Patent ID: 8799342

Claim:
A signal processing device comprising: a state detection processor configured to output plural signals according to a state; a correlation calculation processor configured to calculate a correlation matrix of the plural signals output from the state detection processor; a correlation estimation processor configured to smoothen the correlation matrix calculated by the correlation calculation processor according to a window function to determine an estimated correlation matrix; an estimated error evaluation processor configured to evaluate an estimated error based on the estimated correlation matrix determined by the correlation estimation processor; and a window length adjusting processor configured to adjust a window length as the length of the window function in such a manner to reduce the estimated error evaluated by the estimated error evaluation processor, wherein the correlation estimation processor is configured to determine the estimated correlation matrix according to an exponential window as the window function, and the window length adjusting processor is configured to adjust the window length α(t) according the following equations (C1) and (C2) based on an allowable error rate β, an estimated correlation value r^(t) as an off-diagonal element of the estimated correlation matrix at time t, and an upper value N max of the window length equivalent to that of a rectangular window: N ^( t )=min[1/(β r ^( t )) 2 ,N max ], (C1) α( t )=( N ^( t )−1)/( N ^( t )+1) (C2).