On the fixed-interval smoothing problem†
作者:
Joseph E. Wall,
Alan S. Willsky,
Nils R. Sandell,
期刊:
Stochastics
(Taylor Available online 1981)
卷期:
Volume 5,
issue 1-2
页码: 1-41
ISSN:0090-9491
年代: 1981
DOI:10.1080/17442508108833172
出版商: Gordon and Breach Science Publishers Inc,
数据来源: Taylor
摘要:
After a review of the development of the Mayne-Fraser two-filter smoother, a first principle argument is used to rederive this smoother. Reversed-time Markov models play a key role in forming a state estimate from future observations. The built-in asymmetry of the Mayne-Fraser smoother is pointed out, and it is shown how this asymmetry may be removed. Additionally, a covariance analysis of the two-filter smoother is provided, and reduced-order smoothers are analyzed.
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