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We consider a linear Gaussian noise channel used with delayed feedback. The channel noise is assumed to be an ARMA (autoregressive and/or moving average) process. We reformulate the Gaussian noise channel into an intersymbol interference channel with white noise, and show that the delayed-feedback of the original channel is equivalent to the instantaneous-feedback of the derived channel. By generalizing previous results developed for Gaussian channels with instantaneous feedback and applying them to the derived intersymbol interference channel, we show that conditioned on the delayed feedback, a conditional Gauss-Markov source achieves the feedback capacity and its Markov memory length is determined by the noise spectral order and the feedback delay. A Kalman-Bucy filter is shown to be optimal for processing the feedback. The maximal information rate for stationary sources is derived in terms of average channel input power constraint and the steady state solution of the Riccati equation of the Kalman-Bucy filter used in the feedback loop.