Fixed-point smoothing of sequentially correlated processes

✍ Scribed by T. Nishimura

• Publisher: Elsevier Science
• Year: 1972
• Tongue: English
• Weight: 326 KB
• Volume: 8
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/0005-1098(72)90069-6

✦ Synopsis

The fixed-point smoothing problem of sequentially correlated processes is considered. The filtering technique of such processes is extended to smoothing problems by simultaneously estimating the state and the accumulated contribution of process noise. Suboptimal filtering and smoothing are also discussed when data noise is regarded white in designing filters although it is actually sequentially correlated.

2. Derivation of fixed-point smoothing equation

Suppose a vector x which is composed of the state xt to be estimated and of data noise x2 satisfy the following equation dx(t)_E(t)x(t) + G( t)w( t)

(1) dt