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Quadratic estimation of multivariate signals from randomly delayed measurements. (English) Zbl 1084.94001

Summary: This paper discusses the least-squares quadratic estimation problem of a multivariate discrete signal, from noisy measurements which can be delayed by one sampling period. The delay in the observations is assumed to be random and the probability of a delay in each measurement is known. The quadratic recursive estimation algorithm, which uses only the delay probabilities and the moments (up to fourth-order) of the signal and noise-measurement, is derived from a linear estimation algorithm for a suitably defined augmented system.

MSC:

94A08 Image processing (compression, reconstruction, etc.) in information and communication theory
94A12 Signal theory (characterization, reconstruction, filtering, etc.)
93E10 Estimation and detection in stochastic control theory
93E24 Least squares and related methods for stochastic control systems
37M10 Time series analysis of dynamical systems
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References:

[9] P. Wu, E.E. Yaz, and K.J. Olejniczak, ”Harmonic Estimation with Random Sensor Delay,” Proceedings of the 36th International Conference on Decision & Control, 1997, pp. 1524–1525.
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