Linear Minimum Mean-square-error Estimation and the Orthogonality Principle
Consider the estimation problem illustrated in Figure 2.
We assume that are both of zero-mean and . The estimation problem is now to find the optimal value for .Thus, we have the linear minimum mean-square error criterion which minimizes with respect to .
are both of zero-mean and 
. The estimation problem is now to find the optimal value for 
.Thus, we have the linear minimum mean-square error criterion which minimizes 
with respect to 