WIDE-SENSE MARKOFF SEQUENCES AND RECURSIVE FILTERING,
Athanasios Papoulis · 1964
Abstract : In the introductory section of the paper, the orthogonality principle for random variables is stated and proved. This principle is the basis of all linear mean square estimations. In the second section, a number of basic properties of wide-sense Markoff sequences is given. It is finally shown that recursive filtering is an immediate consequence of the orthogonality principle. (Author)