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Partial estimation of covariance matrices

✍ Scribed by Levina, Elizaveta; Vershynin, Roman


Book ID
113043734
Publisher
Springer
Year
2011
Tongue
English
Weight
193 KB
Volume
153
Category
Article
ISSN
1432-2064

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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 st