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Estimation of time series noise covariance using correlation technology

✍ Scribed by Tao Ma; Jie Chen; Zhihong Peng; Wenjie Chen

Book ID
107504932
Publisher
South China University of Technology and Academy of Mathematics and Systems Science, CAS
Year
2011
Tongue
English
Weight
271 KB
Volume
9
Category
Article
ISSN
1672-6340

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Estimation of noise covariance matrices
Estimation of noise covariance matrices for a linear time-varying stochastic process
✍ Pierre R. BΓ©langer πŸ“‚ Article πŸ“… 1974 πŸ› Elsevier Science 🌐 English βš– 555 KB

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