New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
type: Item
instance of: scholarly article
title: New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
zbMATH Open document ID: 1079.93041
published in: Applied Mathematics and Computation
publication date: 2004-11-23T00:00:00Z
review text: The design problem of the fixed-lag smoothing and filtering in linear discrete-time stochastic systems is considered. Using the idea of invariant imbedding method [\textit{S. Nakamori}, Signal Process. 58, 309--317 (1997; Zbl 1005.94516)], new recursive least-squares fixed-lag smoothing and filtering equations are derived, where the information of factorized autocovariance function of the signal and the variance of the observation noise play important roles in estimation. The fixed-lag smoothing error variance function is derived and it is shown that the fixed-lag smoothing error is not worse than the filter. Numerical simulation results are presented for illustration.
reviewed by: Katsuji Uosaki
Mathematics Subject Classification ID: 93E14
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93E24
zbMATH DE Number: 2118027
zbMATH Keywords: fixed-lag smoother
zbMATH Keywords: covariance matrix
zbMATH Keywords: linear stochastic systems
zbMATH Keywords: Wiener-Hopf equation
author: Seiichi Nakamori
MaRDI profile type: Publication
full work available at URL: j.amc.2003.08.019
OpenAlex ID: W2065141070
cites work: Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise
cites work: Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
cites work: Estimation technique using covariance information with uncertain observations in linear discrete-time systems
cites work: Q5670067
cites work: Lectures on linear least-squares estimation
DOI: 10.1016/J.AMC.2003.08.019
description: scientific article; zbMATH DE number 2118027