Optimal and unbiased FIR filtering in discrete time state space with smoothing and predictive properties

Fast algorithms for optimal FIR filter a

Fast algorithms for optimal FIR filter and smoother of discrete-time state-space models

✍ Wook Hyun Kwon; Kyu Seung Lee; Joon Hwa Lee 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 275 KB

In this paper, fast algorithms are suggested for the optimal FIR filter and smoother of discrete-time state-space models with system noise. While the computation order of the previous algorithms for the optimal FIR filter and smoother is O(N 2) with filter length N, it is shown in this paper that it