Estimation of Noise Means and Covariance Matrices for Linear Time-Varying Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F18%3A43952488" target="_blank" >RIV/49777513:23520/18:43952488 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.23919/ACC.2018.8430851" target="_blank" >https://doi.org/10.23919/ACC.2018.8430851</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.23919/ACC.2018.8430851" target="_blank" >10.23919/ACC.2018.8430851</a>

Result language
angličtina
Original language name
Estimation of Noise Means and Covariance Matrices for Linear Time-Varying Models
Original language description
The paper deals with the estimation of the means and covariance matrices of the noises of a linear time-varying system described by the state-space model. The proposed measurement difference method is based on a statistical analysis of differenced, linearly transformed, and shifted augmented measurement vector resulting in a system of linear matrix equations for consistent estimation of both; noise means and noise covariance matrices. The theoretical results are discussed and illustrated in a numerical example.
Czech name
—
Czech description
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Project
<a href="/en/project/GC16-19999J" target="_blank" >GC16-19999J: Cooperative Approaches to Design of Nonlinear Filters</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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