Least-squares finite impulse response fixed-lag smoother and filter in linear discrete-time stochastic systems

DOI10.1016/J.AMC.2018.03.121MaRDI QIDQ2335519zbMATH OpenOpenAlexFDO

Authors Seiichi Nakamori

Publication date 14 November 2019

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

Full work available at URL https://doi.org/10.1016/j.amc.2018.03.121

zbMATH Keywords

autoregressive modelcovariance informationLevinson-Durbin algorithmLS FIR fixed-lag smootherRLS Wiener FIR fixed-lag smootherWiener-Hopf equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Least squares and related methods for stochastic control systems (93E24) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cites work

• A receding horizon Kalman FIR filter for discrete time-invariant systems
• A receding horizon Kalman FIR filter for linear continuous-time systems
• Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems
• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• Discrete-time fixed-lag smoothing algorithms
• FIR filters and recursive forms for continuous time-invariant state-space models
• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Receding-horizon unbiased FIR filters for continuous-time state-space models without a priori initial state information
• Robust quantized H_ filtering for discrete-time uncertain systems with packet dropouts
• Statistische Signale

Cited in

(4)

• A continuous finite-time convergence fixed-lag FIR smoother using multiple IIR filters
• Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems
• scientific article; zbMATH DE number 3873213 (Why is no real title available?)
• Fixed-interval smoothing of an aeroelastic airfoil model with cubic or free-play nonlinearity in incompressible flow

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