DocumentCode
897366
Title
Optimum differentiation using Kalman filter theory
Author
Moore, John
Volume
56
Issue
5
fYear
1968
fDate
5/1/1968 12:00:00 AM
Firstpage
871
Lastpage
871
Abstract
Consideration is given to the construction of an optimum differentiator to give the minimum-variance unbiased estimate of the first derivatives of random signals corrupted by white noise. It is assumed that the signals are differentiable and are the outputs of a known linear finite-dimensional (possibly time-varying) system excited by white noise. Extension of the results to consider higher-order differentiation is straightforward.
Keywords
Australia; Differential equations; Estimation theory; Kalman filters; Noise measurement; Riccati equations; State estimation; State-space methods; Time varying systems; White noise;
fLanguage
English
Journal_Title
Proceedings of the IEEE
Publisher
ieee
ISSN
0018-9219
Type
jour
DOI
10.1109/PROC.1968.6422
Filename
1448352
Link To Document