Comments on "Estimation and decision for linear systems with elliptical random processes" [with reply]
Jiro Hodoshima, K. Chu · IEEE Transactions on Automatic Control · 2002
In the paper by Kai-ching Chu (see ibid., vol.AC-18, p.499-505, 1973), the conditional covariance matrix of x/sub 2/ given x/sub 1/ was formulated, when x=(x/sub 1//sup T/, x/sub 2//sup T/)/sup T/ is elliptically distributed. A comment is presented to point out an error in the formulation of the conditional covariance matrix and its proof.