Iterative Frequency-Weighted Filtering and Smoothing Procedures
@article{Einicke2014IterativeFF, title={Iterative Frequency-Weighted Filtering and Smoothing Procedures}, author={Garry A. Einicke}, journal={IEEE Signal Processing Letters}, year={2014}, volume={21}, pages={1467-1470} }
Minimum-variance filters and smoothers exhibit performance degradations when they are designed with inexact models and noise statistics. Filter and smoother estimation errors are assumed herein to be generated by a first-order moving-average system. This assumed system is identified and used to design a frequency weighting function to improve mean square error performance. It is shown under prescribed conditions that the sequence of frequency-weighted estimation error variances are…
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