Date of Original Version
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Abstract or Description
We present telescoping recursive representations for both continuous and discrete indexed noncausal Gauss-Markov random fields. Our recursions start at the boundary (for example, a hypersurface in Rd , d ≥ 1) and telescope inwards. Under appropriate conditions, the recursions for the random field are differential/difference representations driven by white noise, for which we can use standard recursive estimation algorithms, such as the Kalman-Bucy filter and the Rauch-Tung-Striebel smoother.
IEEE Transactions on Information Theory, 57, 3, 1645-1663.