The fixed-lag smoother as a stable finite-dimensional linear system

Abstract

The optimal fixed-lag smoother is studied, and viewed as a finite-dimensional linear system. This allows construction of a stable smoother algorithm, though hitherto only unstable algorithms have been published. Further, the complexity of the smoother can be quantitatively examined, and design criteria suggested for the choice of lag interval. Practical implementation of the smoother is discussed. © 1971.