Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems

DOI10.1016/J.APM.2015.02.001zbMATH Open1443.93142OpenAlexW1999048338MaRDI QIDQ2285351FDOQ2285351

Authors: Seiichi Nakamori 

Publication date: 8 January 2020

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2015.02.001

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zbMATH Keywords

Wiener-Hopf equationcovariance informationdiscrete-time stochastic systemsAR modelRLS fixed-lag Wiener smoother

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Least squares and related methods for stochastic control systems (93E24)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Distributed optimal component fusion weighted by scalars for fixed-lag Kalman smoother
• Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems
• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems
• Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems
• Discrete-time fixed-lag smoothing algorithms

Cited In (2)

• Optimal experiment design for identification of ARX models with constrained output in non-Gaussian noise
• Least-squares finite impulse response fixed-lag smoother and filter in linear discrete-time stochastic systems

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