Optimal Memory for Discrete-Time FIR Filters in State-Space

In this correspondence, we propose an efficient estimator of optimal memory (averaging interval) for discrete-time finite impulse response (FIR) filters in state-space. Its crucial property is that only real measurements and the filter output are involved with no reference and noise statistics. Testing by the two-state polynomial model has shown a very good correspondence with predicted values. Even in the worst case of the harmonic model, the estimator demonstrates practical applicability.