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Estimation of noise covariance matrices for a linear time-varying stochastic process

✍ Scribed by Pierre R. Bélanger


Publisher
Elsevier Science
Year
1974
Tongue
English
Weight
555 KB
Volume
10
Category
Article
ISSN
0005-1098

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✦ Synopsis


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 fact is used to derive a least-squares algorithm, which takes a particularly simple form in the stationary case. Two examples are given.


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