314 CHAPTER 7 © Exuodicity, Statistic, Estimation, and Simulation AAn additional equation is often added tothe above equations for the &, namely, the equation for the total squared error (prediction error), which from [7.7.3.13], [7.73.15 and (7.7.3.17]is E=Rx(O) aot DA RKy(-W) 772.9 where ap = 1. Again, the estimates with negative arguments in [7.7.3.19] can be re- placed withthe corresponding estimates with postive arguments, This eror will vary with the order p. The reason for introducing agi that this is convenience when the ms trix equations are augmented forthe additional unknown, as follows Rex) Rex(-1) Rup) |") fe Rex) Ryex(0) Rex(—(o-19] | 2") _ | 0 vo Rex Rex(p - 1) Rux(0) lé 0 ‘These equations are also often called the extended or augmented normal equations Quiz 7.12 Show that [7.7.3.20] is equivalent to [7.7.3.18] plus [7.7.3.19] ‘The covariance method for solving for the coefficients is similar to the autocom= lation method. The major difference is that the covariance method does not assume that the data are windowed, and that while N samples of the data are available, the erro ‘windowed such that N ~ p samples of the error are available, This affects the calcul tion of the “autocorrelation” values, since we now have Sea = TF ete) - 2 732% -> (st + DSaxo-w) ‘The normal equations have the same form, namely Sakad—w = xl) i= P 7328 re different, so a different notation is used However, the autocorrelation estimates distinguish the two methods; that is: Crx (isk) D x(a - i) x(a ~k) va and Cxx(,0) = 5 peewee) 77398 where 1 p.0 data because we ass tues. The matrix equa Cxx(l, 1) 4 Cox (2, 1) Cux(p. 1) The correlation matrix, from which t does mot use the Levi (or other methods), w The covariance 1 filter 1/A() does not unstable Return to [7.7.3 the autocorrelation fu Ru This equation can bee of the autocorrelation: lag values greater than Rax(k) fork = p+ Ip +2 sion prediction equatia sis for the maximum red further in the Pro 774 Power Spe Linear prediction is a ¢ Spectrum of data that ax Definition 7.19. Ts of the absolute val Sex(f) = Where the 4, coef method, above, and: poles of 1/A(2), Sim the zeros of A(2), wi