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The optimum linear smoother as a combination of two optimum linear filters

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2 Author(s)
Fraser, D. ; Massachusetts Institute of Technology, Cambridge, MA, USA ; Potter, J.

A solution to the optimum linear smoothing problem is presented in which the smoother is interpreted as a combination of two optimum linear filters. This result is obtained from the well-known equation for the maximum likelihood combination of two independent estimates and equivalence to previous formulations is demonstrated. Forms of the solution which are convenient for practical computation are developed.

Published in:

Automatic Control, IEEE Transactions on  (Volume:14 ,  Issue: 4 )