Covariance Estimation and Gaussianity Assessment for State and Measurement Noise
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F19%3A43956256" target="_blank" >RIV/49777513:23520/19:43956256 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.2514/1.G004348" target="_blank" >https://doi.org/10.2514/1.G004348</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2514/1.G004348" target="_blank" >10.2514/1.G004348</a>
Alternative languages
Result language
angličtina
Original language name
Covariance Estimation and Gaussianity Assessment for State and Measurement Noise
Original language description
This paper deals with estimation and assessment of the characteristics of the noises of a system described by the linear state-space model. In particular, the emphasis on the recently introduced Noise Covariance Matrices Estimation with Gaussianity Assessment (NEGA) method demonstrates the ability to provide unbiased and consistent estimates of the state and measurement noise covariance matrices and a statistical hypothesis-test-based decision regarding the noises Gaussianity for a time-varying model. The NEGA method is briefly reviewed and theoretically extended in three directions; (i) design parameter specification, (ii) thorough analysis on selection of a statistical test for Gaussianity assessment, and (iii) design of efficient algorithm for the time-invariant models. The theoretical results are illustrated in a Monte-Carlo based numerical study using exemplary MATLAB implementations of the method.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
20205 - Automation and control systems
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Guidance, Control, and Dynamics
ISSN
0731-5090
e-ISSN
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Volume of the periodical
43
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
9
Pages from-to
132-139
UT code for WoS article
000506663500012
EID of the result in the Scopus database
2-s2.0-85078213283