Kalman smoothing via auxiliary outputs

Abstract

Abst rac t -A class of computationally efficient, fixed interval, discrete-time Kalman smoothers is discussed, of which Bierman's smoother is a special case. These smoothers obtain estimates of the complete state vector without having to store the error covariance matrices. In particular we consider the smoothing problem when the transition matrix is… (More)
DOI: 10.1016/0005-1098(91)90084-F

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