New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems

DOI10.1016/j.amc.2003.08.019zbMath1079.93041OpenAlexW2065141070MaRDI QIDQ1888559

Seiichi Nakamori

Publication date: 23 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.amc.2003.08.019

zbMATH Keywords

covariance matrixfixed-lag smootherWiener-Hopf equationlinear stochastic systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24) Data smoothing in stochastic control theory (93E14)

Related Items (5)

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

Cites Work

• Unnamed Item
• Lectures on linear least-squares estimation
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• 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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