Abstract: The (sub)-optimal soolution of linear filtering problem
with correlated noises is considered. The special recursive form of
the class of filters and criteria for selecting the best estimator are
the essential elements of the design method. The properties of the
proposed filter are studied. In particular, for Markovian observation
noise, the approximate filter becomes an optimal Gevers-Kailath filter
subject to a special choice of the parameter in the class of given linear
recursive filters.