Let e be a positive random variable, with known mean J..L
Chapter , Problem 17(choose chapter or problem)
Let e be a positive random variable, with known mean J..L and variance (12, to be estimated on the basis of a measurement X of the form X = v'8 W. We assume that W is independent of e with zero mean, unit variance, and known fourth moment E[W4 ]. Thus, the conditional mean and variance of X given e are 0 and, respectively, so we are essentially trying to estimate the variance of X given an observed value. Find the linear LMS estimator of e based on X, and the linear LMS estimator of 8 based on X2.
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