NEW DERIVATION OF THE FILTER AND FIXED-INTERVAL SMOOTHER WITH CORRELATED UNCERTAIN OBSERVATIONS

S. Nakamori, R. Caballero-Águila, A. Hermoso-Carazo, J. Linares-Pérez

2004

Abstract

A least-squares linear fixed-interval smoothing algorithm is derived to estimate signals from uncertain observations perturbed by additive white noise. It is assumed that the Bernoulli variables describing the uncertainty are only correlated at consecutive time instants. The marginal distribution of each of these variables, specified by the probability that the signal exists at each observation, as well as their correlation function, are known. The algorithm is obtained without requiring the state-space model generating the signal, but just the covariance functions of the signal and the additive noise in the observation equation.

Paper Citation

in Harvard Style

Nakamori S., Caballero-Águila R., Hermoso-Carazo A. and Linares-Pérez J. (2004). NEW DERIVATION OF THE FILTER AND FIXED-INTERVAL SMOOTHER WITH CORRELATED UNCERTAIN OBSERVATIONS . In Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 972-8865-12-0, pages 203-207. DOI: 10.5220/0001125702030207

in Bibtex Style

@conference{icinco04,
author={S. Nakamori and R. Caballero-Águila and A. Hermoso-Carazo and J. Linares-Pérez},
title={NEW DERIVATION OF THE FILTER AND FIXED-INTERVAL SMOOTHER WITH CORRELATED UNCERTAIN OBSERVATIONS},
booktitle={Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2004},
pages={203-207},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001125702030207},
isbn={972-8865-12-0},
}

in EndNote Style

TY - CONF
JO - Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - NEW DERIVATION OF THE FILTER AND FIXED-INTERVAL SMOOTHER WITH CORRELATED UNCERTAIN OBSERVATIONS
SN - 972-8865-12-0
AU - Nakamori S.
AU - Caballero-Águila R.
AU - Hermoso-Carazo A.
AU - Linares-Pérez J.
PY - 2004
SP - 203
EP - 207
DO - 10.5220/0001125702030207