Filtering, smoothing, and prediction using a control-loop spectral factorization method for coloured noise
Filtering, smoothing, and prediction using a control-loop spectral factorization method for coloured noise
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Date
2012
Authors
Moir, T
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
John Wiley & Sons
Abstract
A method for the linear least-squares estimation of random signals contaminated with random noise is shown that uses a new method of spectral factorization. It is shown that the optimal filter can be written entirely in terms of the two spectral factors of signal plus noise and noise-alone, and can be applied to the general case of coloured and white additive noise. The method of spectral factorization used is novel and uses control-system methodology.
Description
Keywords
Spectral factorization , Smoothing , Prediction , Coloured noise
Source
International Journal of Adaptive Control and Signal Processing. (2012)
Published online in Wiley Online Library (wileyonlinelibrary.com). DOI: 10.1002/acs.2285
DOI
Publisher's version
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Copyright © 2012 John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version)