Modeling and estimation of discrete-time Gaussian reciprocal processes
Bernard C. Levy, R. Frezza, Arthur J. Krener · IEEE Transactions on Automatic Control · 1990
Discrete-time Gaussian reciprocal processes are characterized in terms of a second-order two-point boundary-value nearest-neighbor model driven by a locally correlated noise whose correlation is specified by the model dynamics. This second-order model is the analog for reciprocal processes of the standard first-order state-space models for Markov processes. The model is used to obtain a solution to the smoothing problem for reciprocal processes. The resulting smoother obeys second-order equations whose structure is similar to that of the Kalman filter for Gauss-Markov processes. It is shown that the smoothing error is itself a reciprocal process.>