Title :
An algorithm for tracking a random walk with unknown drift
Author :
Le Calvez, Jean Luc ; Delyon, Bernard ; Juditsky, Anatoli
Author_Institution :
IRISA, Rennes, France
Abstract :
We study the problem of tracking a random walk observed with noise when the variance of the walk increment is unknown. We describe a sequence of estimators of the random walk and we design an algorithm to choose the best estimator among all the sequence. We give also a bound for the mean square error of this estimator. Finally some simulations are presented and we compare our algorithm with the Kalman filter when the variance of the walk increment is estimated
Keywords :
least mean squares methods; noise; parameter estimation; random processes; signal processing; tracking; Kalman filter; mean square error bound; noisy observations; random walk estimators; sequence; signal processing; simulations; stochastic system; system identification; tracking algorithm; unknown drift; walk increment variance; Adaptive signal processing; Algorithm design and analysis; Covariance matrix; Filters; Mean square error methods; Signal processing algorithms; Stochastic systems; System identification; Time varying systems; White noise;
Conference_Titel :
Acoustics, Speech and Signal Processing, 1998. Proceedings of the 1998 IEEE International Conference on
Conference_Location :
Seattle, WA
Print_ISBN :
0-7803-4428-6
DOI :
10.1109/ICASSP.1998.681578
