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Levinson filter for nonstationary processes
Affiliation:1. Acoustic Science and Technology Laboratory, College of Underwater Acoustic Engineering, Harbin Engineering University, Harbin, Heilongjiang, 150001, China;2. College of Underwater Acoustic Engineering, Harbin Engineering University, Harbin, Heilongjiang 150001, China;3. Institute of Sound and Vibration Research, University of Southampton, Southampton, SO17 1BJ, U.K;1. RWTH Aachen University, III. Physikalisches Institut A, Aachen, Germany;2. Department of Physics and Astronomy, University of California, Irvine, USA;3. IMAPP, Radboud University Nijmegen, Nijmegen, Netherlands;4. Nikhef, Science Park, Amsterdam, Netherlands
Abstract:
The linear optimal filter theory given by Levinson for stationary processes has been extended to nonstationary processes. A fast algorithm to reduce computation time is given. The modified Levinson filter is compared with the Kalman filter.
Keywords:
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