a) Consider a zero-mean random vector (X1,X2,X3,X4), with given covariance matrix C. Specify

the optimal (minimum mean-squared error) linear estimator for X1 given (X2,X3,X4) (Your

answer should not be in the form of an integral expression.).

b) Now suppose that the random vector in part a) is jointly Gaussian. Specify the optimal

(MMSE) estimator of any form (is it linear or nonlinear ?) for X1 given (X2,X3,X4).