General expression of the least-squares linear smoother using covariance information under uncertain observations
Seiichi Nakamori, R. Caballero‐Águila, A. Hermoso‐Carazo, J. Linares‐Pérez · 2005
This paper treats the least-squares linear filtering and smoothing problems of discrete-time signals from uncertain observations when the random interruptions in the observation process are modelled by a sequence of independent Bernoulli random variables. Using an innovation approach we obtain the filtering algorithm and a general expression for the smoother which leads to fixed-point, fixed-interval and fixed-lag smoothing recursive algorithms. The proposed algorithms do not require the knowledge of the state-space model generating the signal, but only the covariance information of the signal and the observation noise, as well as the probability that the signal exists in the observed values.