Steady-State Covariance Analysis for a Forward-Pass Fixed-Interval Smoother

DOI10.1115/1.3143755zbMATH Open0611.93062OpenAlexW1967145993MaRDI QIDQ3752275FDOQ3752275

Authors: Keigo Watanabe 

Publication date: 1986

Published in: Journal of Dynamic Systems, Measurement, and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1115/1.3143755

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zbMATH Keywords

algorithmdiscrete-time linear systemsforward-pass-fixed-interval smoothersteady state error covariance equation

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Data smoothing in stochastic control theory (93E14)

Cited In (5)

• Covariances for smoothed estimates in state space models
• A new forward-pass fixed-interval smoother using the U-D information matrix factorization
• Algebraic solution of a forward-pass fixed-interval smoother: continuous-time systems
• Steady-state error covariances of fixed-point smoothers
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices

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