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A continuous-time finite-power process with distribution P is observed through an AWGN channel, at a given signal-to-noise ratio (SNR), and is estimated by an estimator that would have minimized the mean-square error if the process had distribution Q. We show that the causal filtering meansquare error (MSE) achieved at SNR level snr is equal to the average value of the noncausal (smoothing) MSE achieved...
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