Abstract :
Nonstationary signal and noise are assumed, such that ensembles with the same pertinent statistics may be generated by passing white noise through "physical," time-variable, linear networks composed of a finite number of components. The problem is to find the linear, least-squares smoothing and prediction operators. The point of departure is Bode and Shannon\´s solution for stationary statistics. Analogous results are obtained for nonstationary systems, by examining analogous operations in frequency domain, time domain, and differential equation terms.
