A view of three decades of linear filtering theory

  • Authors:

  • T. Kailath

  • Affiliations:

  • Stanford University, Stanford, CA, USA

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

Developments in the theory of linear least-squares estimation in the last thirty years or so are outlined. Particular attention is paid to early mathematica[ work in the field and to more modern developments showing some of the many connections between least-squares filtering and other fields.