Title :
Backward-forward smoothing interpretation of the a posteriori process noise estimate
Author :
Smith, Patrick L.
Author_Institution :
Aerospace Corporation, El Segundo, CA, USA
fDate :
2/1/1975 12:00:00 AM
Abstract :
The a posteriori discrete-time process noise estimate is interpreted as the combination of two independent estimates: the a priori estimate (which is white noise) and the optimum estimate based on the observations. Equivalence to previous formulations is demonstrated.
Keywords :
Linear systems, stochastic discrete-time; Smoothing methods; Adaptive estimation; Automatic control; Control systems; Differential equations; Filtering; Kalman filters; Smoothing methods; State estimation; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1975.1100881
