Discrete Time q-Lag Maximum Likelihood FIR Smoothing and Iterative Recursive Algorithm

The finite impulse response (FIR) approach is known to be more robust than the Kalman approach. In this paper, we derive a batch <inline-formula><tex-math notation="LaTeX">q</tex-math></inline-formula>-lag maximum likelihood (ML) FIR smoother for full covariance mat...

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Bibliographic Details

Published in:	IEEE transactions on signal processing Vol. 69; pp. 6342 - 6354
Main Authors:	Zhao, Shunyi, Wang, Jinfu, Shmaliy, Yuriy S., Liu, Fei
Format:	Journal Article
Language:	English
Published:	IEEE 2021
Subjects:	Covariance matrices Finite impulse response filters FIR smoother Iterative algorithms Kalman filters Kalman smoother maximum likelihood Maximum likelihood estimation Signal processing algorithms Smoothing methods State space UFIR smoother
ISSN:	1053-587X, 1941-0476
Online Access:	Get full text
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