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 B is the linear

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter3: Matrices
Section3.7: Applications
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 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 B is the linear minimum variance estimate of B based on y, show that the covariance of the error B - B has rank n - m.

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