Optimal smoothing of piecewise continuous functions (Corresp.)

Given an observation vector
y = Ax + \nu
, estimate the parameter vector
x
subject to the known constraint relationship
Kx = 0
. The covariance matrix
R
of the measurement error
\nu
and
A
are known block diagonal matrices. The best linear unbiased estimate of
x
and its covariance is obtained and compared with a sequential suboptimal estimate.