  We propose an approach to the estimation of infinite sets of random vectors.
The problem addressed is as follows. Given two infinite sets of random vectors,
find a single estimator
  that estimates vectors from with a controlled associated error. A new theory
for the existence and implementation of such an estimator is studied. In
particular, we show that the proposed estimator is asymptotically optimal.
Moreover, the estimator is determined in terms of pseudo-inverse matrices and,
therefore, it always exists.
