A concise proof of Gaussian smoothing

Singer, Hermann GND

The nonlinear Rauch-Tung-Striebel smoother is derived by a gaussian assumption. Using the general properties of conditional expectations and variances, and the theorem on normal correlation, recursive formulas for the conditional mean and covariance matrix are obtained. Furthermore, in the nongaussian case, coupled smoother equations are derived.

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Singer, Hermann: A concise proof of Gaussian smoothing. Hagen 2018. FernUniversität in Hagen.

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