Direct approach to two-filter smoothing formulas†

DOI10.1080/00207178408933185MaRDI QIDQ3329344zbMATH OpenOpenAlexFDO

Authors Mati Wax, T. Kailath

Publication date 1984

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178408933185

zbMATH Keywords

future-based Fisher estimatorpast-based Bayes estimatortwo-filter smoothing formulas

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

Recommendations

• A synopsis of the smoothing formulae associated with the Kalman filter
• Two-filter formulae for discrete-time non-linear bayesian smoothing
• Smoothing algorithms for state-space models
• Complementary models and smoothing
• Discrete-time complementary models and smoothing

Cites work

• A further note on backwards Markovian models (Corresp.)
• A solution of the smoothing problem for linear dynamic systems
• A stochastic realization approach to the smoothing problem
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• Discrete-time complementary models and smoothing algorithms: The correlated noise case
• On the Stochastic Realization Problem
• On the fixed-interval smoothing problem
• Smoothing estimation of stochastic processes: Two-filter formulas
• Two filter smoothing formulae by diagonalization of the Hamiltonian equations†

Cited in

(6)

• On the relationship between the Lagrange multiplier method and the two-filter smoother
• A synopsis of the smoothing formulae associated with the Kalman filter
• Complementary models and smoothing
• Smoothing estimation of stochastic processes: Change of initial condition formulas
• Derivation of fixed interval smoothing formulas
• Two-filter formulae for discrete-time non-linear bayesian smoothing

This page was built for publication: Direct approach to two-filter smoothing formulas†

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3329344)