New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems

DOI10.1016/J.AMC.2003.10.030zbMath1063.93051OpenAlexW2044161894MaRDI QIDQ702643

Seiichi Nakamori

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2003.10.030

zbMATH Keywords

discrete-time systemsfixed-lag smootherWiener-Hopf equationlinear stochastic systemscovariance informationrecursive Wiener filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

Related Items (3)

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

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
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise

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