Optimal smoothing of piecewise continuous functions (Corresp.)
Marvin Blum · IEEE Transactions on Information Theory · 1972
Given an observation vectory = Ax + u, estimate the parameter vectorxsubject to the known constraint relationshipKx = 0. The covariance matrixRof the measurement error uandAare known block diagonal matrices. The best linear unbiased estimate ofxand its covariance is obtained and compared with a sequential suboptimal estimate.