Least-Squares Estimation

Least-squares estimation provides a means of determining estimates of model parameters that are optimal in the sense of minimizing the sum of the squares of the estimation errors. We present least-squares estimation of parameters for a linear measurement model. We discuss the properties of the least squares estimator using the material presented in Chap. 5 . We also present the best linear unbiased estimator (BLUE); the unbiased least-squares that uses the covariance matrix of the error vector to minimize the variance of the estimator.