Initial-value system for linear smoothing problems by covariance information

DOI10.1016/0005-1098(77)90084-XzbMath0366.93038OpenAlexW2276723436MaRDI QIDQ1242143

Seiichi Nakamori, Masanori Sugisaka

Publication date: 1977

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(77)90084-x

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Hamilton-Jacobi theories (49L99)

Related Items

Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise ⋮ New prediction algorithms by covariance information based on innovation theory ⋮ New design of linear least-squares fixed-interval smoother using covariance information ⋮ Relation between filter using covariance information and Kalman filter ⋮ Design of RLS-FIR filter using covariance information in linear continuous-time stochastic systems ⋮ Estimations of signal and parameters using covariance information in linear continuous systems ⋮ New design of linear discrete-time predictor using covariance information ⋮ The design of on-line linear least-square estimators given covariance specifications via an imbedding method

Cites Work

• 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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