Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems
نویسندگان
چکیده
This paper describes a design for a recursive least-squares Wiener fixed-interval smoother using the covariance information in linear discrete-time stochastic systems. The estimators require information from the observation matrix, the system matrix for the state variable, related to the signal, the variance of the state variable, the cross-variance function of the state variable with the observed value and the variance of the white observation noise. It is assumed that the signal is observed with additive white noise. 2005 Elsevier Inc. All rights reserved.
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