New design of linear least-squares fixed-interval smoother using covariance information

DOI10.1016/0005-1098(81)90042-XzbMATH Open0464.93087OpenAlexW2067250342MaRDI QIDQ1154440FDOQ1154440

Authors: Seiichi Nakamori, Akira Hataji 

Publication date: 1981

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(81)90042-x

zbMATH Keywords

autocovariance functionsdegenerate kernelcovariance informationWiener-Hopf integral equationinvariant imbedding methodnonstationary stochastic signal processrecursive linear least-squares fixed-interval smoothing algorithmwhite plus coloured observation noise

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Data smoothing in stochastic control theory (93E14)

Cites Work

• Title not available (Why is that?)
• An Initial-Value Theory for Fredholm Integral Equations With Semidegenerate Kernels
• A view of three decades of linear filtering theory
• A new initial-value method for on-line filtering and estimation (Corresp.)
• Initial-value system for linear smoothing problems by covariance information
• Title not available (Why is that?)
• On the spectral factorization of nonstationary vector random processes

Cited In (3)

• Relation between filter using covariance information and Kalman filter
• New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems
• New design of linear discrete-time predictor using covariance information

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