Abstract
Almost estimators are designed for the white observation noise. In the estimation problems, rather than the white observation noise, there might be actual cases where the observation noise is colored. This paper, from the viewpoint of the innovation theory, based on the recursive least-squares (RLS) Wiener fixed-point smoother and filter for the colored observation noise, newly proposes the RLS Wiener fixed-interval smoothing algorithm in linear discrete- time wide-sense stationary stochastic systems. The observation )
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