一类非平稳随机序列的最优滤波和预测
Optimal Filtering and Prediction for A Kind of Nonstationary Stochastic Sequence
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摘要: 本文针对一类非平稳随机序列提出一种最优的滤波方法.文中用Z变换导出了 这种最优滤波器的传递函数及物理可实现的解,举例说明了这种最优滤波器的具体 算法,并把这种滤波器的性能与卡尔曼滤波器的性能进行了比较.最后,简单地介 绍了它的应用.Abstract: An optimal filtering method is presented for a kind of nonstationary stochastic sequence in this paper. Transfer function of the optimal filter and physically realizable solution are derived with z-transform. The algorithm of this optimal filter is explained by examples. A comparis6n is made between the performance of this filter and that of kalman filter. Finaly, the application of this filter is presented briefly.
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