Linear filtering of nonstationary stochastic Gaussian noise power

Optimum linear filtering of the variance of stationary Gaussian noise is extended to the case where the noise variance is a function of an unobservable Markov control process. Discrete observations are examined. Tomsk State University. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 4, pp. 3–7, April, 1999.