Title :
Fourier-Hermite Rauch-Tung-Striebel smoother
Author :
Sarmavuori, Juha ; Särkkä, Simo
Author_Institution :
Nokia Siemens Networks, Espoo, Finland
Abstract :
In this article, we introduce the Fourier-Hermite Rauch-Tung-Striebel smoother which is based on expansion of nonlinear functions in a Fourier-Hermite series in same way as the traditional extended Rauch-Tung-Striebel smoother is based on the Taylor series. The first order truncation of the Fourier-Hermite series gives the previously known statistically linearized smoother.
Keywords :
Fourier analysis; smoothing methods; Fourier-Hermite Rauch-Tung-Striebel smoother; Taylor series; first order truncation; nonlinear function expansion; statistically linearized smoother; Approximation methods; Estimation; Kalman filters; Mathematical model; Polynomials; Smoothing methods; Taylor series; Fourier-Hermite series; nonlinear filtering; nonlinear smoothing; statistical linearization;
Conference_Titel :
Signal Processing Conference (EUSIPCO), 2012 Proceedings of the 20th European
Conference_Location :
Bucharest
Print_ISBN :
978-1-4673-1068-0
