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I want to compute the autocorrelation matrix by using the covarience method.

X(n) is the harmonic process $X(n) = \sum\limits_{i=1}^3 A_i e^{jn\omega_i} + V(n)$

$V(n)$ is unit variance noise.

$ |A_i| = 2$ for $n = 1,2,3$

The phases of $A_i$ are uncorrelated random variables that are uniformly distributed between $–π$ and $π$.

what I understand:

  • $R_{x(n)} = E[x_{n}\cdot x_{n}^H]$
  • I should use a levinson or schur algorithm

  • I need to compute random samples of the random process ( $randn(100,1$) )

  • I should use a for loop to compute the sum

What I don't understand:

  • why is the auto correlation matrix a 7 x 7 matrix?

  • how do I compute the auto correlation matrix

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  • $\begingroup$ Why do you assume that the auto correlation matrix a 7 x 7 matrix? $\endgroup$
    – ThP
    Oct 20, 2014 at 15:38

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