Abstract
Several explicit expressions are presented for the minimum mean square error in linear causal filtering, prediction and interpolation of weakly stationary discrete-time processes corrupted by additive noise. A general procedure for deriving error expressions of this kind is established.
Citation
Jakov Snyders. "Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series." Ann. Math. Statist. 43 (6) 1935 - 1943, December, 1972. https://doi.org/10.1214/aoms/1177690864
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