This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

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Show all publications of the year  2019, with author Carravetta F., in the category IASI Research Reports (or show them all):

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IASI Research Report n. 19-07  (Previous    Next) 


White L.B., Francesco Carravetta

GAUSSIAN GENERALIZED RECIPROCAL PROCESSES: ALGORITHMS FOR STOCHASTIC REALIZATION AND OPTIMAL ESTIMATION

ABSTRACT

This paper derives stochastic realisation and optimal smoothing algorithms for a class of Gaussian Generalised Reciprocal Processes (GGRP). The note exploits the interplay between reciprocal processes and Markov bridges which underpin the GGRP model. A forwards-backwards algorithm for stochastic realisation of GGRP is described. The form on the inverse covariance matrix for the GGRP is used, via Cholesky factorisation, to derive a procedure for optimal (MMSE) smoothing of GGRP observed in noise. The note demonstrates that the associated smoothing error is also a GGRP with known covariance which may be used to assess the performance of smoothing as a function of the model parameters. A numerical example is provided to illustrate the performance of the MMSE smoother compared to those derived from compatible Markov and Reciprocal model based algorithms.