Abstract:
The paper addresses the estimation of the continuous-time input signal to a linear sensor that is given in state-space form. In previous work, Bolliger et al. proposed to...Show MoreMetadata
Abstract:
The paper addresses the estimation of the continuous-time input signal to a linear sensor that is given in state-space form. In previous work, Bolliger et al. proposed to model the input signal as (continuous-time) white Gaussian noise and derived a corresponding estimator that is based on Kalman filtering. The present paper elaborates on this new estimator. In particular, it establishes the continuity (or the piecewise continuity) of the estimate, presents a new interpolation formula between samples, complements the Kalman-filter perspective by a Wiener-filter perspective, and demonstrates practicality by numerical experiments.
Published in: 2014 Information Theory and Applications Workshop (ITA)
Date of Conference: 09-14 February 2014
Date Added to IEEE Xplore: 24 April 2014
Electronic ISBN:978-1-4799-3589-5