Query: cir filter

title: NLOS identification and mitigation based on CIR with particle filter
abstract: As key factors to guarantee accurate localization for ultra wide band system (UWB) Non line of sight (NLOS) identification and mitigation attract lots of attentions. One of the most effective methods for NLOS detection is based on the different characters of channel impulse response (CIR) under Line of sight (LOS) and NLOS condition. Features (such as kurtosis, standard deviation, energy, etc. extracted from CIR are used for classification with the help of machine learning algorithm. Different from existing approaches, the NLOS and LOS probability density functions (PDF) of the correlation coefficient are calculated with the training data. The probability that the CIR is measured under LOS or NLOS is determined based on the PDF. A weighted particle filter is proposed to reduce the localization error, caused by NLOS. The weights for the proposed approach are obtained with the help of the measured variance of the LOS error and the NLOS/LOS probability. The weighted least squares (WLS) and standard particle filter are used as comparison. The real field test results show that the proposed weighted particle filter has better accuracy compared to the standard particle filter and the WLS.

title: Estimasi Suku Bunga Model Cox Ingersoll Ross (CIR) Menggunakan Extended Kalman Filter untuk Perhitungan Supplemental Cost pada Program Pensiun
abstract: Program dana pensiun merupakan suatu sistem yang mengupayakan manfaat pensiun untuk memberikan kesejahteraan kepada peserta atau pegawai suatu perusahaan yang telah memasuki masa pensiun. Perhitungan program dana pensiun membutuhkan asumsi asumsi aktuaria antara lain asumsi penurunan populasi, asumsi penghasilan yang akan datang, dan asumsi tingkat suku bunga. Pada penelitian ini, tingkat suku bunga yang digunakan mengikuti model CIR yang diestimasi menggunakan metode Extended Kalman Filter (EKF) Parameter dari model CIR akan diestimasi menggunakan metode Conditional Least Square yang akan digunakan sebagai inputan nilai awal pada metode EKF. Selanjutnya tingkat suku bunga yang dihasilkan akan digunakan pada perhitungan aktuaria sehingga mendapatkan supplemental cost pada program dana pensiun dengan menggunakan metode Accrued Benefit Cost (ABCM) Supplemental cost merupakan biaya yang dikeluarkan oleh pemberi kerja ke dana pensiun jika kekurangan dana (defisit) dalam pendanaan program pensiun manfaat pasti. Pada akhirnya kita mendapatkan perbandingan hasil supplemental cost dengan asumsi suku bunga konstan dan estimasi tingkat suku bunga yang mengikuti model CIR menggunakan EKF. Pension fund program is a system that seek pension benefits to provide welfare to participants or employees of a company who have retired on pension. The calculation of the pension plan requires actuarial assumptions among other assumptions of population decline, future income assumptions, and interest rate assumptions. In this research, the interest rate used follows the CIR (Cox Ingersoll Ross) model. The CIR model will be estimated using Extended Kalman Filter (EKF) method. The parameters of the CIR model would be estimated using the Conditional Least Square method which would be used as an initial value input on the EKF method. Furthermore, the interest rate generated will be used in the actuarial calculation so as to get supplemental cost in the pension program with Accrued Benefit Cost Method (ABCM) Supplemental cost in funding pension plan is a cost to be issued by the employer to the pension fund in case shortage of fund (deficit) in the funding of defined benefit plans. In the end, we get the comparison of supplemental cost results with the assumption of constant interest rate and the estimated interest rate of CIR model using EKF.

