Using the innovation analysis approach, a novel optimal filter is presented for discrete-time ARMA (auto-regressing moving average) signals based on the white noise estimators. It is a recursive non-augmented filter. Compared with the augmented approach, it has the reduced computational cost and the same accuracy. A simulation example shows the effectiveness of the proposed algorithm.
Financed by the National Centre for Research and Development under grant No. SP/I/1/77065/10 by the strategic scientific research and experimental development program:
SYNAT - “Interdisciplinary System for Interactive Scientific and Scientific-Technical Information”.