Results 1 to 2 of 2

Math Help - MMSE estimator

  1. #1
    Newbie
    Joined
    Sep 2008
    Posts
    10

    MMSE estimator

    I need some help here...

    Have 2 r.v.'s X,\;Y, such that the PDF of Y is known and X=Y^2


    Then I need to find
    1) Best predictor of X given Y, and of Y given X.

    So for this I do:
    \hat{X_{MMSE}}(y) = E(X|Y) = E(Y^2|Y) = y^2 E(1|Y) = y^2
    \hat{Y_{MMSE}}(x) = ?? (the square root confuses me here)


    2) Same as 1) but the predictors have to be linear
    I don't know how to solve this

    Thanks.
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Newbie
    Joined
    Sep 2008
    Posts
    10
    For point 2), I found how to do it.
    It's described here, pages 87-88.

    However, still don't know how to find \hat{Y_{MMSE}}(x) = E(Y|X).

    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. OLS Estimator
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: April 30th 2010, 06:09 PM
  2. Estimator for AR(1) Process
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: April 13th 2010, 04:19 AM
  3. better estimator
    Posted in the Advanced Statistics Forum
    Replies: 19
    Last Post: March 18th 2010, 04:41 PM
  4. New estimator
    Posted in the Advanced Statistics Forum
    Replies: 4
    Last Post: September 11th 2009, 05:27 AM
  5. Which estimator is better?
    Posted in the Advanced Statistics Forum
    Replies: 3
    Last Post: February 9th 2009, 08:46 PM

Search Tags


/mathhelpforum @mathhelpforum