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Estimating a Nonparametric Colored-Noise Model for Linear Slowly Time-Varying Systems

✍ Scribed by Lataire, J.; Pintelon, R.


Book ID
114631362
Publisher
IEEE
Year
2009
Tongue
English
Weight
879 KB
Volume
58
Category
Article
ISSN
0018-9456

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An algorithm is given to estimate the noise eovariance matrices for a linear, discrete, time-varying stochastic system. If these matrices are linear with respect to a set of aparameters, it is found that the correlation products of the innovations sequence is also linear in these parameters. The fac