✦ LIBER ✦

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
DOI: 10.1016/0005-1098(74)90037-5

No coin nor oath required. For personal study only.

✦ 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.

📜 SIMILAR VOLUMES

Solution of the linear diffusion equatio

Solution of the linear diffusion equation for modelling erosion processes with a time varying diffusion coefficient

✍ Georgios Aim. Skianis; Dimitrios Vaiopoulos; Niki Evelpidou 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 168 KB 👁 2 views

AN EVALUATION METHOD ON STOCHASTIC RESPO

AN EVALUATION METHOD ON STOCHASTIC RESPONSE OF A LINEAR ACOUSTIC SYSTEM WITH NON-STATIONARY NOISE INPUT BY EMPLOYING A TIME-VARYING OPERATOR AND ITS EXPERIMENT

✍ M. Ohta; K. Nishimura 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 91 KB