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The problem of determining a shaping filter for nonstationary colored noise is considered. The shaping filter transforms white noise into a possibly nonstationary random process (having no white noise component) with a specified covariance function. A set of conditions to be satisfied by the covariance function leads to the determination of a shaping filter. The shaping filter coefficients are simply related to the solution of a matrix Riccati equation. In order to formulate the Riccati equation, basic results concerning the mean-square differentiability of a random process are developed. If the Riccati equation can not be defined, an autonomous (zero-input) shaping filter may be easily determined.