Methods for Estimating State and Measurement Noise Covariance Matrices: Aspects and Comparison

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F09%3A43898474" target="_blank" >RIV/49777513:23520/09:43898474 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.3182/20090706-3-FR-2004.00061" target="_blank" >http://dx.doi.org/10.3182/20090706-3-FR-2004.00061</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3182/20090706-3-FR-2004.00061" target="_blank" >10.3182/20090706-3-FR-2004.00061</a>

Result language
angličtina
Original language name
Methods for Estimating State and Measurement Noise Covariance Matrices: Aspects and Comparison
Original language description
The paper deals with estimation of noise covariance matrices in state and measurement equations of linear discrete-time stochastic dynamic systems. In the last decade several novel methods for noise covariance matrices estimation, which are based on state estimation techniques, have been proposed. Unfortunately, the novel methods have been compared mainly with classical methods proposed in the seventies only. The aim of the paper is to analyse identifiability of state noise parameters by means of the Bayesian approach and to summarise and compare the novel methods from both theoretical and numerical point of view.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BC - Theory and management systems
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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