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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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2. Suppose we have the following observation model:
X= Hs +n,
where x is the vector of observations, x [x1, x2, ..., XN], H is a known matrix, s is 0-mean
vector with covariance matrix R., and n is N(0, R,).
a) Derive the MMSE estimate for s.
b) Use the orthogonality principle to compute the MMSE (the error) for the estimator
from part a).

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