Derivation of linear estimation algorithms from measurements affected by multiplicative and additive noises

作者：Garcia Ligero M J^*; Hermoso Carazo A; Linares Perez J; Nakamori S

来源：Journal of Computational and Applied Mathematics, 2010, 234(3): 794-804.

DOI：10.1016/j.cam.2010.01.043

• Multiplicative noise
• Filter
• Fixed-point smoother

This paper addresses the problem of estimating signals from observation models with multiplicative and additive noises. Assuming that the state-space model is unknown, the multiplicative noise is non-white and the signal and additive noise are correlated, recursive algorithms are derived for the least-squares linear filter and fixed-point smoother. The proposed algorithms are obtained using an innovation approach and taking into account the information provided by the covariance functions of the process involved.

• 出版日期2010-6-1