Title :
An efficient algorithm for continuous-discrete linear estimation problems
Author :
Navarro-Moreno, Jesús ; Ruiz-Molina, Juan Carlos
Author_Institution :
Dept. of Stat. & Operations Res., Univ. of Jaen, Spain
Abstract :
A new solution is given to the continuous-discrete linear estimation problem of a signal process under the assumption that the autocorrelation function of the signal is known. This approach is based on approximate series expansions of a stochastic process and it is valid for the entire class of measurable, smooth signals defined on half-open intervals of the real line. It includes as particular cases all earlier solutions based on the approximate Karhunen-Loeve expansions. The main advantage of the solution obtained is that it can be derived through an efficient algorithm similar to the Kalman filter.
Keywords :
Karhunen-Loeve transforms; correlation methods; least squares approximations; parameter estimation; series (mathematics); signal processing; stochastic processes; Kalman filter; LLMS estimation; approximate Karhunen-Loeve expansions; approximate series expansions; autocorrelation function; continuous-discrete linear estimation; efficient algorithm; half-open intervals; least mean-squared error signal; measurable signals; signal process; smooth signals; stochastic process; Autocorrelation; Covariance matrix; Eigenvalues and eigenfunctions; Error analysis; Estimation error; Filtering; Signal processing; Signal processing algorithms; Statistics; Stochastic processes;
Journal_Title :
Signal Processing Letters, IEEE
