Measurement Difference Autocovariance Method for Noise Covariance Matrices Estimation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F16%3A43929736" target="_blank" >RIV/49777513:23520/16:43929736 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1109/CDC.2016.7798581" target="_blank" >http://dx.doi.org/10.1109/CDC.2016.7798581</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC.2016.7798296" target="_blank" >10.1109/CDC.2016.7798296</a>

Result language
angličtina
Original language name
Measurement Difference Autocovariance Method for Noise Covariance Matrices Estimation
Original language description
The paper deals with the estimation of the noise covariance matrices of a linear time-varying system described by the state-space model. In particular, the stress is laid on the correlation methods and a novel method, the measurement difference autocovariance method, is proposed. The proposed method is based on the statistical analysis of differenced linearly transformed and shifted measurements resulting in a system of linear matrix equations. Compared to other correlation methods, the proposed method provides unbiased estimates even for a finite number of measurements. The theoretical results are discussed and illustrated in numerical examples.
Czech name
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Czech description
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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
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 55th IEEE Conference on Decision and Control (CDC)
ISBN
978-1-5090-1837-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
365-370
Publisher name
IEEE
Place of publication
neuveden
Event location
Las Vegas, USA
Event date
Dec 12, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000400048100060

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