多变量自校正滤波器和平滑器
A Multivariable Self-tuning Filter and Smoother
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摘要: 本文用状态空间方法提出了多变量自回归滑动平均(ARMA)过程的自校正滤波器,运用 时间序列分析方法,提出了多变量ARMA过程的自校正滤波器和自校正平滑器,并且用这两 种方法提出的自校正滤波器是一致的,推广了对于单变量ARMA过程的Hagander和Wittenmark 的结果[3].Abstract: This paper presents a multivariable self-tuning filter and smoother for multivariable autoregressive-moving average model using the state space method and the time series analysis method, the correspondent results proposed by Hagander and Wittenmark[3] for univariate autoregressive-moving average model are extended.
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