New design of linear least-squares fixed-interval smoother using covariance information

DOI10.1016/0005-1098(81)90042-XzbMath0464.93087OpenAlexW2067250342MaRDI QIDQ1154440

Seiichi Nakamori, Akira Hataji

Publication date: 1981

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(81)90042-x

zbMATH Keywords

invariant imbedding methodWiener-Hopf integral equationautocovariance functionsdegenerate kernelcovariance informationnonstationary stochastic signal processrecursive linear least-squares fixed-interval smoothing algorithmwhite plus coloured observation noise

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Data smoothing in stochastic control theory (93E14)

Related Items (3)

New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems ⋮ Relation between filter using covariance information and Kalman filter ⋮ New design of linear discrete-time predictor using covariance information

Cites Work

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• Initial-value system for linear smoothing problems by covariance information
• On the spectral factorization of nonstationary vector random processes
• A view of three decades of linear filtering theory
• An Initial-Value Theory for Fredholm Integral Equations With Semidegenerate Kernels
• A new initial-value method for on-line filtering and estimation (Corresp.)

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