Abstract
Abstract This paper presents a new design for a suboptimal fixed-point smoother and optimal filter using covariance information based on an innovations approach to linear continuous systems. It is proposed that the observed signal contains additional white Gaussian and colored noise. The signal and noise are stationary stochastic processes. Ideally, proposed estimators would be suitable for on-line implementation and would also allow us to deal with estimation problems for signals correlated with colored observation noise. The stability of the current smoother is analyzed on the existence of the fixed-point smoothing estimate. Numerical simulation results confirm that the presented estimators are quite feasible.
Published Version
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