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Time-domain filtering for estimation of linear systems with colored noises using recent finite measurements

Authors
Choi, Hyun DuckAhn, Choon KiLim, Myo Taeg
Issue Date
10월-2013
Publisher
ELSEVIER SCI LTD
Keywords
Colored noises; Finite impulse response (FIR) structure; State augmetation; State estimation; Inverse partitioned matrix
Citation
MEASUREMENT, v.46, no.8, pp.2792 - 2797
Indexed
SCIE
SCOPUS
Journal Title
MEASUREMENT
Volume
46
Number
8
Start Page
2792
End Page
2797
URI
https://scholar.korea.ac.kr/handle/2021.sw.korea/102093
DOI
10.1016/j.measurement.2013.03.029
ISSN
0263-2241
Abstract
To date, finite impulse response (FIR) filters have been proposed to estimate linear systems with white Gaussian noises, but to the best of our knowledge, no solution exists for linear systems with colored noises. In this paper, we propose a new FIR filter to estimate linear state-space models with both process and measurement noises through state augmentation. In addition, we suggest a modified form of the colored-noise FIR filter to deal with the computational burden and singularity problem. Numerical examples are presented to describe the effectiveness of the colored-noise FIR filter. (C) 2013 Elsevier Ltd. All rights reserved.
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