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

✍ Scribed by Seiichi Nakamori; Aurora Hermoso-Carazo; Josefa Linares-Pérez

Book ID
108057045
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
385 KB
Volume
34
Category
Article
ISSN
0307-904X

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New design of linear least-squares fixed-interval smoother using covariance information
✍ Seiichi Nakamori; Akira Hataji 📂 Article 📅 1981 🏛 Elsevier Science 🌐 English ⚖ 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