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.

翻译：在这篇简短的文章中,我们展示了最佳(最小误差差异)估计值的推算结果,当随机 LTI 系统输出的一部分没有测量,但能够从测量的系统输出量中预测出来时。 类似的推算方法之前已经做过,但没有使用状态空间表示法。