Use the orthogonality principle to find the mmse estimator, Basic Statistics

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Use the orthogonality principle to find the mmse estimator

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.

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Basic Statistics: Use the orthogonality principle to find the mmse estimator

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