Abstract
A new finite impulse response (FIR) prediction is presented for a state space signal model. The linear predictor proposed in this paper uses the finite number of inputs and outputs on the recent time interval while the infinite impulse response (IIR) predictor with feedback and recursion uses all inputs and outputs from the initial time to the current time. The Yule-Walker equations for the linear forward and backward predictions are obtained from the correlation among states at each time and the orthogonality principle. How to solve these equations without an inverse of a big matrix is discussed. It is shown through simulation that the proposed FIR predictor can be as robust to modelling uncertainties as conventional robust IIR predictors. It is also shown that the good performance is achieved even in the steady state without uncertainties.
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