What is the covariance matrix and its application?

[vkekk]

What is covariance matrix and need for it?

Covariance matrix for estimation error s-s1 is readily seen to be E(s-s1)(s-s1)*
where s -- actual vector
s1 ---estimated vector

can you explain and make me to understand the above equation i.e why we take conjugate and multiply with error estimation ...

 

[vkekk]

Re: matrix...

For estimation error

Covariance matrix for estimation error s-s1 is readily seen to be

E(s-s1)(s-s1)* =(alpha I +H*H)^-1 = P

But iam not understand the above equation for calculating error power.

For reference iam attached a File below , Please help me to understand.

 

[vkekk]

Re: matrix...

Can anybody help me the Same above...