title: Estimasi Parameter pada Model Suku Bunga Cox Ingersoll Ross (CIR) Menggunakan Kalman Filter untuk Menentukan Harga Zero Coupon Bond
abstract: Tingkat suku bunga sangat berpengaruh pada penentuan harga sekuritas.Salah satunya pada penentuan harga bond yang nilainya bergantung pada tingkat suku bunga yang berlaku saat itu.Jenis bondyang dibahas pada tugas akhir ini adalah zero coupon bond. Bondjenis ini tidak membagikan kupon atau bunga pada setiap periode.Jadi, penerbit bondmembayarkan pokok hutang dan bunga pada saat masa jatuh tempo.Pada Kenyataannya, tingkat suku bunga bersifat stokastik.Sehingga diperlukan model suku bunga stokastik yang bisa mewakili kondisi riil tingkat suku bunga pasar.Pada tugas akhir ini digunakan model suku bunga Cox Ingersoll Ross (CIR).Untuk menentukan harga bond diperlukan nilai parameter dari model suku bunga CIR. Sehingga perlu dilakukan estimasi parameter.Nilai parameter didapatkan mennggunakan metode Ordinary Least Square (OLS) Hasil estimasi tersebut digunakan sebagai input pada metode Kalman Filteruntuk mengestimasi tingkat suku bunga harian yang mengikuti model CIR.Pada tugas akhir ini, nilai parameter dan tingkat suku bunga harian hasil estimasi akan digunakan untuk menentukan harga zero coupon bond.

title: Per Tone Precoding and Per Tone Equalization for OFDM and DMT Transmission Systems: Duality, Filter Optimization, and Resource Allocation
abstract: OFDM and DMT transmission systems add a cyclic prefix (CP) or zero pad (ZP) to the transmitted signal. Interference free transmission requires this CP/ZP to be similarly long as the channel impulse response (CIR) reducing the achievable data rate in highly dispersive channels. A first strategy for dealing with long CIRs without increasing the CP/ZP overhead consists of applying a channel shortening filter to the received signal. A second strategy consists of spectral resource allocation, i.e. bit and power allocation to reduce interference. As little effort has been made towards joint channel shortening and resource allocation, a new algorithm to simultaneously optimize the channel shortening per tone equalization (PTEQ) filters and the resource allocation is presented. In addition, transmitter side channel shortening filters are considered, more specifically so called per tone precoding (PTPC) filters which apply the channel shortening filter before the IDFT modulation of the ODFM/DMT transmitter. At first glance, the FIR filter optimization for PTPC seems much more involved than the relatively straightforward FIR filter optimization for PTEQ. However, it will be demonstrated that any OFDM/DMT system with PTPC is after time reversing the CIR equivalent to an OFDM/DMT system employing PTEQ. With this result in hand, systems with PTPC can take full advantage of the straightforward FIR filter optimization in systems with PTEQ, as well as of the aforementioned resource allocation algorithm. Simulation results show that the performance obtained for systems with PTPC is nearly indistinguishable from that obtained for systems with PTEQ, making PTPC an interesting alternative channel shortening strategy.

title: NLOS Detection and Mitigation for UWB/IMU Fusion System Based on EKF and CIR
abstract: Ultra wideband (UWB) is a very promising technology for accurate indoor localization. Time of arrival (TOA) and time difference of arrival (TDOA) are two of the most widely used algorithms for UWB to localize the mobile station (MS) However, the accuracy performance of the position estimation based on these algorithms dramatically degrades under Non Line of Sight (NLOS) condition. Inertial measurement unit (IMU) is not effected by NLOS. However, the localization results based on IMU are only accurate for a short period of time due to the drift errors. The integration of these two systems will allow to profit from their advantages. In this paper, the Extended Kalman Filter (EKF) is used to combine IMU and UWB with TOA or TDOA approach. Based on the IMU measurements, the inaccurate UWB range measurements or range difference measurements due to NLOS could be detected in the EKF. Furthermore, in order to further improve the detection accuracy, the channel impulse response (CIR) from UWB are also used for NLOS detection during the real field test. The support vector machine (SVM) is used to train the data. Only the identified accurate measurements will be used for further calculation in the EKF. The performance of the proposed method will be evaluated in the simulation and real field tests. The proposed method shows both in simulation and real field tests very promising results.

title: Predictive NLOS Detection for UWB Indoor Positioning Systems Based on the CIR
abstract: Modern indoor positioning systems are used to track machines or navigate people. Besides localization accuracy, one emerging key requirement is the robustness of a system with regard to changes in the environment. One mechanism to improve this robustness is the detection of Non line of sight (NLOS) situations. In this paper, a novel, predictive NLOS detection concept is introduced. Moving objects induce changes in the Channel Impulse Response. While close range obstacles are identified by a pulsing first path peak amplitude, objects further away can be detected using a Gabor filter bank. Both features for detection have been investigated in ideal and real world environments with the results showing clear evidence that our novel method is delivering good confidence NLOS detection.

