순환형 FIR 필터

RECURSIVE FIR FILTERS FOR DISCRETE TIME-INVARIANT STATE-SPACE MODELS

In this paper an FIR(finite impulse response) filter and smoother are introduced for discrete time-invariant state-space models with driving noises. The FIR structure not only quarantees the BIBO stability and the robustness to parameter changes but also improves the filter divergence problem. It is shown that the impulse responses of the FIR filter and the smoother are obtained by Riccati-type difference equations and that they are to be time-invariant and reduced to very simple forms. For implementational purpose, recursive forms of the FIR filler and smoother are derived with each other used as the adjoint variable.