Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty (Q2518716)

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Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty
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    Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty (English)
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    16 January 2009
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    least-squares estimation
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    discrete stochastic systems
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    innovation process
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    uncertain observations
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    covariance information
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    numerical examples
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    discrete-time signal
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    linear recursive filtering
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    fixed-point smoothing algorithm
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