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- W1519179895 abstract "In H/sub /spl infin// signal estimation, we propose a filtering algorithm using covariance information. As in the H/spl infin/ filter, the algorithm for /spl gamma//sup 2/=/spl infin/ is reduced to the recursive least squares (RLS) filter using the covariance information, where /spl gamma/ is the parameter concerned with the performance criterion of the estimator. The algorithm for /spl gamma//sup 2/</spl infin/ is preferable to the RLS filter using the covariance information in terms of estimation accuracy. For calculating the fixed-point smoothing (FPS) estimate, the smoothing algorithm is contained. The calculated filtering estimate is used as an initial value of the FPS estimator at the fixed point. We then assume that the covariance information and the autovariance functions K/sub x/(T,T) of the state variable x(T) are given. K/sub x/(T,T) is calculated by the system matrix A and the input matrix B. Algorithms for the filtering estimates z/spl circ//sub 1/(T,T) of z/sub 1/(t)[=Cx(t)] and z/spl circ/(T,T) of z(T)[=Hx(T)] are proposed. In the autovariance function p(T,T) of the filtering estimate of the state variable x(T), we use K/sub x/(T,T). The FPS estimates z/spl circ//sub 1/(T,T) of z/sub 1/(t) and Z(t) are calculated in terms of the smoothing algorithm. We also present a new algorithm for the filtering estimate of z/sub 1/(t), particularly when z/sub 1/(t)=az(t) (a is a real constant). It is advantageous to calculate the filtering and FPS estimates using a, A, H and K/sub xy/(t,t), where the latter three quantities can be obtained from the autocovariance function K/sub z/(t,s) of the signal z(t). A numerical simulation shows that the filtering and FPS estimates by the RLS smoother using the filtering estimate as its initial value are more accurate than those by the RLS filtering and FPS algorithms of the earlier theorem." @default.
- W1519179895 created "2016-06-24" @default.
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- W1519179895 date "2003-01-20" @default.
- W1519179895 modified "2023-09-25" @default.
- W1519179895 title "Estimators using covariance information under relation to game theoretic approach" @default.
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- W1519179895 doi "https://doi.org/10.1109/icsmc.1999.823340" @default.
- W1519179895 hasPublicationYear "2003" @default.
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