An innovation approach to the smoothing problem from uncertain observations with correlated signal and noise

DOI10.1002/MMA.627zbMath1070.62078OpenAlexW2130453218WikidataQ59552536 ScholiaQ59552536MaRDI QIDQ5695875

Seiichi Nakamori, Josefa Linares-Pérez, Raquel Caballero-Águila, Aurora Hermoso-Carazo, José Domingo Jiménez-López

Publication date: 6 October 2005

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.627

zbMATH Keywords

innovation processcovariance informationuncertain observationsfixed-lag smoothingfixed-point smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Different approaches for state filtering in nonlinear systems with uncertain observations ⋮ Recursive smoothing algorithms for the estimation of signals from uncertain observations via mixture approximations

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