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

DOI10.1080/00207178608933489zbMath0586.93067MaRDI QIDQ3713969

Yoram Bresler

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/00207178608933489

zbMATH Keywords

fixed interval smoother; nonlinear, discrete-time Bayesian smoothing problems; two-filter equations

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62C10: Bayesian problems; characterization of Bayes procedures

93E11: Filtering in stochastic control theory

93C10: Nonlinear systems in control theory

93C55: Discrete-time control/observation systems

60G35: Signal detection and filtering (aspects of stochastic processes)

93E14: Data smoothing in stochastic control theory

Related Items

On the two-filter approximations of marginal smoothing distributions in general state-space models, Likelihood computation for hidden Markov models via generalized two-filter smoothing, System identification of nonlinear state-space models, Smoothing algorithms for state-space models, Controlled sequential Monte Carlo

Cites Work

• Smoothing algorithms for nonlinear finite-dimensional systems
• Direct approach to two-filter smoothing formulas†
• A recursive algorithm for the Bayes solution of the smoothing problem
• Équations du filtrage non linéaire de la prédiction et du lissage
• Backwards Markovian models for second-order stochastic processes (Corresp.)