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Print ISSN: 2944-9146, E-ISSN: 2732-9976 An Open Access International Journal of Mathematical and Computational Methods in Science and Engineering
Volume 1, 2021
Embedded Unbiasedness: Effect on Optimal FIR Filtering Estimates
Authors: Snunyi Zhao, Yuriy Shmaliy, Sanowar Khan
Abstract: In this paper, we give an analysis of the embedded unbiasedness (EU) on optimal finite impulse response (OFIR) estimates. By minimizing the mean square error (MSE) constrained by the unbiasedness condition, a new OFIR-EU filter is derived. We show that the OFIR-EU filter does not require the initial conditions, and occupies an intermediate place between the UFIR and OFIR filters. It is also shown that the MSEs of the OFIR-EU and OFIR filters diminish with the estimation horizon. A numerical example has demonstrated that the OFIR-UE filter has better robustness against temporary model uncertainties than the OFIR and Kalman filters.
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Keywords: Optimal FIR filter, unbiasedness, state space, mean square error, Kalman filter
Pages: 55-61
DOI: 10.37394/232021.2021.1.8
Equations, ISSN / E-ISSN: 2944-9146 / 2732-9976, Volume 1, 2021, Art. #8