4.4. Example: prediction of an autoregressive process AR (1)
Let us consider the WSS process defined by and solution of the equation XK = qXK−1 + BK with q which is real such that |q| < 1 and where BZ is a white noise of power .
In the preceding chapter we calculated its covariance function and obtained:
Having observed r.v. X1, …, XK−1, we are seeking the best linear estimate and in the quadratic mean of and verify:
i.e.
We have the solution and this solution is unique as the determinant ...
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