Fixed-lag maximum likelihood FIR smoother for state-space models

Choon Ki Ahn, Pyung Soo Kim

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)

Abstract

In this paper, we propose a new fixed-lag maximum likelihood smoother with a finite impulse response (FIR) structure for discrete-time state-space models. This smoother is called a maximum likelihood FIR smoother (MLFS). The MLFS is linear with the most recent finite outputs and does not require a prior initial state information on a receding horizon. It is shown that the proposed MLFS possesses the unbiasedness property and the deadbeat property. Simulation study illustrates that the proposed MLFS is more robust against uncertainties and faster in convergence than the conventional fixed-lag Kalman smoother.

Original languageEnglish
Pages (from-to)11-16
Number of pages6
Journalieice electronics express
Volume5
Issue number1
DOIs
Publication statusPublished - 2008 Jan 10
Externally publishedYes

Keywords

  • Deadbeat property
  • FIR structure
  • Fixed-lag smoother
  • Maximum likelihood
  • Unbiasedness property

ASJC Scopus subject areas

  • Electronic, Optical and Magnetic Materials
  • Condensed Matter Physics
  • Electrical and Electronic Engineering

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