Optimal fixed lag smoothing for time delayed system with colored noise
Koushik Biswas, Α.Κ. Mahalanabis · IEEE Transactions on Automatic Control · 1972
The aim of this note is to report an algorithm for the fixed lag smoothing problem of a time delayed system whose observations contain colored noise. This is derived by looking at the appropriate components of a filtering algorithm for a nontime delayed higher dimensional system.