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5. Assume that the measurement vector y is obtained from ß by y = WB + 8 where E(BB') = R, E(&e') = Q, E(Be') = S. Show that the minimum-variance estimate of ß based on y is B=(RW' +S)(WRW' + WS + S'W' +Q) ¹y.

5. Assume that the measurement vector y is obtained from ß by y = WB + 8 where E(BB') = R, E(&e') = Q, E(Be') = S. Show that the minimum-variance estimate of ß based on y is B=(RW' +S)(WRW' + WS + S'W' +Q) ¹y.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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5. Assume that the measurement vector y is obtained from ß by y = WB + 8 where E(BB') = R, E(e8') = Q, E(Be') = S. Show that the minimum-variance estimate of ß based on y is B = (RW' + S)(WRW' + WS + S'W' + Q)-'y.
Transcribed Image Text:5. Assume that the measurement vector y is obtained from ß by y = WB + 8 where E(BB') = R, E(e8') = Q, E(Be') = S. Show that the minimum-variance estimate of ß based on y is B = (RW' + S)(WRW' + WS + S'W' + Q)-'y.
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