A further note on backwards Markovian models (Corresp.)
- 1 January 1979
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 25 (1) , 121-124
- https://doi.org/10.1109/tit.1979.1055994
Abstract
Given a wide-sense forwards Markovian model, namely a state-space system driven by a white-noise process that is uncorrelated with the random initial state of the system, several papers have shown how to obtain a corresponding {sl backwards} Markovian model: a system driven backwards in time from a 'terminal' state by a white-noise process that is uncorrelated with this state, and such that the joint second-order statistics of the backwards-model state and output processes equal those of the corresponding forwards-model processes. A very direct derivation is presented that shows in effect how a simple rearrangement of the forwardsKeywords
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