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Improving state estimates over finite data using optimal FIR filtering with embedded unbiasedness

Zhao, S., Shmaliy, Y. S., Khan, S. and Liu, F. (2015). Improving state estimates over finite data using optimal FIR filtering with embedded unbiasedness. 2015 23rd European Signal Processing Conference (EUSIPCO), pp. 2177-2180. doi: 10.1109/EUSIPCO.2015.7362770

Abstract

In this paper, the optimal finite impulse response (OFIR) with embedded unbiasedness (EU) filter is derived by minimizing the mean square error (MSE) subject to the unbiasedness constraint for discrete time-invariant state-space models. Un like the OFIR filter, the OFIR-EU filter does not require the initial conditions. In terms of accuracy, the OFIR-EU filter occupies an intermediate place between the UFIR and OFIR filters. With a two-state harmonic model, we show that the OFIR-UE filter has higher immunity against errors in the noise statistics and better robustness against temporary model uncertainties than the OFIR and Kalman filters.

Publication Type: Article
Additional Information: © 2015 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Subjects: Q Science > QA Mathematics
T Technology > TK Electrical engineering. Electronics Nuclear engineering
Departments: School of Mathematics, Computer Science & Engineering > Engineering
School of Mathematics, Computer Science & Engineering > Engineering > Electrical & Electronic Engineering
URI: http://openaccess.city.ac.uk/id/eprint/15832
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