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Maximum Likelihood FIR Filter for State Space Signal Models
IEICE TRANSACTIONS on Communications
Publication Date: 2002/08/01
Print ISSN: 0916-8516
Type of Manuscript: PAPER
Category: Navigation, Guidance and Control Systems
maximum likelihood (ML), FIR filter, unbiasedness property, deadbeat property,
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In this paper, a new maximum likelihood filter with finite impulse response (FIR) structures is proposed for state space signal models with both system and observation noises. This filter is called the maximum likelihood FIR (MLF) filter. The proposed MLF filter doesn't require a priori information of the window initial state and processes the finite observations on the most recent window linearly. The proposed MLF filter is first represented in a batch form, and then in an iterative form for computational advantage. The proposed MLF filter has good inherent properties such as time-invariance, unbiasedness, deadbeat, robustness. The validity of the proposed MLF filter is illustrated by a computer simulation on a sinusoidal signal.