wiener_hopf.m

卡尔曼滤波和自适应滤波 y

function [h,Yn,e2]=wiener(rxx,rdx,Xn)
% according to the equation h=inv(Rxx)*Rxd
% Yn=cov(Xn,h)
% E[e2]=Rxx(0)-cov(Rsx,h)
% Page 33