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MMSE estimation and random processes Let S = cX1 + c,X, + c,X, be an estimate of a zero-mean random variable S, which is correlated

MMSE estimation and random processes

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Let S = cX1 + c,X, + c,X, be an estimate of a zero-mean random variable S, which is correlated to the zero-mean random variables { X1, } according to: E(XS) = E(X,S) = 2E(X,S) = 2. Assume that: E(X?) = E(X2) = 2E(X3 ) = 2, and that the correlation between the different { X } satisfy: E(X]X2) = E(X,X,) = 1, E(X,X,) = 0. Find the coefficients C,C,, C, that minimize the mean-squared error MSE = E((S - S)?)

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