6.1    THE EIGENVALUES OF THE CORRELATION MATRIX

Let Rx be an M × M correlation matrix of a wide-sense (or weakly) stationary (WSS) discrete-time process computed from a data vector x(n). This symmetric and nonnegative matrix (see Problem 6.1.1) can be found as follows: We find the data vector x(n) using the MATLAB command: `x=randn(1,64)`. From this data vector, we first find its autocorrelation function rxx (m) = [1.0414 0.0136 0.0823] using the Book m-function: `rx=lms_sample_biased_autoc(x,3)`. We can also use the Book m-function: `rx=lms _ sample _ biased _ cross _ cor(x,x,3)`. Next, we obtain the correlation matrix Rx:



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