A Generalization of White Noise Estimation Theory Based on Kalman Filtering
Shi Ying · Science Technology and Engineer · 2003
By using the Kalman filtering method and projection theory, the existing white noise estimation theory is extended to general stochastic systems, where the system noise is correlated at adjoining times, and the system noise and measurement noise are correlated at same and adjoining times. The unified optimal and steady-state white noise and quasi-white noise estimators are presented. A simulation example shows their effectiveness.