A sequential Monte Carlo filter for joint linear/nonlinear state estimation with application to DS-CDMA

Authors:
R.A. Iltis
Affiliations:
Dept. of Electr. & Comput. Eng., Univ. of California, Santa Barbara, CA, USA
Venue:
IEEE Transactions on Signal Processing
Year:
2003

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Abstract

A sequential Monte Carlo filter is considered which combines previously developed sequential importance sampling (SIS) techniques for conditional linear Gaussian models with measurement linearization for construction of approximate simulation densities. The resulting sequential Monte Carlo Kalman filter (SMC-KF) consists of a bank of conventional Kalman filters individually tuned to sampled trajectories of the nonlinear state variables. Sampling is according to a Gaussian distribution, with mean and covariance determined by extended Kalman filter-type equations. The SMC-KF is then applied to joint delay and multipath channel estimation in direct-sequence code-division multiple access (DS-CDMA). A combined analytical/simulation technique is employed to compare performance of the SMC-KF and a previously derived extended Kalman filter (EKF)-based DS-CDMA channel estimator.