基于Kalman滤波的白噪声估计理论的推广

A Generalization of White Noise Estimation Theory Based on Kalman Filtering

应用Kalman滤波方法和射影理论,将现行的白噪声估计理论推广到一般的随机系统,其中系统噪声在相邻时刻是相关的,且系统噪声和观测噪声在相同和相邻时刻也是相关的。提出了统一的最优和稳态白噪声和拟白噪声估值器。一个仿真例子说明了其有效性。

By using the Kalman filtering method and projection theory, the existing white noise estimation theory is extended to general stochastic systems, where the system noise is correlated at adjoining times, and the system noise and measurement noise are correlated at same and adjoining times. The unified optimal and steady-state white noise and quasi-white noise estimators are presented. A simulation example shows their effectiveness.