title: Parameter uncertainty in Kalman filter estimation of the CIR term structure model
abstract: The Cox, Ingersoll and Ross (1985) term structure model describes the stochastic evolution of government bond yield curves over time using a square root Orstein Uhlenbeck diffusion process, whilst imposing cross sectional no arbitrage restrictions between yields of different maturities. A Kalman filter approach can be used to estimate the parameters of the CIR model from panel data consisting of a time series of bonds of different maturities. The parameters are estimated by optimising a quasi log likelihood function that results from the prediction error decomposition of the Kalman filter. The quasi log likelihood function is usually optimised with a deterministic gradient based optimisation technique such as a quadratic hill climbing optimiser. This paper uses an evolutionary optimiser known as differential evolution (DE) to optimise over the parameter space. The DE optimiser is more likely to find the global maximum than a deterministic optimiser in the presence of a non convex objective function which may be the case in multifactor term structure models with non negativity constraints and parameter constraints. The method is applied to estimate parameters from a one and two factor Cox, Ingersoll and Ross (1985) model. It is shown that in the two factor model the problem of local maxima arises whereby a number of different parameter vectors perform equally well in the estimation procedure. Fixed income derivative prices are particular sensitive to term structure parameters such as the volatility, the rate of mean reversion, and the market price of risk of each factor. The effect of different optimal parameter vectors on fixed income derivatives is examined and is found to be significant.

title: Color correction matrix for sparse RGB W image sensor without IR cutoff filter
abstract: Unlike photographic image sensors with infrared cutoff filter, low light image sensors gather light over visible and near infrared (VIS NIR) spectrum to improve sensitivity. However, removing infrared cutoff filter makes the color rendering challenging. In addition, no color chart, with calibrated infrared content, is available to compute color correction matrix (CCM) of such sensors. In this paper we propose a method to build a synthetic color chart (SCC) to overcome this limitation. The choice of chart patches is based on a smart selection of spectra from open access and our own VIS NIR hyperspectral images databases. For that purpose we introduce a fourth cir dimension to CIE L*a*b* space to quantify the infrared content of each spectrum. Then we uniformly sample this L*a*b*cir space, leading to 1498 spectra constituting our synthetic color chart. This new chart is used to derive a 3x4 color correction matrix associated to the commercial RGB White sensor (Teledyne E2V EV76C664) using a classical linear least square minimization. We show an improvement of signal to noise ratio (SNR) and color accuracy at low light level compared to standard CCM derived using Macbeth color chart.

title: Joint space time optimum filters(jstof) with at least one antenna, at least one channel, and joint filter weight and cir estimation
abstract: A mobile wireless communications device may include a portable housing, at least one virtual antenna carried by the portable housing, and a space time filter circuit carried by the portable housing for filtering a communications signal received by the at least one virtual antenna by jointly estimating space time filter weights and at least one channel impulse response (CIR) The mobile wireless communications device may further include a matched filter circuit carried by the portable housing downstream from the space time filter circuit and having a filter response that is provided by a channel impulse response estimation from the space time filter circuit.

title: At least one antenna, at least one channel, integrated space time optimal filter using an integrated filter weights and cir estimation (JSTOF)
abstract: Wu Xian Tong Xin debaisuha, Shao nakutomo1tsunoJia Xiang antenato, Shi Kong Jian  nakutomo1tsunochiyaneruinparusuYing Da (CIR)woTong He De niTui Ding surukotoniyotsute, konoShao nakutomo1tsunoJia Xiang antenaniyotsuteShou Xin saretaTong Xin Xin Hao nihuirutawokakeruShi Kong Jian huirutaHui Lu to, woHan mu. Wu Xian Tong Xin debaisuha, Shi Kong Jian huirutaHui Lu noXia Liu niari, Shi Kong Jian huirutaHui Lu karanochiyaneruinparusuYing  Da woYou suru, Zheng He huirutaHui Lu wosaraniHan miDe ru.