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Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems

✍ Scribed by Seiichi Nakamori


Book ID
108056866
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
277 KB
Volume
31
Category
Article
ISSN
0307-904X

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New design of linear least-squares fixed
✍ Seiichi Nakamori; Akira Hataji πŸ“‚ Article πŸ“… 1981 πŸ› Elsevier Science 🌐 English βš– 256 KB

This paper derives recursive linear least-squares fixed-interval smoothing algorithm using covariance information by applying an invariant imbedding method to a Wiener-Hopf integral equation. The algorithm is obtained for the white plus coloured observation noise. The signal process is nonstationary