A Multiscale, Bayesian and Error-In-Variables Approach for Linear Dynamic Data Rectification

A multiscale approach to data rectification is proposed for data containing features with different time and frequency localization. Noisy data are decomposed into contributions at multiple scales and a Bayesian optimization problem is solved to rectify the wavelet coefficients at each scale. A linear dynamic model is used to constrain the optimization problem, which facilitates an error -in variables (EIV) formulation and reconciles all measured variables . Time-scale recursive algorithms are obtained by propagating the prior with temporal and scale models. The multi-scale Kalman filter is a special case of the proposed Bayesian EIV approach .