Optimal Estimation With Missing Observations via Balanced Time-Symmetric Stochastic Models
Published Web Locationhttps://doi.org/10.1109/tac.2017.2689685
We consider data fusion for the purpose of smoothing and interpolation based on observation records with missing data. Stochastic processes are generated by linear stochastic models. The paper begins by drawing a connection between time reversal in stochastic systems and all-pass extensions. A particular normalization (choice of basis) between the two time-directions allows the two to share the same orthonormalized state process and simplifies the mathematics of data fusion. In this framework, we derive symmetric and balanced Mayne-Fraser-like formulas that apply simultaneously to continuous-time smoothing and interpolation, providing a definitive unification of these concepts. The absence of data over subintervals requires in general a hybrid filtering approach involving both continuous-time and discrete-time filtering steps.