Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty

DOI10.1016/j.amc.2008.04.030zbMath1157.65314WikidataQ59552454 ScholiaQ59552454MaRDI QIDQ2518716

Seiichi Nakamori, Raquel Caballero-Águila, Aurora Hermoso-Carazo, Josefa Linares-Pérez, José Domingo Jiménez-López

Publication date: 16 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2008.04.030

zbMATH Keywords

numerical examples; innovation process; least-squares estimation; covariance information; uncertain observations; discrete stochastic systems; fixed-point smoothing algorithm; discrete-time signal; linear recursive filtering

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G05: Nonparametric estimation

Cites Work

• Recursive estimators of signals from measurements with stochastic delays using covariance information
• Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems
• New design of estimators using covariance information with uncertain observations in linear discrete-time systems
• Optimal filtering with random sensor delay, multiple packet dropout and uncertain observations
• Kalman Filtering With Intermittent Observations
• New recursive estimators from correlated interrupted observations using covariance information