9.22 BEST LINEAR UNBIASED ESTIMATION
In Section 9.21, we assumed so that the LS estimator is the BLU estimator. When the noise covariance matrix does not have this diagonal form, it is still possible to achieve BLU estimation by using WLS with weighting matrix W = R−1VV. The resulting estimator is
This result is derived below using a constrained optimization under the following conditions.