To date, finite impulse response (FIR) filters have been proposed to estimate linear systems with white Gaussian noises, but to the best of our knowledge, no solution exists for linear systems with colored noises. In this paper, we propose a new FIR filter to estimate linear state-space models with both process and measurement noises through state augmentation. In addition, we suggest a modified form of the colored-noise FIR filter to deal with the computational burden and singularity problem. Numerical examples are presented to describe the effectiveness of the colored-noise FIR filter.
|Number of pages
|Measurement: Journal of the International Measurement Confederation
|Published - 2013
Bibliographical noteFunding Information:
This work was supported by R&D Program of MOTIE/KEIT, Korea. The authors would like to thank the Ministry of Trade, Industry and Energy, Korea. (No: 10041779, Development of Energy Demand Response System for Smart Home).
- Colored noises
- Finite impulse response (FIR) structure
- Inverse partitioned matrix
- State augmentation
- State estimation
ASJC Scopus subject areas
- Electrical and Electronic Engineering