Explicit construction of the minimum error variance estimator for stochastic LTI-ss systems

We showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system outputs is not measured but is able to be predicted from the measured system outputs. (c) 2023 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).