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摘要: 用时域上的现代时间序列分析方法,基于ARMA新息模型和白噪声估值器,分别提出 了在ARMA新息滤波器形式下和在Wiener滤波器形式下的新的渐近稳定的多通道最优去卷 滤波器.它们避免了求解Diophantine方程,可统一处理去卷滤波、平滑和预报问题.还给出了 ARMA新息滤波器和Wiener去卷滤波器之间的关系.仿真例子说明了它们的有效性.
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关键词:
- 多通道最优去卷滤波器 /
- ARMA新息滤波器 /
- Wiener去卷滤波器 /
- 时域方法
Abstract: With the modern time series analysis method in the time domain and based on the autoregressive moving average (ARMA) innovation model and white noise estimators, new asymptotically stable multichannel optimal deconvolution filters in the ARMA innovation filter form and in the Wiener filter form are presented respectively. They avoid the solution of the Diophantine equations, and can handle the deconvolution filtering, smoothing and prediction problems in a unified framework. The relationship between the ARMA innovation filters and Wiener deconvolution filters is also given. A simulation example shows their effectiveness.
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