Chapter 4 Linear Models
Chapter 4 Linear Models
Chapter 4 Linear Models
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x[n]=]=A+B+w[n]] = A+B2=A+B, where x is an Nx1 vector of observation, H is a knownNxp observation matrix (with N>p) and rank p, Θ is a px1vector of parameters to be estimated, and w is Nx1 vector withPDF N(0,Lσ 2 I) , then the MVU estimator isand the covariance matrix of Θ isThe Gaussian nature of the MVU estimator for the linear modelsallows to determine the exact statistical performance if desired.
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