RLS fixed-lag smoother using covariance information in linear continuous stochastic systems |
| |
Authors: | Seiichi Nakamori |
| |
Institution: | Faculty of Education, Department of Technology, Kagoshima University, 1-20-6 Kohrimoto, Kagoshima 890-0065, Japan |
| |
Abstract: | This paper newly designs the recursive least-squares fixed-lag smoother 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 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 appropriate for the estimations of stationary or non-stationary stochastic signals generally. |
| |
Keywords: | Linear continuous systems Fixed-lag smoother Least-squares estimation Covariance information Wiener-Hopf integral equation Stochastic signal |
本文献已被 ScienceDirect 等数据库收录! |