Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems

DOI10.1016/j.amc.2004.04.053zbMath1125.93497OpenAlexW2126377547WikidataQ59552542 ScholiaQ59552542MaRDI QIDQ1780528

Seiichi Nakamori, Aurora Hermoso-Carazo, Josefa Linares-Pérez, Raquel Caballero-Águila

Publication date: 13 June 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2004.04.053

zbMATH Keywords

Wiener-Hopf equationCovariance informationDiscrete-time stochastic systemsFixed-point smootherRecursive Wiener filter

Mathematics Subject Classification ID

Related Items (2)

On fixed-point smoothing for descriptor systems with multiplicative noise and single delayed observations ⋮ Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty

Cites Work

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• Lectures on linear least-squares estimation
• Estimation technique using covariance information with uncertain observations in linear discrete-time systems
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise

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