Real-time simultaneous estimation and decomposition of random signals

DOI10.1023/A:1008280719917MaRDI QIDQ1389901zbMATH OpenFDO

Authors Lang Hong, Charles K. Chui, Guanrong Chen

Publication date 4 March 1999

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

Full work available at URL https://doi.org/10.1023/A:1008280719917

zbMATH Keywords

discrete wavelet transformfilter bankKalman filteringmultiresolutional decomposition of random signalsoptimal estimation of random signalsreal-time on-line signal processing

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Review text

The aim of the paper is to derive a more efficient computational algorithm for on-line real-time simultaneous optimal estimation and multiresolutional decomposition of random signals. The proposed algorithm performs the estimation and decomposition simultaneously, using discrete wavelet transform implemented by an octave-band filter bank. Although the algorithm is developed based on the standard Kalman filtering scheme, the nature of blockwise filtering results in a smoothing-equivalent effect. Two special features are pointed out: First, instead of a two-step approach, the algorithm determines in one step the estimated signal such that the resulting signal possesses the desired decomposition. Second, the entire signal processing is performed on-line, which is real-time in the sense that as every two-point measurements flow in, a set of estimates of the signal flows out in the decomposition form. Numerical simulations are studied on a one-dimensional Brownian walk and confirm the better behaviour of the proposed algorithm.

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Cited in

(9)

• An array of processors for the real-time estimation of fourth- and lower- order moments
• Signal estimation over short data records: A data-dependent time- invariant algorithm
• Online algorithm for variance components estimation
• Robust Deconvolution of Deterministic and Random Signals
• scientific article; zbMATH DE number 3902542 (Why is no real title available?)
• Comparing Multivariate Complex Random Signals: Algorithm, Performance Analysis and Application
• On Demodulation, Ridge Detection, and Synchrosqueezing for Multicomponent Signals
• Signal Estimation with Random Parameter Matrices and Time-correlated Measurement Noises
• Quadratic estimation of multivariate signals from randomly delayed measurements

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