Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems

Abstract: This paper describes a design for a recursive least-squares Wiener fixed-interval smoother using the covariance information in linear discrete-time stochastic systems. The estimators require information from the observation matrix, the system matrix for the state variable, related to the signal, the variance of the state variable, the cross-variance function of the state variable with the observed value and the variance of the white observation noise. It is assumed that the signal is observed with additive white noise. [Copyright &y& Elsevier]