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A widely linear complex unscented kalman filter

Dini, DH; Mandic, DP; Julier, SJ; (2011) A widely linear complex unscented kalman filter. IEEE Signal Processing Letters , 18 (11) 623 - 626. 10.1109/LSP.2011.2166259.

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Abstract

Conventional complex valued signal processing algorithms assume rotation invariant (circular) signal distributions, and are thus suboptimal for real world processes which exhibit rotation dependent distributions (noncircular). In nonlinear sequential state space estimation, noncircularity can arise from the data, state transition model, and state and observation noises. We provide further insight by revisiting the augmented complex unscented Kalman filter (ACUKF) and illuminating its operation in such scenarios. The analysis establishes a relationship between the estimation error and the degree of second order noncircularity (improperness) in the system for the conventional complex unscented Kalman filter (CUKF), and is supported by simulations on both synthetic and real world proper and improper signals. © 2006 IEEE.

Type:Article
Title:A widely linear complex unscented kalman filter
DOI:10.1109/LSP.2011.2166259
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science

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