ESTIMATION ALGORITHM FROM RANDOMLY DELAYED OBSERVATIONS WITH WHITE PLUS COLOURED NOISES

S. Nakamori, A. Hermoso-Carazo, J. Linares-Pérez, M. I. Sánchez-Rodríguez

2004

Abstract

A recursive algorithm for the least-squares linear one-stage prediction and filtering problems of discrete-time signals using randomly delayed measurements perturbed by additive white plus coloured noises are presented. It is assumed that the autocovariance function of the signal and the coloured noise are expressed in a semidegenerate kernel form and the delay is modelled by a sequence of independent Bernoulli random variables, which indicate if the measurements arrive in time or are delayed by one sampling time. The estimators are obtained by an innovation approach and do not use the state-space model of the signal, but only the covariance information about the signal and the observation noises and the delay probabilities.

Paper Citation

in Harvard Style

Nakamori S., Hermoso-Carazo A., Linares-Pérez J. and Sánchez-Rodríguez M. (2004). ESTIMATION ALGORITHM FROM RANDOMLY DELAYED OBSERVATIONS WITH WHITE PLUS COLOURED NOISES . In Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 972-8865-12-0, pages 19-23. DOI: 10.5220/0001127000190023

in Bibtex Style

@conference{icinco04,
author={S. Nakamori and A. Hermoso-Carazo and J. Linares-Pérez and M. I. Sánchez-Rodríguez},
title={ESTIMATION ALGORITHM FROM RANDOMLY DELAYED OBSERVATIONS WITH WHITE PLUS COLOURED NOISES},
booktitle={Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2004},
pages={19-23},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001127000190023},
isbn={972-8865-12-0},
}

in EndNote Style

TY - CONF
JO - Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - ESTIMATION ALGORITHM FROM RANDOMLY DELAYED OBSERVATIONS WITH WHITE PLUS COLOURED NOISES
SN - 972-8865-12-0
AU - Nakamori S.
AU - Hermoso-Carazo A.
AU - Linares-Pérez J.
AU - Sánchez-Rodríguez M.
PY - 2004
SP - 19
EP - 23
DO - 10.5220/0001127000190023