On A Priori Statistics in Minimum-Variance Estimation Problems

[+] Author and Article Information
T. T. Soong

Jet Propulsion Laboratory, California Institute of Technology, Pasadena, Calif.

J. Basic Eng 87(1), 109-112 (Mar 01, 1965) (4 pages) doi:10.1115/1.3650483 History: Received September 06, 1963; Online November 03, 2011


Simple general formulas are derived for investigating the effect of errors in a priori statistics on the minimum-variance estimates of linear regression parameters from observations obscured by noise. These formulas permit a direct evaluation of the covariance matrix of the errors of a posteriori estimates, showing the sensitivity to errors in a priori weighting matrix. A simple example illustrates that, for slight variations in the assumed a priori statistics, the calculated a posteriori error standard deviations of the estimates can deviate substantially from the correct values.

Copyright © 1965 by ASME
Topics: Noise (Sound) , Errors
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