Our task is to estimate a signal XK, whose autocorrelation function is:
The measures yK = xK + nK of the process YK are filtered by a Wiener filter of response h.
The noise NK is orthogonal to the signal XK and:
1) Give the response of the 2nd order Wiener filter (FIR).
2) Give the least mean square error obtained.
2) with .
We propose calculating a 2nd order FIR filter.
YK the input to the filter has the form YK = XK + WK where XK is the signal emitted and WK is a white noise orthogonal at XK (the processes are all wide sense stationary (WSS)).
Knowing the statistical autocorrelation:
1) Give ...