Lesson 13 Mean-squared Estimation of Random Parameters

Summary

There are two major types of estimators of random parameters: mean-squared (MS) and maximum a posteriori (MAP). The former does not use statistical information about the random parameters, whereas the latter does. MS estimators are the subject of this lesson; MAP estimators are the subject of Lesson 14.

The MSE is shown to equal a conditional expectation, i.e., Image. This result is referred to as the fundamental theorem of estimation theory. When θ and Z(k) are jointly Gaussian, then it is possible to compute this expectation, and, in fact, processes the data, Z(k), linearly. When θ ...

Get Lessons in Estimation Theory for Signal Processing, Communications, and Control, Second Edition now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.