design of rls wiener smoother and filter for colored observation noise in linear discrete-time stochastic systemsrls设计维纳平滑和过滤有色观测噪声的线性离散随机系统.pdfVIP

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design of rls wiener smoother and filter for colored observation noise in linear discrete-time stochastic systemsrls设计维纳平滑和过滤有色观测噪声的线性离散随机系统.pdf

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design of rls wiener smoother and filter for colored observation noise in linear discrete-time stochastic systemsrls设计维纳平滑和过滤有色观测噪声的线性离散随机系统

Journal of Signal and Information Processing, 2012, 3, 316-329 /10.4236/jsip.2012.33041 Published Online August 2012 (http://www.SciRP.org/journal/jsip) Design of RLS Wiener Smoother and Filter for Colored Observation Noise in Linear Discrete-Time Stochastic Systems Seiichi Nakamori Department of Technical Education, Kagoshima University, Kagoshima, Japan. Email: nakamori@edu.kagoshima-u.ac.jp Received May 16th, 2012; revised June 26th, 2012; accepted July 5th, 2012 ABSTRACT Almost estimators are designed for the white observation noise. In the estimation problems, rather than the white ob- servation noise, there might be actual cases where the observation noise is modeled by the colored noise process. This paper examines to design a new estimation technique of recursive least-squares (RLS) Wiener fixed-point smoother and filter for colored observation noise in linear discrete-time wide-sense stationary stochastic systems. The observation y k is given as the sum of the signal z k Hx k and the colored observation noise v k . The RLS Wiener       c   estimators explicitly require the following information: 1) the system matrix for the state vector x k ; 2) the observa-   tion matrix H ; 3) the variance of the state vector x k ; 4) the system matrix for the colored observation noise v k ;   c   5) the variance of the colored observation noise; 6) the input noise variance in the state equation for the colored obser- vation noise. Keywords: Discrete-Time Stochastic System; RLS Wiener Filte; RLS