基于Kalman滤波的带相关噪声系统最优白噪声估值器

Optimal White Noise Estimators Based on Kalman Filtering for Systems with Correlated Noises

基于 Kalman 滤波,提出了带相关噪声定常系统的统一的白噪声估值器。它们由输入白噪声估值器和观测白噪声估值器组成,且可统一处理白噪声滤波、平滑和预报问题,可用于石油地震勘探信号处理和状态估计。一个 Bernoulli-Gaussian 白噪声平滑器的仿真例子说明它们的有效性。

Based on the Kalman filtering,the unified white noise estimators are presented for time-invariant systems with correlated noises.They consist of input white noise estimators and measurement white noise estimators,and can handle the white noise filtering, smoothing and prediction problems in a unified framework.They can be applied to signal processing in oil seismic exploration,and state estimation.A simulation example for Bernoulli-Gaussian white noise smoother shows their effectiveness.