Stochastic model (cont’d)

Course subject(s) 2. Mathematical model

The stochastic model was introduced in the previous video; it is given by the covariance matrix of the observables. In general, this covariance matrix will be a diagonal matrix, as the observables are assumed to be independent. However, in this video we will look at a special example where the observables are correlated, such that the covariance matrix is NOT a diagonal matrix. You will see an example of a situation where this can occur.

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Observation Theory: Estimating the Unknown by TU Delft OpenCourseWare is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Based on a work at https://ocw.tudelft.nl/courses/observation-theory-estimating-unknown.
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