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This tag is too general; please provide a more specific tag. For questions about the properties of specific estimators, use [estimators] tag instead.

2 votes
0 answers
67 views

Estimation from two observations [closed]

Suppose there are two vector signals $x$, $z$. The observer 1 receives a linear version of $x$ plus Gaussian noise. Observer 2 receives a linear sum of both $x$ and $z$ plus Gaussian noise as shown be …
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2 votes
1 answer
235 views

Sequential linear estimation: Is MSE non-increasing?

$$ Here $a,b$ are know constants and $z_1$ and $z_2$ are Gaussian errors and the estimation is linear minimum mean squared error. … From $y_1$ I do linear minimum mean squared error (LMMSE) estimation and estimate $x$ and get $x_1$ and the corresponding LMMSE is $E(x-x_1)^2$. …
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