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- Levy, Bernard C., et al.
(författare)
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Fast Time-Invariant Implementations for Linear Least-Squares Smoothing Filters
- 1978
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Ingår i: Proceedings of the 1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes. ; , s. 1156-1159
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Konferensbidrag (refereegranskat)abstract
- We present a new solution for the fixed interval linear least-squares smoothing of a stationary random signal in additive white noise. By using the generalized Sobolev identity for the Fredholm resolvent of a covariance kernel, the smoothed estimate is expressed entirely in terms of time-invariant causal and anticausal filtering operations. These operations are interpreted from a stochastic point of view as giving some constrained (time-invariant) filtered estimates of the signal. From a computational point of view, the implementation presented here is particularly convenient, not only because time-invariant filters can be used to find the smoothed estimate, but also because a fast algorithm based on Levinson recursions can be used to compute the time-invariant filters themselves.
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