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Corpus ID: 8007786

Optimal linear filtering with piecewise-constant memory

@article{Torokhti2006OptimalLF,
title={Optimal linear filtering with piecewise-constant memory},
author={A. Torokhti and P. Howlett},
journal={2006 14th European Signal Processing Conference},
year={2006},
pages={1-5}
}

The paper concerns the optimal linear filtering of stochastic signals associated with the notion of piecewise constant memory. The filter should satisfy a specialized criterion formulated in terms of a so called lower stepped matrix A. To satisfy the special structure of the filter, we propose a new technique based on a block-partition of the lower stepped part of matrix A into lower triangular and rectangular blocks, Lij and Rij with i = 1, ..., l; j = 1, ..., si where l and si are given. We… Expand