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

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	1157-1160
Number of pages	4
Journal	Tien Tzu Hsueh Pao/Acta Electronica Sinica
Volume	29
Issue number	9
Publication status	Published - Sept 2001
Externally published	Yes

Keywords

1/f processes
Fractal stochastic signal
Fractional Brownian motion
Kalman filtering
Wavelet transform

Cite this

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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",

month = sep,

language = "English",

volume = "29",

pages = "1157--1160",

journal = "Tien Tzu Hsueh Pao/Acta Electronica Sinica",

issn = "0372-2112",

publisher = "Chinese Institute of Electronics",

number = "9",

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TY - JOUR

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

AU - Zhao, Juan

AU - Ma, Hong

AU - You, Zhi Sheng

AU - Michio, Umeda

PY - 2001/9

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

UR - https://www.scopus.com/pages/publications/0035467026

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

Abstract

Keywords

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