Real-Time Simultaneous Estimation and Decomposition ofRandom Signals

Authors:
Lang Hong;Guanrong Chen;Charles K. Chui
Affiliations:
Department of Electrical Engineering, Wright State University, Dayton, OH 45435;Department of Electrical Engineering, University of Houston, Houston, TX 77204;Department of Mathematics and Department of Electrical Engineering, Texas A and M University, College Station, TX 77843
Venue:
Multidimensional Systems and Signal Processing
Year:
1998

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Abstract

In this paper, an efficient algorithm is derived formultiresolutional estimation and decomposition of noisy randomsignals. This algorithm performs in real-time the estimationand decomposition simultaneously, using the discrete wavelettransform implemented by a filter bank. Although the algorithmis developed based on the standard Kalman filtering scheme, thenature of blockwise filtering results in a smoothing-equivalenteffect. However, the interpolated filtering produces decomposedestimate output in real-time.