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A Self-Tuning Filter for Fixed-Lag Smoothing

In English

Författare

Summary, in English

The problem of estimating a discrete-time stochastic signal which is corrupted by additive white measurement noise is discussed. How the stationary solution to the fixed-lag smoothing problem can be obtained is shown. The first step is to construct an innovation model for the process. It is then shown how the fixed-lag smoother can be determined from the polynomials in the transfer function of the innovation model. In many applications, the signal model and the characteristics of the noise process are unknown. It is shown that it is possible to derive an algorithm which on-line finds the optimal fixed-lag smoother, a self-tuning smoother. The self-tuning smoother consists of two parts: an on-line estimation of the parameters in the one-step ahead predictor of the measured signal, and a computation of the smoother coefficients by simple manipulation of the predictor parameters. The smoother has good transient, as well as good asymptotic, properties.

Publiceringsår

1977

Språk

Engelska

Sidor

377-384

Publikation/Tidskrift/Serie

IEEE Transactions on Information Theory

Volym

23

Issue

3

Dokumenttyp

Artikel i tidskrift

Förlag

IEEE - Institute of Electrical and Electronics Engineers Inc.

Ämne

  • Control Engineering

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0018-9448