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A general approach to linear mean-square estimation problems (Corresp.)

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1 Author(s)

An explicit and easily implemented solution is given to the general problem of linear mean-square estimation of a signal or system process based upon noisy observations, under the assumption that the auto- and cross-correlation functions of the signal and the observation processes are known. Also a number of specific estimation problems are briefly discussed.

Published in:

IEEE Transactions on Information Theory  (Volume:19 ,  Issue: 1 )