A Unified Approach to Dynamic Estimation

Discrepancies between assumed dynamical models and observations are often handled by making further probabilistic assumptions, a tactic which has both strengths and weaknesses. A re-examination of filtering and smoothing is conducted, and an alternative multicriteria Flexible Least Squares (FLS) approach is advanced that does not require a probabilistic interpretation for discrepancy terms. This approach involves vector minimization as a key ingredient, and it specializes to the well-known Kalman, Viterbi, Larson-Peschon, and Swerling filters.Annotated pointers to related work can be accessed at http://www.econ.iastate.edu/tesfatsi/flshome.htm