Find the mean square estimation error

Reference no: EM131083457

Continuing Problem 11.4.5 of the noisy predictor, generate sample paths of X_n and Y_n for n = 0, 1,..., 50 with the following parameters:

(a) c = 0.9, d = 10

(b) c = 0.9, d = 1

(d) c = 0.6, d = 10

(e) c = 0.6, d = 1

(f) c = 0.6, d = 0.1

In each experiment, use η = σ = 1. Use the analysis of Problem 11.4.5 to interpret your results.

Problem 11.4.5

Suppose X_n is a random sequence satisfying

Where Z₁, Z₂,... is an iid random sequence with E[Zn] = 0 and Var[Zn] = σ² and c is a constant satisfying |c| ₀] = 0 and Var[X=] = σ²/(1 - c²). We make the following noisy measurement

Where W₁, W₂,... is an iid measurement noise sequence with E[W_n] = 0 and Var[W_n] = η² that is independent of X_n and Z_n.

(a) Find the optimal linear predictor, _n(Y_n-1), of X_n using the noisy observation Y_n-1.

(b) Find the mean square estimation error

Reference no: EM131083457

Questions Cloud

Calculate the concentration of quinine in parts per million : Calculate the concentration of quinine in parts per million in the sample

Write paper about ford motor variable costing and absorption : Write a paper about Ford Motor variable costing and absorption. Define absorption and variable costing and discuss its effects on production.

What if any skills should the globalized manager : What if any skills should the "globalized" manager have that other managers may not possess?

Calculate the percentage of copper in the sample : A 0.5990-g pesticide sample was decomposed by wet ashing and then diluted to 200.0 mL in a volumetric flask. The analysis was completed by treating aliquots of this solution as indicated.

Find the mean square estimation error : Continuing Problem 11.4.5 of the noisy predictor, generate sample paths of Xn and Yn for n = 0, 1,..., 50 with the following parameters:

How does data analytics support your metrics : Develop a listing of what you believe are the most important metrics for operations managers. (Hint: Be sure to consider the triple bottom line.) How does each metric support the overall financial performance of the organization?

All figures represent after-tax values : A corporation is trying to decide whether to buy the patent for a product designed by another company. The decision to buy will require an investment of $8 million, and the demand for the product is not known. Calculate the expected present worth of ..

Approach to decision making affect their decisions : How can the manager's approach to decision making affect their decisions?

Calculate the concentration of the pd( ii) solution : Calculate the concentration of the Pd( II) solution, given that the ligand-to-cation ratio in the colored product is 2: 1

User Account

All Pages