SI&DA - Lecture 8 'Bayesian Estimation'

Bayesian Estimation

So given a set of Unbiased EstimatorsTODO we need a criteria to asses the quality of a given estimator $T(\cdot )$

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Definition of ‘Bayes Risk Function’

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~Ex.:

Any norm of $a-b$ is a Bayes Risk Function

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Definition of ‘Minimum Square Error Estimator’

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~Ex.:

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Definition of ‘Linear MSE Estimator’

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~Ex.:

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SIandDAHomework

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Theorem ‘Schur Complement’

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Proof that the estimation error of the evaluated LMSE is uncorrelated with the data of the observation