EE 503 : Lecture 35a (Fall 2020, METU)

EE 503 - Statistical Signal Processing and Modeling
Fall 2020, Middle East Technical University, Ankara, Turkey.
Instructor: Prof. Cagatay Candan
Lecture 35a

Lecture Contents:
00:00 - Example: x,y unif. dist. in 1x1 square in 1st and 3 quadrants (Lec.30, revisited)
01:01 - Min. MSE Linear/Affine estimator yhat(x) (example)
06:30 - E{yx^k} and E{x^k} expressions (example)
15:05 - Using powers of the observation value in the min. MSE estimator (example)
25:28 - min. Cubic MSE estimator and its MSE value (example)
32:38 - Properties of LMMSE Estimators
32:43 - Property 1: Geometric (Vector Space) Interpretation
42:17 - Property 2: Multiple r.v. estimation (Total MSE minimization)
54:17 - Estimator expression for total MSE minimization (property 2)
55:34 - Example: xvec = Hyvec + n. Find LMMSE estimator for xvec. (property 2)