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Abstract: The performance comparison of the optimally weighted LS estimate and the linear minimum variance estimate for a linear model with random input is presented. In this case optimally weighted LS estimate is not a linear estimate of a parameter given input and observation anymore while linear minimum variance estimate still is. Under a certain conditions on variance matrix invertibility, we show that the optimally weighted LS estimate outperforms the linear minimum variance estimates provided that... (Update)
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BibTeX entry: (Update)
@misc{ ls-performance,
author = "Ls And Linear",
title = "The Performance Comparison of Optimally Weighted",
url = "citeseer.ist.psu.edu/764920.html" }
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