Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers

DOI10.1016/J.SIGPRO.2009.06.012zbMATH Open1177.93085OpenAlexW2103777996MaRDI QIDQ1048801FDOQ1048801

Authors Simo Särkkä

Publication date 8 January 2010

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2009.06.012

zbMATH Keywords

unscented transformationcontinuous-time smootherunscented Kalman smootherunscented Rauch-Tung-Striebel smoother

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(6)

• Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
• Maximum Correntropy Rauch–Tung–Striebel Smoother for Nonlinear and Non-Gaussian Systems
• The nonsequential fusion method for localization from unscented Kalman filter by multistation array buoys
• Robust continuous-time smoothers without two-sided stochastic integrals
• Expectation propagation for continuous time stochastic processes
• A square-root fixed-interval discrete-time smoother

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