Modeling and estimation of discrete-time Gaussian reciprocal processes
- 1 September 1990
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 35 (9) , 1013-1023
- https://doi.org/10.1109/9.58529
Abstract
Discrete-time Gaussian reciprocal processes are characterized in terms of a second-order two-point boundary-value nearest-neighbor model driven by a locally correlated noise whose correlation is specified by the model dynamics. This second-order model is the analog for reciprocal processes of the standard first-order state-space models for Markov processes. The model is used to obtain a solution to the smoothing problem for reciprocal processes. The resulting smoother obeys second-order equations whose structure is similar to that of the Kalman filter for Gauss-Markov processes. It is shown that the smoothing error is itself a reciprocal process.<>Keywords
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