Abstract
This paper presents two algorithms for on-line estimation of the optimal gain of the Kalman filter applied to sensor signals when the signal-to-noise ratio is unknown. First-order spectra of a pure signal and colored measurement noise have been assumed. The proposed adaptive Kalman filtering algorithms have been tested for various spectra of the pure signal and noise, and for various signal-to-noise ratios. The effect of the length of an adaptation step and a sampling frequency on the mean square errors of the pure signal estimation has also been examined. Although the test have been performed for stationary signals, the algorithms presented can also be used successfully for time-varying sensor signals when the signal-to-noise ratios vary very slowly in comparison with the length of the adaptation step.
The results are helpful for designers who synthesize optimal linear digital filters for sensor signals with first-order spectra and colored measurement noise. The estimation error curves presented enable designers to determine the noise reduction attainable for particular applications of the adaptive Kalman filtering algorithms.
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Wojcik, P.J. On-line estimation of signal and noise parameters with application to adaptive Kalman filtering. Circuits Systems and Signal Process 10, 137–152 (1991). https://doi.org/10.1007/BF01183767
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DOI: https://doi.org/10.1007/BF01183767