Use the orthogonality principle to find the mmse estimator

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Reference no: EM131218972

Suppose we are allowed to observe a random process Z (t) t at two points in time, and t₀ and

Based on those observations we would like to estimateZ (t) at time where We can view this as an interpolation problem. Let our estimator be a linear combination of the two observations,

(a) Use the orthogonality principle to find the MMSE estimator.

(b) Find an expression for the mean square error of the MMSE estimator.

Reference no: EM131218972

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