Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F18%3A43952472" target="_blank" >RIV/49777513:23520/18:43952472 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.automatica.2017.12.040" target="_blank" >http://dx.doi.org/10.1016/j.automatica.2017.12.040</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.automatica.2017.12.040" target="_blank" >10.1016/j.automatica.2017.12.040</a>
Alternative languages
Result language
angličtina
Original language name
Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
Original language description
The paper deals with the estimation of the process and measurement noise covariance matrices of a system described by the linear time-varying state–space model. In particular, the stress is laid on the correlation methods and a novel method, the measurement difference autocovariance method, is designed. The proposed method is based on the statistical analysis of an augmented measurement prediction error leading to a system of linear matrix equations for the elements of the noise covariance matrices. 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 a numerical example.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
20205 - Automation and control systems
Result continuities
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)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
AUTOMATICA
ISSN
0005-1098
e-ISSN
—
Volume of the periodical
90
Issue of the periodical within the volume
April 2018
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
16-24
UT code for WoS article
000427217600003
EID of the result in the Scopus database
2-s2.0-85040310468