First assumption behind least squares: Ax = b- (noise e with mean zero). Multiply the error vectors e = b - Ax by (AT A)-1AT to get x - x on the right. The estimation errors x -x also average to zero. The estimate x is unbiased.

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter7: Distance And Approximation
Section7.3: Least Squares Approximation
Problem 34EQ
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First assumption behind least squares: Ax = b- (noise e with mean zero). Multiply the error vectors e = b - Ax by (AT A)-1AT to get x - x on the right. The estimation errors x -x also average to zero. The estimate x is unbiased.

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