Recursive filtering and smoothing for reciprocal Gaussian processes-pinned boundary case
نویسندگان
چکیده
AbstructThe least square estimation problem for pinned-to-zero discrete-index reciprocal Gaussian processes in additive white noise is . . . . 1), . . . , (T 2. l ) l t . (53) solved, thus completing and extending some previous results available in the literature. In particular, following the innovations approach a (finite) set of recursive equations is obtained for the filter and for the three standard classes of smoothers (fixed-point, fixed-interval, fixed-lag). Recursive expressions for the mean square performance of the proposed estimators are also given.
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عنوان ژورنال:
- IEEE Trans. Information Theory
دوره 41 شماره
صفحات -
تاریخ انتشار 1995