Cramér-Rao bounds for estimation of linear system noise covariances

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F11%3A00181981" target="_blank" >RIV/68407700:21230/11:00181981 - isvavai.cz</a>
Result on the web
<a href="http://www.ifac-papersonline.net/Detailed/50045.html" target="_blank" >http://www.ifac-papersonline.net/Detailed/50045.html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3182/20110828-6-IT-1002.01531" target="_blank" >10.3182/20110828-6-IT-1002.01531</a>

Result language
angličtina
Original language name
Cramér-Rao bounds for estimation of linear system noise covariances
Original language description
The performance of Kalman filter depends directly on the noise covariances, which are usually not known and need to be estimated. Several estimation algorithms have been published in past decades, but the measure of estimation quality is missing. Cramér-Rao bounds represent limitation of quality of parameter estimation that can be obtained from given data. In this article, Cramér-Rao bounds for noise covariance estimation of linear time-invariant stochastic system will be derived. Two different linear system models will be considered. Further, the performance of earlier published methods will be discussed according to Cramér-Rao bounds. The analogy between Cramér-Rao bounds and Riccati equation will be pointed out.
Czech name
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Czech description
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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 18th IFAC World Congress, 2011
ISBN
978-3-902661-93-7
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
7791-7796
Publisher name
IFAC
Place of publication
Bologna
Event location
Milano
Event date
Aug 28, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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