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

DOI10.1016/j.amc.2007.03.055zbMath1193.93181DBLPjournals/amc/NakamoriHL07OpenAlexW2106409447WikidataQ59552464 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 (2)

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

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