Noise Moment and Parameter Estimation of State-Space Model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F18%3A43952497" target="_blank" >RIV/49777513:23520/18:43952497 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.ifacol.2018.09.107" target="_blank" >https://doi.org/10.1016/j.ifacol.2018.09.107</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ifacol.2018.09.107" target="_blank" >10.1016/j.ifacol.2018.09.107</a>

Result language
angličtina
Original language name
Noise Moment and Parameter Estimation of State-Space Model
Original language description
The paper deals with the estimation of the moments and parameters of the state and measurement noises of a system described by a linear time-varying state-space model. In particular, a novel correlation measurement difference method is designed. The method is based on a statistical analysis of an augmented measurement prediction error leading to a system of linear matrix equations enabling higher-order noise moments estimation. The estimated moments, shown to converge to the true values, are then used for noise parameters computation. The theoretical results are discussed and illustrated in a numerical example.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
20205 - Automation and control systems

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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