Chapter 9 Estimation of a Random Variable

Yates & Goodman
Probability and Stochastic Process, 2nd ed.
Chapter 9 Estimation of a Random Variable

prediction
A predictor uses random variables produced in early subexperiments to estimate a random variable produced by a future subexperiment.


9.1 Optimum Estimation Given Another Random Variable

The estimate of X that produces the minimum mean square error is the expected value (or conditional expected value) of X calculated with the probability model that incorporates the available information.

Bind estimation of X

Estimation of X given an event

Minimum Mean Square Estimation of X given Y



9.2 Linear Estimation of X given Y


9.3 MAP and ML Estimation


9.4 Linear Estimation of Random Varaiables from Random Vectors