Application of spectral factorization to the linear discrete-time fixed-point smoothing problem

DOI10.1109/9.16427MaRDI QIDQ3818968zbMATH OpenOpenAlexFDO

Authors

Publication date 1989

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.16427

zbMATH Keywords

colored measurementdriving noise signalslinear, discrete-time invariant systemmeasurement spectral factorminimum variance steady-state fixed-point smoothing estimatez-transform

Mathematics Subject Classification ID

Transformations (93B17) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

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Cited in

(3)

• Principle of guaranteed result in a problem of stationary linear smoothing with uncertainty of spectral densities
• Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother
• A new forward-pass fixed-interval smoother using the U-D information matrix factorization

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