## Spectral factorization of time-varying covariance functions

- Brian D. O. Anderson, John B. Moore, Sonny G. Loo
- IEEE Trans. Information Theory
- 1969

The notion is exploded that to build a Kalman-Bucy filter, one needs to know the whole structure of the signal generating process. It is shown that the filter is constructible knowing precisely those covariance~ required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these… (More)

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