The optimal smoothing estimators based on the Wiener-Hopf theory
Sigeru Omatu, Akira Kikuchi, Takasi Soeda · International Journal of Systems Science · 1979
It is well known that the Wiener-Hopf theory plays a fundamental role in estimation problems. In this paper, we derive the basic equations for the optimal smoothing estimators by using the Wiener-Hopf theory. The interrelation between the Wiener-Hopf theory and the innovation theory is also considered. Finally based on the basic equations three kinds of the smoothing estimators, that is, the fixed-point, fixed-interval, and fixed-lag smoothing estimators are derived.