The MMSE filtering problem of reciprocal Gaussian sequences in additive white Gaussian noise is solved in a recursive and causal form. The solution, based on the innovations method, is expressed in terms of a set of recursive equations formally similar to those of the well-known Kalman filter; it gives as by-product the solution of the MMSE smoothing problems (fixed-point, fixed-interval, fixed-lag). The performance of the proposed estimators is also given by recursive expressions

Kalman-like filtering and smoothing for reciprocal sequences / Baccarelli, Enzo; Cusani, Roberto; DI BLASIO, Guido. - (1994), p. 123. [10.1109/ISIT.1994.394848]

Kalman-like filtering and smoothing for reciprocal sequences

BACCARELLI, Enzo
;
CUSANI, Roberto;DI BLASIO, Guido
1994

Abstract

The MMSE filtering problem of reciprocal Gaussian sequences in additive white Gaussian noise is solved in a recursive and causal form. The solution, based on the innovations method, is expressed in terms of a set of recursive equations formally similar to those of the well-known Kalman filter; it gives as by-product the solution of the MMSE smoothing problems (fixed-point, fixed-interval, fixed-lag). The performance of the proposed estimators is also given by recursive expressions
1994
0780320158
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/247833
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