Quadratic estimation of multivariate signals from randomly delayed measurements

被引：14

作者：

Nakamori, S

Hermoso-Carazo, A

Linares-Pérez, J

机构：

[1] Kagoshima Univ, Fac Educ, Dept Technol, Kagoshima 8900065, Japan

[2] Univ Granada, Dpto Estadist & IO, Granada, Spain

来源：

MULTIDIMENSIONAL SYSTEMS AND SIGNAL PROCESSING | 2005年 / 16卷 / 04期

关键词：

multivariate signal estimation; least-squares; delayed measurement;

D O I：

10.1007/s11045-005-4127-2

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This paper discusses the least-squares quadratic estimation problem of a multivariate discrete signal, from noisy measurements which can be delayed by one sampling period. The delay in the observations is assumed to be random and the probability of a delay in each measurement is known. The quadratic recursive estimation algorithm, which uses only the delay probabilities and the moments (up to fourth-order) of the signal and noise-measurement, is derived from a linear estimation algorithm for a suitably defined augmented system.

引用

页码：417 / 438

页数：22

共 20 条

[1]

Caballero-Aguila R., 2003, International Journal of Modelling and Simulation, V23, P22

[2] Polynomial filtering for linear discrete time non-Gaussian systems [J].

Carravetta, F ;

Germani, A ;

Raimondi, M .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1996, 34 (05) :1666-1690

[3] Restoration of images corrupted by additive non-Gaussian noise [J].

Dalla Mora, M ;

Germani, A ;

Nardecchia, A .

IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS I-FUNDAMENTAL THEORY AND APPLICATIONS, 2001, 48 (07) :859-875

[4] OPTIMAL QUADRATIC FILTERING OF LINEAR DISCRETE-TIME NON-GAUSSIAN SYSTEMS [J].

DESANTIS, A ;

GERMANI, A ;

RAIMONDI, M .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1995, 40 (07) :1274-1278

[5] Real-time simultaneous estimation and decomposition of random signals [J].

Hong, L ;

Chen, GR ;

Chui, CK .

MULTIDIMENSIONAL SYSTEMS AND SIGNAL PROCESSING, 1998, 9 (03) :273-289

[6] PARTIAL-DIFFERENTIAL EQUATIONS AND FINITE-DIFFERENCE METHODS IN IMAGE-PROCESSING .1. IMAGE REPRESENTATION [J].

JAIN, AK .

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 1977, 23 (01) :65-91

[7]

KAILATH T, 1976, LECT LINEAR SQUARES

[8]

Magnus J., 1999, Matrix Differential Calculus with Applications in Statistic and Econometrics

[9] Recursive estimators of signals from measurements with stochastic delays using covariance information [J].

Nakamori, S ;

Caballero-Aguila, R ;

Hermoso-Carazo, A ;

Linares-Pérez, J .

APPLIED MATHEMATICS AND COMPUTATION, 2005, 162 (01) :65-79

[10] Fixed-point smoothing with non-independent uncertainty using covariance information [J].

Nakamori, S ;

Caballero-Aguila, R ;

Hermoso-Carazo, A ;

Linares-Pérez, J .

INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2003, 34 (07) :439-452

← 1 2 →