On the fixed-interval smoothing problem

DOI10.1080/17442508108833172zbMath0485.60043OpenAlexW1998808684MaRDI QIDQ3945309

Alan S. Willsky, Joseph E. Jun. Wall, Nils R. jun. Sandell

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833172

zbMATH Keywords

implementationmaximum likelihood estimatesmoothing algorithm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• A unified approach to smoothing formulas
• Scattering theory and linear least squares estimation. II: Discrete-time problems
• A solution of the smoothing problem for linear dynamic systems
• A survey of data smoothing for linear and nonlinear dynamic systems
• A stochastic realization approach to the smoothing problem
• On the Stochastic Realization Problem
• New smoothing algorithms based on reversed-time lumped models
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• General backwards Markov models
• Efficient change of initial conditions, dual chandrasekhar equations, and some applications
• A further note on backwards Markovian models (Corresp.)
• Sensitivity analysis of discrete filtering and smoothing algorithms

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