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

DOI10.1016/J.AMC.2007.03.055MaRDI QIDQ990582zbMATH OpenOpenAlexDBLPWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Design of a fixed-point smoother based on an innovations theory for white gaussian plus coloured observation noise
• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• Lectures on linear least-squares estimation

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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