Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems

DOI10.1016/J.APM.2006.05.001MaRDI QIDQ2472665zbMATH OpenOpenAlexFDO

Authors Seiichi Nakamori

Publication date 22 February 2008

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

Full work available at URL https://doi.org/10.1016/j.apm.2006.05.001

zbMATH Keywords

continuous stochastic systemscovariance informationrecursive least-squares fixed-lag smootherWiener-Hopf integral equation

Mathematics Subject Classification ID

Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Equations involving nonlinear operators (general) (47J05) Stochastic systems in control theory (general) (93E03) Filtering in stochastic control theory (93E11)

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Cites work

• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• scientific article; zbMATH DE number 3320868 (Why is no real title available?)
• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Lectures on linear least-squares estimation
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• Quadratic estimation of multivariate signals from randomly delayed measurements
• The design of on-line linear least-square estimators given covariance specifications via an imbedding method

Cited in

(9)

• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• Estimations of signal and parameters using covariance information in linear continuous 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
• Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems
• Design of RLS-FIR filter using covariance information in linear continuous-time stochastic systems
• 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

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