Recursive Filter:

In recursive filters , the output at the moment is a function of the output values at the previous moments and, probably, of the input values.

A major advantage of recursive filters over nonrecursive filters is that they are computationally simpler. For example, for any recursive linear filter , there is a functionally equivalent non-recursive linear filter. But the non-recursive variant may be characterized by an infinitely large window size and, hence, be difficult for practical implementation. (See, for example, explanations on the exponential filter ).

Mathematically, a recursive filter may be described by the following general expression:

where

• is an arbitrary function of the previous output values and input values , linear or nonlinear.

Some examples of recursive filters are the exponential filter , the Kalman filter .

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