Application of a Resolvent Identity to a Linear Smoothing Problem
T. Kailath · SIAM Journal on Control · 1969
By using a result of Siegert [3], we derive a new identity for the “resolvent” of a covariance function. This identity is used to obtain a simple relation between the “smoothed” and “filtered” linear least-squares estimates of a signal process in additive uncorrelated white noise.