I hope you can help me about my problem. I coded some program to estimate the filter-coefficients of an unknown system, e.g. that has 6 filter-coefficients. There are a lot of algorithms to estimate this coefficients like LMS and whatever.
But now, I would like to get the optimal coefficients through solving the wiener hopf equation. That works with an estimate of the autocorrelation-matrix (e.g. i would get it through corrmtx in MATLAB) and the cross-correlation-vector. For getting the cross-correlation vector I must use "xcorr".
And there, there is my question about: Over how many lags do i have to use xcorr? I've got a white noise signal as input for my unknown system. When I chose my lag as same as number of filter-coefficients i got a 6x6 autocorrelation matrix and a 6 length cross-correlation vector. When I use them in the wiener hopf equation I got not the optimal filter coefficients...