Multirate, multiresolution, recursive Kalman filter

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Cristi_Multirate, multiresolution.pdf (223.4 KB)
Authors
Cristi, Roberto
Tummala, Murali
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Date of Issue
2000
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Elsevier
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Abstract
An approach to the decomposition of a signal into orthogonal components at different resolution levels is presented in this paper. It is shown that a signal generated by the standard state-space stochastic model can be decomposed into innovations at the different sampling frequencies associated to different levels of resolution. The main result is that these innovations are all uncorrelated with each other. A multiresolution multirate (MRMR) Kalman filter is then introduced which allows multiple MRMR observations to be combined in an optimal fashion.
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Article
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https://hdl.handle.net/10945/56650
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Department
Electrical and Computer Engineering
Organization
Naval Postgraduate School (U.S.)
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Format
14 p.
Citation
R. Cristi, M. Tummala, "Multirate, multiresolution, recursive Kalman filter," Signal Processing, v. 80, (2000), pp. 1945-1958.
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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