Suppose that Θ , X1 , and X2 have zero means. Furthermore,

Var(X1)=Var(X2)=Var(Θ)=4,

and

Cov(Θ,X1)=Cov(Θ,X2)=Cov(X1,X2)=1.

The LLMS estimator of Θ based on X1 and X2 is of the form Θˆ=a1X1+a2X2+b . Find the coefficients a1 , a2 , and b . Hint: To find b , recall the argument we used for the case of a single observation.

a1 =
a2 =
b =

1 answer

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