FIR滤波器/FIR平滑器稳定递推形式的推导

SICE 2001. Proceedings of the 40th SICE Annual Conference. International Session Papers (IEEE Cat. No.01TH8603) Pub Date : 2001-07-25 DOI:10.1109/SICE.2001.977846

Jae-Hun Kim, J. Lyou

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引用次数: 1

摘要

Kwon等人(1989)导出了离散时间状态空间模型的FIR滤波器和平滑器的递归伴随形式。尽管它在代数上与FIR滤波器和FIR平滑器相同，但不幸的是，它在数值上是不稳定的。这使得递归估计器(RFIR)在实际应用中很少使用。因此，我们设计了一个稳定递归估计器(SRFIR)来补充RFIR，使其具有稳定性，并证明了SRFIR具有无偏和最小方差误差。

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Derivation of a stable recursive form of FIR filter/FIR smoother

Kwon et al. (1989) derived a recursive adjoint form of FIR filter and smoother for discrete-time state-space models. Even though it is algebraically identical to the FIR filter and the FIR smoother, unfortunately it is pointed out to be numerically unstable. This makes the recursive estimator (RFIR) seldomly used in real applications. So we have devised a stable recursive estimator (SRFIR) which can supplement the RFIR so that it could be stabilized, and show that the SRFIR has unbiased and minimum variance error.

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SICE 2001. Proceedings of the 40th SICE Annual Conference. International Session Papers (IEEE Cat. No.01TH8603)

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