Direct approach to two-filter smoothing formulas†

DOI10.1080/00207178408933185zbMath0541.93075OpenAlexW2063537039MaRDI QIDQ3329344

Mati Wax, Thomas 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) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Related Items

Two-filter formulae for discrete-time non-linear bayesian smoothing

Cites Work

• A solution of the smoothing problem for linear dynamic systems
• A stochastic realization approach to the smoothing problem
• 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†
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• A further note on backwards Markovian models (Corresp.)
• Discrete-time complementary models and smoothing algorithms: The correlated noise case