Smoothing as an improvement on filtering: a universal bound
Brian D. O. Anderson, S. Chirarattananon · Electronics Letters · 1971
Comparison is made between the mean-square errors Pf and Ps associated with the linear least-squares filtered and smoothed estimates of a stationary process of spectral density S(ω) in white noise of spectral density No. A universal curve is obtained which relates the minimum possible value of Ps/Pf to ωmax{S(ω) No}. The curve sets a bound on the maximum improvement over filtering which smoothing will offer, in terms of the maximum signal/noise ratio.