On the fixed-interval smoothing problem

DOI10.1080/17442508108833172MaRDI QIDQ3945309zbMATH OpenOpenAlexFDO

Authors Joseph E. Jun. Wall, Alan S. Willsky, 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

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

Cites work

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

Cited in

(14)

• Estimation for boundary-value descriptor systems
• Analysis and filtration of special discrete-time Markov processes. I: Martingale representation
• Direct approach to two-filter smoothing formulas†
• Robust adaptive quantum phase estimation
• Scattering framework for backwards partitioned estimators
• On the relationship between the Lagrange multiplier method and the two-filter smoother
• Discrete-time forward-pass smoothers in distributed-sensor networks
• Two filter smoothing formulae by diagonalization of the Hamiltonian equations†
• Algorithms for the incorporation of predictive information in surveillance theory†
• Minimax estimation in systems of observation with Markovian chains by integral criterion
• Continuous trajectory planning of mobile sensors for informative forecasting
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation
• Informative windowed forecasting of continuous-time linear systems for mutual information-based sensor planning

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