An extended Kalman filter for parallel-cascade truncated Volterra systems

This paper presents an extended Kalman filter for truncated Volterra systems that employ parallel-cascade structures. Parallel-cascade realizations implement higher-order Volterra systems as parallel connections of multiplicative combinations of lower-order systems. A computationally efficient variation of the extended Kalman filter obtained by employing a block diagonal approximation of the covariance matrix of the state error vector is also presented in this paper. Experimental comparisons demonstrating relatively small performance degradation for the approximate system over the extended Kalman filter are also included in the paper. Experiments that demonstrate the approximation capabilities of the extended Kalman filter are also included in this paper.