A nonlinear fixed-lag smoother for finite-state Markov processes
- 1 July 1975
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 21 (4) , 446-452
- https://doi.org/10.1109/tit.1975.1055410
Abstract
The fixed-lag smoothing of random telegraph type signals is studied. The smoothers are derived by first obtaining fixed-point smoothing equations and then using a time discretization. Simulation results are described that verify the qualitative carry-over of known results for the linear-Gaussian problem: the greater the lag, the greater the improvement; beyond a certain lag, no further improvement is obtained by the increase of lag; and the higher the signal-to-noise ratio (SNR), the greater is the improvement over filtering obtained through the use of smoothing. Smoothing errors of one-half the corresponding filtering error are demonstrated.Keywords
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