Prediction Theory and Smoothing
E. J. Hannan · Wiley series in probability and statistics · 1970
The prelims comprise: Introduction Vector Discrete-Time Prediction for Rational Spectra The General Theory for Stationary, Discrete-Time, Scalar Processes The General Theory for Stationary, Continuous-Time, Scalar Processes Vector Discrete-Time Prediction Problems of Interpolation Smoothing and Signal Measurement Kalman Filtering Smoothing Filters Exercises