New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems (Q702643)
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scientific article; zbMATH DE number 2128828
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| English | New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems |
scientific article; zbMATH DE number 2128828 |
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New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems (English)
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17 January 2005
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This paper newly designs the Wiener fixed-lag smoother and filter using covariance information in linear discrete-time stochastic systems. The estimators require the information of the observation matrix, the system matrix for the state variable, related with the signal, the cross-variance function of the state variable with the observed value and the variance of the white observation noise. It is assumed that the signal is observed with additive white noise.
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Wiener-Hopf equation
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linear stochastic systems
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recursive Wiener filter
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fixed-lag smoother
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covariance information
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discrete-time systems
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0.9363251328468324
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0.919704794883728
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0.9155352711677552
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0.9129282236099244
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