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Problem 3. Consider the system :1:(n + 1) = am(n) + u(n) and y(n) = a:(n) + v(n) Where a, is a scalar, {u(0), 11(0),

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Problem 3. Consider the system :1:(n + 1) = am(n) + u(n) and y(n) = a:(n) + v(n) Where a, is a scalar, {u(0), 11(0), v(1),:r(0)} are all independent mean zero and variance Gaussian random variables. Let Mo = span{y(0)} and M1 = span{y(0), y(1)}. Find 0) 55(0) = PM1$(0); (ii) E |$(0) - A(0)|2- (ii) Find a and [5' such that 99(1) = y(1) PMoy) = ay(1) + 59(0). Kalman ltering is not needed to solve this

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