Robust Extended Recursive Wiener Fixed-Point Smoother and Filter in Discrete-Time Stochastic Systems

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Abstract: As an extension of the linear robust recursive least-squares Wiener fixed-point smoother and filter, this paper originally designs the robust extended recursive Wiener fixed-point smoother and filter for estimating the signal in discrete-time wide-sense stationary stochastic systems. It is a characteristic in this paper that the signal is modulated with the nonlinear mechanism. As a step to the estimation problem for the observation mechanism with the nonlinear modulation, the robust signal estimators are proposed for the observation equation with the linear amplitude modulation of the signal. The observation noise is additional white noise. The system matrix in the state equation contains uncertain parameters. The robust extended recursive Wiener estimators are derived from the Wiener-Hopf equation. In the simulation example, it is shown that the proposed robust extended recursive Wiener fixed-point smoother and filter are superior in estimation accuracy to the extended recursive Wiener estimators

WSEAS Transactions on Circuits and Systems, ISSN / E-ISSN: 1109-2734 / 2224-266X, Volume 18, 2019, Art. #29

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Seiichi Nakamori, "Robust Extended Recursive Wiener Fixed-Point Smoother and Filter in Discrete-Time Stochastic Systems," WSEAS Transactions on Circuits and Systems, vol. 18, pp. 184-196, 2019, DOI:
Seiichi Nakamori. Robust Extended Recursive Wiener Fixed-Point Smoother and Filter in Discrete-Time Stochastic Systems. WSEAS Transactions on Circuits and Systems. 2019;18:184-196.
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