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Wiener Hopf filter in time series.

  1. Feb 24, 2014 #1
    1. The problem statement, all variables and given/known data
    I have a signal where w(n) is white noise
    u(n) = .4s(n) +.7s(n-1)-.1s(n-1) +w(n) and where variance of w(n) = .003

    I want to find the cross correlation matrix against the optimal delay which I found to be 6.

    2. Relevant equations



    3. The attempt at a solution
    E[U(n)d*(n-6)] where U(n) =column vector [u(n),u(n-1),….u(n-8)]

    I can't for the life of me understand what how to get the cross correlation vector p. Could someone explain how to obtain it? I can not even find examples online. Everything seems to abstract.
     
  2. jcsd
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