ϵ‐Kalman filter—a method of signal estimation considering sudden changes of signals

Abstract A digital filter is developed to estimate signals containing discontinuities from observations contaminated with low‐amplitude white noise. Called an ϵ‐Kalman filter, this is a Kalman filter combined with a nonlinear function. It is very effective for signals with known statistical properties. Principles of operation and realization of the filter are discussed. It is compared with another nonlinear filter called an ϵ‐filter also proposed by the authors. Results 01 . computer simulations are shown to demonstrate the effectiveness of the new filter. Pictorial examples are also provided.