Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism

DOI10.1016/S0165-1684(98)00072-3MaRDI QIDQ1275142zbMATH OpenOpenAlexFDO

Authors Seiichi Nakamori

Publication date 12 January 1999

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1684(98)00072-3

zbMATH Keywords

continuous-time stochastic systemscovariance information of signal and observation noisedesignextended Kalman filterextended predictornonlinear signal estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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(9)

• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems
• Recursive estimation of impulse response function using covariance information in linear continuous stochastic systems
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems
• Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems
• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• A state predictor for continuous-time stochastic systems
• Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems

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