We present a unified perspective on techniques for constructing both forward and backward markovian realizations of the error process associated with discrete-time fixed-interval smoothing. Several alternative approaches are presented, each of which provides additional insight and connections with other results in linear estimation theory. In addition, two applications of such models are described. The first is a problem in the validation of an error model for a measurement system, while the second concerns the problems of updating and combining smoothed estimates. We also present an example of the use of our updating solution for the mapping of random fields based on several sets of data tracks.
IntroductionThis paper is concerned with the characterization, derivation, and application of markovian models for the error in fixed-interval smoothed estimates. Models of this type are required in several applications, including two that are investigated in the last few sections of this paper. In particular, we describe a model validation process in which one set of data is used to evaluate the validity of a noise model for a second set of data. We also describe a solution to estimate updating and combining problems. In the former, a smoothed estimate based on one set of data is updated with a new set of data. In the latter, estimates based on separate data sets are combined. Such problems arise in the construction of maps of random fields, and we describe an application of this type in which the data sets represent non-coincident and non-parallel tracks across a two-dimensional random field.In each of these applications, smoothing error models are required: in the first problem in order to compute the likelihood function for the validity of the specified model; in the second, to specify a model for the error in the map based on the first set of data which is then used as the basis for incorporating the new data.We consider the construction of smoothing error models from four perspectives: