RLS fixed-lag smoother using covariance information in linear continuous stochastic systems

DOI10.1016/j.apm.2007.11.001zbMath1167.93407OpenAlexW2065796800MaRDI QIDQ838260

Seiichi Nakamori

Publication date: 24 August 2009

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2007.11.001

zbMATH Keywords

fixed-lag smootherWiener-Hopf integral equationleast-squares estimationlinear continuous systemscovariance informationstochastic signal

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Related Items (2)

Design of RLS-FIR filter using covariance information in linear continuous-time stochastic systems ⋮ Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems

Cites Work

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• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• Stochastic models, estimation, and control. Vol. 2,3
• Lectures on linear least-squares estimation
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems
• The interacting multiple model algorithm for systems with Markovian switching coefficients

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