Kalman filtering of fractal stochastic signals based on wavelet transform

被引：0

作者：

Zhao, Juan ^{[1
]}

Ma, Hong ^{[1
]}

You, Zhi-Sheng ^{[1
]}

Michio, Umeda ^{[1
]}

机构：

[1] Dept. of Math., Sichuan Univ., Chengdu 610064, China

来源：

Tien Tzu Hsueh Pao/Acta Electronica Sinica | 2001年 / 29卷 / 09期

关键词：

Algorithms - Brownian movement - Computer simulation - Estimation - Fractals - Gaussian noise (electronic) - Random processes - Signal filtering and prediction - Wavelet transforms - White noise;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

A filter bank design based on orthonormal wavelets and equipped with a multiscale Kalman filter is recently proposed for estimating fractal Brownian motion in additive Gaussian white noise. We give the corresponding parameters of the dynamic system and more accurate estimation algorithm. Comparisons between Wiener and Kalman filters are given. Typical computer simulation results demonstrate its feasibility and effectiveness.

引用

页码：1157 / 1160

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