离散LTI系统的Kalman滤波的自适应算法

An Adaptive Kalman Filter Algorithm for Singular Discrete Linear Stochastic Systems

运用现代时间序列分析方法 ,提出了一类线性时不变离散随机系统的自适应稳态 Kalman滤波算法 ,该算法应用白噪声估值器理论对 ARMA新息模型进行在线辨识 ,可进行简单的自适应滤波处理 ,仿真例子说明了算法的有效性。

In this paper,based on the mordern time series analysis method,an adaptive kalman filter method for discrete linear time invariant stochastic systerms is presented. The algorithm applies estimators to conduct an on line identification and realizes an adaptive filter easily. And a simulation example shows the effectiveness of this algorithm.