Linear Kalman–Bucy Filter with Autoregressive Signal and Noise

Аннотация

In the Kalman—Bucy filter problem, the observed process consists of the sum of a signal and a noise. The filtration begins at the same moment as the observation process and it is necessary to estimate the signal. As a rule, this problem is studied for the scalar and vector Markovian processes. In this paper, the scalar linear problem is considered for the system in which the signal and noise are not Markovian processes. The signal and noise are independent stationary autoregressive processes with orders of magnitude higher than 1. The recurrent equations for the filter process, its error, and its conditional cross correlations are derived. These recurrent equations use previously found estimates and some last observed data. The optimal definition of the initial data is proposed. The algebraic equations for the limit values of the filter error (the variance) and cross correlations are found. The roots of these equations make possible the conclusions concerning the criterion of the filter process convergence. Some examples in which the filter process converges and does not converge are given. The Monte Carlo method is used to control the theoretical formulas for the filter and its error.