5. Assume that the measurement vector y is obtained from ß by y = WB + 8 where E(BB)=R, Show that the minimum-variance B=(RW'+S)(WRW' E(88') = Q, E (Be') = S. estimate of ß based on y is + WS + S'W' +Q) ¹y.

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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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