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

Zhao, S., Shmaliy, Y. S., Khan, S. & 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

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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.

Item Type: Article
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Subjects: Q Science > QA Mathematics
T Technology > TK Electrical engineering. Electronics Nuclear engineering
Divisions: School of Engineering & Mathematical Sciences > Engineering

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