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On the solution of the linear estimation problem involving correlated signal and noise

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3 Author(s)
Fernandez-Alcala, R.M. ; Dept. of Stat. & Operations Res., Univ. of Jaen, Spain ; Navarro-Moreno, J. ; Ruiz-Molina, J.C.

An efficient solution is given to the problem of linear least-squares estimation of a continuous stochastic process corrupted by an additive white noise which is correlated with the signal. This solution is based on the approximate Karhunen-Loeve (KL) expansion and it can be derived through a recursive algorithm which is similar to a Kalman-Bucy filter.

Published in:

Information Theory, 2002. Proceedings. 2002 IEEE International Symposium on

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