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The Kalman-Bucy Filter as a True Time-Varying Wiener Filter

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2 Author(s)

The notion is exploded that to build a Kalman-Bucy filter, one needs to know the whole structure of the signal generating process. It is shown that the filter is constructible knowing precisely those covariances required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these covariances. Performance of the Kalman-Bucy filter does depend on the models, however. Results are also obtained for the smoothing problem.

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Systems, Man and Cybernetics, IEEE Transactions on  (Volume:SMC-1 ,  Issue: 2 )