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

DOI10.1016/0005-1098(81)90042-XMaRDI QIDQ1154440zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3346250 (Why is no real title available?)
• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• A new initial-value method for on-line filtering and estimation (Corresp.)
• A view of three decades of linear filtering theory
• An Initial-Value Theory for Fredholm Integral Equations With Semidegenerate Kernels
• Initial-value system for linear smoothing problems by covariance information
• On the spectral factorization of nonstationary vector random processes

Cited in

(3)

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

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