Noise covariance matrices in state‐space models: A survey and comparison of estimation methods—Part I

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  • Oliver Kost
    European Centre of Excellence NTIS and Department of Cybernetics, Faculty of Applied Sciences University of West Bohemia 306 14 Pilsen Czech Republic
  • Jindřich Havlík
    European Centre of Excellence NTIS and Department of Cybernetics, Faculty of Applied Sciences University of West Bohemia 306 14 Pilsen Czech Republic
  • Jindřich Duník
    European Centre of Excellence NTIS and Department of Cybernetics, Faculty of Applied Sciences University of West Bohemia 306 14 Pilsen Czech Republic
  • Ondřej Straka
    European Centre of Excellence NTIS and Department of Cybernetics, Faculty of Applied Sciences University of West Bohemia 306 14 Pilsen Czech Republic

書誌事項

公開日
2017-05-09
権利情報
  • http://onlinelibrary.wiley.com/termsAndConditions#vor
DOI
  • 10.1002/acs.2783
公開者
Wiley

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<jats:title>Summary</jats:title><jats:p>This paper deals with the estimation of the noise covariance matrices of systems described by state‐space models. Stress is laid on the systematic survey and classification of both the recursive and batch processing methods proposed in the literature with a special focus on the correlation methods. Besides the correlation methods, representatives of other groups are introduced also with respect to their basic idea, estimate properties, assumptions and possible extensions, and user‐defined parameters. Common and dual properties of the methods are highlighted, and a simulation comparison using exemplary MATLAB implementations of the methods is provided.</jats:p>

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