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Authors: S. Nakamori 1 ; R. Caballero-Águila 2 ; A. Hermoso-Carazo 3 and J. Linares-Pérez 3

Affiliations: 1 Kagoshima University, Japan ; 2 Universidad de Jaén, Japan ; 3 Universidad de Granada, Japan

ISBN: 972-8865-12-0

ISSN: 2184-2809

Keyword(s): Least-squares estimation, filtering, fixed-interval smoothing, uncertain observations.

Related Ontology Subjects/Areas/Topics: Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control ; Signal Reconstruction ; Time Series and System Modeling

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.

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Paper citation in several formats:
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; ISSN 2184-2809, pages 203-207. DOI: 10.5220/0001125702030207

@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},
issn={2184-2809},
}

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
IS - 2184-2809
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

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