Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems

DOI10.1016/J.APM.2007.04.008zbMath1179.93173OpenAlexW2082964685WikidataQ59552422 ScholiaQ59552422MaRDI QIDQ1031615

Seiichi Nakamori, Aurora Hermoso-Carazo, Josefa Linares-Pérez

Publication date: 30 October 2009

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2007.04.008

zbMATH Keywords

Wiener-Hopf equationcovariance informationdiscrete stochastic systemsrecursive least-squares fixed-lag smoother

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Least squares and related methods for stochastic control systems (93E24)

Related Items (3)

Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems ⋮ Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems ⋮ Least-squares finite impulse response fixed-lag smoother and filter in linear discrete-time stochastic systems

Cites Work

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• The design of on-line linear least-square estimators given covariance specifications via an imbedding method
• Lectures on linear least-squares estimation
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise

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