Some new smoother implementations for discrete-time gaussian reciprocal processes

DOI10.1080/00207179108934207MaRDI QIDQ3979755zbMATH OpenOpenAlexFDO

Authors Calvin D. Greene, Bernard C. Levy

Publication date 26 June 1992

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

Full work available at URL https://doi.org/10.1080/00207179108934207

zbMATH Keywords

Gaussian white noisediscrete time Gaussian reciprocal processesdouble-sweep solutionsMayne-Fraser smootheroptimal smoothed estimatesRauch-Tung-Striebel approachsecond-order linear descriptor model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Discrete-time control/observation systems (93C55) Data smoothing in stochastic control theory (93E14)

Recommendations

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• Characterization of Stationary Discrete-Time Gaussian Reciprocal Processes over a Finite Interval
• scientific article; zbMATH DE number 627543
• Optimal Smoothing for Finite State Hidden Reciprocal Processes

Cites work

• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• A solution of the smoothing problem for linear dynamic systems
• Linear estimation of boundary value stochastic processes-- Part I: The role and construction of complementary models
• Modeling and estimation of discrete-time Gaussian reciprocal processes
• Reciprocal Processes: The Stationary Gaussian Case

Cited in

(5)

• Nearest-neighbour modelling of reciprocal chains
• Modeling and estimation of discrete-time Gaussian reciprocal processes
• Gaussian conditionally Markov sequences: modeling and characterization
• Estimation for boundary-value descriptor systems
• Recursive filtering and smoothing for reciprocal Gaussian processes-pinned boundary case

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