The minimum variance power spectrum estimate described in Section 14.4 is deter-mined by...

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