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Citation

Šimandl, M. and Duník, J. : Off-line Estimation of System Noise Covariance Matrices by aOff-line Estimation of System Noise Covariance Matrices by a Special Choice of the Filter Gain . IEEE International Symposium on Intelligent Signal Processing, p. 1-6, IEEE, New York, 2007.

Abstract

Estimation of noise covariance matrices for linear or nonlinear stochastic dynamic systems is treated. The stress is laid on the case when the initial state mean and covariance matrix are exactly known. The properties of the innovation sequence of the Kalman Filter and the local filters are discussed and the new off-line method for estimation of the covariance matrices of the state and the measurement noise is designed. The proposed method is based on special choice of the filter gain and it takes an advantage of the well-known standard relations from the area of state estimation techniques and least square method. The theoretical results are verified in numerical examples.

Detail of publication

Title: Off-line Estimation of System Noise Covariance Matrices by aOff-line Estimation of System Noise Covariance Matrices by a Special Choice of the Filter Gain
Author: Šimandl, M. ; Duník, J.
Language: English
Date of publication: 3 Jul 2007
Year: 2007
Type of publication: Papers in proceedings of reviewed conferences
Title of journal or book: IEEE International Symposium on Intelligent Signal Processing
Page: 1 - 6
ISBN: 1-4244-0830-X
Publisher: IEEE
Address: New York
Date: 3 Jul 2007 - 5 Jul 2007
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Keywords

stochastic systems, state estimation, Kalman filtering, estimation theory, noise covariance matrices estimation

BibTeX

@INPROCEEDINGS{SimandlM_2007_Off-lineEstimation,
 author = {\v{S}imandl, M. and Dun\'{i}k, J.},
 title = {Off-line Estimation of System Noise Covariance Matrices by aOff-line Estimation of System Noise Covariance Matrices by a  Special Choice of the Filter Gain},
 year = {2007},
 publisher = {IEEE},
 journal = {IEEE International Symposium on Intelligent Signal Processing},
 address = {New York},
 pages = {1-6},
 ISBN = {1-4244-0830-X},
 url = {http://www.kky.zcu.cz/en/publications/SimandlM_2007_Off-lineEstimation},
}