Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems

DOI10.1016/j.apm.2009.07.022zbMath1185.93143WikidataQ59552331 ScholiaQ59552331MaRDI QIDQ969351

Seiichi Nakamori, Aurora Hermoso-Carazo, Josefa Linares-Pérez

Publication date: 6 May 2010

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2009.07.022

zbMATH Keywords

Wiener-Hopf equation; covariance information; discrete stochastic systems; recursive least-squares fixed-lag smoother

Mathematics Subject Classification ID

93E14: Data smoothing in stochastic control theory

39A50: Stochastic difference equations

Cites Work

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• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• Stochastic models, estimation, and control. Vol. 2,3
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• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• Lectures on linear least-squares estimation
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems