L² Optimization in Discrete FIR Estimation: Exploiting State-Space Structure
This paper studies the L² (mean-square) optimal design of discrete-time FIR estimators. A solution procedure, which reduces the problem to a static matrix optimization problem admitting a closed-form solution, is proposed. In the latter solution, a special state-space structure of the associated matrices is exploited to obtain efficient formulae with the computational complexity proportional to th
