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The weighted least square s estimate of the vector x =
!0.5238095y1-0.4761905y2+0.4761905y3 !
! !
!-0.0476190y1+0.9523810y2+0.0476190y3 !
The matrix k is in this case found to be
!0.5238095 -0.4761905 0.4761905 !
! !
!-0.0476190 0.9523810 0.0476190 !
The covariance of the estimation error is obtained as Px=
0.7278912 - 0.4557823
- 0.4557823 0.9115646
Now choosing W=1
The matrix k is in this case found to be
0.6666667 - 0.3333333 0.3333333
- 0.3333333 0.6666667 0.3333333
The covariance of the estimation error is obtained as Px=
0.6666667 - 0.3333333
- 0.3333333 0.6666667
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