Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems

被引：1

作者：

Nakamori, Seiichi ^{[1
]}

Hermoso-Carazo, Aurora ^{[2
]}

Linares-Perez, Josefa ^{[2
]}

机构：

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

[2] Univ Granada, Dept Estadist & Invest Operat, E-18071 Granada, Spain

来源：

APPLIED MATHEMATICAL MODELLING | 2010年 / 34卷 / 04期

关键词：

Discrete stochastic systems; Recursive least-squares fixed-lag smoother; Covariance information; Wiener-Hopf equation;

D O I：

10.1016/j.apm.2009.07.022

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 fixed-lag smoother using the covariance information in linear discrete-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 fixed-lag smoother uses the covariance function of the signal in the semi-degenerate kernel form and the variance of the observation noise. The proposed fixed-lag smoother is suitable for the estimations of stationary or non-stationary stochastic signals generally. (C) 2009 Elsevier Inc. All rights reserved.

引用

页码：1093 / 1106

页数：14

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