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What is a 'Direct Filter Approach'?

The predicate ' direct ' refers to the fact that the optimization criterion emphasizes 'directly' filter performances (instead of classic one-step ahead mean-square error performances prevalent in maximum likelihood approaches). The term ' filter ' refers to the fact that the outcome of the optimization is not a model , but a filter instead. The formal mathematical background (in a mean-square error perspective) is provided in Optimal Real-Time Filters for Linear Prediction Problems .
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