Let B be an n-dimensional random vector of zero mean and positive- definite covariance matrix Q. Suppose measurements of the form y = WB are made where the rank of W is m. If B is the linear minimum...

 Let B be an n-dimensional random vector of zero mean and positive- definite covariance matrix Q. Suppose measurements of the form y = WB are made where the rank of W is m. If B is the linear minimum variance estimate of B based on y, show that the covariance of the error B - B has rank n - m.