One-Step-Ahead Prediction of the Output, and the Innovation

The viewer can (1) explain why knowing past y and u means knowing past v, (2) derive ŷ(t|t−1) = H⁻¹G u + (1 − H⁻¹) y step by step, and the H-form, (3) compute the predictor for S1, S2 and the slide-19 ARMAX example, (4) explain why H⁻¹ must be stable for the unknown initial conditions to be forgotten, (5) show y − ŷ = e(t) (the innovation).