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Publikace

Methods for estimating state and measurement noise covariance matrices: aspects and comparison

Typ:
Konferenční příspěvek
Název sborniku:
Proceedings of the 15th IFAC Symposium on System Identification
Místo vydání:
Saint-Malo, France
Rok:
2009
Strany:
372-377
Klíčová slova:
state estimation, estimation theory, covariance estimation
Adresa (www stránky):
příloha1:
příloha2:
Anotace:
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.
 
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