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RLS fixed-lag smoother using covariance information in linear continuous stochastic systems

✍ Scribed by Seiichi Nakamori


Book ID
108056930
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
237 KB
Volume
33
Category
Article
ISSN
0307-904X

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Estimations of signal and parameters usi
✍ Seiichi Nakamori πŸ“‚ Article πŸ“… 1992 πŸ› Elsevier Science 🌐 English βš– 850 KB

The estimation problem of a signal is considered for the white Gaussian observation noise in linear continuous systems. At first, the recursive fixed-point smoother and filter are designed using the covariance information. The observation equation is given by y(t) = z(t) + v(t), z(t) = H(t)z(t), whe