Using the modern time series analysis method, based on the autoregressive moving average (ARMA) innovationmodel, the unified fast suboptimal fixed-interval white noise smoothers is presented by the truncation of polynomial matrices forsystems with correlated noises. They can obviously reduce the computational burden, and can be expresses as the innovationfilter and Wiener filter. The formulas of truncated error and truncated index are given. A simulation example for Bemoulli-Gaussian white noise shows its effectiveness.
参考文献
相似文献
引证文献
引用本文
邓自立. 快速次优固定区间白噪声平滑器[J]. 科学技术与工程, 2003, (2): 106-108. DENG Zili, SUN Shuli, SHI Ying Department of Automation, et al. Fast Suboptimal Fixed-interval White Noise Smoother[J]. Science Technology and Engineering,2003,(2):106-108.