New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems (Q1405085)
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| Language | Label | Description | Also known as |
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| English | New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems |
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New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems (English)
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25 August 2003
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Recursive least-square fixed-interval smoothing and filtering algorithms in linear continuous-time stochastic systems are proposed. The estimators require the information of the autocovariance function of the signal, the variance of the white observation noise, and the observed value. The autocovariance function of the signal is expressed by means of a semi-degenerate kernel.
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Wiener-Hopf integral equation
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Linear continuous-time systems
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Recursive estimation
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Covariance information
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Stochastic process
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least-square fixed-interval smoothing
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filtering
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autocovariance function of the signal
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