Dual Kalman Filtering Methods for Nonlinear Prediction, Smoothing, and Estimation
Eric A. Wan, A. Nelson · 1997
Prediction, estimation, and smoothing are fundamental to signal processing. To perform these interrelated tasks given noisy data, we form a time series model of the process that generates the data. Taking noise in the system explicitly into account, maximumlikelihood and Kalman frameworks are discussed which involve the dual process of estimating both the model parameters and the underlying state of the system. We review several established methods in the linear case, and propose several extensions utilizing dual Kalman filters (DKF) and forward-backward (FB) filters that are applicable to neural networks. Methods are compared on several simulations of noisy time series. We also include an example of nonlinear noise reduction in speech. 1 INTRODUCTION Consider the general autoregressive model of a noisy time series with both process and additive observation noise: x(k) = f(x(k \\Gamma 1); :::x(k \\Gamma M ); w) + v(k \\Gamma 1) (1) y(k) = x(k) + r(k); (2) where x(k) corresponds to the ...