Design of Recursive Wiener Fixed-Point Smoother based on Innovations Approach in Linear Discrete-Time Stochastic Systems

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概要

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• This paper proposes a new design for the recursive Wiener fixed-point smoother and filter based on the innovations approach in linear discrete-time stochastic systems. The estimators require the information of the observation matrix, the system matrix for the state variable, related with the signal, the crossvariance 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.

• 鹿児島大学の論文
• 2004-02-23

著者

• Nakamori Seiichi

  Department Of Technology Faculty Of Education

関連論文

• Design of estimators using covariance information with uncertain observations in linear discrete-time distributed parameter systems
• Design of Recursive Least-Squares Fixed-Lag Smoother using Covariance Information in Linear Continuous Stochastic Systems
• Design of Recursive Wiener Fixed-Point Smoother based on Innovations Approach in Linear Discrete-Time Stochastic Systems
• Estimation Technique Using Covariance Information with Relation to Wavelet Transformation in Linear Discrete Stochastic Systems

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