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An online novel adaptive filter for denoising time series measurements
1Sputnik Consulting, c/o Mail Drop 2160 Syncrude, Mildred Lake Plant Site, P Bag 4009, Fort McMurray AB, 79H 3L1 Canada.
ISA Transactions
|May 3, 2006
Abstract:
A nonstationary form of the Wiener filter based on a principal components analysis is described for filtering time series data possibly derived from noisy instrumentation. The theory of the filter is developed, implementation details are presented and two examples are given. The filter operates online, approximating the maximum a posteriori optimal Bayes reconstruction of a signal with arbitrarily distributed and non stationary statistics.
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