Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems

被引：3

作者：

Nakamori, S

Caballero-Aguila, R

Hermoso-Carazo, A

Linares-Pérez, J

机构：

[1] Kagoshima Univ, Fac Educ, Dept Technol, Kagoshima 8900065, Japan

[2] Univ Jaen, Dept Estadist & Invest Operat, Jaen 23071, Spain

[3] Univ Granada, Dept Estadist & Invest Operat, Granada 18071, Spain

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2005年 / 165卷 / 03期

关键词：

discrete-time stochastic systems; recursive Wiener filter; covariance information; fixed-point smoother; Wiener-Hopf equation;

D O I：

10.1016/j.amc.2004.04.053

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper designs two kinds of recursive least-squares Wiener fixed-point smoothers based on an innovation approach in linear discrete-time stochastic systems. It is assumed that the signal is observed with additive white noise. The proposed fixed-point smoothers require the information of the observation matrix, the system matrix for the state variable, related with 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. (c) 2004 Elsevier Inc. All rights reserved.

引用

页码：731 / 747

页数：17

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