Wavelet Kalman Filtering

Abstract

In addition to the Kalman filtering algorithms discussed in the previous chapters, there are other computational schemes available for digital filtering performed in the time domain. Among them, perhaps the most exciting ones are wavelet algorithms, which are useful tools for multichannel signal processing (e.g., estimation or filtering) and multiresolution signal analysis. This chapter is devoted to introduce this effective technique of wavelet Kalman filtering by means of a specific application for illustration - simultaneous estimation and decomposition of random signals via a filter-bank-based Kalman filtering approach using wavelets.