On the fixed-interval smoothing problem
- 1 June 1981
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 5 (1-2), 1-41
- https://doi.org/10.1080/17442508108833172
Abstract
After a review of the development of the Mayne-Fraser two-filter smoother, a first principle argument is used to rederive this smoother. Reversed-time Markov models play a key role in forming a state estimate from future observations. The built-in asymmetry of the Mayne-Fraser smoother is pointed out, and it is shown how this asymmetry may be removed. Additionally, a covariance analysis of the two-filter smoother is provided, and reduced-order smoothers are analyzed.Keywords
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