Asymptotic Optimality of the Minimum-Variance Fixed-Interval Smoother

@article{Einicke2007AsymptoticOO,
  title={Asymptotic Optimality of the Minimum-Variance Fixed-Interval Smoother},
  author={Garry A. Einicke},
  journal={IEEE Transactions on Signal Processing},
  year={2007},
  volume={55},
  pages={1543-1547}
}
  • G. Einicke
  • Published 1 April 2007
  • Mathematics
  • IEEE Transactions on Signal Processing
This correspondence investigates the asymptotic performance of the discrete-time and continuous-time, time-varying, minimum-variance, fixed-interval smoothers. Comparison theorems are generalized to provide sufficient conditions for the monotonic convergence of the underlying Riccati equations. Under these conditions, the energy of the estimation errors asymptotically approach a lower bound and attain lscr2 /L2 stability 

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