On the direct calculation of MMSE of linear realizable estimator by Toeplitz form method (Corresp.)
Kung Yao · IEEE Transactions on Information Theory · 1971
In this correspondence, the Toeplitz form method is used in the direct calculation of the MMSE resulting from linear realizable mean-square interpolation, extrapolation, and filtering of certain classes of signal sequences in additive (not necessarily white) noise sequences. Further simplification results when the signal plus noise forma apth-order auto-regressive random sequence.