16.346 | Fall 2008 | Graduate


Lecture Notes

The Covariance, Information and Estimator Matrices


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

Course Info

As Taught In
Fall 2008
Learning Resource Types
Lecture Notes
Problem Sets with Solutions