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Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.7: Applications

Problem 13EQ

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4. Let B be an n-dimensional random vector of zero mean and positive-
definite covariance matrix Q. Suppose measurements of the form
y = WB are made where the rank of W is m. If ß is the linear minimum
variance estimate of ß based on y, show that the covariance of the
error B - B has rank n - m.

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