An extension of the Kalman filter algorithm to the multi-channel case is presented and its application as a segmenting procedure in the analysis of the epileptic EEG is discussed. An analytical example of structural analysis, using the segments extracted by the proposed filter, is presented for a particular set of 4-channel EEG recordings. This analysis is shown to be especially fruitful if the autoregressive coefficients - a byproduct of the filtering procedure - are used to estimate the information flow between the channels by the calculation of partial as well as directed coherences for the representative segments.
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