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SW VandeCarr
Apr20-10, 05:26 PM
P: 2,499
Quote Quote by kasraa View Post

Does it also imply:
[tex] E \left[ \left( x - E \left[ x|Z \right] \right) ^2 | Z \right] = E \left[ \left( x - E \left[ x|Z \right] \right)^2 \right] [/tex]?
Is it correct?

As I said, I don't know what the double conditional on Z means. I can only guess that it might mean something like [tex]P_{k|k}[/tex] which indicates the successor state to [tex]P_{k|k-1}[/tex]. If so, you need to introduce a system of subsripts.

Also, I don't see any problem to getting the MSE from any sample vector. It's the MMSE that can be a challenge.