A Widely Linear Complex Unscented Kalman Filter

作者：Dini Dahir H^*; Mandic Danilo P; Julier Simon J

来源：IEEE Signal Processing Letters, 2011, 18(11): 623-626.

DOI：10.1109/LSP.2011.2166259

• Augmented complex UKF
• complex circularity
• improperness
• unscented Kalman filter
• widely linear Kalman filter
• widely linear model

Conventional complex valued signal processing algorithms assume rotation invariant (circular) signal distributions, and are thus suboptimal for real world processes which exhibit rotation dependent distributions (noncircular). In nonlinear sequential state space estimation, noncircularity can arise from the data, state transition model, and state and observation noises. We provide further insight by revisiting the augmented complex unscented Kalman filter (ACUKF) and illuminating its operation in such scenarios. The analysis establishes a relationship between the estimation error and the degree of second order noncircularity (improperness) in the system for the conventional complex unscented Kalman filter (CUKF), and is supported by simulations on both synthetic and real world proper and improper signals.

• 出版日期2011-11