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The problem of coding i.i.d. sources with side information available only at the decoder is solved by the Slepian-Wolf and Wyner-Ziv theorems. In this work, we study the problem of coding Gauss-Markov sources with side information. We find a rate lower bound for lossless coding and derive the rate-distortion function for lossy coding. We show that the rate-distortion function is asymptotically achievable by combining the conditional Karhunen-Loeve transform (KLT) and Wyner-Ziv coding.