For those familiar with least squares estimation, there's a good answer here that relates it with the Kalman filter http://dsp.stackexchange.com/a/2398 http://d

For those familiar with least squares estimation, there's a good answer here that relates it with the Kalman filter http://dsp.stackexchange.com/a/2398 http://dsp.stackexchange.com/a/2398 It's a little simpler to derive the least squares smoothing function http://stats.stackexchange.com/a/138342 http://stats.stackexchange.com/a/138342