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AUTHOR(S): Athanasios Polyzos, Christos Tsinos, Maria Adam, Nicholas Assimakis
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TITLE Duality Between Augmented Complex Kalman Filters and Bivariate Real Kalman Filters |
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ABSTRACT The covariance and the pseudo-covariance matrices characterize the complex signals. The augmented or widely linear model, which takes into account these matrices, leads to the Augmented Complex Kalman Filter and its variations. The duality between the augmented complex Kalman filters and the corresponding dual bivariate real Kalman filters is addressed. The complex Kalman filters and the dual real Kalman filters compute the same estimates. Stability and convergence analysis for real-valued Kalman Filter also apply to the proposed Kalman filters. The computational requirements of the complex and dual real Kalman filters are presented. The ability to determine the fastest filter depends on the model dimensions, namely the state and measurement dimensions. |
KEYWORDS Augmented or Widely Linear Model, Augmented Complex Kalman Filter, Augmented Complex Information Kalman Filter, Augmented Complex Kalman Filter Gain Elimination, Duality, Calculation Burden |
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Cite this paper Athanasios Polyzos, Christos Tsinos, Maria Adam, Nicholas Assimakis. (2026) Duality Between Augmented Complex Kalman Filters and Bivariate Real Kalman Filters. International Journal of Signal Processing, 11, 1-13 |
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