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

DOI10.1080/00207178608933489zbMath0586.93067OpenAlexW2128266453MaRDI 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 smoothernonlinear, discrete-time Bayesian smoothing problemstwo-filter equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Related Items (5)

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 ⋮ On the two-filter approximations of marginal smoothing distributions in general state-space models

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.)

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