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Citation

Duník Jindřich and Šimandl Miroslav and Straka Ondřej : Methods for Estimating State and Measurement Noise Covariance Matrices: Aspects and Comparison . IFAC-PapersOnline, vol. 15, p. 1-6, International Federation of Automatic Control, Saint-Malo, Francie, 2009.

Abstract

The paper deals with estimation of noise covariance matrices in state and measurement equations of linear discrete-time stochastic dynamic systems. In the last decade several novel methods for noise covariance matrices estimation, which are based on state estimation techniques, have been proposed. Unfortunately, the novel methods have been compared mainly with classical methods proposed in the seventies only. The aim of the paper is to analyse identifiability of state noise parameters by means of the Bayesian approach and to summarise and compare the novel methods from both theoretical and numerical point of view.

Detail of publication

Title: Methods for Estimating State and Measurement Noise Covariance Matrices: Aspects and Comparison
Author: Duník Jindřich ; Šimandl Miroslav ; Straka Ondřej
Language: English
Year: 2009
Type of publication: Papers in journals
Title of journal or book: IFAC-PapersOnline
Číslo vydání: 15
Page: 1 - 6
ISSN: 1474-6670
Publisher: International Federation of Automatic Control
Address: Saint-Malo, Francie
Date: 8 Jul 2009
2011-03-15 16:21:43 / 2011-03-15 16:21:43 / 1

Keywords

Filtering, Smoothing, Recursive Identification, Bayesian Methods

BibTeX

@ARTICLE{DunikJindrich_2009_Methodsfor,
 author = {Dun\'{i}k Jind\v{r}ich and \v{S}imandl Miroslav and Straka Ond\v{r}ej},
 title = {Methods for Estimating State and Measurement Noise Covariance Matrices: Aspects and Comparison},
 year = {2009},
 publisher = {International Federation of Automatic Control},
 journal = {IFAC-PapersOnline},
 address = {Saint-Malo, Francie},
 volume = {15},
 pages = {1-6},
 ISSN = {1474-6670},
 url = {http://www.kky.zcu.cz/en/publications/DunikJindrich_2009_Methodsfor},
}