Smoother implementations for discrete-time Gaussian reciprocal processes

Author

Greene, Calvin D. ; Levy, Bernard C.

Author_Institution

Dept. of Electr. Eng. & Comput. Sci., California Univ., Davis, CA, USA

fYear

1990

fDate

5-7 Dec 1990

Firstpage

837

Abstract

The smoothing problem for discrete-time Gaussian reciprocal processes is examined. In this case, the smoother takes the form of a second-order two-point boundary-value nearest-neighbor model. This smoother is non-causal, but admits causal implementations which extend the two-filter and Rauch-Tung-Striebel smoothing formulas of Gauss-Markov processes. A multirate implementations based on a block cyclic reduction method is also described

Keywords

Markov processes; boundary-value problems; filtering and prediction theory; signal processing; Gauss-Markov processes; Rauch-Tung-Striebel; block cyclic reduction; boundary-value nearest-neighbor model; discrete-time Gaussian reciprocal processes; filtering; smoothing; Boundary conditions; Covariance matrix; Equations; Gaussian processes; Integrated circuit modeling; Markov processes; Noise measurement; Recursive estimation; Sampling methods; Smoothing methods;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1990., Proceedings of the 29th IEEE Conference on

Conference_Location

Honolulu, HI

Type

conf

DOI

10.1109/CDC.1990.203706

Filename

203706

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3079871