Open AccessEmbedded Unbiasedness: Effect on Optimal FIR Filtering Estimates
Author(s) -
Snunyi Zhao,
Yuriy S. Shmaliy,
Sanowar Khan
Publication year - 2021
Language(s) - English
DOI - 10.37394/232021.2021.1.8
Subject(s) - robustness (evolution) , finite impulse response , kalman filter , control theory (sociology) , mathematics , mean squared error , filter (signal processing) , impulse (physics) , computer science , statistics , algorithm , physics , artificial intelligence , biochemistry , chemistry , control (management) , quantum mechanics , computer vision , gene
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.