  In this paper, we relate the feedback capacity of parallel additive colored
Gaussian noise (ACGN) channels to a variant of the Kalman filter. By doing so,
we obtain lower bounds on the feedback capacity of such channels, as well as
the corresponding feedback (recursive) coding schemes, which are essentially
power allocation policies with feedback, to achieve the bounds. The results are
seen to reduce to existing lower bounds in the case of a single ACGN feedback
channel, whereas when it comes to parallel additive white Gaussian noise (AWGN)
channels with feedback, the recursive coding scheme reduces to a feedback
"water-filling" power allocation policy.
