A stochastic realization approach to the smoothing problem |
| |
Authors: | Badawi F. Lindquist A. Pavon M. |
| |
Affiliation: | University of Kentucky, Lexington, KY, USA; |
| |
Abstract: | The purpose of this paper is to develop a theory of smoothing for finite dimensional linear stochastic systems in the context of stochastic realization theory. The basic idea is to embed the given stochastic system in a class of similar systems all having the same output process and the same Kalman-Bucy filter. This class has a lattice structure with a smallest and a largest element; these two elements completely determine the smoothing estimates. This approach enables us to obtain stochastic interpretations of many important smoothing formulas and to explain the relationship between them. |
| |
Keywords: | |
|
|