New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems

DOI10.1016/j.amc.2003.08.019zbMath1079.93041MaRDI QIDQ1888559

Seiichi Nakamori

Publication date: 23 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.amc.2003.08.019

zbMATH Keywords

covariance matrix; fixed-lag smoother; Wiener-Hopf equation; linear stochastic systems

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E24: Least squares and related methods for stochastic control systems

93E14: Data smoothing in stochastic control theory

Related Items

RLS fixed-lag smoother using covariance information in linear continuous stochastic systems, Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems, Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete 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

Cites Work

• Unnamed Item
• Lectures on linear least-squares estimation
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• Estimation technique using covariance information with uncertain observations in linear discrete-time systems
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise