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Conditional & uncoditional MSE (in MMSE estimation)

 Quote by kasraa Thanks for your reply. Actually I've read it. My question is about MMSE estimation in general (and Kalman filter, only as one of its implementations for some particular case). $$E \left[ \left( x - \hat{x} \right) \left( x - \hat{x} \right)^{T} \right]$$ (where $$Z$$ is the observation (or sequence of observations as in Kalman) and $$\hat{x}=E \left[ x | Z \right]$$). Again, if we look at Kalman as an implementation of MMSE estimator, in some references the conditional MSE is expanded to reach Kalman's covariances, and in some others, the unconditional MSE is used to do so. (BTW, I won't be surprised if someone show that they're equal for Gaussian/linear case, and both references are right). Thanks a lot.