Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism

DOI10.1016/S0165-1684(98)00072-3zbMath0909.93066OpenAlexW2114090597MaRDI QIDQ1275142

Seiichi Nakamori

Publication date: 12 January 1999

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1684(98)00072-3

zbMATH Keywords

designextended Kalman filtercontinuous-time stochastic systemscovariance information of signal and observation noiseextended predictornonlinear signal estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

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New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems ⋮ New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems ⋮ Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems ⋮ New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems ⋮ Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems ⋮ Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems ⋮ Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems ⋮ Recursive estimation of impulse response function using covariance information in linear continuous stochastic systems

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