EE 503 : Lecture 34 (Fall 2020, METU)

EE 503 - Statistical Signal Processing and Modeling
Fall 2020, Middle East Technical University, Ankara, Turkey.
Instructor: Prof. Cagatay Candan
Lecture 34

Lecture Contents:
00:00 - Example: xvec = pvec \times c + nvec; pvec: known vector; c and nvec r.v.'s
02:33 - Derivation of Normal Equations for LMMSE est. (complex valued case)
13:02 - Derivation of LMMSE value (complex valued case)
25:03 - Discussion on the application related with example
26:45 - Solution for Identity Noise Cov. Mat. (example)
30:38 - Matrix inversion lemma
38:11 - Expression for the estimator (example)
41:27- Solution for General Noise Cov. Mat. (example)
42:42 - Solution by whitening (example)