+ v[n] ,

where v[n] is unit variance zero mean white noise that is uncorrelated with w[n] (σ v2 =1 ).