Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems

DOI10.1016/j.amc.2007.03.055zbMath1193.93181OpenAlexW2106409447WikidataQ59552464 ScholiaQ59552464MaRDI QIDQ990582

Aurora Hermoso-Carazo, Josefa Linares-Pérez, Seiichi Nakamori

Publication date: 1 September 2010

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

Full work available at URL: https://doi.org/10.1016/j.amc.2007.03.055

zbMATH Keywords

fixed-lag smootherWiener-Hopf equationlinear stochastic systemscovariance informationrecursive Wiener filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Related Items

Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems, Least-squares finite impulse response fixed-lag smoother and filter in linear discrete-time 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