A Novel [Formula Omitted] Approach to FIR Prediction Under Disturbances and Measurement Errors

A novel approach is proposed to [Formula Omitted] finite impulse response (FIR) prediction in discrete-time state-space. The biased-constrained [Formula Omitted] optimal unbiased FIR ([Formula Omitted]-OUFIR) predictor derived under disturbances and measurement errors is shown to have the maximum li...

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Bibliographic Details
Published in:IEEE signal processing letters 2021-01, Vol.28, p.150
Main Authors: Ortega-Contreras, Jorge, Pale-Ramon, Eli, Shmaliy, Yuriy S, Xu, Yuan
Format: Article
Language:English
Subjects:
Algorithms
Disturbances
Impulse response
Linear matrix inequalities
Mathematical analysis
Noise prediction
Random noise
Online Access:Get full text
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Summary:A novel approach is proposed to [Formula Omitted] finite impulse response (FIR) prediction in discrete-time state-space. The biased-constrained [Formula Omitted] optimal unbiased FIR ([Formula Omitted]-OUFIR) predictor derived under disturbances and measurement errors is shown to have the maximum likelihood form and be equivalent to the OUFIR predictor under Gaussian noise. The derivation is provided using the backward Euler method by minimizing the squared weighted Frobenius norm. A bias-constrained suboptimal [Formula Omitted] FIR filtering algorithm using the linear matrix inequality is also designed. The [Formula Omitted]-OUFIR predictor performance is investigated by simulations and experimentally in a comparison with the Kalman and unbiased FIR predictors.
ISSN:1070-9908
1558-2361
DOI:10.1109/LSP.2020.3048621