Title :
The optimum linear smoother as a combination of two optimum linear filters
Author :
Fraser, Dan ; Potter, James E.
Author_Institution :
Massachusetts Institute of Technology, Cambridge, MA, USA
fDate :
8/1/1969 12:00:00 AM
Abstract :
A solution to the optimum linear smoothing problem is presented in which the smoother is interpreted as a combination of two optimum linear filters. This result is obtained from the well-known equation for the maximum likelihood combination of two independent estimates and equivalence to previous formulations is demonstrated. Forms of the solution which are convenient for practical computation are developed.
Keywords :
Optimal control; Smoothing methods; Automatic control; Delay effects; Delay estimation; Equations; Maximum likelihood detection; Noise measurement; Nonlinear filters; Standards development; State estimation; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099196
