# Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems

arXiv: https://arxiv.org/abs/2109.02384 · HTML: https://mlsanity.com/paper/2109.02384/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 2 of its 19 references that are in the map.
- First posted on arXiv 6 Sep 2021.

## Builds on (most cited first, 2 of 2)

- [On the properties of variational approximations of Gibbs posteriors](https://mlsanity.com/paper/1506.04091/) (2015)
- [PAC-Bayesian theory for stochastic LTI systems](https://mlsanity.com/paper/2103.12866/) (2021)

## Abstract (arXiv)

In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar derivations have been done before but not using state-space representation.