Optimal Linear Estimation with State-Space Filters

In this chapter we will again consider estimation problems. However, whereas in Chapter 5 only covariance or spectral density descriptions were used for the signals, we will here adopt an alternative description based on state-space models. This will allow us to obtain a rather simple solution to the problem. In particular, it will no longer be necessary to restrict attention to stationary signals. Also, elegant sequential solutions to the problem will be possible.