TIME SERIES NONLINEAR ESTIMATION BY USING SYNTHETIC SYSTEMS
The article gives the solution of the time series estimation problem by nonlinear measurements using synthetic systems. Synthetic systems can be realized as the hierarchical systems, made on the principles of decomposition and heuristics. An estimation example of the exponentialcorrelated process with local features is considered. In the example wavelet and Kalman filter are used for filtering. The paper also shows the advantages of filtering with wavelet.
Keywords: Estimation, hierarchical synthetic system, wavelet, Kalman filter, nonstationary process with local features
