On the Iterative Computation of Error Matrix in Unbiased FIR Filtering

It is proved that the iterative computation form for the mean square error (MSE) matrix of the batch unbiased finite impulse response (UFIR) filter exactly equals that of the iterative UFIR filter form, unlike what was previously thought. Based on the iterative MSE matrix form, we suggest two strategies for defining the optimal horizon length for the UFIR filter. The results are verified using the two-state polynomial and harmonic models.