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FIR Smoothing of Discrete-Time Polynomial Signals in State Space

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2 Author(s)
Yuriy S. Shmaliy ; Electronics Department, DICIS, Guanajuato University, Mexico ; Luis J. Morales-Mendoza

We address a smoothing finite impulse response (FIR) filtering solution for deterministic discrete-time signals represented in state space with finite-degree polynomials. The optimal smoothing FIR filter is derived in an exact matrix form requiring the initial state and the measurement noise covariance function. The relevant unbiased solution is represented both in the matrix and polynomial forms that do not involve any knowledge about measurement noise and initial state. The unique l-degree unbiased gain and the noise power gain are derived for a general case. The widely used low-degree gains are investigated in detail. As an example, the best linear fit is provided for a two-state clock error model.

Published in:

IEEE Transactions on Signal Processing  (Volume:58 ,  Issue: 5 )