Comments on “Covariance Shaping Least-Squares Estimation”.

A routine linear algebra-based derivation is provided for the optimal estimate in a parametric estimation problem, which is a little more general than that discussed in the above paper. Compared with the procedure adopted byEldar and Oppenheim, it is more direct and simple and, therefore, easier to be understood. Moreover, the optimal estimate is expressed in a more computationallyattracti ve form, and the results of Eldar and Oppenheim can be regarded as a special case.