| 引用本文: | 蔡洪.噪声统计的Bayes 极大验后估计与系统自适滤波.[J].国防科技大学学报,1997,19(1):5-8.[点击复制] |
| Cai Hong.Bayesian MAP Estimation of Noise Statistics and System Adaptive Filtering[J].Journal of National University of Defense Technology,1997,19(1):5-8[点击复制] |
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| 噪声统计的Bayes 极大验后估计与系统自适滤波 |
| 蔡洪 |
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(国防科技大学 自动控制系 湖南 长沙 410073)
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| 摘要: |
| 对于具有测量的线性离散系统, 在系统动力学噪声与测量统计特性未知的情况下, 本文推导出了噪声统计特性在具有正态-逆Wishart 分布验前信息情况之下的Bayes 极大验后(MAP) 估计及其实时迫近, 从而获得了系统的自适应滤波。 |
| 关键词: Bayes 方法, 极大验后估计, 自适应滤波 |
| DOI： |
| 投稿日期：1996-09-17 |
| 基金项目: |
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| Bayesian MAP Estimation of Noise Statistics and System Adaptive Filtering |
| Cai Hong |
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(Department of Automatic Control, NUDT, Changsha, 410073)
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| Abstract: |
| For linear discrete systems with unknown noise statistics, the Bayesian maximum a posteriori (MAP) estimation of noise statistics are its real-time approximation are deduced considering that the prior information of noise statistics is normal-inverted-Wishart distribution. Based on this, the system adaptive filtering is obtained. |
| Keywords: Bayes method, MAP estimator, adaptive filtering |
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