Cauchy problem for least-squares estimation with semidegenerate covariance

A linear least-squares filtering problem with a semidegenerate integral equ ation is considered. An invariant imbedding treatment reduces this problem to a system of ordinary differential equations with initial conditions. The optimal estimate may be evaluated in a real-time sequential manner through a simple algebraic formula. (C) 1999 Elsevier Science Ltd. All rights rese rved.