Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty

Aurora Hermoso-Carazo, Josefa Linares-Pérez, José D. Jiménez-López, Raquel Caballero-Águila, Seiichi Nakamori. Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty. Applied Mathematics and Computation, 203(1):243-251, 2008. [doi]

Abstract

Abstract is missing.