CHAPTER? © Engodicity, Statistics, Estimation, and Simulation Hl (f eae il VAR ERax(0)) = yuh, Al -¥! tal) (RG) + Raald + Ll) Rex — ix) Provided k is fixed, this estimate ofthe autocorrelation function approaches zero N approaches infinity, making this estimate consistent. We will presently discuss t mote fully. One problem with this estimate is that its largest value does not always occ at the origin. This is illustrated in the following example, For correlation matrices, this ‘means that the estimate is not always positive definite ‘Consider the data sequence x(n), shown in Figure 7.13. The autocorrelation estimate is calcul Rxx(0) = rica +P+2) 53 best) = ee + DEN fa) = TL@GN=4 ‘The last example shows that this autocorrelation estimate does not have its I value atthe origin. Figure 7.13 An example ofan ovtocoraltion estimate thot is not postive semidinite Definitio and is giv where XG biased, it is approxi This esti shown that thi szatrix terms m Qiz7.10 si Biased estimat Given the. | approaches Sbift in the data ssamber of ags, sere is very lit Ses led to the ra Se length of the ‘ssimate does m Ssimate goes t > autocorrela Now let eases as does sain perplexed Sor of the bias Seended that th Calculating [data sequen Served through [i outside the Eereasing k, we fos. This ison fSasses. Figure’ Pe data. Note th Sometimes FB the idea i