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Estimation of noise covariance matrices for periodic systems

✍ Scribed by Miroslav Šimandl; Jindřich Duník

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
137 KB
Volume
25
Category
Article
ISSN
0890-6327

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✦ Synopsis

Estimation of the noise covariance matrices for linear time-variant stochastic dynamic periodic systems is treated. The novel offline method for estimation of the covariance matrices of the state and measurement noises is designed. The method is based on analysis of second-order statistics of the state estimate produced by the linear multi-step predictor. The estimates of the noise covariance matrices are unbiased and converge to the true values with increasing number of data. The theoretical results are illustrated in numerical examples.

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