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New Multi-Step FIR Predictors for State-Space Signal Models
ChoonKi AHN
Publication
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences Vol.E92-A No.4 pp.1233-1236
Publication Date: 2009/04/01
Online ISSN: 1745-1337
Print ISSN: 0916-8508
Type of Manuscript: LETTER
Category: Digital Signal Processing
Keyword:
multi-step predictor,
maximum likelihood,
FIR structure,
unbiasedness property,
deadbeat property,
Full Text: PDF(93.4KB)
Summary:
In this letter, we propose a new multi-step maximum likelihood predictor with a finite impulse response (FIR) structure for discrete-time state-space signal models. This predictor is called a maximum likelihood FIR predictor (MLFP). The MLFP is linear with the most recent finite outputs and does not require a prior initial state information on a receding horizon. It is shown that the proposed MLFP possesses the unbiasedness property and the deadbeat property. Simulation study illustrates that the proposed MLFP is more robust against uncertainties and faster in convergence than the conventional multi-step Kalman predictor.
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