Estimation of Signal Using Covariance Information Given Uncertain Observations in Continuous-Time Systems

Seiichi NAKAMORI  

IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E79-A   No.6   pp.736-745
Publication Date: 1996/06/25
Online ISSN: 
Print ISSN: 0916-8508
Type of Manuscript: Special Section PAPER (Special Section of Papers Selected from 1995 Joint Technical Conference on Circuits/Systems, Computers and Communications (JTC-CSCC '95))
estimation of uncertain signal,  detection and estimation,  linear continuous-time system,  the innovations process,  

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This paper designs recursive least-squares fixed-point smoother and filter, which use the observed value, the probability that the signal exists, and the covariance information relevant to the signal and observation noises, on the estimation problem associated with the uncertain observations in linear continuous-time systems.