Iterative Frequency-Weighted Filtering and Smoothing Procedures

  title={Iterative Frequency-Weighted Filtering and Smoothing Procedures},
  author={Garry A. Einicke},
  journal={IEEE Signal Processing Letters},
  • G. Einicke
  • Published 22 July 2014
  • Mathematics, Engineering
  • IEEE Signal Processing Letters
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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