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Considering a finite-length impulse response $h[n]$ of length $M $ (which amounts to considering $h[n] = 0,$ for $n \geq M$). The data model, with additive disturbance, is then written as: $$y[n] = y_M[n] + \epsilon[n]$$ where

$$y_M[n]= \sum_{k=0 }^{ M-1} h[k]x[n-k].$$

We seek to estimate the impulse response $h[n]$, i.e., the parameter vector $h = \big[h[0], h[1], ..., h[M-1]\big]$, from the observed data $y[0], y[1], ..., y[N-1] $ and known inputs $x[0], x[1], ..., x[N-1]$ (we assume that the input signal is causal, i.e., $x[n] = 0 $ for $n < 0$).

  1. What is the output of the system $y[n]$ when an impulse is placed at the input? Show that we can deduce an estimator $hri$ of the impulse response, specifying its bias and covariance matrix.

  2. Is the model $y_M[n] $ linear with respect to the parameters?

This is what I did, but I don’t know how to write it in a matrix form

$$\cases{ y_M [n] = \displaystyle\sum_{k=0}^{M-1}h[k]\mu[n-k]\\ y[n] = h[n] + \epsilon[n]}$$

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    $\begingroup$ Is this a homework problem? $\endgroup$ Commented Mar 12, 2023 at 14:33
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    $\begingroup$ You say "estimator hri" -- do you mean something like $h_{ri}$, or is "hri" an abbreviation for something? Please edit your question to put the math into math, or to spell out your abbreviations. $\endgroup$
    – TimWescott
    Commented Mar 12, 2023 at 18:03
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    $\begingroup$ Is the additive disturbance truly not dependent on $k$? I.e., is $y[k] = y_M[k] + \epsilon$ correct, or is it $y[k] = y_M[k] + \epsilon[k]$? $\endgroup$
    – TimWescott
    Commented Mar 12, 2023 at 18:04
  • $\begingroup$ @TimWescott I have corrected it $\endgroup$
    – Jacob
    Commented Mar 12, 2023 at 19:00

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