wienerfilt.m

a simple program for lms and taking into account the eigenspread factor

function [W,Jmin,R,P]=wienerfilt(N,x,d)
      
[row,col]=size(x);
r = xcorr(x,N);                         %  Calculate (k)th autocorrelation and accumulate
p = xcorr(d,x,N);                       %  Calculate (k)th cross correlation and accumulate

R = toeplitz(r(N+1:2*(N+1)-1))/(row*col);   %  (L x L) input autocorrelation matrix
P = p(N+1:2*(N+1)-1)'/(row*col);             %  (1 x L) cross correlation vector
W = inv(R)*P;
Jmin=mean(d.^2)-W'*P;
% 
% 
% y=filter(W,1,x);
% MMSE=mean((y-d).^2);