Smoothing algorithms for nonlinear finite-dimensional systems

DOI10.1080/17442508308833251zbMath0524.93066OpenAlexW2073371210MaRDI QIDQ3039218

Ian B. Rhodes, Brian D. O. Anderson

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833251

zbMATH Keywords

fixed interval smoothingreverse-time filtered probabilityreverse-time likelihood function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Two-filter formulae for discrete-time non-linear bayesian smoothing ⋮ Nonlinear smoothing algorithms using white noise model ⋮ On the joint nonlinear filtering-smoothing of diffusion processes ⋮ Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation ⋮ Backward Nonlinear Smoothing Diffusions ⋮ Forward and backward semimartingale models for gaussian processes with stationary increments

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• Smoothing for doubly stochastic Poisson processes

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