20. Deriving the Maximum Likelihood Estimator
Nd787 C4 L1 A16 Deriving The Maximum Likelihood Estimator V1
Variable Reference
The following table explains the significance of some of the variables we'll be using.
| Variable | Meaning |
|---|---|
| x | The unknown (and constant) state vector. This is what we're estimating! |
| H | The (linear) measurement model. Perfect measurement of the state would yield Hx. |
| v | The noise which corrupts our measurements. It's sampled from a zero-mean normal distribution. |
| R | The covariance of the measurement noise. |
| m | The number of measurements made. |
| n | The size of the state vector, x. |
| \tilde{y} | The actual noisy measurements. |