THE RANDOM PROCESS REPRESENTATION WITH THE HELP OF VECTORIAL RECURRENT CIRCULANT

MODEL OF THE SECOND ORDER

 

V. P. Volchkov, N. E. Poborchaya, A. M. Shloma

The paper is received on December 12, 2013

Abstract. One of à foreground task of digital signal processing is a decrease of computational complexity of appropriate algorithms, but without substantial loss accuracy. Good adequate signal models are necessary for synthesis of these algorithms. In the article, the vectorial recurrent circulant model of the second dynamic order is proposed for random signals representation. For given correlation function of signal the computational procedures of parameters this model and expression of approximating correlation function are derived. The comparative analysis of approximation property of the proposal model and other known models are executed. Optimal recurrent algorithms of filtration and smoothing based on the proposal model are produced. Accuracy behavior and efficiency of these algorithms are confirmed in experimental research. 

Key words: random process, random signal, optimal estimate, Kalman filter, Winner filter, circulant model, autoregressive model, stochastic difference equalization, correlation function, Fourier transform.