抄録
In this letter, we show the recursive representation of the optimum projection matrix. The recursive representation of the orthogonal projection and oblique projection have been done in past references. These projections are optimum when the noise is only characterized by the white noise or the structured noise. However, in some practical applications, a desired signal is deteriorated by both the white noise and structured noise. In this situation, the optimum projection matrix has been given by Behrens. For this projection matrix, the recursive representation has not been done. Therefore, in this letter, we propose the recursive representation of this projection matrix.
