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.
"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