The optimal smoothing estimators based on the Wiener-Hopf theory |
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| Authors: | SIGERU OMATU AKIRA KIKUCHI TAKASI SOEDA |
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| Affiliation: | Department of Information Science and Systems Engineering, Faculty of Engineering , University of Tokushima , Tokushima, 770, Japan |
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| Abstract: | It is well known that the Wiener-Hopf theory plays a fundamental role in estimation problems. In this paper, we derive the basic equations for the optimal smoothing estimators by using the Wiener-Hopf theory. The interrelation between the Wiener-Hopf theory and the innovation theory is also considered. Finally based on the basic equations three kinds of the smoothing estimators, that is, the fixed-point, fixed-interval, and fixed-lag smoothing estimators are derived. |
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