Isye 2027

# Then the random vector a x has a bivariate y c normal

This preview shows page 1. Sign up to view the full content.

This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: of the ﬁve constants in the formula (4.33) for L∗ (X ) are the means and standard deviations. If the random variables X and Y are standard (i.e. have mean zero and variance one), then L∗ (X ) = ρX,Y X and the MSE is 1 − ρ2 . This fact highlights the central role of the correlation X,Y coeﬃcient, ρX,Y , in the linear estimation of Y from X. This section covers three types of estimators of Y : unconstrained estimators of the form g (X ), linear estimators of the form L(X ) = aX + b, and constant estimators, of the form δ. Of the three, the unconstrained estimators are the most general, a subset of them consists of the linear estimators, and a subset of the linear estimators is the set of constant estimators. The larger the class of estimators optimized over, the smaller the resulting MSE is. Thus, the following ordering among the three MSEs holds: E [(Y − g ∗ (X ))2 ] MSE for g ∗ (X )=E [Y |X ] 2 ≤ σY (1 − ρ2 ) ≤ X,Y MSE for L∗ (X ) Var(Y ) MSE for δ ∗ =E [Y ]. (4.36) 4.10. MINIMUM MEAN SQUARE ERROR...
View Full Document

## This note was uploaded on 02/09/2014 for the course ISYE 2027 taught by Professor Zahrn during the Spring '08 term at Georgia Tech.

Ask a homework question - tutors are online