Tracking noise via dynamic systems with a continuum of states

摘要

A system and method reduces noise in a time series signal. A primary signal including stationary and non-stationary noise is modeled by a dynamic system having a continuum of states. A secondary signal including time series data is added to the primary signal to form a combined signal. The generic noise in the combined signal is estimated from samples of the combined signal using the dynamic system modeling the generic noise. Then, the estimated generic noise is removed from the combined signal to recover time series data.