Direct approach to two-filter smoothing formulas†
DOI10.1080/00207178408933185zbMATH Open0541.93075OpenAlexW2063537039MaRDI QIDQ3329344FDOQ3329344
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
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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)
Cites Work
- A solution of the smoothing problem for linear dynamic systems
- Smoothing estimation of stochastic processes: Two-filter formulas
- On the fixed-interval smoothing problem
- Discrete-time complementary models and smoothing algorithms: The correlated noise case
- On the Stochastic Realization Problem
- A stochastic realization approach to the smoothing problem
- Backwards Markovian models for second-order stochastic processes (Corresp.)
- Two filter smoothing formulae by diagonalization of the Hamiltonian equations†
- A further note on backwards Markovian models (Corresp.)
Cited In (6)
- 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
- On the relationship between the Lagrange multiplier method and the two-filter smoother
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