## Question

###### The following Toeplitz auto-correlation matrix R = E[x(nJx" (n)] , with x(n) = [x(n) I(n - N +1]" and where x(n) are observed time series samples from stationary ergodic random process; has the following decomposition with N = 20.99 R = 0.991.99 0.01 44 72 7 A. Find the KLT transformation leading to x'(n) with a diagonal auto-correlation matrix What is the resulting diagonal matrix? Find the transformation leading with a identity auto-correlation matrix: C. How could the KLT trans

The following Toeplitz auto-correlation matrix R = E[x(nJx" (n)] , with x(n) = [x(n) I(n - N +1]" and where x(n) are observed time series samples from stationary ergodic random process; has the following decomposition with N = 2 0.99 R = 0.99 1.99 0.01 44 72 7 A. Find the KLT transformation leading to x'(n) with a diagonal auto-correlation matrix What is the resulting diagonal matrix? Find the transformation leading with a identity auto-correlation matrix: C. How could the KLT transformation be used to perform compression with Principal Component Analysis (PCA)?

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