New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
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Publication:1888559
DOI10.1016/j.amc.2003.08.019zbMath1079.93041MaRDI QIDQ1888559
Publication date: 23 November 2004
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2003.08.019
93E11: Filtering in stochastic control theory
93E24: Least squares and related methods for stochastic control systems
93E14: Data smoothing in stochastic control theory
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RLS fixed-lag smoother using covariance information in linear continuous stochastic systems, Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems, Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems, Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems, Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems
Cites Work
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- Lectures on linear least-squares estimation
- Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
- Estimation technique using covariance information with uncertain observations in linear discrete-time systems
- Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise