New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems

DOI10.1016/S0096-3003(02)00432-0zbMath1029.93060OpenAlexW2049498303MaRDI QIDQ1405085

Seiichi Nakamori

Publication date: 25 August 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(02)00432-0

zbMATH Keywords

filteringRecursive estimationWiener-Hopf integral equationStochastic processautocovariance function of the signalCovariance informationleast-square fixed-interval smoothingLinear continuous-time systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24) Data smoothing in stochastic control theory (93E14)

Related Items

Derivation of fixed-interval smoothing algorithm using covariance information in distributed parameter systems, Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems, Fixed-interval smoothing problem from uncertain observations with correlated signal and noise

Cites Work

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