77 Estimates ofthe Power Spectrum Ti+ ee 77.3 Least Squares Estimation next chapter we will minimize the mean soning cine method of last squares estimation may be introduced wath the et crane Situation. We conduct an experiment by measuring specific data valees ot cvious date sang design after that wil estimate the data at time n using one previous data sample at time n — 1, namely R(n) = -ax(n - 1) 7301 cre £(n) and xin) are real discrete sequences, and isa parameter to be estimated, 25 2am Xn) is an estimate oF the true value x(n). Consequently, we heen error, fined as e(n) = x(n) ~ X(n) = x(n) + ax(n — 1) 7732) Bae crs mode! is predicting the tue value ofthe data at ine using a weighted Sa oF the data atime n ~ 1. This model is called linear prediction (L9); SlOn(AR), The method of eat square sys thatthe constant ican be chosoran gg sy atimize the sum of the enor oversome interval fromn = Otome Nn tee Ns that is, we minimize the total squared error: De'a)= ¥ (ia)-sa)y D&O) +axQ-)P p99 Tonsulred error is sometimes normalized by the number of datapoints expressed Une has no fect on the solution, as we show below. The total shana = Soften called the prediction error or the prediction error poe, *,*ord about notation is appropriate here. The method of least squares assumes 5 re Cealing with data and does not use statistics. Consequently, the lowe ston is used for functions. In Chapter 8 we will consider Xin) to be a ean Socess and solve for the parameter 4, using expectation. The proceers ca {Pe mean square error and give the true value (not an estimate) hy the (x(n) + ax(n- 1) x(n — 1) 77.3.) aD x(n 1) x(n 1) = - Sxl) x1)