<cite>
you haven't explained what "filtering" you are talking about.
</cite>
Go to page 1 of this thread. Page search (CTRL + F) +
bayesian
Hint: "Google"
"bayesian filtering"
One recursive empirical bayesian filter is the
Kalman Filter.
Se also:
The Kalman Filter
Kalman filter - Wikipedia, the free encyclopedia
http://www.cs.unc.edu/~welch/kalman/...Kalman1960.pdf
Related links:
State Space Filters
Spinnaker Stats (Excel formulaes).
SpringerLink - Journal Article
Also "Google": The classical wiener problem + Kalman
There are some Japanese experts on this topic like Ito and Katsuhiko Ogata:
"Google": Ito integral
and search / browse from there.
Also "Google":
Katsuhiko Ogata site:www dot amazon dot com
P.S. There are other more general filters
"Google": "Masreliez filter"