You probably know it by some other name. It is so classical its unlikely that one hasn't run into it in some form or the other. If you assume a hidden Markov mo

You probably know it by some other name. It is so classical its unlikely that one hasn't run into it in some form or the other. If you assume a hidden Markov model with Gaussian state transition and Gaussian output and work out the recursive update equation KF is what you will get. It might not have been call a Kalman filter. May be Weiner filter will ring a bell, under certain assumptions they become the same thing. If not Weiner filter, recursive least squares would surely ring a bell.