## Problem definition

In speech processing and elsewhere, a frequently appearing task is to make a prediction of an unknown vector *y* from available observation vectors *x*. Specifically, we want to have an estimate
\( \hat y = f(x) \)
such that
\( \hat y \approx y. \)
In particular, we will focus on *linear estimates* where
\( \hat y=f(x):=A^T x, \)
and where *A* is a matrix of parameters.

## The minimum mean square estimate (MMSE)

Suppose we want to minimise the squared error of our estimate on average. The estimation error is* *
\( e=y-\hat y \)
and the squared error is the *L _{2}*-norm of the error, that is,
\( \left\|e\right\|^2 = e^T e \)
and its mean can be written as the expectation
\( E\left[\left\|e\right\|^2\right] = E\left[\left\|y-\hat y\right\|^2\right] = E\left[\left\|y-A^T x\right\|^2\right]. \)