A Generalized Autocovariance Least-Squares Method for Covariance Estimation

A Generalized Autocovariance Least-Squares Method for Covariance Estimation

A generalization of the autocovariance least- squares method for estimating noise covariances is presented. The method can estimate mutually correlated system and sensor noise and can be used with both the predicting and the filtering form of the Kalman filter.

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Akesson, Bernt M., Jorgensen, John Bagterp, Jorgensen, Sten Bay
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Chemical engineering
Chemical sensors
Cities and towns
Covariance estimation
Filtering
Filters
Informatics
Mathematical model
optimal estimation
Riccati equations
Sensor systems
State estimation
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:A generalization of the autocovariance least- squares method for estimating noise covariances is presented. The method can estimate mutually correlated system and sensor noise and can be used with both the predicting and the filtering form of the Kalman filter.
ISSN:0743-1619
2378-5861
DOI:10.1109/ACC.2007.4282878