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
Estimation of unknown noise covariance matrices for a linear discrete time system
β Scribed by Setsuzo Tsuji; Syusuke Hashimoto
- Book ID
- 112080725
- Publisher
- John Wiley and Sons
- Year
- 1978
- Tongue
- English
- Weight
- 355 KB
- Volume
- 98
- Category
- Article
- ISSN
- 0424-7760
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