A unified approach to multivariable discrete-time filtering based on the Wiener-theory
Several theories of discrete-time optimal filtering are in current use but the relationships between these theories is not always appreciated. By using a slightly modified form of the Wiener theory, a unification of the various methods is obtainable. In the present paper this approach is used to dis...
| Main Authors: | , |
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| Format: | Others |
| Published: |
Institute of Mathematics ASCR,
2011-06-09T20:04:38Z.
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| Subjects: | |
| Online Access: | Get fulltext |
| Summary: | Several theories of discrete-time optimal filtering are in current use but the relationships between these theories is not always appreciated. By using a slightly modified form of the Wiener theory, a unification of the various methods is obtainable. In the present paper this approach is used to discuss in the multivariable case, instantaneous filtering, one-step delayed filtering, fixed-lag filtering, and prediction. It is shown that the one-step delay filter has a natural feedback structure related to the Kalman filter. The relation of the theory with the Hagander -Wittenma rk filter is also discussed. |
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| Item Description: | Kybernetika, vol.23(3), pp.177 - 197 0023-5954 |