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A further note on backwards Markovian models (Corresp.)

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2 Author(s)

Given a wide-sense forwards Markovian model, namely a state-space system driven by a white-noise process that is uncorrelated with the random initial state of the system, several papers have shown how to obtain a corresponding {sl backwards} Markovian model: a system driven backwards in time from a 'terminal' state by a white-noise process that is uncorrelated with this state, and such that the joint second-order statistics of the backwards-model state and output processes equal those of the corresponding forwards-model processes. A very direct derivation is presented that shows in effect how a simple rearrangement of the forwards

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Information Theory, IEEE Transactions on  (Volume:25 ,  Issue: 1 )