ABSTRACT
Let R x be an M × M correlation matrix of a wide-sense (or weakly) stationary (WSS) discrete-time process computed from a data vector x (n). This symmetric and nonnegative matrix (see Problem 6.1.1) can be found as follows: We find the data vector x (n) using the MATLAB command: x=randn(1,64). From this data vector, we first find its autocorrelation function r xx (m) = [1.0414 0.0136 0.0823] using the Book m-function: rx=lms_sample_biased_autoc(x,3). We can also use the Book m-function: rx=lms _ sample _ biased _ cross _ cor(x,x,3). Next, we obtain the correlation matrix R x : R x = [ 1.0414 0.0136 0.0823 0.0136 1.0414 0.0136 0.0823 0.0136 1.0414 ] https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9781315215136/85154af4-39d8-4b43-ae90-9b7d84af8606/content/eq694.tif"/>
