The linear estimation of completely unknown signals
Jared Glover · IEEE Transactions on Automatic Control · 1969
The estimation of completely unknown signals is studied. Signals which have no probabilistic structure propagate through a linear system. The output of the linear system is observed in the presence of white noise. A sampled-data linear filter is found which estimates the signals at discrete points in time. The estimate is optimum in the sense that it is unbiased and the variance of the estimate is minimized (Fisher estimate).