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 :
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