ARMA信号最优递推滤波的一种统一方法

A Unified Approach to Optimal Recursive Filtering for ARMA Signals

用时域上的现代时间序列分析方法处理被白噪声污染的ＡＲＭＡ信号的最优估计问题，提出了统一的最优递推滤波器、平滑器和预报器。仿真例子说明了其有效性。

Using the modern time series analysis method in the time domain,the optimal estimation problem for ARMA signals with white measurement noise is treated.A unified optimal recursive filter,smoother and predictor are presented.A simulation example shows effectiveness of the proposed approach.