Fixed interval smoothing for state space models
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Data smoothing in stochastic control theory (93E14) Least squares and related methods for stochastic control systems (93E24)
The author introduces linear least-squares estimation problems for random processes: fixed-interval smoothing for state-space models, including both initial value and boundary value models. The objective is to estimate the state vector of the model in fixed intervals using both past and future observations. The straightforward derivations of the four types of fixed-interval smoothing algorithms are presented. Algorithm comparisons in terms of efficiency and applicability are considered. Explanatory remarks and references to the literature are collected in the final section of each chapter.
- On complementary models and fixed-interval smoothing
- Fixed interval smoothing - Revisited
- Fixed interval estimation in state space models when some of the data are missing or aggregated
- Derivation of fixed-interval smoothing algorithm using covariance information in distributed parameter systems
- Generalized fixed-interval smoothers for discrete-time systems
- Efficient computation for Whittaker-Henderson smoothing
- Fixed-interval smoothing problem from uncertain observations with correlated signal and noise
- Derivation of fixed-interval smoothing algorithm using covariance information in distributed parameter systems
- Fixed interval estimation in state space models when some of the data are missing or aggregated
- Smoothing and Interpolation with the State-Space Model
- Covariances for smoothed estimates in state space models
- Generalized fixed-interval smoothers for discrete-time systems
- Least Squares Smoothing of Nonlinear Systems
- Prediction error identification of linear systems: a nonparametric Gaussian regression approach
- Fixed-interval smoothing of an aeroelastic airfoil model with cubic or free-play nonlinearity in incompressible flow
- Smoothing algorithms for state-space models
- Minimax FIR smoothers for deterministic continuous-time state space models
- A fast compact algorithm for cubic spline smoothing
- Fast computation of smoothing splines subject to equality constraints
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