Least-Squares Curve Fitting and Discrete Optimum Fitting

This tutorial paper presents an introduction to leastsquares curve fitting and its connection to optimum filtering, using methods familiar and appealing to communication and control system engineers and educators in these disciplines. A development of the remarkable computational contribution of Kalman and Bucy to the solution of the Wiener filtering problem is presented, using leastsquares techniques and the Bayesian rule. Since the approach is discrete, the paper stresses the role of the modem digital computer in solving this class of important electrical engineering problems.