Technical communique: New design of linear least-squares fixed-interval smoother using covariance information

Authors:
Seiichi Nakamori;Akira Hataji
Affiliations:
Department of Electronical Engineering, Faculty of Engineering, Oita University, 700 Banchi, Dannoharu Oita-shi Oita-ken 870-11, Japan;Department of Electronical Engineering, Faculty of Engineering, Oita University, 700 Banchi, Dannoharu Oita-shi Oita-ken 870-11, Japan
Venue:
Automatica (Journal of IFAC)
Year:
1981

Citing 3
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Abstract

This paper derives recursive linear least-squares fixed-interval smoothing algorithm using covariance information by applying an invariant imbedding method to a Wiener-Hopf integral equation. The algorithm is obtained for the white plus coloured observation noise. The signal process is nonstationary stochastic. Autocovariance functions of the signal and the coloured noise are expressed using a degenerate kernel. The degenerate kernel can represent general covariance functions of nonstationary stochastic processes by a finite sum of nonrandom functions.