State-space structure of finite horizon optimal mixed H/sub 2//H/sub /spl infin// filters

We show that finite horizon optimal mixed H/sub 2//H/sub /spl infin// filters are not of fixed order. Moreover, when the underlying systems have state-space models of order n, the optimal finite horizon mixed H/sub 2//H/sub /spl infin//, filter has state-space model of order no greater than n+J where J is the multiplicity of the maximum singular value of T/sub 2/(K) equal to the H/sub /spl infin// bound /spl gamma/.