New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems (Q1405085): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: New design of linear least-squares fixed-interval smoother using covariance information / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Estimation technique using covariance information with uncertain observations in linear discrete-time systems / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q5670067 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Lectures on linear least-squares estimation / rank | |||
Normal rank | |||
Revision as of 09:19, 6 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems |
scientific article |
Statements
New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems (English)
0 references
25 August 2003
0 references
Recursive least-square fixed-interval smoothing and filtering algorithms in linear continuous-time stochastic systems are proposed. The estimators require the information of the autocovariance function of the signal, the variance of the white observation noise, and the observed value. The autocovariance function of the signal is expressed by means of a semi-degenerate kernel.
0 references
Wiener-Hopf integral equation
0 references
Linear continuous-time systems
0 references
Recursive estimation
0 references
Covariance information
0 references
Stochastic process
0 references
least-square fixed-interval smoothing
0 references
filtering
0 references
autocovariance function of the signal
0 references
0 references
0 references
0 references
