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Instruments and Systems: Monitoring, Control, and Diagnostics

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Recurrent Optimal Method for Linear Filtering of Arbitrary Signals Against the Background of Correlated and Uncorrelated Interference
YU.P. IVANOV

Based on the content of the orthogonal projection theorem, we present a method for optimal, linear recurrent estimates of discrete signals containing fluctuation and regular components against the background of correlated or uncorrelated interference. The estimation algorithms obtained on the basis of this approach coincide in accuracy with Kalman filtering, are applicable to a wide class of models, in general, non-Markov signals and interference, are simple in their implementation, and the mathematical expectation and the correlation function of signals, the mathematical expectation and the variance of the measurement interference are used as a priori information.
Keywords: recurrent method, optimality, linear matrix operator of estimation with feedback, invariance to the form of signal and noise models, estimation quality.


DOI: 10.25791/pribor.9.2021.1288

Pp. 07-12.

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