Pulling the expectation into the sum because

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Unformatted text preview: n into the sum, ,| ( )| - ∑ ∑ because of the orthonormal ,() ( )- ∑ 4a) Select ( ) ( ) and substitute into the Szego theorem () () ∫ ( ( )) Now rewrite the LHS into a single natural log expression (∏ ) ( ( )) ∫ Now note that the product of the eigenvalues is the determinant of ( ) ∫ ( ( )) ∫ ( ( )) Exponentiate both sides , b) Select ( ) - [ ( ), or the identity function map ∫ () Now notice that the sum of the eigenvalues is the trace ∫ () c) This quantity represents an estimate of the average variance of the random process. Problem 5 5a) () [(...
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This note was uploaded on 06/27/2013 for the course EE 225A taught by Professor Ramchandran during the Spring '11 term at University of California, Berkeley.

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