Lecture Notes
The Covariance, Information and Estimator Matrices
Description:
Lecture notes on the covariance matrix, a matrix identity (the magic lemma), inverting the information matrix using the magic lemma, the square root of the P matrix, properties of the estimator, recursive form of the estimator, and triangular square roots.
Resource Type:
Lecture Notes
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The Covariance, Information and Estimator Matrices
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Fall
2008
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notes
Lecture Notes
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Problem Set Solutions
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