A variational principle for the linear filter matrix and an interpretation for the maximum value of the functional
Madhoo Kanal, H. E. Moses, Sanjoy K. Mitter · Transport Theory and Statistical Physics · 1979
A functional of a trial matrix and suitable correlation matrix is constructed which is an absolute maximum when the trial matrix satisfies the Wiener-Hopf equation for the filter matrix. The maximum value of the functional is essentially the sum of the squares of the minimum errors of the observations and is thus of interest in its own right.