Adaptive Filtering
作者:
WilliamC. Louv,
期刊:
Technometrics
(Taylor Available online 1984)
卷期:
Volume 26,
issue 4
页码: 399-409
ISSN:0040-1706
年代: 1984
DOI:10.1080/00401706.1984.10487993
出版商: Taylor & Francis Group
关键词: Kalman filter;Adaptive filter;Variance-component estimation
数据来源: Taylor
摘要:
The extension of Kalman filtering to the case of unknown variances is known as adaptive filtering. Duncan and Horn's (1972) representation of the Kalman time-series model is exploited to derive variance-component estimates from the standpoint of regression analysis. Specifically, the MINQUE of Rao (1970) and the AUE of Horn, Horn, and Duncan (1975) are applied. These estimates are then used to formulate adaptive filters. The adaptive filters are applied to simulated data, and their performance is compared to the method of Carew and Belanger (1973).
点击下载:
PDF (1091KB)
返 回