Automatic variance control and variance estimation loops

DOI10.1007/BF01204918MaRDI QIDQ5957031zbMATH OpenFDO

Authors T. J. Moir

Publication date 24 September 2002

Published in Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01204918

zbMATH Keywords

adaptive filtersAVCvariance controlvariance estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24)

Review text

This paper presents a closed-loop circuit termed automatic variance control (AVC) that has the ability to alter the variance of a signal to a predefined value on a sample-by-sample basis rather then relying on batch-data type computations. A second control loop that interfaces to the AVC has the ability to estimate the variance of the original non-stationary input signal. The closed-loop nature of the solution to these problems makes this approach highly accurate, and it can be used recursively in real time. Some simulation results are obtained and discussed.

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Cites work

• scientific article; zbMATH DE number 50447 (Why is no real title available?)
• Recursive estimation and time-series analysis. An introduction

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(3)

• Filtering, smoothing and prediction using a control-loop spectral factorization method for coloured noise
• scientific article; zbMATH DE number 3920311 (Why is no real title available?)
• Control systems approach to the sample inverse covariance matrix

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