Interpolation†
- 1 April 1984
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 39 (4) , 767-772
- https://doi.org/10.1080/00207178408933204
Abstract
This paper develops formulae for the discrete-time interpolation-error covariance of the optimal linear filter in terms of the Duff in parallel resistance of forward and backward -error covariance matrices for a finite observation-time interval. In particular dual Ricatti equations are derived which have as solutions the forward and backward-error covariance matrices. Equations for the backward and forward one-step predictor and filter are derived from the innovations viewpoint.Keywords
This publication has 3 references indexed in Scilit:
- The riccati equation and its boundsJournal of Computer and System Sciences, 1972
- Series and parallel addition of matricesJournal of Mathematical Analysis and Applications, 1969
- Extrapolation, Interpolation, and Smoothing of Stationary Time SeriesPublished by MIT Press ,1949