Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems

DOI10.1016/J.AMC.2007.03.055zbMATH Open1193.93181DBLPjournals/amc/NakamoriHL07OpenAlexW2106409447WikidataQ59552464 ScholiaQ59552464MaRDI QIDQ990582FDOQ990582

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

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.03.055

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zbMATH Keywords

Wiener-Hopf equationlinear stochastic systemscovariance informationfixed-lag smootherrecursive Wiener filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Cites Work

• Title not available (Why is that?)
• Lectures on linear least-squares estimation
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise

Cited In (12)

• Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems
• RLS fixed-lag smoother using covariance information in linear continuous stochastic systems
• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• 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
• Least-squares finite impulse response fixed-lag smoother and filter in linear discrete-time stochastic systems
• Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems
• Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems
• Recursive least squares fixed-lag Wiener smoothing using autoregressive signal models for linear discrete-time systems
• Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise

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