Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems

被引：4

作者：

Nakamori, Seiichi ^{[1
]}

机构：

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

来源：

APPLIED MATHEMATICAL MODELLING | 2007年 / 31卷 / 08期

关键词：

continuous stochastic systems; recursive least-squares fixed-lag smoother; covariance information; Wiener-Hopf integral equation;

D O I：

10.1016/j.apm.2006.05.001

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper newly designs the recursive least-squares (RLS) fixed-lag smoother and filter using the covariance information in linear continuous-time stochastic systems. It is assumed that the signal is observed with additive white observation noise and the signal is uncorrelated with the observation noise. The estimators require the covariance information of the signal and the variance of the observation noise. The auto-covariance function of the signal is expressed in the semi-degenerate kernel form. (c) 2006 Elsevier Inc. All rights reserved.

引用

页码：1609 / 1620

页数：12

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