Kalman filtering of fractal stochastic signals based on wavelet transform

Juan Zhao; Hong Ma; Zhi Sheng You; Umeda Michio

Kalman filtering of fractal stochastic signals based on wavelet transform

Juan Zhao, Hong Ma, Zhi Sheng You, Umeda Michio

Sichuan University

科研成果: 期刊稿件 › 文章 › 同行评审

1 引用（Scopus）

摘要

A filter bank design based on orthonormal wavelets and equipped with a multiscale Kalman filter is recently proposed for estimating fractal Brownian motion in additive Gaussian white noise. We give the corresponding parameters of the dynamic system and more accurate estimation algorithm. Comparisons between Wiener and Kalman filters are given. Typical computer simulation results demonstrate its feasibility and effectiveness.

源语言	英语
页（从-至）	1157-1160
页数	4
期刊	Tien Tzu Hsueh Pao/Acta Electronica Sinica
卷	29
期	9
出版状态	已出版 - 9月 2001
已对外发布	是

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引用此

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title = "Kalman filtering of fractal stochastic signals based on wavelet transform",

abstract = "A filter bank design based on orthonormal wavelets and equipped with a multiscale Kalman filter is recently proposed for estimating fractal Brownian motion in additive Gaussian white noise. We give the corresponding parameters of the dynamic system and more accurate estimation algorithm. Comparisons between Wiener and Kalman filters are given. Typical computer simulation results demonstrate its feasibility and effectiveness.",

keywords = "1/f processes, Fractal stochastic signal, Fractional Brownian motion, Kalman filtering, Wavelet transform",

author = "Juan Zhao and Hong Ma and You, {Zhi Sheng} and Umeda Michio",

year = "2001",

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language = "English",

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T1 - Kalman filtering of fractal stochastic signals based on wavelet transform

AU - Zhao, Juan

AU - Ma, Hong

AU - You, Zhi Sheng

AU - Michio, Umeda

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Y1 - 2001/9

N2 - A filter bank design based on orthonormal wavelets and equipped with a multiscale Kalman filter is recently proposed for estimating fractal Brownian motion in additive Gaussian white noise. We give the corresponding parameters of the dynamic system and more accurate estimation algorithm. Comparisons between Wiener and Kalman filters are given. Typical computer simulation results demonstrate its feasibility and effectiveness.

AB - A filter bank design based on orthonormal wavelets and equipped with a multiscale Kalman filter is recently proposed for estimating fractal Brownian motion in additive Gaussian white noise. We give the corresponding parameters of the dynamic system and more accurate estimation algorithm. Comparisons between Wiener and Kalman filters are given. Typical computer simulation results demonstrate its feasibility and effectiveness.

KW - 1/f processes

KW - Fractal stochastic signal

KW - Fractional Brownian motion

KW - Kalman filtering

KW - Wavelet transform

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M3 - Article

AN - SCOPUS:0035467026

SN - 0372-2112

VL - 29

SP - 1157

EP - 1160

JO - Tien Tzu Hsueh Pao/Acta Electronica Sinica

JF - Tien Tzu Hsueh Pao/Acta Electronica Sinica

IS - 9

ER -

Kalman filtering of fractal stochastic signals based on wavelet transform

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