The minimum variance power spectrum estimate described in Section 14.4 is deter-mined by minimizing the variance
subject to the constraint
where E( f) is defined as the vector
To determine the optimum filter that minimizes let us define the function
where p, is a Lagrange multiplier
(a) By differentiating and setting the derivative to zero, show that
(b) Solve for by using the constraint and, thus, show that
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