On least squares estimation of generalized covariance functions
โ Scribed by van der Linde, Angelika
- Publisher
- Springer
- Year
- 1993
- Tongue
- English
- Weight
- 327 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0020-5958
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๐ SIMILAR VOLUMES
A linear least-squares filtering problem with a semidegenerate integral equation is considered. An invariant imbedding treatment reduces this problem to a system of ordinary differential equations with initial conditions. The optimal estimate may be evaluated in a real-time sequential manner through
Least squares estimation techniques are employed to overcome previous difficulties encountered in accurately estimating the state and measurement noise covariance parameters in linear stochastic systems. In the past accurate and rapidly converging covariance parameter estimates have been achieved wi